UNITED STATES


SECURITIES AND EXCHANGE
COMMISSION


Washington, D.C.
20549




FORM 10-Q




þQUARTERLY REPORT PURSUANT TO
      SECTION 13 OR 15(d) OF THE


SECURITIES EXCHANGE ACT OF
      1934




For the quarterly period endedOctober 31,
2009




or




£TRANSITION REPORT PURSUANT TO
      SECTION 13 OR 15(d) OF THE


SECURITIES EXCHANGE ACT OF
      1934




Commission File Numberof Issuing Entity: 333-151523-01




MacroShares Major Metro Housing Down
Trust


(Exact name of issuing entity as
specified in its charter)




Commission File Number of
Depositor:
001-343968




MACROSHARESHOUSINGDEPOSITOR, LLC


(Exact name of depositor as specified in
its charter)




New York
              
              26-2775183(State or other jurisdiction
      of
              
              (I.R.S.
      Employerincorporation or
      organization)
              
              Identification
      No.)





c/o State Street
Bank


and Trust Company,
N.A.


Two World Financial
Center


225 Liberty Street


New York,NY 10281


(917) 790-4284




(Address of principal executive offices,
telephone number, including area code)




Indicate by check mark whether the
registrant (1) has filed all reports required to be filed bySection13 or 15(d) of the Securities Exchange
Act of 1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. YesþNo ̈




Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T on during the
preceding 12 months (or for such shorter period that the registrant was required
to submit and post such files). Yes oNo ̈




Indicate by check mark whether the
registrant is a large accelerated filer, an accelerated filer, or a
non-accelerated filer. See definition of "accelerated filer and large
accelerated filer" inRule12b-2 of the Exchange
Act.




Large accelerated
      filer ̈
            Accelerated filer ̈
            Non-accelerated filer ̈
            Smaller reporting
      companyþ(Do not check if a smaller
      reporting company)




Indicate by check mark whether the
registrant is a shell company (as defined inRule12b-2 of the Exchange Act).Yes ̈Noþ




Number ofMacroShares Major Metro HousingDownTrustshares outstanding as ofOctober 31,2009:  430,000




DOCUMENTS INCORPORATED BY
REFERENCE:


Prospectus of MacroShares Major
Metro Housing Down Trust, dated as of June 26, 2009, file no.
001-34398.



















FORWARD LOOKING
STATEMENTS




This Quarterly Report onForm10-Q contains various "forward-looking
statements" within the meaning ofSection27A of the Securities Act of 1933, as
amended, andSection21E of the Securities Exchange Act of
1934, as amended, and within the Private Securities Litigation Reform Act of
1995, as amended. Forward-looking statements usually include the verbs,
"anticipates," "believes," "estimates," "expects," "intends," "plans,"
"projects," "understands" and other verbs suggesting uncertainty.We remind readers that forward-looking
statements are merely predictions and therefore inherently subject to
uncertainties and other factors and involve known and unknown risks that could
cause the actual results, performance, levels of activity, or achievements, or
industry results, to be materially different from any future results,
performance, levels of activity, or our achievements expressed or implied by
such forward-looking statements.Readers are cautioned not to place undue
reliance on these forward-looking statements, which speak only as of the date
hereof.The Trust undertakes no obligation to
publicly release any revisions to these forward-looking statements to reflect
events or circumstances after the date hereof or to reflect the occurrence of
unanticipated events.


i




TABLE OF CONTENTS




PART
      I.
                                      FINANCIAL
      INFORMATION
                                      1Item
      1.
                                      Financial
      Statements
                                      1Item
      2.
                                      Management's
      Discussion and Analysis of Financial Condition and Results of
      Operations
                                      17Item
      3.
                                      Quantitative
      and Qualitative Disclosures about Market Risk
                                      24Item
      4.
                                      Controls
      and Procedures
                                      24PART
      II.
                                      OTHER
      INFORMATION
                                      25Item
      1.
                                      Legal
      Proceedings
                                      25Item
      1A.
                                      Risk
      Factors
                                      25Item
      2.
                                      Unregistered
      Sales of Equity Securities and Use of Proceeds
                                      25Item
      3.
                                      Defaults
      Upon Senior Securities
                                      25Item
      4.
                                      Submission
      of Matters to a Vote of Security Holders
                                      25Item
      5.
                                      Other
      Information
                                      25Item 6.
                                      Exhibits
                                      26





Exhibits




Exhibit31.1
            Certification Pursuant toSection302(a) of the Sarbanes-Oxley Act
      of 2002Exhibit31.2
            Certification Pursuant toSection302(a) of the Sarbanes-Oxley Act
      of 2002Exhibit32.1
            Certification Pursuant to 18
      U.S.C.Section1350as Adopted Pursuant to
      Section 906 of theSarbanes-Oxley Act of
      2002Exhibit32.2
            Certification Pursuant to 18 U.S.C.Section1350as Adopted Pursuant to
      Section 906 of theSarbanes-Oxley Act of
      2002







ii





PART I.
              FINANCIAL
      INFORMATIONItem 1.
              Financial
      Statements









MacroSharesMajor Metro Housing Down
Trust


Statementsof Financial Condition(Unaudited)




October31,
                      2009
                    
                    
                    April30,
                      2009AssetsCash and cash
      equivalents
                    
                    $
                    10,681,609
                    
                    
                    $
                    1,000Settlement
      contracts and income distribution agreement with
      the
                      Up
      Trust
                    
                    
                    627,667
                    
                    
                    
                    ––Interestreceivable
                    
                    
                    1
                    
                    
                    
                    ––Total
      assets
                    
                    $
                    11,309,277
                    
                    
                    $
                    1,000Liabilities and
      Shareholders’EquityOperating expenses
      payable
                    
                    $
                    138,143
                    
                    
                    $
                    ––Total
      liabilities
                    
                    
                    138,143
                    
                    
                    
                    ––Shareholders’EquityEquity
      attributable to MacroShares Down Trust,
                      $25 par
      value, unlimited amount authorized,430,000issued and
                      outstanding at
      October 31,2009 and
      Founders’Capital Shares,
      $25 par
                      value, 40 shares
      issued and outstanding at April 30,
      2009
                    
                    
                    11,171,134
                    
                    
                    
                    1,000Total
      Shareholders’Equity
                    
                    
                    11,171,134
                    
                    
                    
                    1,000Total
      Liabilities and Shareholders’Equity
                    
                    $
                    11,309,277
                    
                    
                    $
                    1,000





See notes to the unaudited financial
statements


1


MacroShares Major Metro Housing Down
Trust


Statementsof Operations(Unaudited)





For the Three
      Months Ended October 31, 2009
              
              
              
              For the
      period
                from
      June 29,
                2009
                (commencement
                of
      operations)
                toOctober
      31,
                2009Investment
      IncomeInterest
              
              $
              4,087
              
              
              
              $
              5,574Total investment
      income
              
              
              4,087
              
              
              
              
              5,574ExpensesProfessional
      fees
              
              
              68,388
              
              
              
              
              93,984Trustee
      fees
              
              
              43,370
              
              
              
              
              61,992Insurance
              
              
              15,462
              
              
              
              
              20,131Marketing Agent
      fees
              
              
              12,798
              
              
              
              
              17,098Structuring and
      Licensing fees
              
              
              11,905
              
              
              
              
              15,905Administrative
      Agent fee
              
              
              7,440
              
              
              
              
              9,940NYSE Arca Listing
      fee
              
              
              4,946
              
              
              
              
              6,666Printing
              
              
              954
              
              
              
              
              2,000Advertising and
      Investor Education fee
              
              
              1,488
              
              
              
              
              1,988Miscellaneous
              
              
              1,509
              
              
              
              
              2,034Total
      Expenses
              
              
              168,260
              
              
              
              
              231,738Netinvestmentloss
              
              
              (164,173
              )
              
              
              
              (226,164
              )Realized and
      UnrealizedGain
      (Loss)Netchangein
      unrealizeddepreciationon
                settlement
      contracts and income distribution
      agreement
              
              
              1,745,223
              
              
              
              
              (3,048,194
              )Net realizedlosson
      settlement contracts and income
      distribution
                agreement
              
              
              (752,596
              )
              
              
              
              (872,870
              )Net realized and
      unrealizedgain
      (loss)
              
              
              992,627
              
              
              
              
              (3,921,064
              )Netincome
      (loss)
              
              $
              828,454
              
              
              
              $
              (4,147,228
              )Netincome
      (loss)per
      share
              
              $
              1.73
              
              
              
              $
              (8.77
              )Weighted average
      shares outstanding
              
              
              478,804
              
              
              
              
              473,040





See notes to the unaudited financial
statements


2


MacroShares Major Metro Housing Down
Trust


Statement of Changes in Shareholders'
Equity for the period fromJune29, 2009


(commencement of operations) toOctober31, 2009 (Unaudited)








Down
                  MacroShares
                
                
                Founders
                  Equity
                
                
                TotalShareholders’Equity,beginning of
      period
                
                $
                ––
                
                
                $
                1,000
                
                
                $
                1,000Contributions
                
                
                18,260,462
                
                
                
                ––
                
                
                
                18,260,462Redemptions
                
                
                (2,942,100
                )
                
                
                (1,000
                )
                
                
                (2,943,100
                )Netloss
                
                
                (4,147,228
                )
                
                
                ––
                
                
                
                (4,147,228
                )Shareholders’Equity,end of
    period
                
                $
                11,171,134
                
                
                $
                ––
                
                
                $
                11,171,134Share
    ActivityShares outstanding, beginning of
      period
                
                
                ––
                
                
                
                40
                
                
                
                40Contributions
                
                
                540,000
                
                
                
                ––
                
                
                
                540,000Redemptions
                
                
                (110,000
                )
                
                
                (40
                )
                
                
                (110,040
                )Shares outstanding, end of
      period
                
                
                430,000
                
                
                
                ––
                
                
                
