**Exhibit13.01**

 

 

 

 

 

 

 

 

 

 

***Global Macro Trust***

*Financial Statements forthe Years EndedDecember 31, 2007, 2006 and 2005 and*

*Report of IndependentRegistered Public*

*AccountingFirm*

 

 

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** **

**GLOBAL MACRO TRUST**

** **

**TABLE OF CONTENTS**

 
| ** **                                               | ** **                             | **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**     | **10–11** |
|                                                          |                                        |                |  |

** **

----

** **

**AFFIRMATIONOF MILLBURN RIDGEFIELD CORPORATION**

** **

Incompliance with the Commodity Futures Trading Commission’s regulations, Ihereby affirm that to the best of my knowledge and belief, the informationcontained in the statements of financial condition of Global Macro Trust at December 31,2007 and 2006, including the condensed schedules of investments, and therelated statements of operations, changes in trust capital and financialhighlights for each of the three years in the period ended December 31,2007, are complete and accurate.

 

 

 

 

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

 

----

** **

**REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**

** **

To theUnitholders of Global Macro Trust:

 

Wehave audited the accompanying statements of financial condition of Global Macro Trust (the “Trust”) as ofDecember 31, 2007 and 2006, including the condensed schedules ofinvestments, and the related statements of operations, changes in trustcapital, and financial highlights for each of the three years in the periodended December 31, 2007. These financial statements and financialhighlights are the responsibility of the Trust’s management. Our responsibilityis to express an opinion on these financial statements and financial highlightsbased on our audits.

 

Weconducted our audits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards require that weplan and perform the audit to obtain reasonable assurance about whether thefinancial statements and financial highlights are free of materialmisstatement. The Trust is not required to have, nor were we engaged toperform, an audit of its internal control over financial reporting. Our auditsincluded consideration of internal control over financial reporting as a basisfor designing audit procedures that are appropriate in the circumstances, butnot 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 ouropinion, such financial statements and financial highlights present fairly, inall material respects, the financial position of Global Macro Trust at December 31, 2007 and 2006, and theresults of its operations, changes in trust capital and financial highlightsfor each of the three years in the period ended December 31, 2007 inconformity with accounting principles generally accepted in the United Statesof America.

 

Deloitte &Touche LLP

 

March 11,2008

New York,New York

----

 

**GLOBAL MACRO TRUST**

 

