**Exhibit 13.01**

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***Global Macro Trust***

***Financial Statements for the YearsEndedDecember 31, 2006, 2005 and 2004 andReport of Independent Registered PublicAccounting Firm***

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**GLOBALMACRO TRUST**

** **

** **

**TABLE OFCONTENTS**

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|                                                          |   | **Page**   |
|----------------------------------------------------------|--------|------------|
|                                                     |   |       |
| AFFIRMATION OF MILLBURN  RIDGEFIELD CORPORATION          |   |       |
|                                                     |   |       |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING  FIRM |   | 1          |
|                                                     |   |       |
| FINANCIAL STATEMENTS:                                    |   |       |
|                                                     |   |       |
| Statements of  Financial Condition                       |   | 2          |
|                                                     |   |       |
| Condensed  Schedules of Investments                      |   | 3–6   |
|                                                     |   |       |
| Statements of  Operations                                |   | 7          |
|                                                     |   |       |
| Statements of  Changes in Trust Capital                  |   | 8          |
|                                                     |   |       |
| Statements of  Financial Highlights                      |   | 9          |
|                                                     |   |       |
| Notes to  Financial Statements                           |   | 10–15 |

 

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**AFFIRMATION OF MILLBURNRIDGEFIELD CORPORATION**

In compliance with theCommodity Futures Trading Commission’s regulations, I hereby affirm that to thebest of my knowledge and belief, the information contained in the statements offinancial condition of Global Macro Trust at December 31, 2006 and 2005,including the condensed schedules of investments, and the related statements ofoperations, changes in trust capital and financial highlights for the yearsended December 31, 2006, 2005 and 2004 are complete and accurate.

Harvey Beker, Co-Chief Executive OfficerMillburn Ridgefield CorporationManaging Owner of Global Macro Trust

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**REPORT OF INDEPENDENTREGISTERED PUBLIC ACCOUNTING FIRM**

To the Unitholders ofGlobal Macro Trust

We have audited the accompanying statements offinancial condition of Global Macro Trust(the ”Trust”) as of December 31, 2006 and 2005, including thecondensed schedules of investments, and the related statements of operations,changes in trust capital, and financial highlights for the years ended December31, 2006, 2005 and 2004. These financial statements and financial highlightsare the responsibility of the Trust’s management. Our responsibility is toexpress an opinion on these financial statements and financial highlights basedon our audits.

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial highlights arefree of material misstatement. The Trust is not required to have, nor were weengaged to perform, an audit of its internal control over financial reporting.Our audits included consideration of internal control over financial reportingas a basis for designing audit procedures that are appropriate in the circumstances,but not for the purpose of expressing an opinion on the effectiveness of theTrust’s internal control over financial reporting. Accordingly, we express nosuch opinion. An audit also includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements andfinancial highlights, assessing the accounting principles used and significantestimates made by management, as well as evaluating the overall financialstatement presentation. We believe that our audits provide a reasonable basisfor our opinion.

In our opinion, thefinancial statements and financial highlights referred to above present fairly,in all material respects, the financial position of Global Macro Trust at December 31, 2006 and 2005, and the resultsof its operations, changes in trust capital, and financial highlights for theyears ended December 31, 2006, 2005 and 2004 in conformity with accountingprinciples generally accepted in the United States of America.

Deloitte & Touche LLPNew York, New YorkFebruary 15, 2007

 

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**GLOBALMACRO TRUST**

 
| ** **

**STATEMENTS OF FINANCIAL CONDITION  AT DECEMBER 31, 2006 AND 2005** |       |        |
|----------------------------------------------------------------------------------|------------|-------------|
| ** **                                                                       | ** ** | ** **  | ** ** | ** ** | ** ** |
| ** **                                                                       | ** ** | **2006**    | ** ** | **2005** | ** ** |
| **ASSETS**                                                                       | ** ** | ** **  | ** ** | ** ** | ** ** |
|                                                                             |       |        |   |   |   |
| EQUITY IN TRADING  ACCOUNTS:                                                     |       |        |   |   |   |
| Investments in  U.S. Treasury notes—at market value                         |       |        |   |   |   |
| (amortized cost  $122,728,945 and $148,720,494)                                  |       | $           | 122,680,398 |   | $ | 148,402,881 |   |
| Net unrealized  appreciation/(depreciation) on open futures                      |       |        |   |   |   |
| and forward  currency contracts                                                  |       | 29,307,511  |   | (3,170,318 | ) |
| Due from brokers                                                                 |       | 20,542,993  |   | 10,081,674 |   |
| Cash denominated  in foreign currencies (cost $9,510,728                         |       |        |   |   |   |
| and $6,094,580)                                                                  |       | 9,513,915   |   | 6,003,852 |   |
|                                                                             |       |        |   |   |   |
| Total equity in  trading accounts                                                |       | 182,044,817 |   | 161,318,089 |   |
|                                                                             |       |        |   |   |   |
| INVESTMENTS IN U.S.  TREASURY NOTES—at market                               |       |        |   |   |   |
| value (amortized  cost $305,987,961 and $236,464,681)                            |       | 305,893,877 |   | 236,056,278 |   |
|                                                                             |       |        |   |   |   |
| CASH AND CASH  EQUIVALENTS                                                       |       | 16,282,193  |   | 24,917,162 |   |
|                                                                             |       |        |   |   |   |
| ACCRUED INTEREST  RECEIVABLE                                                     |       | 2,905,505   |   | 1,610,838 |   |
|                                                                             |       |        |   |   |   |
| TOTAL                                                                            |       | $           | 507,126,392 |   | $ | 423,902,367 |   |
|                                                                             |       |        |   |   |   |
| **LIABILITIES AND TRUST CAPITAL**                                                | ** ** | ** **  | ** ** | ** ** | ** ** |
| ** **                                                                       |       |        |   |   |   |
| LIABILITIES:                                                                     |       |        |   |   |   |
| Subscriptions  from Unitholders received in advance                              |       | $           | 4,388,200 |   | $ | 4,677,687 |   |
| Due to Managing  Owner                                                           |       | 186,501     |   | 91,888 |   |
| Accrued  brokerage fees                                                          |       | 2,676,415   |   | 2,255,199 |   |
| Redemptions  payable to Unitholders                                              |       | 13,930,317  |   | 7,942,834 |   |
| Accrued expenses                                                                 |       | 121,600     |   | 94,848 |   |
| Due to brokers                                                                   |       | —      |   | 2,936,389 |   |
|                                                                             |       |        |   |   |   |
| Total  liabilities                                                               |       | 21,303,033  |   | 17,998,845 |   |
|                                                                             |       |        |   |   |   |
| TRUST CAPITAL:                                                                   |       |        |   |   |   |
| Managing Owner  interest (5,086.375 and 4,750.953 units                          |       |        |   |   |   |
| outstanding)                                                                     |       | 5,290,389   |   | 4,646,863 |   |
| Unitholders  (462,004.829 and 410,247.372 units outstanding)                     |       | 480,532,970 |   | 401,256,659 |   |
|                                                                             |       |        |   |   |   |
| Total trust  capital                                                             |       | 485,823,359 |   | 405,903,522 |   |
|                                                                             |       |        |   |   |   |
| TOTAL                                                                            |       | $           | 507,126,392 |   | $ | 423,902,367 |   |
|                                                                             |       |        |   |   |   |
| NET ASSET VALUE PER UNIT OUTSTANDING                                             |       | $           | 1,040.10 |   | $ | 978.08 |   |
|                                                                                  |            |             |  |  |  |  |  |  |  |