                430,000





See notes to the unaudited financial
statements




3


MacroShares Major Metro Housing Down
Trust


Statement of Cash Flowsfor the period from June 29,
2009


(commencement of operations) to
October 31, 2009(Unaudited)









Cashflows from operating
      activities:Netloss
                
                $
                (4,147,228
                )Adjustments to
      reconcile netlossto
      net cash
                  provided by
      operating activities:Net unrealized
      depreciation on settlement contracts and
                  income
      distribution agreement
                
                
                3,048,194Settlement payments made in excess
      of realized losses on      settlement
      contracts and income distribution
      agreement
                
                
                1,310,929Increase in
      operating assets and
      liabilities:Interest
      receivable
                
                
                (1
                )Operating
      expenses payable
                
                
                138,143Net cash provided
      by operations
                
                
                350,037Cash flows from
      financing activities:Contributions
                
                
                13,484,860Redemptions
                
                
                (3,154,288
                )Net cash provided
      by financing activities
                
                
                10,330,572Net increase in
      cash and cash equivalents
                
                
                10,680,609Cash and cash
      equivalents, beginning of period
                
                
                1,000Cash and cash
      equivalents, end of period
                
                $
                10,681,609







See notes to the
unaudited financial statements


4


MacroShares Major Metro Housing Down
Trust


NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS


as ofOctober 31, 2009




A.
            Organization




The MacroSharesMajor Metro Housing DownTrust (the “DownTrust”) is a trust formed under the laws
of the State of NewYork by MacroSharesHousingDepositor, LLC (the “Depositor”), a
Delaware limited liability company withMacroMarkets LLC as its sole member, on
July 11, 2008 pursuant
to a trust agreement entered into by the Depositorand State Street Bank and Trust
Company,N.A.,as trustee (in such capacity, the
“Trustee”). The “Down
TrustAgreement”wasamended and restated in fullon June 29, 2009by the Trustee, the Depositor,
MacroMarkets LLC, as administrativeagent, and MacroFinancial, LLC, as marketing agent (in
such capacities, the “Administrative Agent” and the“Marketing Agent”).TheDown TrustAgreement governs the
activitiesof theDown Trustand specifies the terms of theDown TrustShares. The Depositor has also formed
the MacroSharesMajor Metro
HousingUpTrust (the “UpTrust” and, together with theDown Trust, the “Paired Trusts”). The descriptions
ofthe Paired Trusts in these notes reflect
the provisions of the trust agreements asamendedandrestated as described above.Operations of the Down Trust commenced
on June 29, 2009 (“commencement date”).OnJuly11, 2008, the Depositor and the
Administrative Agent each made an initial deposit of $500 into theDownTrust, for a total initial deposit of
$1,000 (the “Founders’ Equity”).No creations or other activity occurred
between July 11, 2008 and the commencement date.During the period endedOctober31, 2009, the Founders’ Equity of theDownTrust was redeemed and returned to the
Depositor and the Administrative Agent.Each of the Paired Trusts issues shares
on a continuous basis (which are referred to, respectively, as “Up MacroShares”
and “Down MacroShares,” and, collectively, as “Paired Shares”) in minimum
aggregations called “MacroShares Units,” each of which consists of10,000 Up MacroShares and10,000 Down MacroShares. Paired Shares are issued at the
direction of Authorized Participants (as defined herein). The objective of the
Paired Trusts is, in the case of the Up Trust, to provide investors with
investment returns that correspond with thevalueof the S&P/Case-Shiller
Composite-10 Home Price Index, as well as on prevailing interest
rates on U.S. Treasury obligations and, in the case of the Down Trust, to
provide investors with investment returns that correspond inversely with the
value of the S&P/Case-Shiller Composite-10 Home Price Index. The last
published value of the S&P/Case-Shiller Composite-10 Home Price Index is
referred to as the “Reference Value of the Index”. The starting level for the
Reference Value of the Index is 162.17, which is the value published on
February 24, 2009.If the Reference Value of the Index
falls below its starting level, the Down Trust’s underlying value will increase
to include all of its assets plus a portion of the assets of the Up Trust. This
portion of assets due from the Up Trust will be tripled by a “leverage factor”
of 3. Conversely, if the level of the Reference Value of the Index rises above
its starting level, the Down Trust’s underlying value will decrease, because a
portion of its assets will be included in the underlying value of its paired Up
Trust, such portion being tripled by the leverage factor of 3. The range of
values for the Reference Value of the Index that can be reflected by the
underlying value of the Down MacroShares is between 108.11 and
216.23.OnJune29, 2009, the Starting Level was
established as162.17and as a result, the maximum range
within which the Paired Shares will provide returns is108.11to216.23. There can be no assurance that the
Paired Trusts will achieve their investment objective.




The trustee deposits one-half of the
aggregate funds received by it in connection with an issuance of paired shares
into the Up Trust and the other half into the Down Trust, without regard to the
per share underlying values at which the Up and Down MacroShares were issued, in
order to preserve the one-to-one ratio of cash and treasuries on deposit (such
cash and treasuries on deposit, less accrued operating
expensesbeing referred to
as the “Investment Amount”) in the Paired Trusts. The proportion of the
Investment Amounts in the Up Trust and the Down Trust of 1:1 will be maintained
throughout the entire life of the Paired Trusts by virtue of the requirement
that redemptions and issuances must be done in MacroShares units composed of an
equal number of Up MacroShares and Down MacroShares. Up MacroShares and Down
MacroShares are issued at underlying value, and the difference between the
underlying value of the Up MacroShares and Down MacroShares issued and the
amount deposited into each Trust is attributable to the effects of the
provisions of the Settlement Contracts and Income Distribution Agreement (both
of which are described below).


5
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


The underlying value formula described
in the prospectus and the requirement thatDownMacroShares can only be issued and
redeemed in paired optional redemptions and paired issuances and only in the
form of MacroShares units, is intended to ensure thata 2.1624 index pointchange in the Reference Value of the
Index will result in a $1.00change in the per share underlying
value of eachDownMacroShare.If the amount of cash and treasuries in
the Down Trust is less than the aggregate par amount of the Down MacroShares (as
was the case at  October  31, 2009), because the fees and
expenses of the Down Trust have exceeded its treasury income during the period
ended October 31, 2009, a specified change in the Reference Value of the
Index will still result in the same percentage change in per share
underlying value, but not the same dollar amount, because each Down MacroShare
will represent, in effect, a smaller inverse exposure to housing.The “underlying value’ of theDownTrust’s shares represents that portion
of the proceeds of the assets of theDownTrust that would be distributed in
conjunction with a redemption and as a final distribution upon termination if
the Paired Holding Trusts were to settle the settlement contracts and theDownTrust were to make a final distribution
on theDownMacroShares.The underlying value per share of theDownMacroShares atOctober 31, 2009 was$26.44 and the fair value per share of
the Down Macroshares at October 31, 2009 was
$25.98.




The assets of theDownTrust consist of cash, U.S. government
securities, repurchase agreements collateralized by U.S. government securities
(collectively referred to as “treasuries”) and over-the-counter derivative
instruments entered into between the Paired Trusts. The interest income on the
treasuries during a calculation period, less the expenses of theDownTrust for that period, is referred to
as the “Available Income Accrual” for that period. The derivative instruments
consist of the “Income Distribution Agreement,” which is described below, and
the“Settlement Contracts” which provide
that theDownTrust will be entitled to receive from,
or be required to make to, theUpTrust a payment at the termination of
each of these contracts in an amount that reflects thepercentage change between the settlementvalueof S&P/Case-Shiller Composite-10
Home Price Index (the “Closing Price”) at the time when the Settlement Contracts
are terminated and the Starting Level of162.17.The S&P/Case-Shiller Composite-10
Home Price Indexis a
weighted average of the following 10 S&P/Case-Shiller Metro Area Home Price
Indices: the S&P/Case-Shiller Boston Home Price Index, the
S&P/Case-Shiller Chicago Home Price Index, the S&P/Case-Shiller Denver
Home Price Index, the S&P/Case-Shiller Las Vegas Home Price Index, the
S&P/Case-Shiller Los Angeles Home Price Index, the S&P/Case-Shiller
Miami Home Price Index, the S&P/Case-Shiller New York City Area Home Price
Index, the S&P/Case-Shiller San Diego Home Price Index, the
S&P/Case-Shiller San Francisco Home Price Index, and the
S&P/Case-Shiller Washington DC Home Price Index. The value of the
S&P/Case-Shiller Composite-10 Home Price Index on any index publication date
reflects home prices measured during the second, third and fourth calendar
months preceding the month in which that index publication date occurs. An index
publication date is the business day in each calendar month on which S&P
publishes the value of the S&P/Case-Shiller Composite-10 Home Price Index.
S&P publishes this value on the last Tuesday of each calendar month or, if
that day is not a business day, on the next succeeding business day, at 9:00 AM
New York City time.




For purposes of determining the
underlying value at which Paired Shares are redeemed or created,each Settlement Contract is valued on
each “New York Business Day” (any day on which stock exchanges and New York
money center banks are open for business) based on theReference Value of the Indexand the resultingpercentage changefrom the Starting Level and the sum of
theDownTrust earned income accruals (as
defined below) for each day that has elapsed during the current calculation
period, up to and including the current business day. The performance
obligations of the Paired Trusts to each other under the Settlement Contracts
are collateralized by cash, U.S. government securities and repurchase agreements
backed by U.S. government securities that are held in each of the Paired Trusts.
TheDownTrust’s obligations are leveragedby a factor of three
(“leveraged settlement factor”)and theDownTrust realizes capital gains or losses
only when a Settlement Contract is terminated in connection with a Paired
Optional Redemption, an early termination or the final scheduled termination of
the Paired Trusts.




