**UNITED
      STATES**


**SECURITIES
      AND EXCHANGE COMMISSION**


**Washington,
      D.C. 20549**




**FORM
      10-K**




**x**
            **ANNUAL
                REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
                ACT OF
                1934**




**For
      the fiscal year ended December 31, 2006**




**or**




**o**
            **TRANSITION
                REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
                ACT OF
                1934**




Commission
      File Number of issuing entity: 333-135120-01




**Claymore
      MACROshares Oil Down Holding Trust**


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




Commission
      File Number of depositor: 333-135120




**MACRO
      SECURITIES DEPOSITOR, LLC**


(Exact
      name of depositor as specified in its charter)





**New
                York**
            
            **20-5568687**(State
                or other jurisdiction of
              incorporation
                or organization)
            
            (I.R.S.
                Employer
              Identification
                No.)**c/o
                Investors Bank & Trust Company**
              **200
                Clarendon Street**
              **Boston,
                MA 02116**


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




**Securities
      registered pursuant to Section 12(b) of the Act:**





(Title
                of each class)
            
            Name
                of each exchange on which registered**None**
            
            **Not
                applicable**




**Securities
      registered pursuant to Section 12(g) of the Act:**


(Title
                of each class)**Claymore
                MACROshares Oil Down Holding
                Shares**




Indicate
      by check mark if the registrant is a well-known seasoned issuer, as defined
      in
      Rule 405 of the Securities Act. Yes o No x




Indicate
      by check mark if the registrant is not required to file reports pursuant to
      Section 13 or Section 15(d) of the Act. Yes o No x




Indicate
      by check mark whether the registrant (1) has filed all reports required to
      be
      filed by Section 13 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. Yes x No o









Indicate
      by check mark if disclosure of delinquent filers pursuant to Item 405 of
      Regulation S-K is not contained herein, and will not be contained to the best
      of
      registrant's knowledge, in definitive proxy or information statements
      incorporated by reference in Part III of this Form 10-K or any amendment to
      this
      Form 10-K. o




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" in Rule 12b-2 of the Exchange
      Act.





Large
                Accelerated filero
            Accelerated
                filero
            Non-Accelerated
                filerx




Indicate
      by check mark whether the registrant is a shell company (as defined in Rule
      12b-2 of the Exchange Act). Yes o No x




Aggregate
      market value of registrant's trust shares held by non-affiliates of the
      registrant, based upon the closing price of a share of the Claymore MACROshares
      Oil Down Tradeable Shares issued by the Claymore MACROshares Oil Down Tradeable
      Trust on December 31, 2006 as reported by the American Stock Exchange on that
      date: $31,306,000




Number
      of
      Claymore MACROshares Oil Down Holding shares outstanding as of December 31,
      2006: 550,000




**DOCUMENTS
      INCORPORATED BY REFERENCE: Prospectus of Claymore MACROshares Oil Down**


**Holding
      Shares and Claymore MACROshares Oil Down Tradeable Shares filed on March 20,
      2007**


**as
      part of the Registration Statement, file no. 333-135120;
      and**


**1992
      ISDA Master Agreement, dated November 24, 2006, Schedule to 1992 ISDA Master
      Agreement,**


**dated
      November 24, 2006, Income Distribution Agreement, dated November 24, 2006 and
      Form of**


**Settlement
      Contract, constituting Exhibits 4.4.1, 4.4.2, 4.5 and 4.6, respectively to
      such
      Registration Statement**




ii




**FORWARD
      LOOKING STATEMENTS**




This
      Annual Report on Form 10-K contains various "forward-looking statements" within
      the meaning of Section 27A of the Securities Act of 1933, as amended, and
      Section 21E 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.




Additional
      significant uncertainties and other factors affecting forward-looking statements
      are presented in the Risk Factors section which appears in Item 1A.




iii




**Table
      of Contents**




**Page**PART
                  I
              
              
              1Item
                  1. Business
              
              
              1(a)
                  General
              
              
              1(b)
                  Overview of the World Oil Market
              
              
              1(c)
                  Description of the Applicable Reference Price of Crude Oil
              
              
              1(d)
                  The Depositor and Its Affiliates
              
              
              1(e)
                  The Trustee
              
              
              2(f)
                  The Administrative Agent
              
              
              2(g)
                  The Marketing Agents
              
              
              2(h)
                  Description of the Shares
              
              
              2(i)
                  Description of the Trusts Agreements
              
              
              2(j)
                  Material United States Federal Tax Consequences
              
              
              2(k)
                  State Tax Consequences
              
              
              2(l)
                  Certain ERISA Considerations
              
              
              3Item
                  1A. Risk Factors
              
              
              3Item
                  2. Properties
              
              
              3Item
                  3. Legal Proceedings
              
              
              3Item
                  4. Submission of Matters to a Vote of Security Holders
              
              
              3PART
                  II
              
              
              3Item
                  5. Market for Registrant's Common Equity, Related Stockholder Matters
                  and
                  Issuer Purchases of Equity  Securities
              
              
              3Item
                  6. Selected Financial Data
              
              
              4Item
                  7. Management's Discussion and Analysis of Financial Condition
                  and Results
                  of Operations
              
              
              5Item
                  7A. Quantitative and Qualitative Disclosures about Market
                  Risk
              
              
              11Item
                  8. Financial Statement and Supplementary Data
              
              
              11Item
                  9. Changes in and Disagreements with Accountants on Accounting
                  and
                  Financial Disclosure
              
