**Exhibit13.01**

 

FINANCIAL STATEMENTS

 

Global Macro Trust

 

Year endedDecember 31, 2003 andperiod from July 1, 2002 (commencement of operations) to December 31,2002with Report of Independent Auditors

 

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Global Macro Trust

 

FinancialStatements

 

Year endedDecember 31, 2003 andPeriod from July 1, 2002 (commencement of operations) to December 31,2002

 

**Contents**

 
| Affirmation  of Millburn Ridgefield Corporation                                                                                                                                       |   |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                  |   |
| Report of Independent  Auditors                                                                                                                                                       |   |
|                                                                                                                                                                                  |   |
| Financial Statements                                                                                                                                                                  |   |
|                                                                                                                                                                                  |   |
| Statements of  Financial Condition at December 31, 2003 and 2002                                                                                                                 |   |
| Condensed Schedules  of Investments at December 31, 2003 and 2002                                                                                                                |   |
| Statements  of Operations for the Year ended December 31, 2003 and for the  Period from July 1, 2002 (commencement of operations) to  December 31, 2002                |   |
| Statements of  Changes in Trust Capital for the Year ended December 31, 2003 and for  the  Period from July 1, 2002 (commencement of operations) to  December 31, 2002 |   |
| Statements of  Financial Highlights for the Year ended December 31, 2003 and for the  Period from July 1, 2002 (commencement of operations) to  December 31, 2002      |   |
| Notes to Financial  Statements                                                                                                                                                        |   |

 

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Global Macro Trust

 

Affirmation of Millburn Ridgefield 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, 2003 and 2002,including the condensed schedules of investments, and the related statements ofoperations, changes in trust capital and financial highlights for the yearended December 31, 2003 and for the period from July 1, 2002(commencement of operations) to December 31, 2002 are complete andaccurate.

 

 

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

 

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Report of Independent Auditors

 

To theUnitholders ofGlobal Macro Trust

 

We have audited theaccompanying statements of financial condition of Global Macro Trust (the“Trust”), as of December 31, 2003 and 2002, including the condensedschedules of investments, and the related statements of operations, changes intrust capital and financial highlights for the year ended December 31,2003 and for the period from July 1, 2002 (commencement of operations) toDecember 31, 2002. These financial statements and financial highlights arethe responsibility of the Managing Owner. Our responsibility is to express anopinion on these financial statements and financial highlights based on ouraudits.

 

We conducted our auditsin accordance with auditing standards generally accepted in the 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. An audit includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements andfinancial highlights. An audit also includes assessing the accountingprinciples used and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believe that ouraudits provide a reasonable basis for 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 atDecember 31, 2003 and 2002, and the results of its operations, changes intrust capital and the financial highlights for the year ended December 31,2003 and for the period from July 1, 2002 to December 31, 2002, inconformity with accounting principles generally accepted in the United States.

 

Ernst & Young LLP

New York, New York

 

February 17, 2004

 

F-1

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Global Macro Trust

 

Statements of FinancialCondition

 
|                                                                                                          |   | **December 31,** |            |
|---------------------------------------------------------------------------------------------------------------|--------|-----------------------|-----------------|
|                                                                                                          |   | **2003**              |            | **2002** |   |
| **Assets**                                                                                                    |   |                  | ** **      |   |   |
| Equity  in trading accounts:                                                                                  |   |                  | ** **      |   |   |
| Investments  in U.S. Treasury notes—at market value (amortized cost $71,655,967 and  $6,559,838)         |   | **$**                 | **71,665,738**  | ** ** | $ | 6,563,623 |   |
| Net  unrealized appreciation on open futures and forward currency contracts                                   |   | **10,338,345**        | ** **      | 1,456,794 |   |
| Due  from brokers                                                                                             |   | **1,567,007**         | ** **      | 103,163 |   |
| Cash  denominated in foreign currencies (cost $1,222,354 and $15,089)                                         |   | **1,206,430**         | ** **      | 14,578 |   |
| Total  equity in trading accounts                                                                             |   | **84,777,520**        | ** **      | 8,138,158 |   |
|                                                                                                          |   |                  |            |   |   |
| Investments  in U.S. Treasury notes—at market value   (amortized cost $131,251,914 and $14,734,405) |   | **$**                 | **131,275,363** | ** ** | $ | 14,742,908 |   |
| Cash  and cash equivalents                                                                                    |   | **30,078,366**        | ** **      | 4,302,660 |   |
| Accrued  interest receivable                                                                                  |   | **2,076,817**         | ** **      | 272,157 |   |
| Due  from Managing Owner                                                                                      |   | **—**            | ** **      | 5,037 |   |
| Total  assets                                                                                                 |   | **$**                 | **248,208,066** | ** ** | $ | 27,460,920 |   |
|                                                                                                          |   |                  | ** **      |   |   |
| **Liabilities and Trust Capital**                                                                             |   |                  | ** **      |   |   |
| **Liabilities**                                                                                               |   |                  | ** **      |   |   |
| Due  to brokers                                                                                               |   | **$**                 | **—**      | ** ** | $ | 98,042 |   |
| Subscriptions  from Unitholders received in advance                                                           |   | **17,044,763**        | ** **      | 2,177,000 |   |
| Due  to Managing Owner                                                                                        |   | **22,189**            | ** **      | — |   |
| Accrued  brokerage commissions                                                                                |   | **1,200,189**         | ** **      | 118,363 |   |
| Redemptions  payable to Unitholders                                                                           |   | **1,000,949**         | ** **      | 31,392 |   |
| Total  liabilities                                                                                            |   | **19,268,090**        | ** **      | 2,424,797 |   |
|                                                                                                          |   |                  | ** **      |   |   |
| **Trust Capital**                                                                                             |   |                  | ** **      |   |   |
| Managing  Owner interest (2,724.138 and 2,156.443 units outstanding)                                          |   | **$**                 | **2,747,433**   | ** ** | $ | 2,221,645 |   |
| Unitholders  (224,273.549 and 22,144.905 units outstanding)                                                   |   | **226,192,543**       | ** **      | 22,814,478 |   |
| Total  trust capital                                                                                          |   | **228,939,976**       | ** **      | 25,036,123 |   |
| Total  liabilities and trust capital                                                                          |   | **$**                 | **248,208,066** | ** ** | $ | 27,460,920 |   |
|                                                                                                          |   |                  | ** **      |   |   |
| Net  asset value per unit outstanding                                                                         |   | **$**                 | **1,008.56**    | ** ** | $ | 1,030.24 |   |