The “Leveraged Settlement Factor” will equal (3*(settlement
factor-1)+1). The “settlement factor” for any date of measurement equals
(RVIt/ RVI0), where RVItequals the Reference Value of the Index
on such date of measurement and RVI0equals the Reference Value of the Index
that was published on February 24, 2009 (162.17). The settlement factor for
any calendar day is equal to the Reference Value of the Index that was published
on that day (referred to as the “ending level” divided by the Reference Value of
the Index that was published on February 24, 2009 (162.17) (referred to as
the “starting level).Once
the settlement factor has been calculated, it will be tripled by the leverage
factor, by first subtracting the number 1, multiplying by 3 and then adding back
the number 1.




6
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


The "Income Distribution
Agreement" entered into
between the Paired Trusts is the means for allocating between the
PairedTrusts the daily income accrual on the
U.S. government securities and other assets on deposit in the trusts, net of
expenses. Under the Income Distribution Agreement,iftheDownEarned Income Accrual for a Calculation
Period is less than the Down Available Income Accrual for that Calculation
Period, the Down Trust will be required to make a payment to the Up Trust on the
Distribution Date that follows that Calculation Period; if the Up Earned Income
Accrual for a Calculation Period is less than the Up Available Income Accrual
for that Calculation Period, the DownTrustwill be entitled to receive a payment
from the Up Trust on the next Distribution Date.




Payments under the Income Distribution
Agreement with respect to each Distribution Date are calculated as
follows:




*
            if the Down Earned Income Accrual
      for the preceding Calculation Period is less than the Available Income of
      the Down Trust on that Distribution Date, the Down Trust must make a
      payment to the Up Trust under the income distribution agreement in an
      amount equal to the positive difference between the Down Available Income
      and the Down Earned Income Accrual for such Calculation Period;
      and




*
            if the Up Earned Income Accrual
      for the preceding Calculation Period is less than the Available Income of
      the Up Trust on that Distribution Date, the Down Trust will be entitled to
      receive a payment  from the Up Trust under the income
      distribution agreement in an amount equal to the positive difference
      between the Up Available Income and the Up Earned Income Accrual for such
      Calculation Period.




The range of values for the Reference
Value of the Index is limited under the income distribution agreement from
108.11 to 216.23. For any day on which the Reference Value of the Index is equal
to or greater than 216.23, the Down Trust will be required to pay over all of
its Available Income to the Up Trust. If the Reference Value of the Index is
greater than 216.23 on any day, the Down Trust will not have any further
liability to the Up Trust under the income distribution agreement other than its
obligation to pay over the entire amount of its Available Income for that day.
For any day on which the Reference Value of the Index is equal to or less than
108.11, the Down Trust will be entitled to receive all of the Up Trust’s
Available Income. If the Reference Value of the Index is less than 108.11 on any
day, the Down Trust will not have any further claim against the Up Trust under
the income distribution agreement other than its entitlement to receive the
entire amount of its Available Income for that day.




Distribution Dates are the third
business day prior to the last business day of March, June, September and
December of each year, commencing in September of
2009.




If on any distribution date theDownTrust does not have any available
income and does not receive any available income from theUpTrust,as was the case on the September 2009
Distribution Date,it will
not make any quarterly distribution to its shareholders on that distribution
date.




As ofOctober31, 2009, market interest rates on
securities permitted to be owned by the Paired Trusts were below the fee
deduction amount charged by theDownTrust.Accordingly, the ability of the Trust to
makefuturedistributions to investors will be
reduced, and possibly eliminated, until such time as market interest rates
exceed the fee deduction amount, and the deficiency in the amount that
is invested must be made out of income received on subsequent distribution dates
until the amount invested does equal the Down Aggregate Par Amount.At October 31, 2009, the
deficiency in the amount invested measured against the Down Aggregate Par Amount
approximated$206,500.




The Settlement
Contracts




Upon each issuance ofDownMacroShares as part of a MacroSharesUnit in a Paired Subsequent Issuance,
theDownTrust enters into a new Settlement
Contract with theUpTrust.For each New York Business Day, the
Paired Optional Redemptions and Paired Subsequent Issuances ordered on that day
are netted for purposes of determining how many Settlement Contracts need to be
entered into or terminated on that day; however, one Settlement Contract must
always be outstanding for one MacroSharesUnit of outstanding Paired
Shares.Under the Settlement Contracts, theDownTrust is either (1) required to deliver
all or a portion of its assets (held in the form of cash, government securities
and repos) to theUpTrust or (2) entitled to receive all or
a portion of the assets (held in the form of the same types of assets) of theUpTrust.The settlement payments made or received
pursuant to the Settlement Contracts are based on the difference between theReference Value of the
Indexand its Starting
Level on the day on which a redemption order for Paired Shares is delivered to
the Administrative Agent.The final distribution on theDownMacroShares depends upon the settlement
payment that theDownTrust will either be required to make
or be entitled to receive under the Settlement Contracts when such contracts are
settled in connection with Paired Optional Redemptions, early terminations or
the final scheduled termination of theDownTrust.




7
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


The settlement obligations of the Paired
Trusts under the Settlement Contracts are fully supported by the cash,
government securities and repos held by each trust.




As a result of the Settlement Contracts
and Income Distribution Agreement, the “Underlying Value” of theDownTrust will equal, on any Price
Determination Day occurring during any Calculation Period:




The Underlying Value of the Down Trust
is calculated for each calendar day as follows:




*
            Thesumof the Down
      Earned Income Accruals for each day that has elapsed during the current
      calculation period up to and including the current calendar
      day




plus




*
            The Down Investment Amount for the
      current calendar daymultipliedby (2minusthe Leveraged Settlement Factor),
      calculated as of the current calendar
  day.




The “Leveraged Settlement Factor” will equal (3*(settlement
factor-1)+1).




The “settlement factor” for any date of
measurement equals (RVIt/ RVI0), where RVItequals the Reference Value of the Index
on such date of measurement and RVI0equals the Reference Value of the Index
that was published on February 24, 2009 (162.17). The settlement factor for
any calendar day is equal to the Reference Value of the Index that was published
on that day (referred to as the “ending level”) divided by the Reference Value
of the Index that was published on February 24, 2009 (162.17) (referred to
as the “starting level”). Once the settlement factor has been calculated, it
will be tripled by the leverage factor, by first subtracting the number 1,
multiplying by 3 and then adding back the number 1.




The Underlying Value of theDownTrust for anybusiness day thatis followed by one or more days that
are notbusiness
dayswill include theDownEarned Income Accruals for each of these
days, calculated on the basis of theapplicable ReferenceValueofthe Index on the currentbusiness day. The Underlying Value of theDownTrust on any day that is not abusiness daywill be equal to its Underlying Value on
the last precedingbusiness
day.




Distributions




Each shareholder who is a registered
holder ofDownMacroShares on the Record Date will be
entitled to receive the Quarterly Distribution, as calculated below. The
Quarterly Distribution will be paid out to shareholders on the Distribution
Payment Date that follows each Distribution Date.




The Underlying Value of theDownTrust on each Distribution Date will be
calculated before Available Income, if any, is deducted from that Underlying
Value and set aside for payment as a Quarterly Distribution on the related
Distribution Payment Date. As a result, the Underlying Value of theDownTrust on the day following each
Distribution Date will reflect a relative decrease from the Underlying Value on
that Distribution Date that will be unrelated to any movement in the level of
the ReferenceValueofthe Index.




On each Distribution Date, other than on
the Final Scheduled Termination Date or an Early Termination Date and other than
with respect to any shares for which a redemption order was placed and settled
prior to the related Record Date, theDownTrust will declare a “Quarterly
Distribution” on each outstandingDownMacroShare equal to the sum ofDownEarned Income Accruals for each day of
the preceding Calculation Period divided by the aggregate number of outstandingDownMacroShares on that Distribution
Date.




On the Distribution Payment Date that
follows each Distribution Date, theDownTrust will distribute such amount on
each outstandingDownMacroShare.




Distributions of theDownEarned Income Accruals on the Final
Scheduled Termination Date, an Early Termination Date or any Redemption Date
will be made as part of the Final Distribution that is made on those
dates.




8
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


If available, an amount equal to theDownAggregate Par Amount will always be
reinvested by the Trustee, at the direction of the Administrative Agent, in new
treasuries on each Distribution Date unless that Distribution Date is the Final
Scheduled Termination Date or an Early Termination Date. If a redemption order
is delivered on a Distribution Date or on the day preceding a Distribution Date,
theDownAggregate Par Amount will first be
reduced by the aggregate par amount of anyDownMacroShares being redeemed on that
date. If, after expenses, the funds remaining on deposit in theDownTrust on any Distribution Date are
equal to or less than theDownAggregate Par Amount, then all of these
remaining funds must be reinvested in treasuries and the trust will have no
Available Income on that date. If less than theDownAggregate Par Amount is invested in
treasuries on any Distribution Date, the deficiency in the amount that is
invested must be made up out of income received on subsequent Distribution Dates
until the amount invested does equal theDownAggregate Par Amount.At October 31, 2009 the amount
invested (less net operating expenses paid or payable) and the Down Aggregate
Par Amount approximated$10,543,500and$10,750,000,respectively, resulting in a deficiency
of approximately $206,500that must be made up out of income
received on subsequent Distribution Dates.




Issuance and
Redemption




Paired Shares are only created and
redeemed, andDownMacroShares are only created and
exchanged, through entities who are banks, broker-dealers or other participant
members of The Depository Trust Company ("DTC") who have executed a contract
with the Trustee and the Administrative Agent ("Authorized
Participants").




Authorized Participants may direct the
issuance and redemption ofDownMacroShares andUpMacroShares in MacroShares Units on a
continuous basis. “Paired Issuances” are all issuances of Paired Shares in
MacroShares Units that occur at any time after the formation of the Paired
Trusts, and “Paired Optional Redemptions” are all optional, shareholder-directed
redemptions of Paired Shares in MacroShares Units. Paired Shares are always
issued in Paired Issuances and always redeemed in Paired Optional Redemptions at
a specified redemption price equal to the combined underlying values of the
Paired Trusts attributable to the shares being issued or redeemed. The final
distribution made on theDownMacroShares being redeemed in a Paired
Optional Redemption will equal the ratable portion of the net assets of theDownTrust that are remaining in the trust
after it has made or received a settlement payment under each Settlement
Contract that was terminated in connection with such redemption. The market
price of theDownMacroShares orUpMacroShares at the time of the
redemption of any Paired Shares will have no effect on or relation to the price
at which the applicable trust is required to redeem those
shares.