 

See notes tofinancial statements.

2

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**GLOBAL MACRO TRUST**
| ** **

**CONDENSED SCHEDULE OF INVESTMENTS  AT DECEMBER 31, 2006** |       |                         |
|-------------------------------------------------------------------------|------------|------------------------------|
| ** **                                                              | ** ** | ** **                   | ** ** | ** ** | ** ** |
| ** **                                                              | ** ** | **Net Unrealized**      | ** ** | ** ** | ** ** |
| ** **                                                              | ** ** | **Appreciation**             | ** ** | **Net** | ** ** |
| ** **                                                              | ** ** | **(Depreciation)**           | ** ** | **Unrealized** | ** ** |
| ** **                                                              | ** ** | **as a % of** | ** ** | **Appreciation** | ** ** |
| **Futures and Forward Currency Contracts**          | ** ** | **Trust Capital**       | ** ** | **(Depreciation)** | ** ** |
|                                                                    |       |                         |   |   |   |
| FUTURES CONTRACTS:                                                      |       |                         |   |   |   |
| LONG FUTURES CONTRACTS:                                                 |       |                         |   |   |   |
| Grains                                                                  |       | 0.25                         | % | $ | 1,212,880 |   |
| Interest rates                                                          |       | (0.75                        | ) | (3,654,815 | ) |
| Metals                                                                  |       | (0.08                        | ) | (409,050 | ) |
| Softs                                                                   |       | —                       |   | 21,075 |   |
| Stock indices                                                           |       | 1.41                         |   | 6,840,146 |   |
|                                                                    |       |                         |   |   |   |
| Total long futures contracts                                            |       | 0.83                         |   | 4,010,236 |   |
|                                                                    |       |                         |   |   |   |
| SHORT FUTURES CONTRACTS:                                                |       |                         |   |   |   |
| Energies                                                                |       | 0.55                         |   | 2,666,468 |   |
| Interest rates                                                          |       | 1.61                         |   | 7,798,777 |   |
| Livestock                                                               |       | —                       |   | 5,160 |   |
| Metals                                                                  |       | —                       |   | (13,463 | ) |
| Softs                                                                   |       | (0.16                        | ) | (736,185 | ) |
|                                                                    |       |                         |   |   |   |
| Total short futures contracts                                           |       | 2.00                         |   | 9,720,757 |   |
|                                                                    |       |                         |   |   |   |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net                        |       | 2.83                         |   | 13,730,993 |   |
|                                                                    |       |                         |   |   |   |
| FORWARD CURRENCY  CONTRACTS:                                            |       |                         |   |   |   |
| Total long forward currency contracts                                   |       | 2.49                         |   | 12,121,308 |   |
| Total short forward currency contracts                                  |       | 0.71                         |   | 3,455,210 |   |
|                                                                    |       |                         |   |   |   |
| TOTAL  INVESTMENTS IN FORWARD                                           |       |                         |   |   |   |
| CURRENCY CONTRACTS—Net                                             |       | 3.20                         |   | 15,576,518 |   |
|                                                                    |       |                         |   |   |   |
| TOTAL                                                                   |       | 6.03                         | % | $ | 29,307,511 |   |
|                                                                         |            |                              |  |  |  |  |  |  |

 

(Continued)

3

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**GLOBALMACRO TRUST**
| ** **

**CONDENSED SCHEDULE OF INVESTMENTS  AT DECEMBER 31, 2006** |       |                                                                      |
|-------------------------------------------------------------------------|------------|---------------------------------------------------------------------------|
| ** **                                                              | ** ** | ** **                                                                | ** ** | ** ** | ** ** | ** ** | ** ** |
| **U.S. TREASURY NOTES**                                                 | ** ** |
| ** **                                                              | ** ** | ** **                                                                | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** **