 

*See accompanying notes.*

 

F-2

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Global Macro Trust

 

CondensedSchedule of Investments

 

December 31,2003

 
| **Futures and Forward Currency  Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a % of  Trust Capital** |   | **Net  Unrealized  Appreciation/  (Depreciation)** |       |
|------------------------------------------------------------------|--------|------------------------------------------------------------------------------|--------|----------------------------------------------------|------------|
|                                                             |   |                                                                         |   |                                               |       |
| **Long  Futures Contracts**                                      |   |                                                                         |   |                                               |       |
| Energies                                                         |   | (0.75                                                                        | )%     | $                                                  | (1,722,556 | ) |
| Interest  rates                                                  |   | 0.04                                                                         | %      | 100,472                                            |       |
| Metals                                                           |   | 0.94                                                                         | %      | 2,156,857                                          |       |
| Softs                                                            |   | (0.05                                                                        | )%     | (121,385                                           | )          |
| Stock  indices                                                   |   | 0.48                                                                         | %      | 1,107,995                                          |       |
| Total  long futures contracts                                    |   | 0.66                                                                         | %      | 1,521,383                                          |       |
|                                                             |   |                                                                         |   |                                               |       |
| **Short  Futures Contracts**                                     |   |                                                                         |   |                                               |       |
| Grains                                                           |   | 0.00                                                                         | %      | (1,725                                             | )          |
| Interest  rates                                                  |   | (0.02                                                                        | )%     | (62,975                                            | )          |
| Total  short futures contracts                                   |   | (0.02                                                                        | )%     | (64,700                                            | )          |
| **Total  investments in Futures Contracts (net)**                |   | 0.64                                                                         | %      | 1,456,683                                          |       |
|                                                             |   |                                                                         |   |                                               |       |
| **Forward  Currency Contracts**                                  |   |                                                                         |   |                                               |       |
| Long  forward currency contracts                                 |   |                                                                         |   |                                               |       |
| Euro/U.S.  Dollars, March 2004                              |   | 3.25                                                                         | %      | 7,439,737                                          |       |
| Other  long forward currency contracts                           |   | 2.35                                                                         | %      | 5,386,670                                          |       |
| Total  long forward currency contracts                           |   | 5.60                                                                         | %      | 12,826,407                                         |       |
|                                                             |   |                                                                         |   |                                               |       |
| Short  forward currency contracts                                |   |                                                                         |   |                                               |       |
| Korean  Won/U.S. Dollars, March 2004                        |   | (1.36                                                                        | )%     | (3,111,002                                         | )          |
| Other  short forward currency contracts                          |   | (0.36                                                                        | )%     | (833,743                                           | )          |
| Total  short forward currency contracts                          |   | (1.72                                                                        | )%     | (3,944,745                                         | )          |
| **Total  investments in Forward Currency Contracts (net)**       |   | 3.88                                                                         | %      | 8,881,662                                          |       |
|                                                             |   |                                                                         |   |                                               |       |
| **Total  investments in Futures and Forward Currency Contracts** |   | 4.52                                                                         | %      | $                                                  | 10,338,345 |   |

 

F-3

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| **Face  Amount** |       | **Description**                                                              |                                     | **Value as a  %  of Trust  Capital** |   | **Value**  |        |
|------------------|------------|------------------------------------------------------------------------------|------------------------------------------|--------------------------------------|--------|------------|-------------|
|             |       |                                                                         |                                     |                                 |   |       |        |
|             |       | **Investments  in U.S. Treasury notes**                                      |                                     |                                 |   |       |        |
| $                | 67,400,000 |                                                                         | U.S. Treasury notes,  4.750%, 02/15/2004 |                                 | 29.57  | %          | $           | 67,694,875 |   |
| 67,400,000       |       | U.S. Treasury notes,  3.375%, 04/30/2004                                     |                                     | 29.67                                | %      | 67,926,563 |        |
| 66,860,000       |       | U.S. Treasury notes,  2.125%, 08/31/2004                                     |                                     | 29.41                                | %      | 67,319,663 |        |
|             |       | **Total  investments in U.S. Treasury notes  (amortized cost $202,907,881)** |                                     | 88.65                                | %      | $          | 202,941,101 |   |
|                  |            |                                                                              |                                          |                                      |        |            |             |  |  |