Orders for Paired Issuances and Paired
Optional Redemptions will be accepted from Authorized Participants on each New
York Business Day. Paired Issuances and Paired Optional Redemptions can be
settled on order date plus one business day, except that, any redemption order
that is delivered on a distribution date or on the business day following a
distribution date will be settled on the third business day following the
redemption order date to ensure that any Authorized Participant who places a
redemption order on these two days will still be considered a holder of record
on the record date and, therefore, eligible to receive its quarterly
distribution, if any, for the preceding calculation period.




B.
            Significant
      Accounting Policies




The following is a summary of the
significant accounting policies that are consistently followed by theDownTrust in the preparation of its
financial statements.




Basis of Accounting




The policies are in conformity with
accounting principles generally accepted in the United States
(“GAAP”).The preparation of financial statements
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities on the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period
presented in the accompanying financial statements (the "Reporting
Period").Actual results could differ from those
estimates.For
financial reporting purposes, the Trust has adopted an April 30 fiscal year
end.The accompanying
financial statements include a statement of financial condition as of April 30,
2009 representing the issuance of Founders’ Capital Shares on July 11,
2008. As the Down Trust did not commence operations until June 29, 2009,
statements of operations, changes in shareholders’ equity and of cash flows for
the period ended October 31, 2008 have been omitted.




In June
2009, the Financial Accounting Standards Board (“FASB”) issued Statement of
Financial Accounting Standards (“SFAS”) No. 168, “The FASB Accounting Standards
Codification (“ASC”) and the Hierarchy of Generally Accepted Accounting
Principles,” which has become the source of authoritative U.S. GAAP recognized
by the FASB to be applied to nongovernmental entities. This supersedes non-SEC
accounting and reporting standards and is effective for financial statements
issued for interim and annual periods ending after September 15, 2009. This
adoption by the Trust has changed the Trust’s references to U.S. GAAP accounting
standards but did not impact the Trust’s results of operations or financial
position.





9
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


General




Under GAAP, U.S. government securities
and repurchase agreements are accounted for on a trade date basis. Interest
income, adjusted for the amortization of premium and accretion of
discounts,is earned from settlement date and is
recorded on an accrual basis.Expenses are recorded on an accrual
basis as incurred.




Cash and Cash
Equivalents




TheDownTrust considers all highly liquid
investments with original maturities of less than 90 days to be cash
equivalents.




TheDownTrust invests in debt securities issued
by the U.S. government and repurchase agreements (or "repos") collateralized by U.S. government
securities, which have, in each case, remaining maturities or terms of less than
ninety (90) days.TheDownTrust may enter into repurchase
agreements with banks and broker-dealers whereby theDownTrust acquires a U.S. debt security for
cash and obtains a simultaneous commitment from the seller to repurchase the
security at an agreed upon price and date.TheDownTrust, through its custodian, takes
possession of securities that are used as collateral.In connection with transactions in
repos, if the seller defaults or enters into insolvency proceedings and the
value of the collateral declines, recovery of cash by theDownTrust may be delayed or limited. The
U.S. government securities and repos are valued at amortized cost, which
approximates market value.




The Settlement
Contracts




For the purpose of determining the
underlying value at which Paired Shares are redeemed or created, each daily
recording of the difference between theReference Value of the Indexand the Starting Level is referred to
as the daily calculation of the amount due to or from theDownTrust under the Settlement
Contract.If theReference Value of the Indexis less thanits Starting Level an asset receivable
is recorded as being due from theUpTrust under the Settlement
Contracts.If theReference Value of the Indexexceedsits Starting Level, a liability payable
to theUpTrust is recorded under the Settlement
Contracts.If theReference Value of the Indexequals its Starting Level, no
accounting entry is recorded.




For the purpose of financial reporting,
the settlement contracts constitute derivative contracts. Accordingly, the
settlement contracts are recorded in the financial statements at fair value, as
determined by the Administrative Agent. As there is no market for the settlement
contracts, and no such market is expected to develop, the Administrative Agent
determines the fair value of the settlement contracts by reference to various
inputs, including the contractual amount due to or from the other trust,
applicable market indices, and the prices of transactions inDownMacroShares on theNYSE Arca.The fair value of the settlement
contracts as determined in good faith by the Administrative Agent could differ
from the value that would have been determined had a market for the settlement
contracts existed, and the differences could be material.The fair value of the settlement
contracts created onJune29, 2009 and the settlement contracts
held by theDownTrust as ofOctober31, 2009,and on various creation or redemption
dates during theReporting
Periodfor financial
reporting purposes was different from the value used to determine underlying
value, as defined previously.




Income Distribution
Agreement




Under the Income Distribution Agreement
with theUpTrust, theDownTrust, on each quarterly distribution
date, is either (1) required to pay all or a portion of its income from its
government securities and repos, after deduction of a fixed number of basis
points (a basis point being 1/100 of onepercent) and an accrual for other expenses, for
the payment of fees and expenses, to theUpTrust or (2) entitled to receive all or
a portion of theUpTrust's income, after theUpTrust has deducted a fixed number of
basis points for the payment of its asset-based expenses and an accrual for
other expenses.




10
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


For the purpose of determining the
underlying value at which Paired Shares are redeemed or created, if theReference Value of the
Indexon any New York
Business Day exceeds its Starting Level, the Up Trust records a payment
obligation to be made to it by the Down Trust under the Income Distribution
Agreement as an asset receivable for that day.If theReference Value of the Indexis less than its Starting Level on any
New York Business Day, the Up Trust records a liability payable to the Down
Trust under the Income Distribution Agreement.If theReference Value of the Indexequals its Starting Level, no
accounting entry is recorded.For any day that is not a New York
Business Day, theReference
Value of the Indexfrom the
last preceding New York Business Day is used to calculate the asset or liability
under the Income Distribution Agreement for that day.The assets receivable and liabilities
payable by theDownTrust for each day of the Calculation
Period are netted in order to determine whether theDownTrust will make a payment to, or be
entitled to receive a payment from, theUpTrust on the quarterly distribution
date, prior to distributing its income to its shareholders.




For the purpose of financial reporting,
the Income Distribution Agreement constitutes a derivative contract.
Accordingly, theDownTrust records the Income Distribution
Agreement in the financial statements at fair value, as determined by the
Administrative Agent. As there is no market for the Income Distribution
Agreement, and no such market is expected to develop, the Administrative Agent
determines the fair value of the income distribution contract by reference to
various inputs, including the contractual amount due to or from the other trust
as well as the factors considered in the valuation of the settlement contracts
as described above. The fair value of the Income Distribution Agreement as
determined in good faith by the Administrative Agent could differ from the value
that would have been determined had a market for the Income Distribution
Agreement existed, and the differences could be material.The fair value of the Income
Distribution Agreement held by theDownTrust on the initial creation date,June29, 2009, and as ofOctober31, 2009and on various creation and redemption
dates during the Reporting Periodfor financial reporting purposes was
different from the value used to determine underlying value, as defined
previously.




Fair Value




In accordance with ACS 820 -  Fair
Value measurements fair value is defined as the price that theDownTrust would receive upon selling
the cash equivalents, settlement contracts, and income distribution
agreement in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment. Recent disclosure
requirements established a three-tier hierarchy to maximize the use of
observable market data and minimize the use of unobservable inputs and to
establish classification of fair value measurements for disclosure purposes. The
three-tier hierarchy of inputs is summarized in the three broad Levels listed
below.




·
            Level 1 – quoted prices in active
      markets for identical
investments




·
            Level 2 – other significant
      observable inputs (including quoted prices for similar investments,
      interest rates, prepayment speeds, credit risk,
    etc.)




·
            Level 3 – significant unobservable
      inputs (including theDownTrust’s own assumptions in
      determining the fair value of
  investments)




The following is a summary of the inputs
used as ofOctober31, 2009:




Level 1 – Quoted Prices (cash
      equivalents consisting of U.S. Treasury bills)
              
              $
              10,293,489Level 2 – Other Significant
      Observable Inputs:-  
      Overnight repurchase agreements collateralized by U.S. government
      securities
              
              
              388,000-  
      Settlement contracts and the income distribution agreement
              
              
              627,667Level 3 – Significant Unobservable
      Inputs
              
              
              ––Total
              
              $
              11,309,156




11
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009







Summary of Level 3 Inputson Fair Valuation of
      Settlement Contracts and the Income Distribution
      Agreement:Period
      from
                                August 1, 2009
      to
                                October 31,
      2009
                              
                              
                              Periodfrom
                                June 29,
      2009
                                (commencement of
                                operations)to
                                October 31,
      2009Balance at
      beginning of period
                              
                              $
                              ––
                              
                              
                              
                              ––Creation
      Activity
                              
                              
                              ––
                              
                              
                              $
                              2,053,200Redemption
      Activity
                              
                              
                              ––
                              
                              
                              
                              ––Realized and
      Unrealized Gains or Losses
                              
                              
                              ––
                              
                              
                              
                              418,100Transfers in or
      out of Level 3 in response to changes of significant
      inputs
                              
                              
                              ––
                              
                              
                              
                              (2,471,300
                              )*Balance at end of
      period
                              
                              $
                              ––
                              
                              
                              $
                              ––


*
              The
      transfer out of Level 3 was in response to the initiation of trading
      of Down Trust shares on NYSE Arca, and in sufficient volumes, to use
      quoted prices (Level 2 input) on which to base fair valuation
      determination.


Federal Income Taxes




TheDownTrust is treated as a partnership for
federal income tax purposes and, therefore, no provision for federal income
taxes is required.