**STATEMENTS OF FINANCIAL CONDITION**

**AT DECEMBER 31, 2007 AND 2006**

** **

 
| ** **                                                                                               | ** ** | **2007**    | ** **  | **2006**    | ** ** |
|----------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| **ASSETS**                                                                                               | ** ** | ** **  | ** **  | ** **  | ** ** |
|                                                                                                     |       |        |        |        |       |
| EQUITY IN TRADING ACCOUNTS:                                                                              |       |        |        |        |       |
| Investments in  U.S. Treasury notes—at market value (amortized cost $139,691,195 and  $122,728,945) |       | $           | 140,178,478 |        | $          | 122,680,398 |   |
| Net unrealized  appreciation on open futures and forward currency contracts                              |       | 13,985,466  |        | 29,307,511  |       |
| Due from brokers                                                                                         |       | 12,768,853  |        | 20,542,993  |       |
| Cash denominated  in foreign currencies (cost $9,122,395 and $9,510,728)                                 |       | 9,079,650   |        | 9,513,915   |       |
|                                                                                                     |       |        |        |        |       |
| Total equity in  trading accounts                                                                        |       | 176,012,447 |        | 182,044,817 |       |
|                                                                                                     |       |        |        |        |       |
| INVESTMENTS IN  U.S. TREASURY NOTES—at market value (amortized cost $422,543,313 and  $305,987,961) |       | 424,381,257 |        | 305,893,877 |       |
|                                                                                                     |       |        |        |        |       |
| CASH AND CASH EQUIVALENTS                                                                                |       | 54,245,604  |        | 16,282,193  |       |
|                                                                                                     |       |        |        |        |       |
| ACCRUED INTEREST RECEIVABLE                                                                              |       | 4,755,677   |        | 2,905,505   |       |
|                                                                                                     |       |        |        |        |       |
| TOTAL                                                                                                    |       | $           | 659,394,985 |        | $          | 507,126,392 |   |
|                                                                                                     |       |        |        |        |       |
| **LIABILITIES AND TRUST CAPITAL**                                                                        | ** ** | ** **  | ** **  | ** **  | ** ** |
| ** **                                                                                               | ** ** | ** **  | ** **  | ** **  | ** ** |
| LIABILITIES:                                                                                             |       |        |        |        |       |
| Subscriptions  from Unitholders received in advance                                                      |       | $           | 19,618,131  |        | $          | 4,388,200 |   |
| Net unrealized  depreciation on open forward currency contracts                                          |       | 1,300,648   |        | —      |       |
| Due to Managing  Owner                                                                                   |       | 120,504     |        | 186,501     |       |
| Accrued  brokerage fees                                                                                  |       | 3,400,051   |        | 2,676,415   |       |
| Redemptions  payable to Unitholders                                                                      |       | 3,608,727   |        | 13,930,317  |       |
| Redemption payable  to Managing Owner                                                                    |       | 6,462,526   |        | —      |       |
| Accrued expenses                                                                                         |       | 127,090     |        | 121,600     |       |
|                                                                                                     |       |        |        |        |       |
| Total  liabilities                                                                                       |       | 34,637,677  |        | 21,303,033  |       |
|                                                                                                     |       |        |        |        |       |
| TRUST CAPITAL (NET ASSETS):                                                                              |       |        |        |        |       |
| Managing Owner  interest (5,507.640 and 5,086.375 units outstanding)                                     |       | 6,373,279   |        | 5,290,389   |       |
| Unitholders  (534,394.969 and 462,004.829 units outstanding)                                             |       | 618,384,029 |        | 480,532,970 |       |
|                                                                                                     |       |        |        |        |       |
| Total trust  capital (net assets)                                                                        |       | 624,757,308 |        | 485,823,359 |       |
|                                                                                                     |       |        |        |        |       |
| TOTAL                                                                                                    |       | $           | 659,394,985 |        | $          | 507,126,392 |   |
|                                                                                                     |       |        |        |        |       |
| NET ASSET VALUE PER UNIT OUTSTANDING                                                                     |       | $           | 1,157.17    |        | $          | 1,040.10 |   |

 

See notes to financial statements.

 

 