 

*Seeaccompanying notes.*

 

F-4

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###  

### Global Macro Trust

###  

CondensedSchedule of Investments

 

December 31,2002

 
| **Futures and Forward Currency  Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a % of  Trust Capital** |   | **Net  Unrealized  Appreciation/  (Depreciation)** |      |
|------------------------------------------------------------------|--------|------------------------------------------------------------------------------|--------|----------------------------------------------------|-----------|
|                                                             |   |                                                                         |   |                                               |      |
| **Long  Futures Contracts**                                      |   |                                                                         |   |                                               |      |
| Energies                                                         |   | 0.86                                                                         | %      | $                                                  | 215,684   |   |
| Interest  rates                                                  |   | 3.04                                                                         | %      | 761,553                                            |      |
| Metals                                                           |   | 0.58                                                                         | %      | 145,044                                            |      |
| Softs                                                            |   | 0.01                                                                         | %      | 1,035                                              |      |
| Total  long futures contracts                                    |   | 4.49                                                                         | %      | 1,123,316                                          |      |
|                                                             |   |                                                                         |   |                                               |      |
| **Short  Futures Contracts**                                     |   |                                                                         |   |                                               |      |
| Grains                                                           |   | 0.16                                                                         | %      | 40,213                                             |      |
| Metals                                                           |   | (0.12                                                                        | )%     | (29,044                                            | )         |
| Softs                                                            |   | 0.03                                                                         | %      | 6,712                                              |      |
| Stock  indices                                                   |   | 0.31                                                                         | %      | 78,661                                             |      |
| Total  short futures contracts                                   |   | 0.38                                                                         | %      | 96,542                                             |      |
| **Total  investments in Futures Contracts (net)**                |   | 4.87                                                                         | %      | 1,219,858                                          |      |
|                                                             |   |                                                                         |   |                                               |      |
| **Forward  Currency Contracts**                                  |   |                                                                         |   |                                               |      |
| Long  forward currency contracts                                 |   | 1.42                                                                         | %      | 356,526                                            |      |
| Short  forward currency contracts                                |   | (0.47                                                                        | )%     | (119,590                                           | )         |
| **Total  investments in Forward Currency Contracts (net)**       |   | 0.95                                                                         | %      | 236,936                                            |      |
|                                                             |   |                                                                         |   |                                               |      |
| **Total  investments in Futures and Forward Currency Contracts** |   | 5.82                                                                         | %      | $                                                  | 1,456,794 |   |

 
| **Face  Amount** |      | **Description**                                                            |                                     | **Value as a  %  of Trust  Capital** |   | **Value** |       |
|------------------|-----------|----------------------------------------------------------------------------|------------------------------------------|--------------------------------------|--------|-----------|------------|
|             |      |                                                                       |                                     |                                 |   |      |       |
|             |      | **Investments  in U.S. Treasury notes**                                    |                                     |                                 |   |      |       |
| $                | 7,000,000 |                                                                       | U.S. Treasury notes,  4.625%, 02/28/2003 |                                 | 28.11  | %         | $          | 7,037,187 |   |
| 7,100,000        |      | U.S. Treasury notes,  4.000%, 04/30/2003                                   |                                     | 28.61                                | %      | 7,164,344 |       |
| 7,000,000        |      | U.S. Treasury notes,  3.875%, 07/31/2003                                   |                                     | 28.38                                | %      | 7,105,000 |       |
|             |      | **Total  investments in U.S. Treasury notes (amortized cost $21,294,243)** |                                     | 85.10                                | %      | $         | 21,306,531 |   |
|                  |           |                                                                            |                                          |                                      |        |           |            |  |  |

 

*Seeaccompanying notes.*

 