              
              11Item
                  9A. Controls and Procedures
              
              
              11PART
                  III
              
              
              12Item
                  10. Directors and Executive Officers of the Registrant
              
              
              12Item
                  11. Executive Compensation
              
              
              12Item
                  12. Security Ownership of Certain Beneficial Owners and
                  Management
              
              
              13Item
                  13. Certain Relationships and Related Transactions and Director
                  Independence
              
              
              13Item
                  14. Principal Accountant Fees and Services
              
              
              13PART
                  IV
              
              
              13Item
                  15. Exhibits and Financial Statement Schedules
              
              
              13FINANCIAL
                  STATEMENTS
              
              
              F-1




iv




ExhibitsExhibit 31.1
            
            Certification Pursuant to Section 302(a)
              of
              the Sarbanes-Oxley Act of 2002Exhibit 31.2
            
            Certification Pursuant to Section 302(a)
              of
              the Sarbanes-Oxley Act of 2002Exhibit 32.1
            
            Certification Pursuant to 18 U.S.C.
              Section
              1350Exhibit 32.2
            
            Certification Pursuant to 18 U.S.C.
              Section
              1350





v





**PART
        I**


**Item 1.****Business********(a)**
            **General**




On
      November 15, 2006, the Claymore MACROshares Oil Down Holding Trust, or the
      "Down-MACRO holding trust," was established under the laws of the State of
      New
      York. On November 24, 2006, the trust agreement for the Down-MACRO holding
      trust
      was amended and restated to provide for the issuance of Claymore MACROshares
      Oil
      Down Holding Shares, or the "Down-MACRO holding shares," which represent
      undivided beneficial interests in the Down-MACRO holding trust. MACRO Securities
      Depositor, LLC, or "MSD", acts as "depositor" for the Down-MACRO holding trust,
      as well as for the Claymore MACROshares Oil Down Tradeable Trust, the Claymore
      MACROshares Oil Up Holding Trust and the Claymore MACROshares Oil Up Tradeable
      Trust.




Claymore
      Securities, Inc., a Kansas corporation, is acting as the administrative agent
      (the "administrative agent") and a marketing agent for the Down-MACRO holding
      trust. Investors Bank & Trust Company, a Massachusetts trust company, is
      acting as trustee for the Down-MACRO holding trust (the "trustee"). MACRO
      Financial, LLC is acting as an additional marketing agent for the Down-MACRO
      holding trust.




The
      Down-MACRO holding trust began publicly offering its Down-MACRO holding shares
      on November 29, 2006. The Down-MACRO holding trust issues and offers Down-MACRO
      holding shares on a continuous basis at their underlying value. Each new
      issuance is made at the request of authorized participants in the form of MACRO
      units consisting of pairs of 50,000 Down-MACRO holding shares and 50,000
      Claymore MACROshares Oil Up Holding Shares, or the "Up-MACRO holding shares,"
      contemporaneously issued by the Claymore MACROshares Oil Up Holding Trust,
      or
      the "Up-MACRO holding trust". A majority of the Down-MACRO holding shares is
      always held by the Claymore MACROshares Oil Down Tradeable Trust, or the
      "Down-MACRO tradeable trust," which issues on a continuous basis, the Claymore
      MACROshares Oil Down Tradeable Shares, or the "Down-MACRO tradeable shares,"
      currently trading on the American Stock Exchange under the symbol
      "DCR."




The
      objective of the Down-MACRO holding trust is to provide investors with
      investment returns that correspond with changes in the Applicable Reference
      Price of Crude Oil, as further described in the prospectus included in the
      registration statement for the Down-MACRO holding shares (file no. 333-135120,
      filed with the SEC on March 20, 2007) which is incorporated hereby by reference
      (the "prospectus"), within the range from (i) zero to (ii) twice the starting
      level of $60.




**(b)**
            **Overview
                of the World Oil Market**




A
      detailed description of the world oil market is contained in the prospectus
      included in the registration statement for the Down-MACRO holding shares (file
      no. 333-135120, filed with the SEC on March 20, 2007) of which page 66 of the
      prospectus (beginning with the section entitled "Description of the World Oil
      Market") through page 79 of the prospectus are hereby incorporated by reference
      in response to this Item 1(b).


**(c)**
              **Description
                    of the Applicable Reference Price of Crude
                    Oil**


A
      detailed description of the Applicable Reference Price of Crude Oil is contained
      in the prospectus included in the registration statement for the Down-MACRO
      holding shares (file no. 333-135120, filed with the SEC on March 20, 2007)
      of
      which page 74 of the prospectus through page 80 of the prospectus are hereby
      incorporated by reference in response to this Item 1(c).


**(d)**
                **The
                        Depositor and Its
                        Affiliates**


A
      detailed description of the Depositor and its affiliates is contained in the
      prospectus included in the registration statement for the Down-MACRO holding
      shares (file no. 333-135120, filed with the SEC on March 20, 2007) of which
      page
      45 of the prospectus (beginning with the section entitled "The Depositor")
      through page 46 of the prospectus are hereby incorporated by reference in
      response to this Item 1(d).


**(e)**
                **The
                          Trustee**


A
      detailed description of the trustee is contained in the prospectus included
      in
      the registration statement for the Down-MACRO holding shares (file no.
      333-1351200, filed with the SEC on March 20, 2007) of which page 86 of the
      prospectus (beginning with the section entitled "The Trustee") through page
      87
      of the prospectus are hereby incorporated by reference in response to this
      Item
      1(e).