2

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2007**

** **

 
| ** **                                      | ** ** | **Net Unrealized** | ** ** | ** **         | ** ** |
|-------------------------------------------------|------------|--------------------|------------|--------------------|------------|
| ** **                                      | ** ** | **Appreciation**   | ** ** | **Net**            | ** ** |
| ** **                                      | ** ** | **(Depreciation)** | ** ** | **Unrealized**     | ** ** |
| ** **                                      | ** ** | **as a % of**      | ** ** | **Appreciation**   | ** ** |
| **Futures and Forward Currency  Contracts**     | ** ** | **Trust Capital**  | ** ** | **(Depreciation)** | ** ** |
|                                            |       |               |       |               |       |
| FUTURES CONTRACTS:                              |       |               |       |               |       |
| LONG FUTURES  CONTRACTS:                        |       |               |       |               |       |
| Energies                                        |       | 0.46               | %          | $                  | 2,900,099  |   |
| Grains                                          |       | 1.06               |       | 6,649,821          |       |
| Interest rates                                  |       | (0.19              | )          | (1,156,639         | )          |
| Metals                                          |       | 0.05               |       | 294,849            |       |
| Softs                                           |       | 0.09               |       | 557,248            |       |
| Stock indices                                   |       | 0.17               |       | 977,634            |       |
|                                            |       |               |       |               |       |
| Total long  futures contracts                   |       | 1.64               |       | 10,223,012         |       |
|                                            |       |               |       |               |       |
| SHORT FUTURES  CONTRACTS:                       |       |               |       |               |       |
| Energies                                        |       | (0.03              | )          | (195,100           | )          |
| Interest rates                                  |       | 0.42               |       | 2,622,890          |       |
| Livestock                                       |       | 0.08               |       | 501,980            |       |
| Metals                                          |       | 0.07               |       | 421,465            |       |
| Softs                                           |       | (0.07              | )          | (465,326           | )          |
| Stock Indices                                   |       | 0.09               |       | 614,991            |       |
|                                            |       |               |       |               |       |
| Total short  futures contracts                  |       | 0.56               |       | 3,500,900          |       |
|                                            |       |               |       |               |       |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS—Net |       | 2.20               |       | 13,723,912         |       |
|                                            |       |               |       |               |       |
| FORWARD CURRENCY CONTRACTS:                     |       |               |       |               |       |
| Total long  forward currency contracts          |       | 0.03               |       | 165,503            |       |
| Total short  forward currency contracts         |       | (0.19              | )          | (1,204,597         | )          |
|                                            |       |               |       |               |       |
| TOTAL INVESTMENTS IN FORWARD                    |       |               |       |               |       |
| CURRENCY  CONTRACTS—Net                    |       | (0.16              | )          | (1,039,094         | )          |
|                                            |       |               |       |               |       |
| TOTAL                                           |       | 2.04               | %          | $                  | 12,684,818 |   |

 

 

3

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2007**

 

 

**U.S. TREASURY NOTES**

** **

 
| ** **  | ** **  | ** **                                                              | ** **                              | **Value as a %** | ** ** | ** **  | ** **  |
|-------------|-------------|-------------------------------------------------------------------------|-----------------------------------------|------------------|------------|-------------|-------------|
| **Face**    | ** **  | ** **                                                              | ** **                              | **of Trust**     | ** ** | ** **  | ** **  |
| **Amount**  | ** **  | **Description**                                                         | ** **                              | **Capital**      | ** ** | **Value**   | ** **  |
|        |        |                                                                    |                                    |             |       |        |        |
| $           | 141,300,000 |                                                                    | U.S. Treasury notes, 3.000%, 02/15/2008 |             | 22.61      | %           | $           | 141,277,922 |   |
| 141,300,000 |        | U.S. Treasury notes, 2.625%, 05/15/2008                                 |                                    | 22.56            |       | 140,946,750 |        |
| 141,300,000 |        | U.S. Treasury notes, 3.250%, 08/15/2008                                 |                                    | 22.61            |       | 141,255,844 |        |
| 141,300,000 |        | U.S. Treasury notes, 3.125%, 10/15/2008                                 |                                    | 22.58            |       | 141,079,219 |        |
|        |        |                                                                    |                                    |             |       |        |        |
|        |        | Total  investments in U.S. Treasury notes (amortized cost $562,234,508) |                                    | 90.36            | %          | $           | 564,559,735 |   |
|             |             |                                                                         |                                         |                  |            |             |             |  |  |

 

See notes to financial statements.

 

 

4

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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)

 

 

5

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| **GLOBAL MACRO TRUST**                |
|---------------------------------------|
| ** **                            |
| **CONDENSED SCHEDULE OF INVESTMENTS** |
| **AT DECEMBER 31, 2006**              |

 

**U.S. TREASURY NOTES**

 
| ** **  | ** **  | ** **                               | ** **                            | **Value as a %** | ** ** | ** **  | ** **  |
|-------------|-------------|------------------------------------------|---------------------------------------|------------------|------------|-------------|-------------|
| **Face**    | ** **  | ** **                               | ** **                            | **of Trust**     | ** ** | ** **  | ** **  |
| **Amount**  | ** **  | **Description**                          | ** **                            | **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 financial statements. |   | (Concluded) |
|------------------------------------|--------|-------------|