** **

**Face  Amount**                                | ** ** | **Description**                                                           | ** ** | **Value as a %  of Trust  Capital** | ** ** | **Value** | ** ** |
|                                                                    |       |                                                                      |   |   |   |   |   |
| $108,260,000                                                            |       | U.S.  Treasury notes, 2.250%, 02/15/07                                    |   | 22.21 | % | $ | 107,904,772 |   |
| 108,260,000                                                             |       | U.S.  Treasury notes, 3.125%, 05/15/07                                    |   | 22.13 |   | 107,498,797 |   |
| 108,260,000                                                             |       | U.S.  Treasury notes, 2.750%, 08/15/07                                    |   | 21.97 |   | 106,754,509 |   |
| 108,260,000                                                             |       | U.S.  Treasury notes, 3.000%, 11/15/07                                    |   | 21.90 |   | 106,416,197 |   |
|                                                                    |       |                                                                      |   |   |   |   |   |
|                                                                    |       | Total investments in  U.S. Treasury notes   (amortized cost $428,716,906) |   |   |   |   |   |
|                                                                    |       |                                                                      |   | 88.21 | % | $ | 428,574,275 |   |
|                                                                         |            |                                                                           |  |  |  |  |  |  |  |  |  |  |  |  |  |

 

See notes to financialstatements.

(Concluded)

4

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**GLOBALMACRO TRUST**
| ** **

**CONDENSED SCHEDULE OF INVESTMENTS  AT DECEMBER 31, 2005** |       |                         |
|-------------------------------------------------------------------------|------------|------------------------------|
| ** **                                                              | ** ** | ** **                   | ** ** | ** ** | ** ** |
| ** **                                                              | ** ** | **Net Unrealized**      | ** ** | ** ** | ** ** |
| ** **                                                              | ** ** | **Appreciation**             | ** ** | **Net** | ** ** |
| ** **                                                              | ** ** | **(Depreciation)**           | ** ** | **Unrealized** | ** ** |
| ** **                                                              | ** ** | **as a % of** | ** ** | **Appreciation** | ** ** |
| **Futures and Forward Currency Contracts**          | ** ** | **Trust Capital**       | ** ** | **(Depreciation)** | ** ** |
|                                                                    |       |                         |   |   |   |
| FUTURES  CONTRACTS:                                                     |       |                         |   |   |   |
| LONG FUTURES CONTRACTS:                                                 |       |                         |   |   |   |
| Energies                                                                |       | 0.03                         | % | $ | 127,330 |   |
| Grains                                                                  |       | 0.12                         |   | 497,495 |   |
| Interest rates                                                          |       | 0.22                         |   | 905,077 |   |
| Livestock                                                               |       | (0.02                        | ) | (65,930 | ) |
| Metals                                                                  |       | 1.07                         |   | 4,347,075 |   |
| Softs                                                                   |       | 0.90                         |   | 3,636,114 |   |
| Stock indices                                                           |       | 0.60                         |   | 2,411,285 |   |
|                                                                    |       |                         |   |   |   |
| Total long futures contracts                                            |       | 2.92                         |   | 11,858,446 |   |
|                                                                    |       |                         |   |   |   |
| SHORT FUTURES CONTRACTS:                                                |       |                         |   |   |   |
| Grains                                                                  |       | (0.31                        | ) | (1,246,376 | ) |
| Interest rates                                                          |       | 0.38                         |   | 1,562,749 |   |
| Metals                                                                  |       | 0.01                         |   | 36,260 |   |
| Softs                                                                   |       | (0.17                        | ) | (725,650 | ) |
|                                                                    |       |                         |   |   |   |
| Total short futures contracts                                           |       | (0.09                        | ) | (373,017 | ) |
|                                                                    |       |                         |   |   |   |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net                        |       | 2.83                         |   | 11,485,429 |   |
|                                                                    |       |                         |   |   |   |
| FORWARD CURRENCY  CONTRACTS:                                            |       |                         |   |   |   |
| Total long forward currency contracts                                   |       | (2.64                        | ) | (10,714,282 | ) |
| Total short forward currency contracts                                  |       | (0.97                        | ) | (3,941,465 | ) |
|                                                                    |       |                         |   |   |   |
| TOTAL  INVESTMENTS IN FORWARD                                           |       |                         |   |   |   |
| CURRENCY CONTRACTS—Net                                             |       | (3.61                        | ) | (14,655,747 | ) |
|                                                                    |       |                         |   |   |   |
| TOTAL                                                                   |       | (0.78                        | )% | $ | (3,170,318 | ) |
|                                                                         |            |                              |  |  |  |  |  |  |

 

(Continued)

 

5

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**GLOBALMACRO TRUST**
| ** **

**CONDENSED SCHEDULE OF INVESTMENTS  AT DECEMBER 31, 2006** |       |                                                                     |
|-------------------------------------------------------------------------|------------|--------------------------------------------------------------------------|
| ** **                                                              | ** ** | ** **                                                               | ** ** | ** ** | ** ** | ** ** | ** ** |
| **U.S. TREASURY NOTES**                                                 | ** ** |
| ** **                                                              | ** ** | ** **                                                               | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** **

** **

**Face  Amount**                                | ** ** | **Description**                                                          | ** ** | **Value as a %  of Trust  Capital** | ** ** | **Value** | ** ** |
|                                                                    |       |                                                                     |   |   |   |   |   |
| $76,370,000                                                             |       | U.S. Treasury notes, 1.625%, 02/28/06                |   | 18.74 | % | $   76,083,613 |   |
| 113,600,000                                                             |       | U.S. Treasury notes,  2.500%, 05/31/06                                   |   | 27.78 |   | 112,748,000 |   |
| 68,020,000                                                              |       | U.S. Treasury notes,  2.375%, 08/15/06                                   |   | 16.55 |   | 67,169,750 |   |
| 130,290,000                                                             |       | U.S. Treasury notes,  2.875%, 11/30/06                                   |   | 31.65 |   | 128,457,796 |   |
|                                                                    |       |                                                                     |   |   |   |   |   |
|                                                                    |       | Total investments in  U.S. Treasury notes  (amortized cost $385,185,175) |   |   |   |   |   |
|                                                                    |       |                                                                     |   | 94.72 | % | $ 384,459,159 |   |
|                                                                         |            |                                                                          |  |  |  |  |  |  |  |  |  |  |  |  |

 

 

(Concluded)

See notes to financialstatements.