C.
            Operating
      Expenses and Related PartyExpenses




Operating expenses are deducted daily
from the income earned by theDownTrust in an amount equal to the product
of the trust's assets, including Treasuries and cash (but excluding the value of
the settlement contracts and the Income Distribution Agreement), held by theDownTrust on each day (the "DownTrust Asset
Amount") and (i) a rateof 125basis points (one basis point equals
0.01%) per annum and an estimated fixed annual amount of approximately $600,000
divided by 365 or 366, depending upon the number of days in the current
year.




C1.           Related
Party Expenses




Pursuant to theDownTrust Agreement, theDownTrust, commencing onJune29, 2009, pays MacroMarkets LLC a fee
that accrues daily at an annualized rate of 0.25% of theDownTrust Asset Amount for acting as the
Administrative Agenton
behalf of the trust and for sublicensing to the trust the right to reference the
S&P/Case-Shiller Composite-10 Home Price Index.The fee for thethree monthsendedOctober31, 2009and for the period from June 29, 2009
(commencement of operations) to October 31, 2009 was $7,440 and $9,940, respectively.




TheDownTrust pays MacroMarkets LLC, in
addition, (i) a licensing fee for the use of its intellectual property related
to the patented MacroShares structure, which accrues daily at an annualized rate
of0.20%oftheDownTrust Asset Amount, (ii) a structuring
fee for structuring the product, which accrues daily at an annualized rate of0.20%oftheDownTrust Asset Amount,and paysMacro Financial, LLC, an affiliate of
MacroMarkets LLC,(i)a marketing fee for
acting as Marketing Agent for the trust, which accrues daily at an annualized
rate of0.43%of theDownTrust Asset Amountand (ii) a fee to be used for
advertising and investor education, which accrues daily at an annualized rate of
0.05% of the Down Trust Asset Amount.The MacroMarkets, LLC and Macro
Financial, LLC fees for acting in these capacities for thethree months ended October 31, 2009 and
for the period from June 29, 2009 (commencement of operations) to October 31,
2009were
$26,191and$34,991, respectively.




In addition, Macro Financial, LLC
receives a fee of $0.05 per share directly from the Authorized Participants in
connection with each Paired Issuance. This fee represents reimbursement for the
upfront launch costs in connection with the offering of Up and Down MacroShares
which were incurred by Macro Financial, LLC and such fee will be charged for
each Down MacroShare created at any time after June 29, 2009 until an
aggregate amount of $1,222,526 has been reimbursed to it. During the three
months ended October 31, 2009 and the period from June 29, 2009
(commencement of operations) to October 31, 2009, Macro Financial, LLC has
informed the Down Trust that it received$3,000and $7,000, respectively in launch cost
recovery fees related to the creation of Down MacroShares.




12
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


C2.           Trustee
Fees




Pursuant to the Declaration of theDownTrust, the Trustee receives a fee with
respect to the services for theDownTrustwhich accrues dailyin an amount equal to the product of a
per annum rate of 0.12%of
theDownTrust Asset Amountor an annual minimumfee, whichever is greater.The annual minimum fee for the initial
fiscal year (period from June 29, 2009 (commencement of operations) to April 30,
2010) is $85,417, and increases to $143,750 for the fiscal year ending April 30,
2011, and to $150,000 for fiscal years thereafter.Trustee fees, including a technology fee
reimbursement,for thethree months ended October
31, 2009 and for theperiodfrom June 29, 2009
(commencement of operations) toOctober 31, 2009 were$43,370 and$61,992, respectively.In addition, the Trustee receives a fee
of $250 ($2,000 prior to
July 20, 2009)directlyfrom the
Authorized Participants in connection with each Paired Issuance or Paired
Optional Redemption.




State Street Bank and Trust Company,
N.A., a national bank chartered by the Office of the Comptroller of the
Currency, is the "Custodian" of the trust assets on behalf of theDownTrust.




D.
            Distributions




The Trustee of theDownTrust willnormallymake quarterly and final distributions
to each person who was a "Registered
Owner," which is the
depository or nominee thereof in which name theDownMacroShares are registered, on the
record date that preceded such distribution date. The amount of the quarterly
distributions may consist of interest and other income received on the debt
securities issued by the U.S. government and repos, income received by theDownTrust under the Income Distribution
Agreement, and all paid-in interest associated with any paired
issuances.Distribution Dates are typically the
third business day prior to the last business day of March, June,
September and December of each year,commencing in September of
2009.The ability of the
Down Trust to make future distributions to investors will be reduced, and
possibly eliminated, until such time as market interest rates exceed the fee
deduction amount, and the deficiency in the amount that is invested, less
expenses, is made up out of income received on subsequent distribution dates. At
October 31, 2009, the deficiency in the amount invested measured against the
Down Aggregate Par Amount approximated $206,500.When made by the Down Trust, the
quarterly and final distributions will occur after all expenses of the Down
Trust have been paid.




E.
            Share
      Transactions




Issuances and redemptions ofDownMacroShares are reflected in these
financial statements at the value of the equity attributable to such shares at
time of issuance or redemption, based on GAAP, which may differ from underlying
value.




For the period from June 29, 2009
to October 31, 2009,540,000of the Down MacroShares were created at
the value of the equity
attributable to such sharesof $18,260,462, with an underlying value
of $16,200,950.Of these
amounts, the Down Trust issued 400,000 shares to the initial Authorized
Participant at the value of the equity attributable to such shares of
$14,000,000 or $35.00 per share.TheDownTrust receives, for each share issued,
cash equal to one-half of the combined Underlying Value of theDownTrust and theUpTrust.The increase/decreasein the contractual value of the
settlement contracts and income distribution agreement resulting from
creations and redemptionsresults in the net
increase/decreasein net assets per share on
creationsand
redemptionsbeing equal to
underlying value per share on the date of issuanceor redemption.Similarly, the increase/decrease in the
fair value of the settlement contracts from creations and redemptions results in
the net increase/decrease in net assets from creations and redemptions for
financial reporting purposes being equal to the equity attributable to such
shares on the date of issuance and redemption. Accordingly, such
increase/decrease in fair value is included as a part of the
contributions/redemptions in the Statement of Changes in Shareholders’ Equity.
For the period from June 29, 2009 (commencement of operations) to October
31, 2009, 110,000 Down MacroShares were redeemed at the value of the equity
attributable to such shares of $2,942,100 with an underlying value of
$3,153,288. In addition,shares representing initial Founder’s
Equity discussed above,were also redeemed in theperiodfrom June 29, 2009 (commencement of
operations) to October 31, 2009.




For the three months ended
October 31, 2009,60,000 of the Down
MacroShares were created at the value of the equity attributable to such
sharesof$1,393,574,with an underlying valueof $1,775,087.During the same period,
80,000 Down MacroShares were redeemed at the value of the equity attributable to
such sharesof
$2,016,000with an
underlying value of $2,243,512.




13
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


TheDownMacroShares are classified as
“redeemable” for financial statement purposes, because they are subject to
continuous redemption as described in the prospectus for such shares. Individual
investors cannot purchase or redeem shares in direct transactions with theDownTrust.TheDownTrust only deals with Authorized
Participants, who may redeemDownMacroShares at any time (but only
together withUpMacroShares in the prescribed minimum
aggregations that constitute MacroShares Units), provided that optional
redemptions of shares may be suspended in certain circumstances which are
described in the trust agreement.




F.        Indemnifications




Under theDownTrust’s TrustAgreement, the Authorized Participant
Agreements and certain licensing agreements, the Depositor, the Trustee,
Standard &
Poor’s, the Authorized
Participants,MacroMarkets LLC,and Macro Financial LLCare indemnified by theDownTrust against any liability or expense
that any of them may incur in connection with the service and licensing
agreements into which they entered with theDownTrust that is not the result of gross
negligence, bad faith, willful misconduct or reckless disregard on their part.
TheDownTrust's maximum exposure under these
indemnification arrangements (as set forth in their respective trust agreement,
the Authorized Participant Agreements and certain licensing agreements) is
unknown and dependent upon future claims that may be made against theDownTrust based on events that have not yet
occurred. However, theDownTrust expects the risk of loss to be
remote.




G.
            Recent
      Accounting Pronouncements




In March
2008, new disclosures about Derivative Instruments and Hedging Activities, which
are now part of ASC 815, were issued and were effective for fiscal years
beginning after November 15, 2008. The adoption of the new requirements did not
impact the Down Trust’s financial condition and results of
operations.
 
 On May
28, 2009, the FASB issued new disclosure requirements on “Subsequent Events”
which are now part of ASC 855 and provided general standards of accounting for
and disclosure of events that occur after the balance sheet date but before
financial statements are issued or are available to be issued. In addition it
required the disclosure of the date through which an entity has evaluated
subsequent events and the basis for that date. The adoption of the requirement,
which was effective June 30, 2009, did not impact the Down Trust’s financial
condition and results of operations.
 
 On April
9, 2009, the FASB issued a new standard “Determining Fair Value When the Volume
and Level of Activity for the Asset or Liability Have Significantly Decreased
and Identifying Transactions That Are Not Orderly” which is now part of ASC 820.
It provided guidance for determining whether a market is inactive and a
transaction is distressed. In addition, it requires enhanced disclosures
regarding financial assets and liabilities that are recorded at fair value. The
requirement was effective for interim and annual reporting periods ending after
June 15, 2009. The application of the standard did not have an impact on the
Down Trust’s financial condition or results of operations.
 
 On April
9, 2009, the FASB issued new guidance, “Interim Disclosures about Fair Value of
Financial Instruments” which is now part of ASC 820 and requires expanded
disclosures for all financial instruments and are effective for the Down Trust’s
quarterly financial statements for the period ended October 31, 2009. The
adoption of the standard did not impact the Down Trust’s financial condition and
results of operations.