**(f)**
                **The
                            Administrative
                            Agent**




A
      detailed description of the administrative agent is contained in the prospectus
      included in the registration statement for the Down-MACRO holding shares (file
      no. 333-135120, filed with the SEC on March 20, 2007) of which page 87 of the
      prospectus (beginning with the section entitled "The Administrative Agent")
      is
      hereby incorporated by reference in response to this Item 1(f).


**(g)**
              **The
                          Marketing
                          Agents**


A
      detailed description of the marketing agents is contained in the prospectus
      included in the registration statement for the Down-MACRO holding shares (file
      no. 333-135120, filed with the SEC on March 20, 2007) of which page 87 of the
      prospectus (beginning with the section entitled "The Marketing Agents") is
      hereby incorporated by reference in response to this Item 1(g).


**(h)**
              **Description
                          of the
                          Shares**




A
      detailed description of the Down-MACRO holding shares is contained in the
      prospectus included in the registration statement for the Down-MACRO holding
      shares (file no. 333-135120, filed with the SEC on March 20, 2007) of which
      page
      49 of the prospectus (beginning with the section entitled "Description of the
      Down MACRO Tradeable and Holding Shares") through page 66 of the prospectus
      and
      page 79 of the prospectus (beginning with the section entitled "Description
      of
      the Down MACRO Tradeable Trust Assets") through page 86 of the prospectus are
      hereby incorporated by reference in response to this Item 1(h).


**(i)**
                **Description
                              of the Trusts
                              Agreements**




A
      detailed description of the trusts agreements is contained in the prospectus
      included in the registration statement for the Down-MACRO holding shares (file
      no. 333-135120, filed with the SEC on March 20, 2007) of which page 46 of the
      prospectus (beginning with the section entitled "Formation of the Paired Holding
      Trusts and the Down-MACRO Tradeable Trust") through page 49 of the prospectus
      and page 86 of the prospectus (beginning with the section entitled "Description
      of the Trusts Agreements") through page 96 of the prospectus are hereby
      incorporated by reference in response to this Item 1(i).


**(j)**
                **Material
                              United States Federal Tax
                              Consequences**


A
      detailed description of material United States federal tax consequences is
      contained in the prospectus included in the registration statement for the
      Down-MACRO holding shares (file no. 333-135120, filed with the SEC on March
      20,
      2007) of which page 96 of the prospectus (beginning with the section entitled
      "Material United States Federal Tax Consequences") through page 103 of the
      prospectus are hereby incorporated by reference in response to this Item
      1(j).


**(k)**
                **State
                                Tax
                                Consequences**


A
      detailed description of state tax consequences is contained in the prospectus
      included in the registration statement for the Down-MACRO holding shares (file
      no. 333-135120, filed with the SEC on March 20, 2007) of which page 103 of
      the
      prospectus (beginning with the section entitled "State Tax Consequences") is
      hereby incorporated by reference in response to this Item 1(k).


2
  **(l)**
                **Certain
                                  ERISA
                                  Considerations**




A
      detailed description of certain ERISA consideration is contained in the
      prospectus included in the registration statement for the Down-MACRO holding
      shares (file no. 333-135120, filed with the SEC on March 20, 2007) of which
      page
      103 of the prospectus (beginning with the section entitled "Certain ERISA
      Considerations") through page 104 of the prospectus are hereby incorporated
      by
      reference in response to this Item 1(l).




**Item
      1A.** **Risk
      Factors**




A
      detailed description of the risk factors applicable to the Down-MACRO holding
      trust is contained in the prospectus included in the registration statement
      for
      the Down-MACRO holding shares (file no. 333-135120, filed with the SEC on March
      20, 2007) and page 29 through 44 of the prospectus (excluding the section
      entitled "The Glossary") is hereby incorporated by reference in response to
      this
      Item 1A.




**Item
      2.** **Properties** ****




Not
      applicable.




**Item
      3.** **Legal
      Proceedings** ****




None.




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




None.




**PART
      II**




**Item
      5.** **Market
      for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases
      of Equity Securities** ****




The
      Down-MACRO holding shares are not listed on any securities exchange or public
      trading market. The Down-MACRO holding shares may only be held by qualified
      institutional buyers (as defined in Rule 144A under the Securities Act),
      authorized participants (as defined in the prospectus), and the Down-MACRO
      tradeable trust.




As
      of
      December 31, 2006, all of the outstanding Down-MACRO holding shares are held
      by
      the Down-MACRO tradeable trust. Because there is no established public trading
      market for the Down-MACRO holding shares, high and low sales prices and bid
      information are unavailable for the Down-MACRO holding shares. The following
      table sets forth, for the period indicated, the high and low per share
      underlying values (as defined in the prospectus) for the Down-MACRO holding
      shares.




**Fiscal
                Year Ended December 31, 2006**
            
            **High**
            
            **Low**Fourth
                Quarter (beginning November 29, 2006)
            
            $
            59.67
            
            $
            56.02




*Dividend*




On
      December 27, 2006, the trustee declared a dividend of $0.148837 per Down-MACRO
      holding share.




*Issuer
      Purchase of Equity Securities*




The
      Down-MACRO holding trust does not purchase shares directly from its
      shareholders. However, in connection with Paired Optional Redemptions (as
      defined in the prospectus), the Down-MACRO holding trust may redeem Down-MACRO
      holding shares (as part of the Paired Optional Redemption of MACRO units
      consisting of 50,000 Down-MACRO holding shares and 50,000 Up-MACRO holding
      shares; the Up-MACRO holding shares included in such MACRO units would be
      contemporaneously redeemed by the Up-MACRO holding trust). Since November 29,
      2006 (the day on which Down-MACRO holding shares were first sold to the public)
      to December 31, 2006, no units were redeemed.