6

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**GLOBAL MACRO TRUST**

 

**STATEMENTSOF OPERATIONS**

**YEARSENDED DECEMBER 31, 2006, 2005 AND 2004**

 
| ** **                                             | ** ** | **2006**                                                                       | ** ** | **2005**                                                                       | ** ** | **2004**                                                                  | ** ** |
|--------------------------------------------------------|------------|--------------------------------------------------------------------------------|------------|--------------------------------------------------------------------------------|------------|---------------------------------------------------------------------------|------------|
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| INVESTMENT  INCOME:                                    |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Interest income                                        |       | $   20,667,947                                                  |       | $   11,150,930                                                  |       | $     4,131,334                                  |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| EXPENSES:                                              |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Brokerage fees                                         |       | 30,857,253                                                                     |       | 26,641,625                                                                     |       | 22,046,061                                                                |       |
| Administrative expenses                                |       | 1,592,624                                                                      |       | 1,417,680                                                                      |       | 1,565,227                                                                 |       |
| Custody fees                                           |       | 71,580                                                                         |       | 59,425                                                                         |       | 50,048                                                                    |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Total expenses                                         |       | 32,521,457                                                                     |       | 28,118,730                                                                     |       | 23,661,336                                                                |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| NET INVESTMENT  LOSS                                   |       | (11,853,510                                                                    | )          | (16,967,800                                                                    | )          | (19,530,002                                                               | )          |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| NET REALIZED AND  UNREALIZED GAINS (LOSSES):           |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Net realized gains (losses) on closed positions:       |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Futures and forward currency contracts                 |       | 8,046,715                                                                      |       | 40,585,526                                                                     |       | 6,905,418                                                                 |       |
| Foreign exchange translation                           |       | (452,824                                                                       | )          | (443,885                                                                       | )          | 439,783                                                                   |       |
| Net change in unrealized  appreciation/(depreciation): |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Futures and forward currency contracts                 |       | 32,477,829                                                                     |       | (12,146,560                                                                    | )          | (1,362,103                                                                | )          |
| Foreign exchange translation                           |       | 93,915                                                                         |       | (164,600                                                                       | )          | 89,796                                                                    |       |
| Net gains (losses) from U.S. Treasury notes:           |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Net change in unrealized appreciation/(depreciation)   |       | 583,385                                                                        |       | (335,075                                                                       | )          | (424,161                                                                  | )          |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| Total net realized and unrealized gains                |       | 40,749,020                                                                     |       | 27,495,406                                                                     |       | 5,648,733                                                                 |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| NET INCOME  (LOSS)                                     |       | 28,895,510                                                                     |       | 10,527,606                                                                     |       | (13,881,269                                                               | )          |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| LESS PROFIT  SHARE TO MANAGING                         |       |                                                                           |       |                                                                           |       |                                                                      |       |
| OWNER                                                  |       | 114,672                                                                        |       | —                                                                         |       | —                                                                    |       |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| NET INCOME  (LOSS) AFTER PROFIT                        |       |                                                                           |       |                                                                           |       |                                                                      |       |
| SHARE TO MANAGING OWNER                                |       | $   28,780,838                                                  |       | $   10,527,606                                                  |       | $  (13,881,269                                                  | )          |
|                                                   |       |                                                                           |       |                                                                           |       |                                                                      |       |
| NET INCOME  (LOSS) AFTER PROFIT SHARE TO               |       |                                                                           |       |                                                                           |       |                                                                      |       |
| MANAGING OWNER  PER UNIT OUTSTANDING                   |       | $            62.02 |       | $            23.23 |       | $           (53.71 | )          |

 

See notes to financialstatements.

7

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**GLOBAL MACRO TRUST**
| ** **