F-5

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###  

### Global Macro Trust

###  

Statements of Operations

 
|                                                                         |   | **Year ended  December 31,  2003** |        | **Period  from  July 1, 2002* to  December 31,  2002** |       |
|------------------------------------------------------------------------------|--------|-----------------------------------------|-------------|------------------------------------------------------------------|------------|
|                                                                         |   |                                    | ** **  |                                                             | ** ** |
| **Investment income**                                                        |   |                                    | ** **  |                                                             | ** ** |
| Interest  income                                                             |   | $                                       | 1,320,805   |                                                             | $          | 110,054 |   |
|                                                                         |   |                                    |        |                                                             |       |
| **Expenses**                                                                 |   |                                    |        |                                                             |       |
| Brokerage  fees                                                              |   | 8,331,480                               |        | 431,467                                                          |       |
| Administrative  expenses                                                     |   | 693,544                                 |        | 83,736                                                           |       |
| Total  expenses                                                              |   | 9,025,024                               |        | 515,203                                                          |       |
| Administrative  expenses reimbursed by Managing Owner                        |   | —                                  |        | (45,293                                                          | )          |
| Net  expenses                                                                |   | 9,025,024                               |        | 469,910                                                          |       |
|                                                                         |   |                                    |        |                                                             |       |
| Net  investment loss                                                         |   | (7,704,219                              | )           | (359,856                                                         | )          |
|                                                                         |   |                                    |        |                                                             |       |
| **Net  realized and unrealized gains (losses)**                              |   |                                    |        |                                                             |       |
| Net  realized gains (losses) on closed positions:                            |   |                                    |        |                                                             |       |
| Futures  and forward currency contracts                                      |   | (13,268,783                             | )           | (508,799                                                         | )          |
| Foreign  exchange translation                                                |   | 327,078                                 |        | (2,042                                                           | )          |
| Net  change in unrealized appreciation (depreciation):                       |   |                                    |        |                                                             |       |
| Futures  and forward currency contracts                                      |   | 8,881,551                               |        | 1,456,794                                                        |       |
| Foreign  exchange translation                                                |   | (11,405                                 | )           | (4,520                                                           | )          |
| Net  gains from U.S. Treasury notes:                                         |   |                                    |        |                                                             |       |
| Net  change in unrealized appreciation                                       |   | 20,932                                  |        | 12,288                                                           |       |
| Total  net realized and unrealized gains (losses)                            |   | (4,050,627                              | )           | 953,721                                                          |       |
|                                                                         |   |                                    |        |                                                             |       |
| Net  income (loss)                                                           |   | (11,754,846                             | )           | 593,865                                                          |       |
| Less  profit share to Managing Owner                                         |   | 6,465                                   |        | 70,924                                                           |       |
| Net  income (loss) after profit share to Managing Owner                      |   | $                                       | (11,761,311 | )                                                                | $          | 522,941 |   |
|                                                                         |   |                                    |        |                                                             |       |
| Net  income (loss) after profit share to Managing Owner per unit outstanding |   | $                                       | (21.68      | )                                                                | $          | 30.24 |   |

 

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* commencement ofoperations

 

*See accompanying notes.*

 

F-6

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Global Macro Trust

 

### Statements ofChanges in Trust Capital

###  

Year endedDecember 31, 2003 and period from July 1, 2002*to December 31, 2002

 
|                                                    |   | **Unitholders** |        | **New Profit  Memo  Account** |        | **Managing  Owner** |   | **Total** |   |
|---------------------------------------------------------|--------|-----------------|-------------|-------------------------------|-------------|---------------------|--------|-----------|--------|
|                                                    |   | **Amount**      |        | **Units**                     |        | **Amount**          |   | **Units** |   | **Amount** |   | **Units** |   | **Amount** |   | **Units** |   |
|                                                    |   |            |        |                          |        |                |   |      |   |   |   |   |   |   |   |   |   |
| Trust capital at July 1, 2002*                     |   | $               | 1,858       |                          | 1.600       |                | $      | —    |   | — |   | $ | 404 |   | 0.400 |   | $ | 2,262 |   | 2.000 |   |
| Additions                                               |   | 22,561,036      |        | 22,249.312                    |        | —              |   | —    |   | 2,001,600 |   | 2,001.600 |   | 24,562,636 |   | 24,250.912 |   |
| Redemptions                                             |   | (120,962        | )           | (121.797                      | )           | —              |   | —    |   | (1,678 | ) | (1.629 | ) | (122,640 | ) | (123.426 | ) |
| Additional units allocated **                           |   | —          |        | 15.790                        |        | —              |   | 0.002     |   | — |   | 87.244 |   | — |   | 103.036 |   |
| Net income (loss) after profit share to Managing  Owner |   | 372,546         |        | —                        |        | (14                 | )      | —    |   | 150,409 |   | — |   | 522,941 |   | — |   |
| Managing Owner’s allocation—New Profit        |   | —          |        | —                        |        | 314                 |   | 0.289     |   | 70,610 |   | 68.537 |   | 70,924 |   | 68.826 |   |
| Transfer of New Profit Memo Account to Managing  Owner  |   | —          |        | —                        |        | (300                | )      | (0.291    | )      | 300 |   | 0.291 |   | — |   | — |   |
| Trust capital at December 31, 2002                 |   | 22,814,478      |        | 22,144.905                    |        | —              |   | —    |   | 2,221,645 |   | 2,156.443 |   | 25,036,123 |   | 24,301.348 |   |
| Additions                                               |   | 219,974,319     |        | 206,500.699                   |        | —              |   | —    |   | 450,000 |   | 460.310 |   | 220,424,319 |   | 206,961.009 |   |
| Redemptions                                             |   | (4,693,826      | )           | (4,676.011                    | )           | —              |   | —    |   | (71,794 | ) | (68.826 | ) | (4,765,620 | ) | (4,744.837 | ) |
| Additional units allocated **                           |   | —          |        | 303.956                       |        | —              |   | 0.122     |   | — |   | 170.233 |   | — |   | 474.311 |   |
| Net income (loss) after profit share to Managing  Owner |   | (11,902,428     | )           | —                        |        | (436                | )      | —    |   | 141,553 |   | — |   | (11,761,311 | ) | — |   |
| Managing Owner’s allocation—New Profit        |   | —          |        | —                        |        | 6,465               |   | 5.856     |   | — |   | — |   | 6,465 |   | 5.856 |   |
| Trust capital at December 31, 2003                 |   | $               | 226,192,543 |                          | 224,273.549 |                | $      | 6,029     |   | 5.978 |   | $ | 2,741,404 |   | 2,718.160 |   | $ | 228,939,976 |   | 226,997.687 |   |