14
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009


H.        Concentration
Risk




TheDownTrust's performance at underlying value
is determined by theReference ValueoftheIndex.Therefore, the primary risk of loss to
theDownTrust comes from fluctuations in
theReference
Valueof the
Index.The Starting Level
for the Reference Value of the Index for purposes of the transactions of the
Down Trust is 162.17. The
maximum value of the Index for which the Up Trust can deliver positive
investment returns at underlying value corresponding to the Reference Value of
such Index is equal to 216.23.(Conversely, the minimum level of the
Index for which the Down Trust can deliver positive investment returns at
underlying value corresponding inversely to thevalueof such Index is108.11).Also, theDownTrust is exposed to possible
indemnification obligations, as described above.An additional risk comes from interest
rate fluctuations, which affect the total amount of income earned by the Paired
Trusts.In addition, State Street Bank and Trust
Company, N.A. holds 100% of the cash and cash equivalents on
deposit.There are risks in terms of exposure to
State Street Bank and Trust Company, N.A. in that theDownTrust may potentially lose all or a
portion of the cash that is held at State Street Bank and Trust Company,
N.A.




I.
            Termination
      of the Trust




TheDownTrust is scheduled to be terminated onNovember25, 2014.On such date, the holders of anyDownMacroShares which remain outstanding
will receive the net assets of theDownTrust after the settlement and
termination of all outstanding Settlement Contracts in the same manner as such
contracts would be settled and terminated in connection with any Paired Optional
Redemption. The Income Distribution Agreement will also be terminated on this
date, but no settlement obligations will be due thereunder.




Additional termination events of theDownTrust consist of(i) S&P fails to publish the
S&P/Case-Shiller Composite-10 Home Price Index or S&P fails to make the
Reference Value of the Index available to the Paired Trusts for purposes of
calculating Underlying Value, in either case, for three (3) consecutive Index
Publication Days, (ii) for three (3) consecutive Index Publication Days, the
S&P/Case-Shiller Composite-10 Home Price Index level is equal to or below
108.11 or equal to or above 216.23. At and above an index level of 216.23, the
Up Trust would be entitled to 100% of the Down Trust’s assets under the
settlement contracts and at and below an index level of 108.11, the Down Trust
would be entitled to 100% of the Up Trust’s assets under the settlement
contracts, (iii)either of
the Paired Trusts becomes required to register as an "investment company" under
the Investment Company Act of 1940, as amended;(iv)either of the Paired Trusts becomes a
commodities pool that is subject to regulation under the Commodity Exchange Act,
as amended,(v) the Down
MacroShares and/or the Up MacroShares are delisted by NYSE Arca,(vi) DTC becomes unwilling or unable to act
as depository and no suitable replacement is willing or ableto assume the duties of a depository for
the Paired Trusts,
(vii)the administrative
agent resigns or is unable to perform its duties under one or both trust
agreements of the paired trusts, or becomes bankrupt or insolvent, and no
suitable replacement is willing and able to assume the duties of the
administrative agent under the Trust agreements,(viii)the Depositor elects to terminate the
Paired Trusts and 66 and 2/3% of the holders of theDownTrust and theUpTrust, each voting as a separate class,
consent to such termination, (ix)either of the Paired Trustsis adjudged tobebankrupt orinsolventor becomes involved in voluntary or
involuntary insolvency or similar proceedings that are not dismissed within 90
days, (x) the Depositor determines, in its good faith discretion that there is a
material risk that the Down Trust is subject to withholding tax liability, and
the Depositor elects to terminate the Paired Trusts, (xi)either of the Paired Trusts becomes
under-collateralized, as measured on any Distribution Date prior to the making
of any payments or distributions on that Distribution Date and without taking
into account the rights and obligations of the Paired Trusts under the Income
Distribution Agreement and the Settlement Contracts, such that the amount of
cash on deposit in the affected trust is equal to 90% or less of the cash on
deposit in the other trust;(xii)the amount of cash
and treasuries on deposit in theDownTrust or theUpTrust is reduced to less thanten (10) million
dollars on any business day; and (xiii) the amount of cash and treasuries on
deposit in theDownTrustand/or theUpTrust is less thanfifty (50) milliondollarsper trust on any business dayand the Depositor elects,
in its sole discretion, to terminate thePaired Trusts.Therefore, because the
Paired Trusts currently do not each hold cash and U.S. government securities in
an amount equal to at least fifty (50) million dollars, the Depositor has
the right, for so long as such fifty (50) million dollar threshold has not
been received, and maintained, to terminate the Paired Trusts. However, the Depositor currently has no
intention of terminating the Paired Trusts.


15
 MacroShares Major Metro Housing Down
Trust
 NOTES TO THE UNAUDITED FINANCIAL
STATEMENTS (Continued)
 as ofOctober 31, 2009






In the case of each of these termination
events, including the event described in clause (xi) above, but excluding the event
described in clauses(i), (ii), an (ix)above, the Settlement Contracts would
settle on the next Distribution Date on the basis of theReference Value of the Indexon the last Price Determination Date
preceding that Distribution Date, which may be different from theReference Value of the Indexat the time when the termination event
occurred.In the case of the termination trigger
described in clause (i) and
(ii)above,related to the unavailability of the
S&P/Case-Shiller Composite-10 Home Price Index or the rise of the Reference
Value of the Index to or above 216.23 or to or below 108.11, the Early
Termination Date will not occur until the Distribution Date that follows the
third consecutive Index Publication Day on which any of these circumstances have
persisted. In the case of clause (ix) related to the bankruptcy of either of the
Paired Trusts, the Early Termination Date will not occur until the Distribution
Date that follows the ninetieth day after the date on which either of the paired
Trusts have been adjudged to be bankrupt or insolvent or on which they become
involved in voluntary or involuntary insolvency or similar
proceedings.




Note J:Other




TheDown
Trust has evaluated events
occuring subsequent to October 31, 2009 and through December 15,
2009, the date its financial statements were
issued.


16


Item 2.
            Management's Discussion and
      Analysis of Financial Condition and Results of
      Operations




The following discussion and analysis
should be read in conjunction with the financial statements and accompanying
notes filed as part of this report.




INTRODUCTION




Overview of the Trust’s
Structure




The assets of theDownTrust consist of an income distribution
agreement and settlement contracts entered into with theUpTrust. TheDownTrust will also hold cash, U.S.
Treasuries and repurchase agreements on U.S. Treasuries to secure its
obligations under the income distribution agreement and the settlement
contracts. TheDownTrust will make quarterly distributions
of its net investment incomewhen the income of the Trust exceeds the
Trust’s expenses,and a
final distribution of all assets it holds on deposit on the final scheduled
termination date, an early termination date or a redemption date. Each quarterly
and final distribution will take into consideration themost recently published
valueoftheS&P/Case-Shiller Composite-10 Home
Price Index(“Reference
Value of the Index”), as
established and reported by Standard & Poor’seachindex publication day.The starting level for the Reference
Price of the Indexwas162.17.The obligations under the settlement
contractsare leveraged by
a factor of three andon
the final scheduled termination date, an early termination date or a redemption
date are determined based on theReference Price of the Index on thelast precedingindex publication dayand thepercentage change of suchvaluefrom the starting
level.




TheDownTrustintends todistribute quarterly to its shareholders
the income from government securities and overnight repurchase agreements
(“Treasuries”) it holds on deposit during such quarter less the fee deduction
amount, plus or minus, in accordance with the income distribution agreement, the
amount received from or paid to, as applicable, theUpTrust.Final distributions are made to
shareholders on the earlier of the final scheduled termination date or an early
termination date.




EffectiveJune 30, 2009, theDownMacroShares have traded on theNYSE Arcaunder the symbol "DMM."




At October 31, 2009, the fee
deduction amount was in excess of the income earned by the Down Trust. There has
been and continues to be a significant reduction in yields available on
Treasuries as investors have fled to the perceived safety of U.S. Treasury
securities during the current economic crisis.




Daily Reporting




State Street Bank and Trust Co., as
Trustee, calculates the Underlying Value of theDownTrust and the Per Share Underlying
Value of oneDownMacroShare for each calendar
day.At the close of each business day, the
Trustee will perform these calculations (1) for that business day or, (2) if
that business day is followed by one or more intervening non-business days, for
the last calendar day preceding the next business day, and it will provide the
calculations to the Administrative Agent for posting on the website maintained
by the Administrative Agent athttp://www.macromarkets.comnot later than one hour prior to the
commencement of trading on NYSE Arca on the next business day that follows the
day of calculation.The Administrative Agent will also
calculate and post on its website, not later than one hour prior to the
commencement of trading on NYSE Arca on each business day, the premium or
discount of the midpoint of the bid/offer price spread for oneDownMacroShare at the close of the
preceding trading day over or to the proportionate underlying value of oneDownMacroShare on that day.The Trustee will base its calculations
for each business day on the Reference Value of the Index for that business
daywhich will be
communicated to it by the Administrative Agent.




The following table sets forth, for the
period indicated, the high and low market price per share for the Down
MacroShares.




Three Months Ended
      October 31, 2009
                
                High
                
                
                LowSecondQuarter (beginningAugust 1, 2009)
                
                $
                29.09
                
                
                $
                21.29First Quarter (beginning May 1,
      2009)
                
                
                38.65
                
                
                
                22.88


17


Per-Share Underlying Value
ofMacroSharesTrust Shares Relative to
theReferenceValue of the Index and the Market Price




Tracking
UMM,DMM, and
theS&P/Case-Shiller Composite-10 Home Price Index(“Benchmark”).




The Paired Trusts seek to passively hold
a portfolio of Treasuries and overnight repurchase agreements (“Treasuries”) and
derivative agreements such that changes in the daily underlying value, on a
dollar basis, closely track changes in the S&P/Case-Shiller Composite-10
Home Price Index (“Benchmark”).The Up MacroShares (“UMM”) seek to
deliverthree timesthecumulativepositive performance of the Benchmark,
and Down MacroShares (“DMM”) seek to deliverthree timesthecumulativeinverse performance of the Benchmark
against thestarting level
for Reference Value of the Index of 162.17, which is the value published on
February 24, 2009.Thereis no active management of futures
contracts or any other derivative contract in any component of the
returns.