3




Prior
      to
      November 29, 2006, the Depositor and Claymore Securities, Inc. each made an
      initial deposit of $500 (the “Founders’ Equity”) into the Down-MACRO holding
      trust. During the period ended December 31, 2006, the Founders’ Equity of the
      Down-MACRO holding trust in the amount of $1,000 was redeemed.




**Item
      6.** **Selected
      Financial Data**




The
      following selected financial data should be read in conjunction with the
      Down-MACRO holding trust's financial statements and related notes and
      "Management's Discussion and Analysis of Financial Condition and Results of
      Operations."




**Statement
      of Operations Data:**




**Investment
                Income**Interest
            
            $
            104,575Total
                investment income
            
            
            104,575**Expenses**Net
                expenses
            
            
            33,576Net
                investment income
            
            
            70,999**Unrealized
                Gain (Loss)**Net
                increase in unrealized loss on settlement contracts and income
                distribution agreement
            
            
            (346,147
            )Net
                unrealized loss
            
            
            (346,147
            )Net
                loss
            
            $
            (275,148
            )Net
                loss per share:
            
            $
            (0.71
            )Weighted
                average shares outstanding:
            
            
            386,364





**Statement
      of Financial Condition Data:**




**December
                31, 2006**Total
                assets
            
            $
            33,135,519Total
                liabilities
            
            
            1,912,486Equity
                attributable to Down-MACRO holding shares
            
            
            31,223,033**Total
                Liabilities & Shareholders' Equity**
            
            $
            33,135,519





(1)  Authorized
      share capital is unlimited and share par value is $60.00. 550,000 shares were
      issued and outstanding as of December 31, 2006.




4




**Item
      7.** **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 the Down-MACRO holding trust consist of an income distribution
      agreement and settlement contracts entered into with the Up-MACRO holding trust.
      The Down-MACRO holding trust also holds U.S. Treasuries and repurchase
      agreements on U.S. Treasuries to secure its obligations under the income
      distribution agreement and the settlement contracts. The Down-MACRO holding
      trust makes quarterly distributions of its net income 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 the settlement price of NYMEX light
      sweet crude oil futures contracts of a designated maturity, as established
      and
      reported by NYMEX on each price determination day. The starting level for the
      Applicable Reference Price of Crude Oil for purposes of distributions on the
      Down-MACRO tradeable shares is $60.00. The obligations under the settlement
      contracts on the final scheduled termination date, an early termination date
      or
      a redemption date are determined based on the Applicable Reference Price of
      Crude Oil on the last preceding price determination day and the percentage
      change of such price from the starting level.




The
      Down-MACRO holding trust issues and offers Down-MACRO holding shares on a
      continuous basis at their underlying value. Each new issuance is made at the
      request of authorized participants in the form of MACRO units consisting of
      pairs of 50,000 Down-MACRO holding shares and 50,000 Up-MACRO holding shares
      contemporaneously issued by the Up-MACRO holding trust.




The
      Down-MACRO holding trust distributes quarterly to its shareholders the net
      income from the Treasuries it holds on deposit during such quarter plus or
      minus, in accordance with the income distribution agreement, amount received
      from or paid to, as applicable, the Up-MACRO holding trust. Final distributions
      are made to shareholders on the earlier of the final scheduled termination
      date
      and an early termination date. Down-MACRO holding shares may be exchanged at
      any
      time by authorized participants for the Down-MACRO tradeable shares on a
      one-to-one basis in minimum lots of 50,000 shares.




***Daily
      Reporting***




The
      American Stock Exchange or the “AMEX” acts as a calculation agent for the
      Down-MACRO holding trust, the Down-MACRO tradeable trust, the Up-MACRO holding
      trust and the Up-MACRO tradeable trust. Throughout each price determination
      day
      (as defined in the prospectus), from the opening of trading on NYMEX to the
      close of trading of the tradeable shares on the AMEX, the AMEX calculates and
      posts every fifteen seconds to the consolidated tape and on its website located
      at http://www.amex.com/amextrader, immediately following each transmission
      from
      NYMEX of the Applicable Reference Price of Crude Oil, an indicative per share
      underlying value of one Down-MACRO holding share and one Down-MACRO tradeable
      share. At the end of each price determination day, the AMEX also calculates
      the
      premium or discount of the mid-point of the bid/offer for the Down-MACRO
      tradeable shares on the AMEX to the per share underlying value of those shares
      for such price determination day that is calculated and provided to the AMEX
      by
      the trustee.




***Per-Share
      Underlying Value of MACRO*** **Holding
      Shares Relative** **to
      the Applicable Reference Price of Crude Oil**




For
      the
      period from November 29, 2006 to December 29, 2006, the per-share underlying
      value of the Down-MACRO holding shares tracked the inverse of the Applicable
      Reference Price of Crude Oil by an average daily price differential of $0.07
      (0.128% of the trust's underlying value). The differential ranged from
      approximately $0.01 to approximately $0.15 and increased throughout the period
      leading up to the ex-dividend date of December 27, 2006, at which time the
      differential between the per-share underlying value of the Down-MACRO holding
      shares and the inverse of the Applicable Reference Price of Crude Oil reverted
      to approximately $0.01. Exhibit 1a illustrates the differential between the
      per-share underlying value of the Down-MACRO holding shares and the inverse
      of
      the Applicable Reference Price of Crude Oil for the period from November 29,
      2006 to December 29, 2006.