 

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*                 commencement ofoperations

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

 

*See accompanying notes.*

 

F-7

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Global Macro Trust

 

### Statements ofFinancial Highlights

 
|                                                                                               |   | **Year ended  December 31,  2003** |         | **Period  from  July 1, 2002* to  December 31,  2002** |       |
|----------------------------------------------------------------------------------------------------|--------|-----------------------------------------|--------------|------------------------------------------------------------------|------------|
|                                                                                               |   |                                    | ** **   |                                                             | ** ** |
| **Per  unit operating performance (for a unit of unitholders outstanding throughout  the period)** |   |                                    | ** **   |                                                             | ** ** |
| Net  income from operations:                                                                       |   |                                    | ** **   |                                                             | ** ** |
| Net  investment loss                                                                               |   | **$**                                   | **(65.85**   | **)(a)**                                                         | $          | (28.53 | ) |
| Net  realized and unrealized gains on trading of futures and forward currency  contracts           |   | **44.05**                               | **(b)**      | 63.47                                                            |       |
| Net  gains from U.S. Treasury notes                                                                |   | **0.18**                                | **(a)**      | 0.83                                                             |       |
| Net  income (loss) from operations                                                                 |   | **(21.62**                              | **)**        | 35.77                                                            |       |
| Less  profit share allocated to Managing Owner                                                     |   | **0.06**                                | ** **   | 5.53                                                             |       |
| Net  income (loss) after profit share allocation                                                   |   | **(21.68**                              | **)**        | 30.24                                                            |       |
| Net  asset value, beginning of period                                                              |   | **1,030.24**                            | ** **   | 1,000.00                                                         |       |
| Net  asset value, end of period                                                                    |   | **$**                                   | **1,008.56** | ** **                                                       | $          | 1,030.24 |   |
|                                                                                               |   |                                    | ** **   |                                                             |       |
| **Returns (%)**                                                                                    |   |                                    | ** **   |                                                             |       |
| Total return before profit share allocation                                                        |   | **(2.10**                               | **)**        | 3.57                                                             |       |
| Profit share allocation                                                                            |   | **(0.00**                               | **)**        | (0.55                                                            | )          |
| Total return after profit share allocation                                                         |   | **(2.10**                               | **)**        | 3.02                                                             |       |
|                                                                                               |   |                                    | ** **   |                                                             |       |
| **Ratios  to average trust capital (%)**                                                           |   |                                    | ** **   |                                                             |       |
| Net  investment loss **                                                                            |   | **(6.29**                               | **)**        | (6.22                                                            | )(c)       |
|                                                                                               |   |                                    | ** **   |                                                             |       |
| Total  expenses ** (%)                                                                             |   | **7.34**                                | ** **   | 7.83                                                             | (c)        |
| Profit  share allocation (%)                                                                       |   | **0.01**                                | ** **   | 1.21                                                             | (c)        |
| Total expenses and profit share allocation **(%)                                                   |   | **7.35**                                | ** **   | 9.04                                                             | (c)        |

 

----

*           commencement ofoperations

(a)    Calculated based on weightedaverage number of shares during the year.

 

(b)   Realized and unrealized gainsand losses per unit are balancing amounts necessary to reconcile the change innet asset value per unit with the other per unit information presented. It isnot proportionate to the net realized and unrealized loss on the statement ofoperation because of the timing of sales and redemption of the Trust’s unitsand the timing of the realized and unrealized gains (losses) during the year.

 

**    Such percentages are afterexpense reimbursements. The Managing Owner voluntarily reimbursed the Trust forcertain administrative expenses (equal to 0.39% of average trust capital) in2002. There were no expense reimbursements on behalf of the Trust for the yearended December 31, 2003.

 

(c)    Annualized

 

*See accompanying notes.*

 

F-8

----

 

Global Macro Trust

 

Notes to Financial Statements

 

December 31,2003

 

**1. Organization**

 

Global Macro Trust (the“Trust”) was organized on July 23, 2001, under the Delaware Business TrustAct. At such time, original capital of $400 by the Millburn RidgefieldCorporation (the “Managing Owner”) and $1,600 by the Initial Unitholder, anaffiliated entity, was contributed to the Trust. The Trust commenced tradingoperations on July 1, 2002. The Trust engages in the speculative tradingof futures and forward currency contracts. The instruments that are traded bythe Trust are volatile and involve a high degree of market risk.

 

The Managing Ownermanages the business of the Trust and makes all trading decisions.

 

The Managing Owner hasagreed to make additional capital contributions, subject to certain possibleexceptions, in order to maintain its capital account at not less than 1% of thetotal outstanding capital contributions in the Trust (including the ManagingOwner’s contributions) but in no event shall the Managing Owner invest lessthan $500,000 of the total capital contributions in the Trust. The ManagingOwner and the holders (the “Unitholders”) of the Units of Beneficial Interest(“Units”) issued by the Trust will share in any profits and losses of the Trustin proportion to the percentage interest owned by each, before brokeragecommissions and profit share allocations. As of February 17, 2004, thereare approximately $1 billion of Units authorized for sale.