The Treasury portfolio must mature to
cash prior to the quarterly distribution date.The daily change in the underlying value
is equal to the current Reference Value of the Index plus accrued net income
from the Treasuries. The value of the Benchmark on any index publication date
reflects home prices measured during the second, third, and fourth calendar
months preceding the month in which that index publication date
occurs.An index publication date is the
business day in each calendar month on which S&P publishes the value of the
S&P/Case-Shiller Composite-10 Home Price Index.S&P publishes this value on the last
Tuesday of each calendar month, or if that day is not a business day, on the
next succeeding business day, at 9:00 AM New York City time.




To demonstrate the performance impact of
anegativechange in the Reference Value of the
Index, if the change in the benchmark is equal to 2.1624 index
points,DMM’s underlying value is expected to
increase $1 plus the interest earned on the Treasuries less
expenses.However, this 2.1624:1 relationship
between changes in theReference Value of the Index and the Per
Share Underlying Value of aDownMacroShare will hold only so long as
the amount of cash and treasuries in theDownTrust (not taking into account treasury
income) is equal to the Aggregate Par Amount of all outstanding
MacroShares.If this is no longer the case because
the fees and expenses of theDownTrust exceed its treasury income (as
was the case atOctober31, 2009) during one or
more Calculation Periods, a specified change in the Reference Value of the Index
will still result in the samepercentage change in the Per Share Underlying
Value, but not the same dollar amount, because each MacroShare will represent,
in effect, a smallerexposure tohousing.A portion of the net income, if any, on
the Treasuries will be also allocated toDMM from theUMM trust when the Benchmark value
isbelow162.17. Likewise, the underlying value
ofUMM, as defined within the prospectus, is
expected to reflect a decline in value, equal to $1 and the portion of the net
income, if any, earned on the Treasuries allocable toDMM.




MacroShares do not and can not change
the underlying market dynamics of the benchmark. Therefore,market perceptions of the direction of
future home prices at the scheduled Trust termination date of November 25,
2014 measured against the current reference value ofthe S&P/Case-Shiller Composite-10
Home Price Index may be reflected in the performance of UMM and DMM in the form
of premiums and discountsto Underlying Value.The expectation of higher
pricesinto the futurereflects the willingness of investors to
buy at a higher price today for performance they expect to receive at a future
date.The expectation of lower prices in the
futurethan reflected by
the current Reference Value of the Indexmay result in DMM shares trading at a premium
to Underlying Value and UMM trading at a discount to Underlying
Value.In addition, as the
benchmark Indexvaluemoves from the Starting Level, the
maximum potential of UMM and DMM for future appreciation and depreciation will
change accordingly.If the benchmark Indexvaluerises above the Starting Level,DMM's maximum potential future
appreciation willincrease, and maximum potential future
depreciation willdecrease, in proportion to the increase in the
benchmark Indexvalue
before the application of the leverage factor.The change in the potential for future
appreciation and depreciation may be an additional factor that could result in
the future market prices of UMM and DMM reflecting a premium or a discount to
underlying value, and the magnitude of the impact on the premium or discount may
vary with the magnitude of the difference between the benchmark Index price and
the Starting Level.




The paired nature of the MacroShares’
creation and redemption process indicates that, effective with the commencement
of trading onJune 30, 2009, if theDownMacroShares are trading at a premium,
theUpMacroShares should trade at a discount
in order to preserve the combined underlying value of the paired shares and the
creation/redemption relationship to each other. Likewise, if theDownMacroShares are trading at a discount,
theUpMacroShares must trade at a premium in
order to preserve the combined underlying value and the creation/redemption
relationship to each other.




18


Potential investors in MacroShares
should understand that MacroShares are a relatively new class of products and
that the performance attributes of the benchmark asset’s marketare expected tobe reflected in the performance of the
passively managed MacroShares.




Explanation of Implied Home Price
Appreciation (HPA)





Prospective investors, when determining
whether or not to purchase MacroShares Major Metro HousingUp or Down MacroShares, should consider the implied home price
appreciation (HPA) implicit in the securities' secondary market prices.  In
order to accurately calculate Implied HPA,we believeone must do so in terms ofUpMacroShares.  For example, if UMM's
price is $23, one can deduce that the market expects the Reference Value of the
Index to be approximately 157.85upon
maturity.





((($23 / $25 - 1) / 3) + 1) * 162.17 =
157.85





(((UMM Market Price / Par Value - 1) /
3) + 1) * Starting Reference Value of the Index





The Implied HPA, therefore, is
-2.66%, or (157.85 / 162.17 -
1).





In a perfectly efficient market, DMM's
market price will imply the same Reference Index level upon maturity, though the
calculation must be first translated into UMM UnderlyingValue($50 minus DMM's
price).





(((($50 - $27) / $25 - 1) / 3) + 1) *
162.17





(((($50 - DMM Market Price) / Par Value
- 1) / 3) + 1) * Starting Reference Value of the Index





This arithmetic, while simplified by
withholding consideration of past or future trust expenses and income generated
from trust collateral, is how an investor should determine whether or not the
market's valuation of the shares is appropriate and/or attractive consideringhis or herinvestment objectives.  Since both
UMM and DMM investors must consider the market's Implied HPA, which can only be
determined correctly in terms of UMM Underlying Value, fair value should always
be based on UMM regardless of trading volumes.





The quarter opened withDMM trading well belowits Underlying Value; on August
4th, the second trading day of the quarter,DMM closed at itsbiggest discountto Underlying Value, 24.95%.In addition to other surprisingly
bullish housing market indicators, the S&P/Case-Shiller Composite-10 Home
Price Index had risen for the first time in 3 years in the report released by
Standard and Poor’s the prior week.  This
newfound optimism in the forward housing market reached an apex on August
26th, whenDMM hit its all-timelowof $21.29.  Like July, the month of
August featured various housing data series showing a continued positive
outlook.  Housing Starts, Existing Home Sales, and New Home Sales all
met or beatmany
economist’sexpectations in
August.  Future home price sentiment remained moderately bullish for
the quarter, as the S&P/Case-Shiller Composite-10 rose for the
fourthconsecutive time in October, gaining
approximately 5% from the lows set in the June index release.  Since
home prices are subject to seasonal effects, many in the marketplace believe
that the positive housing numbers were, at least in part, the result of the
summer buying season.  With the fall and winter months ahead,DMM slowlybounced off ofits Augustlows, closing at $26.01on October 30th.  See Exhibit
A.





19





Exhibit A









UMM, conversely, hit its quarterlyhighon August 26th($28.13intraday), trading at apremiumto its Underlying Value for the entire
quarter.UMMsettled at a 37.44% premium on August
4th, its largest spread above Underlying
Value. As the market
continued to “sell the news”, thereby doubting the sustainability of continued
home price increases,UMM – where investors seek to benefit
fromfuture increases inhome prices –sold offfrom itshighs, closing the quarter close to its
Underlying Value ($23.06, a
2.04%premium aboveUnderlying Value).See Exhibit B.




20





Exhibit B









The market’s perception of Implied HPA
dictates these movements in UMM and DMM prices relative to their respective
Underlying Values.  At the beginning of the quarter, the forward home
price market pushed higher as more good news kept hitting the
market.  Over time, the exuberance of a strong housing recovery faded;
UMM’s premium and DMM’s discount converged as the forward home price market
pulled back.  By the end of October, MacroShares investors were
calling for home prices to remain virtually flat at maturity (November 2014).
See Exhibit C.





Exhibit C







21







Results of
Operations




OnJune 29, 2009, theDown Trustissued400,000 shares to the initial authorized
purchaser, Kellogg Group
LLC. Such shares were issued at their initial fair value of $35.00 per share and
aggregated $14,000,000.  At October 31, 2009, the equity attributable
to Down Trust shares at fair value approximated $11,171,000.




The Trust earned approximately $4,000 of
investment income during the three months ended October 31, 2009 due to
extremely low interest yields on its Treasuries. During the same three month
period total operating expenses aggregated approximately $168,000, resulting in
a net investment loss for the period of approximately $164,000. The current
small asset base in the Down Trust has resulted in investors bearing a
significant expense ratio. For the three month period ended October 31, 2009,
the effective annualized expense ratio to average daily underlying values was
4.89%. Actual periodic expense ratios borne by investors are significantly
influenced by the size of the Trust’s underlying value.




For the purpose of financial reporting,
the settlement contracts and income distribution agreement constitute derivative
contracts.Accordingly, these derivative contracts
are recorded in the financial statements at fair value, as determined by the
Administrative Agent.As there is no market for these
derivative contracts, and no such market is expected to develop, the
Administrative Agent determines the fair value of these derivative contracts by
reference to various inputs.These inputs include the contractual
amount due to or from theUpTrust, applicable market indices, and
the prices of transactions inDownMacroShares on theNYSE Arca.Fair Valuation of the derivative
contracts created in connection with the Paired Issuance of Down Trust and Up
Trust Shares to the initial authorized participant on June 29, 2009 (prior
to the commencement of trading on the NYSE Arca), and the initial post launch
Paired Issuance on July 1, 2009, was determined by the Administrative Agent
based on its expectation of the range of expected market prices in the period
following the launch of the Paired Trusts. With the commencement of the public
trading of the Paired Trust Shares, and commencing with the first full week of
trading and throughout the remainder of the period ended October 31, 2009,the Administrative Agent
determined, based upon various inputs the most significant of which was
transactions for theDownTrustShares in the open market, that fair
valuation for these derivative contracts was more appropriately based uponprices of transactions in
Down Trust Shares and Up Trust Shares.