 

 

6

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| **GLOBAL MACRO TRUST**                            |
|---------------------------------------------------|
| ** **                                        |
| **STATEMENTS OF OPERATIONS**                      |
| **YEARS ENDED DECEMBER 31, 2007, 2006  AND 2005** |

 

 
| ** **                                                            | ** ** | **2007**    | ** ** | **2006**    | ** ** | **2005**    | ** ** |
|-----------------------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|
|                                                                  |       |        |       |        |       |        |       |
| INVESTMENT INCOME:                                                    |       |        |       |        |       |        |       |
| Interest income                                                       |       | $           | 26,686,249 |        | $          | 20,667,947  |       | $ | 11,150,930 |   |
|                                                                  |       |        |       |        |       |        |       |
| EXPENSES:                                                             |       |        |       |        |       |        |       |
| Brokerage fees                                                        |       | 38,279,891  |       | 30,857,253  |       | 26,641,625  |       |
| Administrative  expenses                                              |       | 1,878,041   |       | 1,592,624   |       | 1,417,680   |       |
| Custody fees                                                          |       | 85,806      |       | 71,580      |       | 59,425      |       |
|                                                                  |       |        |       |        |       |        |       |
| Total expenses                                                        |       | 40,243,738  |       | 32,521,457  |       | 28,118,730  |       |
|                                                                  |       |        |       |        |       |        |       |
| NET INVESTMENT LOSS                                                   |       | (13,557,489 | )          | (11,853,510 | )          | (16,967,800 | )          |
|                                                                  |       |        |       |        |       |        |       |
| NET REALIZED AND UNREALIZED GAINS (LOSSES):                           |       |        |       |        |       |        |       |
|  Net realized gains (losses) on closed  positions:               |       |        |       |        |       |        |       |
| Futures and  forward currency contracts                               |       | 92,248,212  |       | 8,046,715   |       | 40,585,526  |       |
| Foreign exchange  translation                                         |       | 214,004     |       | (452,824    | )          | (443,885    | )          |
|  Net change in unrealized:                                       |       |        |       |        |       |        |       |
| Futures and  forward currency contracts                               |       | (16,622,693 | )          | 32,477,829  |       | (12,146,560 | )          |
| Foreign exchange  translation                                         |       | (45,932     | )          | 93,915      |       | (164,600    | )          |
|  Net gains (losses) from U.S. Treasury notes:                    |       |        |       |        |       |        |       |
| Net change in  unrealized                                             |       | 2,467,858   |       | 583,385     |       | (335,075    | )          |
|                                                                  |       |        |       |        |       |        |       |
| Total net  realized and unrealized gains                              |       | 78,261,449  |       | 40,749,020  |       | 27,495,406  |       |
|                                                                  |       |        |       |        |       |        |       |
| NET INCOME                                                            |       | 64,703,960  |       | 28,895,510  |       | 10,527,606  |       |
|                                                                  |       |        |       |        |       |        |       |
| LESS PROFIT  SHARE TO MANAGING OWNER                                  |       | 6,459,328   |       | 114,672     |       | —      |       |
|                                                                  |       |        |       |        |       |        |       |
| NET INCOME AFTER  PROFIT SHARE TO MANAGING OWNER                      |       | $           | 58,244,632 |        | $          | 28,780,838  |       | $ | 10,527,606 |   |
|                                                                  |       |        |       |        |       |        |       |
| NET INCOME AFTER  PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING |       | $           | 117.07     |        | $          | 62.02       |       | $ | 23.23 |   |

 

 

See notes to financial statements.