 

The Trust will terminateon December 31, 2031 or at an earlier date if certain conditions occur asdefined in the Declaration of Trust and the Trust Agreement (the “Agreement”).

 

**2. Summary of Significant Accounting Policies**

 

##### **Investments**

##### ** **

The Trust records itstransactions in futures and forward currency contracts, including relatedincome and expenses, on a trade date basis.

 

Open futures contractsare valued at market value and open forward currency contracts are valued atfair value which is based on pricing models that consider the time value ofmoney and the current market and contractual prices of the underlying financialinstruments. Realized gains (losses) and changes in unrealized appreciation(depreciation) on futures and

 

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forward currencycontracts are recognized in the periods in which the contracts are closed orthe changes occur, and are included in net realized and unrealized gains(losses) in the statements of operations.

 

Investments in U.S.Treasury notes are valued at the market value based on bid quotations reporteddaily in The Wall Street Journal. The Trust amortizes premiums and accretesdiscounts on U.S. Treasury notes using the effective interest method. Suchsecurities are normally on deposit with financial institutions as collateralfor performance of the Trust’s trading obligations with respect to derivativecontracts and are held for safekeeping in a custody account.

 

###### **Fair Value of Financial Instruments**

 

The fair value of theTrust’s assets and liabilities, which qualify as financial instruments underStatement of Financial Accounting Standards No. 107, “Disclosures about FairValue of Financial Instruments,” approximates the carrying amounts presented inthe statements of financial condition.

 

##### **Foreign CurrencyTranslation**

##### ** **

Assets and liabilitiesdenominated in foreign currencies are translated at quoted prices of suchcurrencies. Purchases and sales of investments are translated at the exchangerate prevailing when such transactions occurred.

 

##### **Income Taxes**

##### ** **

Income taxes have notbeen provided, as each Unitholder is individually liable for the taxes, if any,on his/her share of the Trust’s income and expenses.

 

##### **Estimates**

##### ** **

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States requires management to make estimates andassumptions that affect the amounts and disclosures reported in the financialstatements. Actual results could differ from these estimates.

 

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##### **Right of Offset**

##### ** **

The customer agreementsbetween the Trust and each of its brokers give the Trust the legal right to netunrealized gains and losses. Unrealized gains and losses related to offsettingtransactions with these brokers are reflected on a net basis in the equity intrading accounts in the statements of financial condition.

 

**3. Trust Agreement**

 

The Trust pays brokeragefees to the Managing Owner at the annual rate up to 7.0% of the Trust’s averagemonth-end Net Assets of Unitholders’ interests (prior to reduction for accruedbrokerage commissions or Profit Share). Unitholders who make net capitalinvestments in the Trust of $100,000 or more or who invest through asset-basedfee or fixed fee investment programs are charged less than the annual brokeragerate of 7.0% as follows:

 

| **Net  Capital Investments**                  |   | **Brokerage Fee** |   |
|-----------------------------------------------|--------|-------------------|--------|
|                                          |   |              |   |
| $100,000  to $499,999                         |   | 6.5               | %      |
| $500,000  to $999,999                         |   | 6.0               | %      |
| Greater  than $1,000,000                      |   | 5.5               | %      |
| Asset-based  or fixed fee investment programs |   | 4.0               | %      |

 

Brokerage fees will notbe charged to capital accounts of the Managing Owner, its principals, theirrespective affiliates or the New Profit Memo Account. In order to maintain auniform Net Asset Value per Unit, additional units are issued to Unitholderswho are charged less than a 7.0% brokerage fee.

 

The Managing Owner, notthe Trust, will pay all routine costs of executing and clearing the Trust’sfutures trades, including brokerage commissions payable to the clearingbrokers. The Managing Owner also pays, from its own funds, selling commissionson all sales of Units.

 

The Agreement providesthat the Managing Owner’s profit share, equal to 20% of New Trading Profits (asdefined in the Agreement) in excess of the highest cumulative level of TradingProfit as of any previous calendar year-end, is charged to the Unitholders’capital accounts. However, for Unitholders’ redemptions during the year, theprofit share calculation shall be computed as though the redemption occurred atyear-end.

 

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Any profit share chargedis added to the Managing Owner’s capital account to the extent that net taxablecapital gains are allocated to the Managing Owner. The remainder of such profitshare, if any, is added to the New Profit Memo Account. The Managing Owner maynot make any withdrawal from the balance in the New Profit Memo Account. If, atthe end of a subsequent year, net taxable gains are allocated to the ManagingOwner in excess of such year’s profit share, a corresponding amount istransferred from the New Profit Memo Account to the Managing Owner’s capitalaccount.

 

TheTrust will pay its legal, accounting, auditing, printing, postage and similaradministrative expenses (including Trustees’ fees, accounting services fees andthe expenses of updating the Prospectus), as well as extraordinary costs. AtDecember 31, 2003, the Managing Owner is owed $10,240 from the Trust inconnection with such expenses it has paid on the Trust’s behalf. The ManagingOwner, at its discretion, may reimburse certain expenses paid by the Trust. AtDecember 31, 2002, the Trust was owed $5,037 from the Managing Ownerrelated to this arrangement, which was received during 2003.