5




Exhibit
      1a









The
      differential between the per-share underlying value of the Down-MACRO holding
      shares and the inverse of the Applicable Reference Price of Crude Oil can be
      attributed to accrued interest on Treasuries held by the Down-MACRO holding
      trust, after accruing for the fees and expenses incurred by the Down-MACRO
      holding trust. Exhibit 1b compares the per-share underlying value of the
      Down-MACRO holding shares relative to the Applicable Reference Price of Crude
      Oil for the period from November 29, 2006 to December 29, 2006.




6




Exhibit
      1b









For
      the
      period from November 29, 2006 to December 29, 2006, the per-share underlying
      value of the Up-MACRO holding shares tracked the Applicable Reference Price
      of
      Crude Oil by an average daily price differential of $0.08 (0.128% of the trust's
      underlying value). The differential ranged from approximately $0.01 to
      approximately $0.17 and increased throughout the period leading up to the
      ex-dividend date of December 27, 2006, at which time the differential between
      the per-share underlying value of the Up-MACRO holding shares and the Applicable
      Reference Price of Crude Oil reverted to approximately $0.01. Exhibit 1c
      illustrates the differential between the per-share underlying value of the
      Up-MACRO holding shares and the Applicable Reference Price of Crude Oil for
      the
      period from November 29, 2006 to December 29, 2006.




7




Exhibit
      1c









The
      differential between the per-share underlying value of the Up-MACRO holding
      shares and the Applicable Reference Price of Crude Oil can be attributed to
      accrued interest on Treasuries held by the Up-MACRO holding trust, after
      accruing for the fees and expenses incurred by the Up-MACRO holding trust.
      Exhibit 1d compares the per-share underlying value of the Up-MACRO holding
      shares relative to the Applicable Reference Price of Crude Oil for the period
      from November 29, 2006 to December 29, 2006.




8




Exhibit
      1d









The
      Down-MACRO holding shares are not listed on any securities exchange or public
      trading market. The Down-MACRO holding shares may only be held by qualified
      institutional buyers (as defined in Rule 144A under the Securities Act),
      authorized participants (as defined in the prospectus), and the Oil-Down MACRO
      tradeable trust.




As
      of
      December 31, 2006, all of the outstanding Down-MACRO holding shares are held
      by
      the Down-MACRO tradeable trust. Because there is no established public trading
      market for the Down-MACRO holding shares, high and low sales prices and bid
      information are unavailable. The following table sets forth, for the period
      indicated, the high and low per share underlying values (as defined in the
      prospectus) for the Down-MACRO holding shares.




**Fiscal
                Year Ended December 31, 2006**
            
            High
            
            LowFourth
                Quarter (beginning November 29, 2006)
            
            $
            59.67
            
            $
            56.02




**Review
      of Financial Results**




Results
      of Operations




On
      November 29, 2006, the Down-MACRO holding trust established its starting level
      at $60.00 per share and issued 200,000 shares to the initial authorized
      purchaser, KV Execution Services LLC, in exchange for $12,000,000 in cash.
      Such
      shares were issued at their initial underlying value of $57.55 per share. Since
      this date, the Down-MACRO holding trust’s underlying value grew from
      approximately $11,500,000 at November 29, 2006 to approximately $32,400,000
      at
      December 31, 2006. The increase in underlying value resulted primarily from
      an
      increase in outstanding shares, which rose from 200,000 at November 29, 2006
      to
      550,000 at December 31, 2006 due to 350,000 shares (7 units, each unit
      consisting of 50,000 shares) being created and no units being redeemed during
      the period.




9




*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, the registrant's liquidity increasing or decreasing in any
      material way.




*Cash
        Flows From Operations*


**Cash
                flows from operating activities:**
            
            **November
                29, 2006 (commencement of operations) through**
              **December
                31, 2006**Net
                loss
            
            $
            (275,148
            )Adjustments
                to reconcile net lossto
                net cash provided by operating activities:Increase
                in operating assets and liabilities:Interest
                receivable
            
            
            (16,719
            )Settlement
                contracts and income distribution agreement
            
            
            1,797,050Operating
                expenses payable
            
            
            33,576Net
                cash provided by operating activities
            
            
            1,538,759**Cash
                flows from financing activities:**Contributions
            
            
            31,580,041Redemptions
            
            
            (1,000
            )Net
                cash provided by financing activities
            
            
            31,579,041Net
                increase in cash and cash equivalents
            
            
            33,117,800Cash
                and cash equivalents, beginning of period
            
            
            1,000Cash
                and cash equivalents, end of period
            
            $
            33,118,800




*Valuation
      method of the Settlement Contracts and the Income Distribution Agreement*




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 the other
      trust, applicable market indices, and the prices of transactions in Down-MACRO
      Tradeable Shares on the American Stock Exchange. For most of the reporting
      period, the fair value of these derivative contracts was determined to be their
      contractual value. However, toward the end of the reporting period, the
      Administrative Agent determined that contractual value for these derivative
      contracts no longer was representative of fair value. At period end, the
      Administrative Agent determined, based upon various inputs the most significant
      of which was transactions for the Down-MACRO Tradeable Shares in the open
      market, that fair valuation for these derivative contracts was more
      appropriately based upon the three-month NYMEX futures contract.




As
      a
      result, the per share value on December 31, 2006, for financial reporting
      purposes, based upon the fair valuation determination of the Administrative
      Agent, was $56.77. The per share Underlying Value for the same day was $58.98.
      The Administrative Agent will continue to evaluate the fair value of these
      derivative contracts for each financial reporting period.