 

 

7

----

 

 
| **GLOBAL  MACRO TRUST**                           |
|---------------------------------------------------|
|                                              |
| **STATEMENTS  OF CHANGES IN TRUST CAPITAL**       |
| **YEARS  ENDED DECEMBER 31, 2007, 2006 AND 2005** |

** **
| ** **                                             | ** ** | ** **      | ** **  | **New  Profit Memo** | ** **  | ** **          | ** ** | ** ** | ** ** |
|--------------------------------------------------------|------------|-----------------|-------------|----------------------|-------------|---------------------|------------|------------|------------|
| ** **                                             | ** ** | **Unitholders** | ** **  | **Account**          | ** **  | **Managing  Owner** | ** ** | **Total**  | ** ** |
| ** **                                             | ** ** | **Amount**      | ** **  | **Units**            | ** **  | **Amount**          | ** ** | **Units**  | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** |
|                                                   |       |            |        |                 |        |                |       |       |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—January 1, 2005                |       | $               | 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 |   |
|                                                   |       |            |        |                 |        |                |       |       |       |   |   |   |   |   |   |   |   |
| Subscriptions                                          |       | 149,852,918     |        | 133,492.106          |        | —              |       | —     |       | — |   | — |   | 149,852,918 |   | 133,492.106 |   |
| Redemptions                                            |       | (69,160,402     | )           | (62,025.145          | )           | —              |       | —     |       | (6,462,527 | ) | (5,584.764 | ) | (75,622,929 | ) | (67,609.909 | ) |
| Additional units  allocated*                           |       | —          |        | 923.179              |        | —              |       | 10.828     |       | — |   | 421.261 |   | — |   | 1,355.268 |   |
| Net income after  profit share to Managing Owner       |       | 57,158,543      |        | —               |        | 3,198               |       | —     |       | 1,082,891 |   | — |   | 58,244,632 |   | — |   |
| Managing Owner’s  profit share                    |       | —          |        | —               |        | 6,459,328           |       | 5,573.940  |       | — |   | — |   | 6,459,328 |   | 5,573.940 |   |
| Transfer of New  Profit Memo Account to Managing Owner |       | —          |        | —               |        | (6,462,526          | )          | (5,584.768 | )          | 6,462,526 |   | 5,584.768 |   | — |   | — |   |
|                                                   |       |            |        |                 |        |                |       |       |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2007              |       | $               | 618,384,029 |                 | 534,394.969 |                | $          | —     |       | — |   | $ | 6,373,279 |   | 5,507.640 |   | $ | 624,757,308 |   | 539,902.609 |   |

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

 

 

8

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| **GLOBAL  MACRO TRUST**                           |
|---------------------------------------------------|
|                                              |
| **STATEMENTS OF FINANCIAL HIGHLIGHTS**            |
| **YEARS ENDED DECEMBER 31, 2007, 2006  AND 2005** |

 

 
| ** **                                                                              | ** ** | **2007** | ** ** | **2006** | ** ** | **2005** | ** ** |
|-----------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| PER UNIT  OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):           |       |     |       |     |       |     |       |
| Net income  (loss) from operations:                                                     |       |     |       |     |       |     |       |
| Net investment  loss                                                                    |       | $        | (27.88     | ) (a)    | $          | (26.74   | ) (a)      | $ | (39.86 | ) (a) |
| Net realized and  unrealized gains on trading of futures and forward currency contracts |       | 153.06   |       | 87.73    |       | 63.87    |       |
| Net gains  (losses) from U.S. Treasury notes                                            |       | 4.93     |   (a) | 1.28     |   (a) | (0.78    | ) (a)      |
|                                                                                    |       |     |       |     |       |     |       |
| Net income from  operations                                                             |       | 130.11   |       | 62.27    |       | 23.23    |       |
|                                                                                    |       |     |       |     |       |     |       |
| Less profit  share allocated to Managing Owner                                          |       | 13.04    |       | 0.25     |       | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| Net income after  profit share allocation                                               |       | 117.07   |       | 62.02    |       | 23.23    |       |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET VALUE—Beginning of year                                                  |       | 1,040.10 |       | 978.08   |       | 954.85   |       |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET VALUE—End of year                                                        |       | $        | 1,157.17   |     | $          | 1,040.10 |       | $ | 978.08 |   |
|                                                                                    |       |     |       |     |       |     |       |
| RETURNS:                                                                                |       |     |       |     |       |     |       |
| Total return  before profit share allocation                                            |       | 12.51    | %          | 6.37     | %          | 2.43     | %          |
| Profit share  allocation                                                                |       | (1.25    | )          | (0.03    | )          | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| TOTAL RETURN  AFTER PROFIT SHARE ALLOCATION                                             |       | 11.26    |       | 6.34     |       | 2.43     |       |
|                                                                                    |       |     |       |     |       |     |       |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                        |       |     |       |     |       |     |       |
| Net investment  loss                                                                    |       | (2.48    | )          | (2.67    | )          | (4.38    | )          |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses                                                                          |       | 7.23     |       | 7.19     |       | 7.21     |       |
|                                                                                    |       |     |       |     |       |     |       |
| Profit share  allocation                                                                |       | 1.16     |       | 0.03     |       | —   |       |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses  and profit share allocation                                             |       | 8.39     | %          | 7.22     | %          | 7.21     | %          |