 

Units may be redeemed, atthe option of any Unitholder, at Net Asset Value (as defined in the Agreement)as of the close of business on the last business day of any calendar month onten business days’ written notice to the Managing Owner. Unitholders who redeemUnits at or prior to the end of the first consecutive six-month and five-monthperiods after such Units are sold shall be assessed redemption chargescalculated based on their redeemed Units’ Net Asset Value as of the date ofredemption 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 chargeswill be paid to the Managing Owner. At December 31, 2003, $11,949 ofredemption charges were owed to the Managing Owner.

 

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**4. Due from/to Brokers**

 

At December 31, 2003and 2002, the due from brokers and due to brokers balances in the statements offinancial condition include cash receivable from and payable to brokers.

 

**5. Trading Activities**

 

The Trust conducts itstrading activities with various brokers acting either as a broker or counterpartyto various transactions. At December 31, 2003 and 2002, net cash andtreasury notes aggregating $74,439,175 and $6,583,322, respectively, includedin the Trust’s equity in trading accounts, were held by such brokers insegregated accounts as collateral as required by U.S. Commodity Futures TradingCommission’s regulations or by the counterparty bank or broker. Such collateralcan be sold or repledged by the counterparties, at their discretion.

 

**6. Derivative Instruments**

 

The Trust is party to derivativefinancial instruments in the normal course of its business. These financialinstruments include futures and forward currency contracts which may be tradedon an exchange (“exchange-traded contracts”) or over-the-counter (“OTCcontracts”).

 

The Trust records itsderivative activities on a mark-to-market basis as described in Note 2.For OTC contracts, the Trust enters into master netting agreements with itscounterparties. Therefore, assets represent the Trust’s unrealized gains, lessunrealized losses for OTC contracts in which the Trust has a master nettingagreement. Similarly, liabilities represent net amounts owed to counterpartieson OTC contracts.

 

Futures contracts areagreements to buy or sell an underlying asset or index for a set price in thefuture. Initial margin deposits are made upon entering into futures contractsand can be either in cash or treasury securities. Open futures contracts arerevalued on a daily basis to reflect the market value of the contracts at theend of each trading day. Variation margin payments are received or made,depending upon whether unrealized gains or losses are incurred. When a contractis closed, the Trust records a realized gain or loss equal to the differencebetween the value of the contract at the time it was opened and the time it wasclosed. The Trust bears the market risk that arises from changes in the valueof these financial instruments.

 

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Forward currencycontracts entered into by the Trust represent a firm commitment to buy or sellan underlying currency at a specified value and point in time based upon anagreed or contracted quantity. The ultimate gain or loss is equal to thedifference between the value of the contract at the onset and the value of thecontract at settlement date.

 

Each of these financialinstruments is subject to various risks similar to those related to theunderlying financial instruments, including market risk, credit risk andsovereign risk.

 

Market risk is thepotential change in the value of the instruments traded by the Trust due tomarket changes, including interest and foreign exchange rate movements andfluctuations in futures or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the related underlyingassets are traded. The financial instruments traded by the Trust containvarying degrees of off-balance sheet risk whereby changes in the market valuesof the futures and forward currency contracts underlying the financialinstruments or the Trust’s satisfaction of the obligations may exceed theamount recognized in the statements of financial condition.

 

Creditrisk is the possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Credit risk isnormally reduced to the extent that an exchange or clearing organization actsas 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 is limited to theunrealized gains inherent in such contracts, which are recognized in thestatements of financial condition.

 

Derivativecontracts with a net unrealized gain (asset) of $8,881,661 and $236,936 atDecember 31, 2003 and 2002, respectively are related to forward currencycontracts with the remaining unrealized gains related to exchange-tradedfutures contracts. The primary difference in the risks associated with OTCcontracts and exchange-traded contracts is credit risk. The Trust views itscredit exposure to be $15,266,756 and $1,055,434 at December 31, 2003 and2002, respectively, representing the fair value of OTC contracts in anunrealized gain position.

 

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The Trust’s tradingactivities are primarily with brokers and other financial institutions locatedin North America, Europe and Asia. All futures and forward currencytransactions of the Trust are cleared by major securities firms pursuant tocustomer agreements. The Trust limits its concentration risk by executingtrades and maintaining accounts with several brokers.

 

The Trust is subject tosovereign risk such as the risk of restrictions being imposed by foreigngovernments on the repatriation of cash and to political or economicuncertainties. Net unrealized appreciation (depreciation) on futures andforward currency contracts are denominated in the functional currency. Cashsettlement of futures and forward currency contracts is made in the localcurrency (settlement currency) and then translated to the functional currency(U.S. Dollar).