**STATEMENTS OF CHANGES IN TRUST  CAPITAL  YEARS ENDED DECEMBER 31, 2006, 2005 AND 2004** |       |
|-------------------------------------------------------------------------------------------------------|------------|
| ** **                                                                                            | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** **                                                                                            | ** ** | ** ** | ** ** | ** ** | ** ** | **New Profit** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| ** **                                                                                            | ** ** | **Unitholders** | ** ** | **Memo Account** | ** ** | **Managing Owner** | ** ** | **Total** | ** ** |
| ** **                                                                                            | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—  January 1, 2004                                                                  |       | $ | 226,192,543 |   | 224,273.549 |   | $ | 6,029 |   | 5.978 |   | $ | 2,741,404 |   | 2,718.160 |   | $ | 228,939,976 |   | 226,997.687 |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                                                                         |       | 220,756,673 |   | 231,901.490 |   | — |   | — |   | 1,186,000 |   | 1,249.523 |   | 221,942,673 |   | 233,151.013 |   |
| Redemptions                                                                                           |       | (39,915,228 | ) | (45,296.507 | ) | — |   | — |   | — |   | — |   | (39,915,228 | ) | (45,296.507 | ) |
| Additional  units allocated*                                                                          |       | — |   | 766.459 |   | — |   | 0.409 |   | — |   | 243.712 |   | — |   | 1,010.580 |   |
| Net  income (loss) after profit share to Managing Owner                                               |       | (13,975,213 | ) | — |   | 70 |   | — |   | 93,874 |   | — |   | (13,881,269 | ) | — |   |
| Managing  Owner’s profit share                                                                   |       | — |   | — |   | — |   | — |   | — |   | — |   | — |   | — |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December  31, 2004                                                                 |       | 393,058,775 |   | 411,644.991 |   | 6,099 |   | 6.387 |   | 4,021,278 |   | 4,211.395 |   | 397,086,152 |   | 415,862.773 |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                                                                         |       | 78,386,572 |   | 85,872.861 |   | — |   | — |   | 216,000 |   | 232.975 |   | 78,602,572 |   | 86,105.836 |   |
| Redemptions                                                                                           |       | (80,306,127 | ) | (88,154.628 | ) | — |   | — |   | (6,681 | ) | (6.830 | ) | (80,312,808 | ) | (88,161.458 | ) |
| Additional  units allocated*                                                                          |       | — |   | 884.148 |   | — |   | 0.443 |   | — |   | 306.583 |   | — |   | 1,191.174 |   |
| Net  income after profit share to Managing Owner                                                      |       | 10,117,439 |   | — |   | 582 |   | — |   | 409,585 |   | — |   | 10,527,606 |   | — |   |
| Managing  Owner’s profit share                                                                   |       | — |   | — |   | — |   | — |   | — |   | — |   | — |   | — |   |
| Transfer  of New Profit Memo Account to Managing Owner                                                |       | — |   | — |   | (6,681 | ) | (6.830 | ) | 6,681 |   | 6.830 |   | — |   | — |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—  December 31, 2005                                                                |       | 401,256,659 |   | 410,247.372 |   | — |   | — |   | 4,646,863 |   | 4,750.953 |   | 405,903,522 |   | 414,998.325 |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                                                                         |       | 131,274,998 |   | 130,701.263 |   | — |   | — |   | 58,500 |   | 58.612 |   | 131,333,498 |   | 130,759.875 |   |
| Redemptions                                                                                           |       | (80,135,755 | ) | (79,882.137 | ) | — |   | — |   | (173,416 | ) | (171.301 | ) | (80,309,171 | ) | (80,053.438 | ) |
| Additional  units allocated*                                                                          |       | — |   | 938.331 |   | — |   | 4.657 |   | — |   | 335.760 |   | — |   | 1,278.748 |   |
| Net  income after profit share to Managing Owner                                                      |       | 28,137,068 |   | — |   | 2,185 |   | — |   | 641,585 |   | — |   | 28,780,838 |   | — |   |
| Managing  Owner’s profit share                                                                   |       | — |   | — |   | 114,672 |   | 107.694 |   | — |   | — |   | 114,672 |   | 107.694 |   |
| Transfer  of New Profit Memo Account to Managing Owner                                                |       | — |   | — |   | (116,857 | ) | (112.351 | ) | 116,857 |   | 112.351 |   | — |   | — |   |
|                                                                                                  |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2006                                                                  |       | $ | 480,532,970 |   | 462,004.829 |   | $ | — |   | — |   | $ | 5,290,389 |   | 5,086.375 |   | $ | 485,823,359 |   | 467,091.204 |   |

 

* Additional units areissued to Unitholders who are charged less than a 7.0% brokerage fee.

See notes to financialstatements.

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**GLOBAL MACRO TRUST**

** **

**STATEMENTSOF FINANCIAL HIGHLIGHTS**

**YEARSENDED DECEMBER 31, 2006, 2005 AND 2004**

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| ** **                                                                              | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** |
|-----------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| PER UNIT OPERATING  PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):           |       |     |       |     |       |     |       |
| Net income  (loss) from operations:                                                     |       |     |       |     |       |     |       |
| Net investment  loss                                                                    |       | $        | (26.74     | )(a)     | $          | (39.86   | )(a)       | $ | (54.92 | )(a) |
| Net realized and  unrealized gains on trading of futures and forward currency contracts |       | 87.73    |       | 63.87    |       | 2.39     |       |
| Net gains  (losses) from U.S. Treasury notes                                            |       | 1.28     | (a)        | (0.78    | )(a)       | (1.18    | )(a)       |
|                                                                                    |       |     |       |     |       |     |       |
| Net income  (loss) from operations                                                      |       | 62.27    |       | 23.23    |       | (53.71   | )          |
|                                                                                    |       |     |       |     |       |     |       |
| Less profit share  allocated to Managing Owner                                          |       | 0.25     |       | —   |       | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| Net income  (loss) after profit share allocation                                        |       | 62.02    |       | 23.23    |       | (53.71   | )          |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET  VALUE—Beginning of year                                                 |       | 978.08   |       | 954.85   |       | 1,008.56 |       |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET VALUE—End of  year                                                       |       | $        | 1,040.10   |     | $          | 978.08   |       | $ | 954.85 |   |
|                                                                                    |       |     |       |     |       |     |       |
| RETURNS:                                                                                |       |     |       |     |       |     |       |
| Total return  before profit share allocation                                            |       | 6.37     | %          | 2.43     | %          | (5.33    | )%         |
| Profit share  allocation                                                                |       | (0.03    | )          | —   |       | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| TOTAL RETURN AFTER  PROFIT SHARE ALLOCATION                                             |       | 6.34     |       | 2.43     |       | (5.33    | )          |
|                                                                                    |       |     |       |     |       |     |       |
| RATIOS TO AVERAGE TRUST  CAPITAL:                                                       |       |     |       |     |       |     |       |
| Net investment  loss                                                                    |       | (2.67    | )          | (4.38    | )          | (6.05    | )          |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses                                                                          |       | 7.19     |       | 7.21     |       | 7.32     |       |
|                                                                                    |       |     |       |     |       |     |       |
| Profit share  allocation                                                                |       | 0.03     |       | —   |       | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses and  profit share allocation                                             |       | 7.22     | %          | 7.21     | %          | 7.32     | %          |

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(a) Calculated based on weighted average number ofunits during the year.

See notes to financial statements.