----

(a) Calculated based on weighted average numberof units during the year.

 

 

See notes to financial statements.

 

9

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** **
| **GLOBAL  MACRO TRUST**                           |
|---------------------------------------------------|
|                                              |
| **NOTES TO FINANCIAL STATEMENTS**                 |
| **YEARS ENDED DECEMBER 31, 2007, 2006  AND 2005** |

 

**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 and U.S.Treasury notes, including related 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 the midpoint of bid/ask quotations reported daily at 3pm EST by Bloomberg.The Trust amortizes premiums and accretes discounts on U.S. Treasury notes.Such securities are on deposit 

 

 

10

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with financial institutions as collateral for performance of theTrust’s trading obligations with respect to derivative contracts or are heldfor safekeeping in a 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, *Disclosuresabout Fair Value of Financial Instruments,* approximates the carryingamounts presented in the statements of financial condition.

 

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

 

In July 2006, the Financial Accounting StandardsBoard (“FASB”) issued FASB Interpretation No. 48, “Accounting forUncertainty in Income Taxes — an interpretation of FASB Statement No. 109”(“FIN 48”), which clarifies the accounting for uncertainty in tax positions.FIN 48 requires that the Trust recognize in its financial statements the impactof a tax position if that position is more likely than not of being sustainedon audit, based on the technical merits of the position. The provisions of FIN48 are effective for fiscal years beginning after December 15, 2006, withthe cumulative effect of the change in accounting principle recorded as an adjustmentto opening trust capital. Millburn Ridgefield Corporation as Managing Owner ofthe Trust has evaluated the impact of adopting FIN 48 on the Trust’s financialstatements. Based on a review of theTrust’s open tax years, 2004 to 2007, for the U.S. Federal jurisdiction, theNew York and Delaware State jurisdictions, and the New York City jurisdiction,FIN 48 did not have an impact on the Trust.  The Trust is treated as alimited partnership for federal and state income tax reporting purposes andtherefore the unitholders are responsible for the payment of taxes.

 

***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*** — Thecustomer agreements between the Trust and each of its brokers give the Trustthe legal right to net unrealized gains and losses. Unrealized gains and lossesrelated to offsetting transactions with these brokers are reflected on a netbasis in the equity in trading accounts in the statements of financialcondition.

 

***Recently Issued Pronouncements******—***In September 2006, the FASB issuedSFAS No. 157, “Fair Value Measurements”, which defines fair value,establishes a framework for measurement of fair value, and expands disclosuresabout fair value measurements. The provisions of SFAS No. 157 areeffective for fiscal years beginning after November 15, 2007. 