10




*Off-Balance
      Sheet Arrangements*




The
      Down-MACRO holding trust is not a party to any off-balance sheet
      arrangements.




*Tabular
      Disclosure of Contractual Obligations with the* *Up-MACRO
      holding trust*




**Name
                of Obligation**
            
            **Receivable
                From/(Payable To)**Settlement
                Contracts and incomedistribution
                agreement
            
            $
            (581,550
            )




**Item
      7A.**  **Quantitative
      and Qualitative Disclosures about Market Risk** ****




The
      Trust
      Agreement does not authorize the trustee to borrow for payment of the Down-MACRO
      holding trust's ordinary expenses. The Down-MACRO holding trust does not engage
      in transactions in foreign currencies which could expose it or its shareholders
      to any foreign currency related market risk. The Down-MACRO holding trust does
      not invest in any derivative financial instruments (other than the income
      distribution agreement and the settlement contracts, copies or forms of which
      are incorporated herein by reference) and has no foreign operations or long-term
      debt instruments.




**Item
      8.** **Financial
      Statement and Supplementary Data** ****




See
      Index
      to Financial Statements on page F-1 for a list of the financial statements
      being
      filed therein.




**Item
      9.** **Changes
      in and Disagreements with Accountants on Accounting and Financial
      Disclosure** ****




There
      have been no changes in accountants and no disagreements with accountants on
      any
      matter of accounting principles or practices or financial statement disclosures
      during the period ended December 31, 2006.




**Item
      9A.**  **Controls
      and Procedures** ****




**Conclusion
      Regarding the Effectiveness of Disclosure Controls and
      Procedures**




The
      Depositor maintains disclosure controls and procedures that are designed to
      ensure that information required to be disclosed in the Down-MACRO holding
      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 both MacroMarkets LLC and Claymore Securities,
      Inc., which have been authorized by resolutions adopted by their respective
      Boards to oversee the financial reporting of the Down-MACRO holding 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-MACRO holding trust's disclosure controls and procedures, as defined
      under Exchange Act Rule 13a-15(e). Based on this evaluation, the Chief Executive
      Officer and the Chief Financial Officer of the Depositor concluded that, as
      of
      December 31, 2006, the Down-MACRO holding trust's disclosure controls and
      procedures were effective.




There
      was
      no change in the Down-MACRO holding trust's internal controls over financial
      reporting that occurred during the Down-MACRO holding trust's most recently
      completed fiscal quarter ended December 31, 2006 that has materially affected,
      or is reasonably likely to materially affect, these internal
      controls.




11




**Management's
      Report on Internal Control over Financial Reporting**




The
      Depositor's management is responsible for establishing and maintaining adequate
      internal control over financial reporting, as defined under Exchange Act Rules
      13a-15(f) and 15d-15(f). The Down-MACRO holding trust's internal control over
      financial reporting is a process designed to provide reasonable assurance
      regarding the reliability of financial reporting and the preparation of
      financial statements for external purposes in accordance with accounting
      principles generally accepted in the United States. Internal control over
      financial reporting includes those policies and procedures that: (1) pertain
      to
      the maintenance of records that, in reasonable detail, accurately and fairly
      reflect the transactions and dispositions of the Down-MACRO holding trust's
      assets, (2) provide reasonable assurance that transactions are recorded as
      necessary to permit preparation of financial statements in accordance with
      generally accepted accounting principles, and that the Down-MACRO holding
      trust's receipts and expenditures are being made only in accordance with
      appropriate authorizations; and (3) provide reasonable assurance regarding
      prevention or timely detection of unauthorized acquisition, use, or disposition
      of the Down-MACRO holding trust's assets that could have a material effect
      on
      the financial statements.




Because
      of its inherent limitations, internal control over financial reporting may
      not
      prevent or detect misstatements. Also, projections of any evaluation of
      effectiveness to future periods are subject to the risk that controls may become
      ineffective because of changes in conditions, or that the degree of compliance
      with the policies or procedures may deteriorate.




The
      Chief
      Executive Officer and Chief Financial Officer of the Depositor assessed the
      effectiveness of the Down-MACRO holding trust's internal control over financial
      reporting as of December 31, 2006. In making this assessment, they relied upon
      guidance set forth by the Committee of Sponsoring Organizations of the Treadway
      Commission (COSO) in Internal Control—Integrated Framework. Their assessment
      included an evaluation of the design of the Down-MACRO holding trust's internal
      control over financial reporting and testing of the operational effectiveness
      of
      its internal control over financial reporting. Based on their assessment and
      those criteria, the Chief Executive Officer and Chief Financial Officer of
      the
      Depositor believe that the Down-MACRO holding trust maintained effective
      internal control over financial reporting as of December 31, 2006.




**PART
      III**




**Item
      10.** **Directors
      and Executive Officers of the Registrant**




Not
      applicable.




**Item
      11.** **Executive
      Compensation**




For
      the
      period from November 29, 2006 (the Date of Inception) through December 31,
      2006,
      the Trustee, the Administrative Agent, the Depositor, and each Marketing Agent
      will receive total remuneration (including for services performed for the
      Down-MACRO tradeable trust) as follows:




**Related
                Party**
            **Amount
                of**
              **Remuneration****Due**
            **Amount
                of**
              **Remuneration****Paid*******MACRO
                Securities Depositor, LLC, Depositor
            $0
            $0**Investors
                Bank and Trust, as Trustee
            $17,948
            $17,948Claymore
                Securities, Inc., as Administrative Agentand
                Marketing Agent
            $7,345
            $0**MACRO
                Financial, LLC, as Marketing Agent
            $2,098
            $0**





*     Expenses
      of the Down-MACRO treadable trust are assumed by the Down-MACRO holding
      trust.