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**GLOBAL MACRO TRUST**

**NOTESTO FINANCIAL STATEMENTS**

**YEARS ENDED DECEMBER 31, 2006, 2005 AND 2004**

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**1.**                      ORGANIZATION

Global Macro Trust (the “Trust”) was organized on July 23, 2001under the Delaware Statutory Trust Act. At such time, original capital of $400by the Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by theInitial Unitholder, an affiliated entity, was contributed to the Trust. TheTrust commenced trading operations on July 1, 2002. The Trust engages inthe speculative trading of futures and forward currency contracts. Theinstruments that are traded by the Trust are volatile and involve a high degreeof market risk.

The Managing Owner manages the business of the Trust and makes alltrading decisions.

The Managing Owner has agreed to make additional capital contributions,subject to certain possible exceptions, in order to maintain its capitalaccount at not less than 1% of the total outstanding capital contributions inthe Trust (including the Managing Owner’s contributions) but in no event shallthe Managing Owner invest less than $500,000 of the total capital contributionsin the Trust. The Managing Owner and the holders (the “Unitholders”) of theUnits of Beneficial Interest (“Units”) issued by the Trust will share in anyprofits and losses of the Trust in proportion to the percentage interest ownedby each, before brokerage commissions and profit share allocations.

The Trust will dissolve on December 31, 2031 or at an earlier dateif certain conditions occur set forth in the Third Amended and RestatedDeclaration of Trust and the Trust Agreement (the “Agreement”).

**2.**                      SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

***Investments***—The Trustrecords its transactions in futures and forward currency contracts, includingrelated income and expenses, on a trade date basis.

Open futures contracts are valued at market value and open forwardcurrency contracts are valued at fair value which is based on pricing modelsthat consider the time value of money and the current market and contractualprices of the underlying financial instruments. Realized gains (losses) andchanges in unrealized appreciation (depreciation) on futures and forwardcurrency contracts are recognized in the periods in which the contracts areclosed or the changes occur, and are included in net realized and unrealizedgains (losses) in the statements of operations.

Investments in U.S. Treasury notes are valued at the market value basedon bid quotations reported daily in The Wall Street Journal. The Trustamortizes premiums and accretes discounts on U.S. Treasury notes using theeffective interest method. Such securities are normally on deposit withfinancial institutions as collateral for performance of the Trust’s tradingobligations with respect to derivative contracts or are held for safekeeping ina custody account.

***Fair Value of FinancialInstruments***—The fair value of the Trust’s assets andliabilities, which qualify as financial instruments under Statement ofFinancial Accounting Standards No. 107, *Disclosures about FairValue of Financial Instruments,* approximates the carrying amountspresented in the statements of financial condition.

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***Foreign Currency Translation***—Assets andliabilities denominated in foreign currencies are translated to U.S. Dollars atquoted prices of such currencies. Purchases and sales of investments aretranslated to U.S. Dollars at the exchange rate prevailing when suchtransactions occurred.

***Income Taxes***—Income taxeshave not been provided, as each Unitholder is individually liable for thetaxes, if any, on his/her share of the Trust’s income and expenses.

***Estimates***—Thepreparation of financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires management to makeestimates and assumptions that affect the amounts and disclosures reported inthe financial statements. Actual results could differ from these estimates.

***Right of Offset***—The customeragreements between the Trust and each of its brokers give the Trust the legalright to net unrealized gains and losses. Unrealized gains and losses relatedto offsetting transactions with these brokers are reflected on a net basis inthe equity in trading accounts in the statements of financial condition.

***Recently Issued Pronouncements—***In July 2006, the Financial Accounting Standards Board(FASB) issued Interpretation No. 48 (FIN 48) entitled “Accounting ForUncertainty in Income Taxes — an interpretation of FASB Statement No. 109.”  FIN 48 prescribes the minimum recognitionthreshold a tax position must meet in connection with accounting foruncertainties in income tax positions taken or expected to be taken by anentity before being measured and recognized in the financial statements.Adoption of FIN 48 is required for fiscal years beginning after December 15,2006.  The implementation of FIN 48 isnot expected to have a material impact on the Trust’s financial statements.

In September 2006, the FASB issued Statement of Financial AccountingStandards No. 157, “Fair Value Measurements” (FAS 157).  FAS 157 defines fair value, establishes aframework for measuring fair value in accounting principles generally acceptedin the United States of America, and expands disclosures about fair valuemeasurements.  While FAS 157 does notrequire any new fair value measurements, for some entities, the application ofFAS 157 may change current practice. FAS 157 is effective for financialstatements issued for fiscal years beginning after November 15, 2007, andinterim periods within those fiscal years. The implementation of FAS 157 is not expected to have a material impact onthe Trust’s financial statements.

**3.**                      TRUST AGREEMENT

The Trust pays brokerage fees to the Managing Owner at the annual rateup to 7.0% of the Trust’s average month-end Net Assets of Unitholders’interests (prior to reduction for accrued brokerage commissions or ProfitShare). Unitholders who make net capital investments in the Trust of $100,000or more or who invest through asset-based fee or fixed fee investment programsare charged less than the annual brokerage rate of 7.0% as follows:
| Net Capital Investments             | ** ** | **Brokerage Fee** | ** ** |
|-----------------------------------------------|------------|------------------------|------------|
| $100,000 to  $499,999                         |       | 6.50                   | %          |
| $500,000 to  $999,999                         |       | 6.00                   |       |
| Greater than  $1,000,000                      |       | 5.50                   |       |
| Asset-based or fixed  fee investment programs |       | 4.00                   |       |

 

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Brokerage fees will be charged to capital accounts of the ManagingOwner, its principals, their respective affiliates or the New Profit MemoAccount only to the extent of charges paid to third party executing andclearing brokers. In order to maintain a uniform Net Asset Value per Unit,additional Units are issued to Unitholders who are charged less than a 7.0%brokerage fee.