 

 

11

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The Trust adopted this pronouncement January 1, 2008. The threelevels of the fair value hierarchy under SFAS No. 157 are described below:

 

Level 1: Unadjusted quoted prices in active markets that areaccessible at the measurement date for identical, unrestricted assets orliabilities;

 

Level 2: Quoted prices in markets that are not active orfinancial instruments for which all significant inputs are observable, eitherdirectly or indirectly;

 

Level 3: Prices or valuations that require inputs that areboth significant to the fair value measurement and unobservable.

 

The adoption of SFAS No. 157 will result in expanded disclosuresand is not expected to have a material impact on the Trust’s financialstatements.

 

**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              |       |

 

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 in excess of the highest cumulative level of TradingProfit as of any previous calendar year-end, is charged to the Unitholders’capital accounts. New Trading Profits includes realized and unrealized tradingprofits (losses), brokerage fees, trading-related expenses and administrativeexpenses. New Trading Profits do not include interest income. For Unitholders’redemptions during the year, the profit share calculation shall 

 

 

12

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be computed as though the redemption occurred at year-end. Profit shareattributable to interests redeemed during a year is tentatively credited to anaccount maintained for bookkeeping purposes, called New Profit Memo Account.Any profit share charged is added to the Managing Owner’s capital account tothe extent that net taxable capital gains are allocated to the Managing Owner.The remainder of such profit share, if any, is added to the New Profit MemoAccount. The Managing Owner may not make any withdrawal from the balance in theNew Profit Memo Account. If, at the end of a subsequent year, net taxable gainsare allocated 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 as extraordinarycosts. At December 31, 2007 and 2006, the Managing Owner was owed $117,879and $108,586, respectively, from the Trust in connection with such expenses ithas paid on the Trust’s behalf. Such amounts are included in “Due to ManagingOwner” in the statements of financial condition. The Managing Owner, at itsdiscretion, 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. At December 31,2007 and 2006, $2,625 and $77,915, respectively, of redemption charges wereowed to the Managing Owner. Such amounts are included in “Due to ManagingOwner” in the statements of financial condition. The aggregate amount ofredemption charges paid to the Managing Owner for the years ended December 31,2007, 2006 and 2005 were $128,527, $38,627 and $75,229, respectively.

 

**4.**                      DUE FROM BROKERS

 

At December 31, 2007 and 2006, due from brokers balance in thestatements of financial condition include cash receivable from brokers.

 

 

 

----

 

**5.**                      TRADING ACTIVITIES

** **

The Trust conducts its trading activities with various brokers actingeither as a broker or counterparty to various transactions. At December 31,2007 and 2006, cash and Treasury notes aggregating $162,026,981 and$152,737,306, respectively, included in the Trust’s equity in trading accounts,were held by such brokers in segregated accounts as collateral as required byU.S. Commodity Futures Trading Commission’s regulations or by the counterpartybank or broker. Such collateral can be sold or 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.

 

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. Market risk is directlyimpacted by the volatility and liquidity in the markets in which the relatedunderlying assets are traded. The financial instruments traded by the Trustcontain varying degrees of off-balance sheet risk whereby changes in the marketvalues of the futures and forward currency contracts and the Trust’ssatisfaction of its obligations related to such market value changes may exceedthe amount recognized in the statements of financial condition.

 

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 $70,391,885 and $87,718,461 at December 31,2007 and 2006, respectively.

 

The Managing Owner hasestablished procedures to actively monitor market risk and minimize creditrisk, although there can be no assurance that it will, in fact succeed in doingso. The Managing Owner’s market risk control procedures include diversificationof the Trust’s portfolio and continuously monitoring the portfolio’s openpositions, historical volatility and maximum historical loss. The ManagingOwner seeks to minimize credit risk primarily by depositing and maintaining theTrust’s assets at financial institutions and brokers which the Managing Ownerbelieves to be creditworthy. The Trust’s trading activities are primarily withbrokers and other financial institutions located in North America, Europe andAsia. All futures transactions of the Trust are cleared by major securitiesfirms pursuant to customer agreements. For all forward currency transactions,the Trust utilizes two clearing brokers, both major financial institutions.