At the beginning of the quarter, the
Down Trust equity was approximately $10,965,300.  The equity of the
Down Trust was  decreased by approximately $622,900 in net Authorized
Participant activity comprised of an increase of approximately $1,393,100 due to
share creations, reduced by $2,016,000 attributable to share
redemptions.  The Down Trust share redemptions resulted in the
recognition of approximately $752,600 in net realized losses on the settlement
contracts associated with the Down Trust share
redemptions.  Authorized Participant activity during the quarter
resulted in a net 20,000 share decrease in Down Trust shares resulting in
430,000 Down Trust shares outstanding at October 31, 2009.  As DMM
share market prices increased steadily throughout the quarter, as reflected by a
steady reduction in the discount of DMM market prices over Underlying Value, the
Down Trust recognized a decrease in unrealized depreciation of the settlement
contracts and income distribution agreement of approximately
$1,745,200.  From the resultant $11,335,000 in Down Trust equity, the
net investment loss of approximately $164,000 is deducted, which resulted in
shareholders’ equity of approximately $11,171,000 at October 31, 2009. The
net realized and unrealized gain on the settlement contracts was the result of
increasing DMM share market prices throughout the quarter even though the three
month period experienced increasing Reference Values of the Index, which rose
from 151.00 at July 31, 2009 to 157.93 at October 31, 2009. This increase in the
Reference Value of the Index was represented by monthly increases in
August, September, and October - the first string of four(including July)monthly increases in over three years
and coincided with a shift in investor sentiment about the future direction of
home prices to a more positive view.  However, we noted that as the
quarter concluded, this shift in investor sentiment became somewhat muted as the
market prices of DMM shares steadily increased during the
quarter.  Furthermore, while DMM shares traded at a discount to
Underlying Value throughout the quarter,  by October 31, 2009 the
discount had steadily declined to just 1.63% under Underlying Value after having
traded at a discount to Underlying Value as low as 24.95% below Underlying Value
in early August 2009.




During the period from June 29,
2009 (commencement of operations) to October 31, 2009,540,000 shares (54units, each unit consisting of10,000 shares)werecreated and110,000 shares (11units)were redeemedduring the period.During the three month
period October 31, 2009, 60,000shares (6 units) were created and 80,000 (8units) were
redeemed.




Liquidity




To the extent of management's knowledge,
there are no trends or demands, commitments, events, or uncertainties that will
result in, or that that are reasonably likely to result in, theDownTrust's liquidity increasing or
decreasing in any material way.The main obligations of each of theDownTrust andUpTrust are its obligations, if any,
pursuant to the Income Distribution Agreement and Settlement
Contracts.TheDownTrust andUpTrust hold U.S. Treasuries and
repurchase agreements on U.S. Treasuries to secure each of its obligations under
the Income Distribution Agreement and the Settlement Contracts.




22





Cash Flows From
Operations





For
      the Period
                  from
      June 29,
                  2009
                  (commencement
                  of
      operations)
                  toOctober31,
                  2009
                  (unaudited)Cash flows from
      operating activities:Netloss
                
                $
                (4,147,228
                )Adjustments to
      reconcile net loss to net cash
                  provided by
      operating activities:Net
      unrealized depreciation
      on settlement contracts and
                  income distribution agreement
                
                
                3,048,194Settlement payments made in
      excess of realized losses on
                  settlement
      contracts and income distribution
      agreement
                
                
                1,310,929Increasein operating
      assets and liabilities:Interest
      receivable
                
                
                (1
                )Operating
      expenses payable
                
                
                138,143Net cash provided
      by operations
                
                
                350,037Cashflows from
      financing activities:Contributions
                
                
                13,484,860Redemptions
                
                
                (3,154,288
                )Net cash
      provided by financing activities
                
                
                10,330,572Net increase in
      cash and cash equivalents
                
                
                10,680,609Cash and cash
      equivalents,
      beginning of period
                
                
                1,000Cash and cash
      equivalents, end of period
                
                $
                10,681,609









23


As a result, the per share underlying
value onOctober
31, 2009, for financial
reporting purposes, based upon the fair valuation determination of
theAdministrative Agent,was $25.98.The per share underlying value for the
same datewas
$26.44.The Administrative
Agent will continue to evaluate the fair value of these derivativecontracts for each financial reporting
period.




Off-Balance Sheet
Arrangements




The Down Trust is not a party to any
off-balance sheet arrangements, except for the Income Distribution Agreement and
Settlement Contracts.




Item 3.
            Quantitative and Qualitative
      Disclosures about Market
Risk




The Trust Agreement does not authorize
the trustee to borrow for payment of the Down Trust’s ordinary
expenses.The Down Trust does not engage in
transactions in foreign currencies which could expose it or any of its
shareholders to any foreign currency related risk.The Down Trust does not invest in any
derivative financial instruments (other than the income distribution agreement
and the settlement contracts) and has no foreign operations or long-term debt
obligations.




Item 4.
            Controls and
      Procedures




The Depositor maintains disclosure
controls and procedures that are designed to ensure that information required to
be disclosed in the Down Trust's Exchange Act reports is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms, and that such information is accumulated
and communicated to the Chief Executive Officer and the Chief Financial Officer
of the Depositor, and to the audit committee of MacroMarkets LLC, which have
been authorized by resolutions adopted by its Board to oversee the financial
reporting of the Down Trust, to allow timely decisions regarding required
disclosure.




Under the supervision and with the
participation of the Chief Executive Officer and the Chief Financial Officer of
the Depositor, the Depositor conducted an evaluation of the Down Trust's
disclosure controls and procedures, as defined under Exchange ActRule13a-15(e).Based on this evaluation, the Chief
Executive Officer and the Chief Financial Officer of the Depositor concluded
that, as ofOctober
31, 2009, the Down Trust's
disclosure controls and procedures were effective.




There was no change in the Down Trust's
internal controls over financial reporting that occurred during the Down Trust's
most recently completed fiscal period endedOctober31, 2009 that has materially affected,
or is reasonably likely to materially affect, these internal
controls.




24


PART II.
              OTHER
      INFORMATIONItem 1.
              Legal
      Proceedings







None.




Item 1A.
            Risk
  Factors




During the past two years, treasury
rates have been at relatively low levels compared to historical rate levels over
the past two decades. Further decreases in these rates have occurred as a result
of the large-scale policies and programs recently adopted by the U.S. federal
government, the goal of which was to support and stimulate capital market
activity. These policies have included a series of coordinated actions by the
U.S. Treasury and the Federal Reserve designed to alleviate currently severe
credit market dislocations by injecting liquidity into the financial system. The
impacts to date of these monetary policies and government interventions have
included decreases in short-term interest rates to historically low levels. More
notable, the current economic crisis has resulted in a huge increase in global
demand for dollar-denominated, short-term, high-credit quality assets such as
U.S. treasuries, which has caused the yield on such assets to decrease
significantly. The current economic conditions and some of the government
policies aimed at alleviating them may cause prevailing interest rates to remain
low for an extended period of time; if this occurs, less income will be
available to cover the fee deduction amount and, as a result, little or no
quarterly distributions will be made by the Down Trust on the Down MacroShares,
and the per share underlying value of your Down MacroShares will be reduced by
the amount of the Down Trust’s assets (in excess of its treasury income) that
need to be applied to pay such fees and expenses in full.




Item 2.
            Unregistered Sales of Equity
      Securities and Use of
Proceeds




The Down MacroShares are offered on a
continuous basis pursuant to the Down Trust registration statement(RegistrationNo.333-151523-01).The proceeds from the sale of the Down
MacroShares are invested, on each Distribution Date, in U.S. government
securities that are scheduled to mature not later than the immediately following
Distribution Date and over-night repurchase agreements fully collateralized by
U.S. government securities.




The information contained in Part I,
Item 2 under Review of Financial Results, Results of Operations, is hereby
incorporated by reference.




Dividends




Not Applicable




Issuer Purchase of Equity
Securities




TheDownTrust does not purchase shares directly
from its shareholders.However, as part of Paired Optional
Redemptions by Authorized Participants of MacroShares Units consisting of 10,000DownMacroShares and 10,000UpMacroShares redeemed, respectively, theDownMacroShares may be redeemed in units of
10,000 shares.FromJuly15, 2008 (date ofDownTrust initial capitalization) toJune29, 2009 there were no redemptions other
than the redemption of Founders’ Shares onJune29, 2009 upon the purchase ofDownMacroShares by the initial Authorized
Participant.During the period fromJune30, 2009 (commencement of public trading
inDownMacroShares) toOctober 31,2009, 11 units (110,000shares) were redeemed.




Item 3.
            Defaults Upon Senior
      Securities




None.




Item 4.
            Submission of Matters to a Vote of
      Security Holders




None.




Item 5.
            Other
      Information




None.




25


Item 6.
            Exhibits




Exhibit
                        Number
                      
                      Description—
                      
                      MacroShares Major Metro Housing
      Down Trust prospectus, dated asofJune26,
2009*31.1
                      
                      Certification Pursuant toSection302(a) of the Sarbanes-Oxley Act
      of 200231.2
                      
                      Certification Pursuant toSection302(a) of the Sarbanes-Oxley Act
      of 200232.1
                      
                      Certification Pursuant toSection1350 of the Sarbanes-Oxley Act of
      200232.2
                      
                      Certification Pursuant toSection1350 of the Sarbanes-Oxley Act of
      2002





———————


*
            Denotes a
      document that was previously filed as part of the Registration Statement
      of theMacroSharesMajor Metro
      Housing Down Trust, FileNo.333-151523-01.


26


SIGNATURES




Pursuant to the requirements of the
Securities Exchange Act of 1934, the registrant has duly caused this report to
be signed on its behalf by the undersigned in the capacities indicated thereunto
duly authorized.









MACROSHARES HOUSINGDEPOSITOR,
      LLC,
              Depositor for theMacroShares Major Metro
      Housing
              DownTrustBy:
            /s/ SamuelMasucciSamuel Masucci,
      III
              Chief Executive
      Officer of Depositor,
              on behalf of
      RegistrantBy:
            /s/ JohnA.
      FlanaganJohn A.
      Flanagan
              Chief Financial Officer of
      Depositor,
              on behalf of
      Registrant




Date:December 15, 2009