The Managing Owner, not the Trust, will pay all routine costs ofexecuting and clearing the Trust’s futures trades, including brokeragecommissions payable to the clearing brokers. The Managing Owner also pays, fromits own funds, selling commissions on all sales of Units.

The Agreement provides that the Managing Owner’s profit share, equal to20% of New Trading Profits (as defined in the Agreement) in excess of thehighest cumulative level of Trading Profit as of any previous calendaryear-end, is charged to the Unitholders’ capital accounts. However, forUnitholders’ redemptions during the year, the profit share calculation shall becomputed as though the redemption occurred at year-end. Any profit sharecharged is added to the Managing Owner’s capital account to the extent that nettaxable capital gains are allocated to the Managing Owner. The remainder ofsuch profit share, if any, is added to the New Profit Memo Account. TheManaging Owner may not make any withdrawal from the balance in the New ProfitMemo Account. If, at the end of a subsequent year, net taxable gains areallocated to the Managing Owner in excess of such year’s profit share, acorresponding amount is transferred from the New Profit Memo Account to theManaging Owner’s capital account.

The Trust will pay its legal, accounting, auditing, printing, postageand similar administrative expenses (including Trustees’ fees, accountingservices fees and the expenses of updating the Prospectus), as well asextraordinary costs. At December 31, 2006 and 2005, the Managing Owner wasowed $108,586 and $88,928, respectively, from the Trust in connection with suchexpenses it has paid on the Trust’s behalf. Such amounts are included in “Dueto Managing Owner” in the statements of financial condition. The ManagingOwner, at its discretion, may reimburse certain expenses paid by the Trust.

Units may be redeemed, at the option of any Unitholder, at Net AssetValue (as defined in the Agreement) as of the close of business on the lastbusiness day of any calendar month on ten business days’ written notice to theManaging Owner. Unitholders who redeem Units at or prior to the end of thefirst consecutive six-month and five-month periods after such Units are soldshall be assessed redemption charges calculated based on their redeemed Units’Net Asset Value as of the date of redemption as follows:
|                         | ** ** | **Redemption Charge**   | ** ** |
|-------------------------|------------|------------------------------|------------|
| **Subscriptions**       | ** ** | **First 6 months** | ** ** | **Second 5 months** | ** ** |
| Less than  $100,000     |       | 4.0                          | %          | 3.0 | % |
| $100,000 to  $499,999   |       | 3.5                          |       | 2.5 |   |
| $500,000 to  $999,999   |       | 3.0                          |       | 2.0 |   |
| Greater than $1,000,000 |       | 2.5                          |       | 1.5 |   |

 

All redemption charges will be paid to the Managing Owner. AtDecember 31, 2006 and 2005, $77,915 and $2,960, respectively, of redemption charges were owed to theManaging Owner. Such amounts are included in “Due to Managing Owner” in thestatements of financial condition. The aggregate amount of redemption chargespaid to the Managing Owner for the years ended December 31, 2006, 2005 and2004 were $38,627, $75,229 and $211,547, respectively.

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**4.**                      DUE FROM/TO BROKERS

At December 31, 2006 and 2005, due from brokers and due to brokersbalances in the statements of financial condition include cash receivable frombrokers and cash payable to brokers, respectively.

**5.**                      TRADING ACTIVITIES

The Trust conducts its trading activities with various brokers actingeither as a broker or counterparty to various transactions. AtDecember 31, 2006 and 2005, cash and Treasury notes aggregating$152,737,306 and $164,488,407, respectively, included in the Trust’s equity intrading accounts, were held by such brokers in segregated accounts ascollateral as required by U.S. Commodity Futures Trading Commission’sregulations or by the counterparty bank or broker. Such collateral can be soldor repledged by the counterparties, at their discretion.

The Trust enters into contracts with variousfinancial institutions that contain a variety of indemnifications. The Trust’smaximum exposure under these arrangements is unknown. However, the Trust hasnot had prior claims or losses pursuant to these contracts and expects the riskof loss to be remote.

**6.**                      DERIVATIVE INSTRUMENTS

The Trust is party to derivative financial instruments in the normalcourse of its business. These financial instruments include futures and forwardcurrency contracts which may be traded on an exchange (“exchange-tradedcontracts”) or over-the-counter (“OTC contracts”).

The Trust records its derivative activities on a mark-to-market basisas described in Note 2. For OTC contracts, the Trust enters into masternetting agreements with its counterparties. Therefore, assets represent theTrust’s unrealized gains, less unrealized losses for OTC contracts in which theTrust has a master netting agreement. Similarly, liabilities represent netamounts owed to counterparties on OTC contracts.

Futures contracts are agreements to buy or sell an underlying asset orindex for a set price in the future. Initial margin deposits are made uponentering into futures contracts and can be either in cash or treasurysecurities. Open futures contracts are revalued on a daily basis to reflect themarket value of the contracts at the end of each trading day. Variation marginpayments are received or made, depending upon whether unrealized gains orlosses are incurred. When a contract is closed, the Trust records a realizedgain or loss equal to the difference between the value of the contract at thetime it was opened and the time it was closed. The Trust bears the market riskthat arises from changes in the value of these financial instruments.

Forward currency contracts entered into by the Trust represent a firmcommitment to buy or sell an underlying currency at a specified value and pointin time based upon an agreed or contracted quantity. The ultimate gain or lossis equal to the difference between the value of the contract at the onset andthe value of the contract at settlement date.

Each of these financial instruments is subject to various risks similarto those related to the underlying financial instruments, including marketrisk, credit risk and sovereign risk.

13

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Market risk is the potential change in the value of the instrumentstraded by the Trust due to market changes, including interest and foreignexchange rate movements and fluctuations in futures or security prices. Marketrisk is directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded. The financial instrumentstraded by the Trust contain varying degrees of off-balance sheet risk wherebychanges in the market values of the futures and forward currency contracts andthe Trust’s satisfaction of its obligations related to such market valuechanges may exceed the amount recognized in the statements of financialcondition.