 

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 forward currencycontracts is made in the local currency (settlement currency) and thentranslated to U.S. Dollars.

 

At December 31, 2007 and 2006, net unrealized appreciation(depreciation) on futures and forward currency contracts by settlement currencytype, denominated in U.S. Dollars, is detailed below:

 

 

----

 

 

 
| ** **         | ** ** | **December 31,**                                | ** ** |
|--------------------|------------|------------------------------------------------------|------------|
| ** **         | ** ** | **2007**                                             | ** ** | **2006** | ** ** |
| ** **         | ** ** | ** **                                           | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| **Currency Type**  | ** ** | **Total Net Unrealized Appreciation (Depreciation)** | ** ** | **Percent of   Total** | ** ** | **Total Net Unrealized Appreciation (Depreciation)** | ** ** | **Percent of   Total** | ** ** |
|               |       |                                                 |       |   |   |   |   |   |   |
| Australian dollar  |       | $                                                    | 2,655,781  |   | 20.94 | % | $ | 1,310,972 |   | 4.47 | % |
| British pound      |       | 1,069,215                                            |       | 8.43 |   | 2,151,717 |   | 7.34 |   |
| Canadian dollar    |       | 68,640                                               |       | 0.54 |   | (2,245,903 | ) | (7.66 | ) |
| Czech koruna       |       | (177,311                                             | )          | (1.40 | ) | — |   | — |   |
| Euro               |       | (1,072,068                                           | )          | (8.45 | ) | 6,505,443 |   | 22.20 |   |
| Hong Kong dollar   |       | 101,586                                              |       | 0.80 |   | 1,778,527 |   | 6.07 |   |
| Hungarian forint   |       | (16,754                                              | )          | (0.13 | ) | 972,771 |   | 3.32 |   |
| Icelandic krona    |       | (40,262                                              | )          | (0.32 | ) | — |   | — |   |
| Japanese yen       |       | 2,515,158                                            |       | 19.83 |   | 7,027,020 |   | 23.98 |   |
| Mexican peso       |       | (62,373                                              | )          | (0.49 | ) | — |   | — |   |
| New Zealand dollar |       | (46,504                                              | )          | (0.37 | ) | 301,546 |   | 1.03 |   |
| Polish zloty       |       | 186,361                                              |       | 1.47 |   | — |   | — |   |
| Singapore dollar   |       | 28,066                                               |       | 0.22 |   | — |   | — |   |
| Slovak koruna      |       | (102,747                                             | )          | (0.81 | ) | — |   | — |   |
| South African rand |       | 26,460                                               |       | 0.21 |   | 577,939 |   | 1.97 |   |
| Swedish krone      |       | 104,289                                              |       | 0.82 |   | 168,732 |   | 0.58 |   |
| Swiss franc        |       | 695,091                                              |       | 5.48 |   | 2,887,470 |   | 9.85 |   |
| Turkish lira       |       | 311,285                                              |       | 2.45 |   | (405,755 | ) | (1.38 | ) |
| U.S. dollar        |       | 6,440,905                                            |       | 50.78 |   | 8,277,032 |   | 28.23 |   |
|               |       |                                                 |       |   |   |   |   |   |   |
| Total              |       | $                                                    | 12,684,818 |   | 100.00 | % | $ | 29,307,511 |   | 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 calculatedbased on Unitholders’ trust capital taken as a whole. The computation of suchratios based on the amount of net investment income (loss), total expenses andprofit share allocation to an individual Unitholder’s trust capital balance mayvary from these ratios based on the timing of capital transactions anddifferences in individual Unitholder’s brokerage fee and profit shareallocation 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.

 

 

 

----

 

**8.**                      REDEMPTION PAYABLE TO MANAGING OWNER

** **

At December 31, 2007, redemption payable of $6,462,526 was relatedto profit share earned during 2007, allocated to the Managing Owner at year-endand redeemed.

 

 

 

 

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