 

Net unrealizedappreciation (depreciation) on futures and forward currency contracts bysettlement currency type, denominated in the functional currency, is detailedbelow:

 
|              |   | **December 31,**                                    |           |
|-------------------|--------|----------------------------------------------------------|----------------|
|              |   | **2003**                                                 |           | **2002** |   |
| **Currency Type** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |           | **Percent of  Total** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |   | **Percent of  Total** |   |
|              |   |                                                     |           |   |   |   |   |   |   |
| British  pound    |   | $                                                        | 28,283         |   | 0.27 | % | $ | 43,809 |   | 3.01 | % |
| Euro              |   | 944,315                                                  |           | 9.13 |   | 639,511 |   | 43.90 |   |
| Hong  Kong dollar |   | 70,159                                                   |           | 0.68 |   | 35,167 |   | 2.41 |   |
| Japanese  yen     |   | (451,483                                                 | )              | (4.36 | ) | (29,089 | ) | (2.00 | ) |
| Norwegian  krona  |   | (1,487,372                                               | )              | (14.39 | ) | (14,716 | ) | (1.01 | ) |
| U.S.  dollar      |   | 11,234,443                                               |           | 108.67 |   | 782,112 |   | 53.69 |   |
| **Total**         |   | **$**                                                    | **10,338,345** | ** ** | **100.00** | **%** | **$** | **1,456,794** | ** ** | **100.00** | **%** |

 

**7. Financial Highlights**

 

Per unit operatingperformance is calculated based on Unitholders’ trust capital taken as a whole.An individual Unitholder’s per unit operating performance may vary from theseper unit values based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

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The ratios are calculatedbased on Unitholders’ trust capital taken as a whole and are annualized forperiods of less than one year. The computation of such ratios based on theamount of net investment income (loss), total expenses and profit shareallocation to an individual Unitholder’s trust capital balance may vary fromthese ratios based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

Returns are calculatedfor Unitholders taken as a whole and are not annualized. 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.

 

**8. Financial Statement Information Prior to Commencement ofOperations**

 

***Statements of Operations for the period from July 23,2001 (date of inception) to December 31, 2001 and for the period fromJanuary 1, 2002 to June 30, 2002:***

 
|                   |   | **Period  from  July 23, 2001   (date of  inception)  to December  31, 2001** |       | **Period  from  January 1,  2002  to June 30,  2002 *** |       |
|------------------------|--------|------------------------------------------------------------------------------------|------------|-------------------------------------------------------------------|------------|
| **Investment income**  |   |                                                                               | ** ** |                                                              | ** ** |
| Interest  income       |   | $                                                                                  | 18         |                                                              | $          | 244 |   |
|                   |   |                                                                               |       |                                                              |       |
| **Expenses**           |   |                                                                               |       |                                                              |       |
| Total  expenses        |   | —                                                                             |       | —                                                            |       |
| Net  investment income |   | 18                                                                                 |       | 244                                                               |       |
| Net  income            |   | $                                                                                  | 18         |                                                              | $          | 244 |   |
|                   |   |                                                                               |       |                                                              |       |
| Net  income per unit   |   | $                                                                                  | 8.75       |                                                              | $          | 152.50 |   |

 

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***Statement of Changes in Trust Capital for the period fromJanuary 1, 2002 to June 30, 2002:***

 
|                                   |   | **Unitholder** |   | **New  Profit  Memo  Account** |   | **Managing  Owner** |   | **Total** |   |
|----------------------------------------|--------|----------------|--------|--------------------------------|--------|---------------------|--------|-----------|--------|
|                                   |   |           |   |                           |   |                |   |      |   |
| Trust  capital at January 1, 2002 |   | 1,614          |   | —                         |   | 404                 |   | 2,018     |   |
| Net  income *                          |   | 244            |   | —                         |   | —              |   | 244       |   |
| Trust  capital at June 30, 2002   |   | $              | 1,858  |                           | $      | —              |   | $         | 404    |   | $ | 2,262 |   |
|                                        |        |                |        |                                |        |                     |        |           |        |  |  |  |  |

 

***Financial Highlights for the period from July 23, 2001(date of inception) to December 31, 2001 and for the period fromJanuary 1, 2002 to June 30, 2002:***

 
|                                                                                     |   | **Period  from  July 23, 2001  (date of  inception) to  December  31, 2001** |       | **Period  from  January 1,  2002 to June  30, 2002 *** |       |
|------------------------------------------------------------------------------------------|--------|-----------------------------------------------------------------------------------|------------|-------------------------------------------------------------|------------|
|                                                                                     |   |                                                                              | ** ** |                                                        | ** ** |
| Total return (not annualized)                                                            |   | 0.88                                                                              | %          | 15.12                                                       | %          |
|                                                                                     |   |                                                                              |       |                                                        |       |
| Ratios  of net investment income to average Unitholder’s trust capital (annualized) |   | 1.98                                                                              | %          | 28.11                                                       | %          |

 

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* Interest income for theperiod from January 1, 2002 to June 30, 2002 reflects interest earnedon subscriptions received in advance from Unitholders in June 2002 whichwere not effective until July 1, 2002, when the Trust commencedoperations. This interest income has been reallocated among all Unitholderseffective July 1, 2002. The net income allocated between the Unitholderand the Managing Owner for the period from January 1, 2002 toJune 30, 2002 reflects actual allocation of this interest income.

 

**9. Subsequent Events**

 

As of February 17,2004, Unitholders made subscriptions and redemptions of $38,757,096 and$1,130,616 respectively. The Managing Owner made a subscription of $355,000.

 

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