Credit risk is the possibility that a loss may occur due to the failureof a counterparty to perform according to the terms of a contract. Credit riskis normally reduced to the extent that an exchange or clearing organizationacts as a counterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the financialintegrity of the exchange. In the case of OTC transactions, the Trust must relysolely on the credit of the individual counterparties. The contract amounts ofthe forward and futures contracts do not represent the Trust’s risk of loss dueto counterparty nonperformance. The Trust’s exposure to credit risk associatedwith counterparty nonperformance of these contracts includes unrealized gainsinherent in such contracts, which are recognized in the statements of financialcondition, plus the value of margin or collateral held by the counterparty. Theamount of such credit risk was $87,718,461 and $103,805,738 atDecember 31, 2006 and 2005, respectively.

The Managing Owner has established procedures to actively monitormarket risk and minimize credit risk, although there can be no assurance thatit will, in fact succeed in doing so. The Managing Owner’s market risk controlprocedures includes diversification of the Trust’s portfolio and continuouslymonitoring the portfolio’s open positions, historical volatility and maximumhistorical loss. The Managing Owner seeks to minimize credit risk primarily bydepositing and maintaining the Trust’s assets at financial institutions andbrokers which the Managing Owner believes to be creditworthy. The Trust’strading activities are primarily with brokers and other financial institutionslocated in North America, Europe and Asia. All futures transactions of theTrust are cleared by major securities firms pursuant to customer agreements.For all forward currency transactions, the Trust utilizes a single clearingbroker which is a major financial institution.

The Trust is subject to sovereign risk such as the risk of restrictionsbeing imposed by foreign governments on the repatriation of cash and the effectof political or economic uncertainties. Net unrealized appreciation(depreciation) on futures and forward currency contracts are denominated in thefunctional currency (U.S. Dollar). Cash settlement of futures and forwardcurrency contracts is made in the local currency (settlement currency) and thentranslated to U.S. Dollars.

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At December 31, 2006 and 2005, net unrealized appreciation(depreciation) on futures and forward currency contracts by settlement currencytype, denominated in U.S. Dollars, is detailed below:
| ** **             | ** ** | **December 31,** | ** ** |
|------------------------|------------|-----------------------|------------|
| ** **             | ** ** | **2006**              | ** ** | **2005** | ** ** |
| ** **             | ** ** | **Total Net**    | ** ** | ** ** | ** ** | **Total Net** | ** ** | ** ** | ** ** |
| ** **             | ** ** | **Unrealized**        | ** ** | ** ** | ** ** | **Unrealized** | ** ** | ** ** | ** ** |
| ** **             | ** ** | **Appreciation**      | ** ** | **Percent of** | ** ** | **Appreciation** | ** ** | **Percent of** | ** ** |
| **Currency Type** | ** ** | **(Depreciation)**    | ** ** | **Total** | ** ** | **(Depreciation)** | ** ** | **Total** | ** ** |
|                   |       |                  |       |   |   |   |   |   |   |
| Australian  dollar     |       | $                     | 1,310,972  |   | 4.47 | % | $ | 1,016,357 |   | (32.06 | )% |
| British pound          |       | 2,151,717             |       | 7.34 |   | (13,252 | ) | 0.42 |   |
| Canadian dollar        |       | (2,245,903            | )          | (7.66 | ) | 795,644 |   | (25.10 | ) |
| Euro                   |       | 6,505,443             |       | 22.20 |   | 3,303,832 |   | (104.21 | ) |
| Hong Kong dollar       |       | 1,778,527             |       | 6.07 |   | (568,315 | ) | 17.93 |   |
| Hungarian forint       |       | 972,771               |       | 3.32 |   | — |   | — |   |
| Japanese yen           |       | 7,027,020             |       | 23.98 |   | (6,361,846 | ) | 200.67 |   |
| New Zealand  dollar    |       | 301,546               |       | 1.03 |   | — |   | — |   |
| Norwegian krone        |       | —                |       | — |   | (468,832 | ) | 14.79 |   |
| Polish zloty           |       | —                |       | — |   | 298,554 |   | (9.42 | ) |
| South African  rand    |       | 577,939               |       | 1.97 |   | 615,812 |   | (19.42 | ) |
| Swedish krone          |       | 168,732               |       | 0.58 |   | (2,926 | ) | 0.09 |   |
| Swiss franc            |       | 2,887,470             |       | 9.85 |   | — |   | — |   |
| Turkish lira           |       | (405,755              | )          | (1.38 | ) | — |   | — |   |
| U.S. dollar            |       | 8,277,032             |       | 28.23 |   | (1,785,346 | ) | 56.31 |   |
| Total                  |       | $                     | 29,307,511 |   | 100.00 | % | $ | (3,170,318 | ) | 100.00 | % |

 

**7.**                      FINANCIAL HIGHLIGHTS

Per Unit operating performance is calculated based on Unitholders’trust capital taken as a whole. An individual Unitholder’s per Unit operatingperformance may vary from these per Unit values based on the timing of capitaltransactions and differences in individual Unitholder’s brokerage fee andprofit share allocation arrangements.

The ratios are calculated based on Unitholders’ trust capital taken asa whole. The computation of such ratios based on the amount of net investmentincome (loss), total expenses and profit share allocation to an individualUnitholder’s trust capital balance may vary from these ratios based on thetiming of capital transactions and differences in individual Unitholder’sbrokerage fee and profit share allocation arrangements.

Returns are calculated for Unitholders taken as a whole. An individualUnitholder’s returns may vary from these returns based on the timing of capitaltransactions and differences in individual Unitholder’s brokerage fee andprofit share allocation arrangements.

******

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