**  
      The Administrative Agent and each Marketing Agent have waived their respective
      fees for the period ended December 31, 2006. The Depositor has received no
      compensation and has assumed all expenses exceeding the annual rate fee cap
      of
      1.60% of the Down-MACRO Asset Amount as defined in the prospectus.




12




**Item
      12.** **Security
      Ownership of Certain Beneficial Owners and Management**




(a)
            Security
                Ownership of Certain Beneficial Owners. The following table sets
                forth, as
                of December 31, 2006, information with respect to each person known
                to own
                beneficially more than 5% of the outstanding shares of the Down-MACRO
                holding trust or more than 5% of the outstanding shares of the Claymore
                MACROshares Oil Down Tradeable
                Trust:




**Name
                and Address**
            
            **Amount
                and Nature of**
              **Beneficial
                Ownership**
            
            **Percent
                of Class**Claymore
                MACROshares Oil Down Tradeable Trust
            
            
            550,000
            
            
            100
            %




(b)
            *Security
                Ownership of Management*.
                The Trustee does not beneficially own any of the Down-Macro holding
                shares.




(c)
            *Change
                In Control*.
                Neither the Depositor nor the trustee knows of any arrangements which
                may
                subsequently result in a change in control of the Down-MACRO holding
                trust. In accordance with the Trust Agreement, a majority of the
                Down-MACRO holding shares must be held by the Down-MACRO tradeable
                trust.




**Item
      13.** **Certain
      Relationships and Related Transactions and Director
      Independence**




The
      Down-MACRO holding trust has no director or executive officers. See Item 11
      for
      the remuneration received by the trustee and other appropriate parties for
      the
      period ended December 31, 2006.




**Item
      14.** **Principal
      Accountant Fees and Services**




Fees
      for
      services performed by PricewaterhouseCoopers LLP (including for services
      performed for the Down-MACRO tradeable trust) for the period from the Date
      of
      Inception through December 31, 2006 were:




**Period
                ended****December
                31, 2006**Audit
                Fees*
            
            $
            60,000
            *Audit-related
                Fees
            
            
            -0-Tax
                Fees
            
            
            100,000All
                other fees
            
            
            -0-Total
            
            $
            160,000




*In
      connection with the launch of the Down-MACRO Holding Trust and the Down-MACRO
      Tradeable Trust, PricewaterhouseCoopers LLP received fees of
      $86,500.




The
      Down-MACRO tradeable trust accountant fees were assumed by the Down-MACRO
      holding trust.




**Pre-Approval
      Policies and Procedures**




As
      referenced in Item 10 above, the Down-MACRO holding trust has no board of
      directors, and as a result, has no audit committee or pre-approval policy or
      procedures. Such determinations are made by the Depositor.




**PART
      IV**




**Item
      15.** **Exhibits
      and Financial Statement Schedules**




(i)
            Financial
                Statements




See
      Index
      to Financial Statements on Page F-1 for a list of the financial statements
      being
      filed herein.




13




(ii)
            Financial
                Statement Schedules




Schedules
      have been omitted since they are either not required, not applicable, or the
      information has otherwise been included.




(iii)
            Exhibits




**Exhibit**
              **Number**
            
            **Description**—
            
            Claymore
                MACROshares Oil Down Holding shares and Claymore MACROshares Oil
                Down
                Tradeable shares prospectus*4.4.1
            
            1992
                ISDA Master Agreement, dated November 24, 2006*4.4.2
            
            Schedule
                to 1992 ISDA Master Agreement, dated November 24, 2006*4.5
            
            Income
                Distribution Agreement, dated November 24, 2006*4.6
            
            Form
                of Settlement Contract*31.1
            
            Certification
                Pursuant to Section 302(a) of the Sarbanes-Oxley Act of
                200231.2
            
            Certification
                Pursuant to Section 302(a) of the Sarbanes-Oxley Act of
                200232.1
            
            Certification
                Pursuant to Section 1350 of the Sarbanes-Oxley Act of
                200232.2
            
            Certification
                Pursuant to Section 1350 of the Sarbanes-Oxley Act of
                2002







*****  **Denotes
      a document that was a part of the Registration Statement of the Down-MACRO
      holding trust, File No. 333-135120, that was filed on Form S-1 on March 20,
      2007.**




14




**Claymore
      MACROshares Oil** **Down
      Holding Trust**


**FINANCIAL
      STATEMENTS** **AS
      OF DECEMBER 31, 2006**




**INDEX**




**Page**Financial
                Statements
            
            
            F-1Report
                of Independent Registered Public Accounting Firm
            
            
            F-2Statement
                of Financial Condition at December 31, 2006
            
            
            F-3Statement
                of Operations for the period****November
                29, 2006 (Commencement of Operations) through December 31,
                2006
            
            
            F-4Statement
                of Changes in Shareholders' Equity for the period November 29, 2006
                (Commencement of Operations) through December 31, 2006
            
            
            F-5Statement
                of Cash Flows for the period November 29, 2006 (Commencement of
                Operations) through December 31, 2006
            
            
            F-6Notes
                to the Financial Statements
            
            
            F-7




F-1




**REPORT
      OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**




To
      the
      Trustee, Administrative Agent, and Shareholder of  Claymore
      MACROshares Oil Down Holding Trust:




In
      our
      opinion, the accompanying statement of financial condition, and the related
      statements of operations, of changes in shareholders' equity, and of cash flows
      present fairly, in all material respects, the financial position of Claymore
      MACROshares Oil Down Holding Trust (the "Trust") at December 31, 2006, and
      the
      results of its operations, the changes in its shareholders' equity, and its
      cash
      flows for the period November 29, 2006 (commencement of operations) through
      December 31, 2006, in conformity with accounting principles generally accepted
      in the United States of America. These financial statements are the
      responsibility of the Trust's management; our responsibility is to express
      an
      opinion on these financial statements based on our audit. We conducted our
      audit
      of these financial statements in accordance with the standards of the Public
      Company Accounting Oversight Board (United States). Those standards require
      that
      we plan and perform the audit to obtain reasonable assurance about whether
      the
      financial statements are free of material misstatement. An audit includes
      examining, on a test basis, evidence supporting the amounts and disclosures
      in
      the financial statements, assessing the accounting principles used and
      significant estimates made by management, and evaluating the overall financial
      statement presentation. We believe that our audit provides a reasonable basis
      for our opinion.






PricewaterhouseCoopers
      LLP


New
      York,
      New York


March
      28,
      2007




F-2




**Claymore
      MACROshares Oil** **Down
      Holding Trust**


**Statement
      of Financial Condition**


**December
      31, 2006**




**Assets**Cash
                and cash equivalents
            
            $
            33,118,800Interest
                receivable
            
            
            16,719Total
                Assets
            
            $
            33,135,519**Liabilities
                and Shareholders’ Equity**Settlement
                contracts and Income distribution agreement with the Up-MACRO Holding
                Trust
            
            $
            1,797,050Distribution
                payable
            
            
            81,860Operating
                expenses payable
            
            
            33,576Total
                Liabilities
            
            
            1,912,486**Shareholders’
                Equity**Equity
                attributable to Down-MACRO Holding Shares, $60 par value, unlimited
                amount
                authorized,550,000
                issued and outstanding on December 31, 2006
            
            
            31,223,033Total
                Shareholders’ Equity
            
            
            31,223,033Total
                Liabilities and Shareholders’ Equity
            
            $
            33,135,519






*See
      notes to the financial statements*




F-3




**Claymore
      MACROshares Oil Down Holding Trust**


**Statement
      of Operations**


**For
      the period November 29, 2006 (Commencement of Operations)**


**through
      December 31, 2006**





**Investment
                Income**Interest
            
            $
            104,575Total
                investment income
            
            
            104,575**Expenses**Net
                expenses
            
            
            33,576Net
                investment income
            
            
            70,999**Unrealized
                Gain (Loss)**Net
                increase in unrealized loss on settlement contracts and income
                distribution agreement
            
            
            (346,147
            )Net
                unrealized loss
            
            
            (346,147
            )Net
                loss
            
            $
            (275,148
            )Net
                loss per share:
            
            $
            (0.71
            )Weighted
                average shares outstanding:
            
            
            386,364






*See
      notes to the financial statements*




F-4




**Claymore
      MACROshares Oil** **Down
      Holding Trust**


**Statement
      of Changes in Shareholders’ Equity**


**For
      the period November 29, 2006 (Commencement of Operations)**


**through
      December 31, 2006**





**Down-MACRO**
              **Holding
                Shares**
            
            **Founders’**
              **Equity**
            
            **Total****Shareholders’
                Equity, beginning of period**
            
            $
            -0-
            
            $
            1,000
            
            $
            1,000Contributions
            
            
            31,580,041
            
            
            -0-
            
            
            31,580,041Distributions
            
            
            (81,860
            )
            
            -0-
            
            
            (81,860
            )Redemptions
            
            
            -0-
            
            
            (1,000
            )
            
            (1,000
            )Net
                loss
            
            
            (275,148
            )
            
            -0-
            
            
            (275,148
            )**Shareholders’
                Equity, end of period**
            
            $
            31,223,033
            
            $
            -0-
            
            $
            31,223,033






*See
      notes to the financial statements*




F-5




**Claymore
      MACROshares Oil** **Down
      Holding Trust**


**Statement
      of Cash Flows**


**For
      the period November 29, 2006 (Commencement of Operations)**


**through
      December 31, 2006**





**Cash
                flows from operating activities:**Net
                loss
            
            $
            (275,148
            )Adjustments
                to reconcile net lossto
                net cash provided by operating activities:Increase
                in operating assets and liabilities:Interest
                receivable
            
            
            (16,719
            )Settlement
                contracts and income distribution agreement
            
            
            1,797,050Operating
                expenses payable
            
            
            33,576Net
                cash provided by operating activities
            
            
            1,538,759**Cash
                flows from financing activities:**Contributions
            
            
            31,580,041Redemptions
            
            
            (1,000
            )Net
                cash provided by financing activities
            
            
            31,579,041Net
                increase in cash and cash equivalents
            
            
            33,117,800Cash
                and cash equivalents, beginning of period
            
            
            1,000Cash
                and cash equivalents, end of period
            
            $
            33,118,800






*See
      notes to the financial statements*




F-6




**Claymore
      MACROshares Oil** **Down
      Holding Trust**


**NOTES
      TO THE FINANCIAL STATEMENTS**


**as
      of December 31, 2006**






A.  Organization




MACRO
      Securities Depositor, LLC (the “ **Depositor** ”), a
      Delaware limited liability company with MacroMarkets LLC and Claymore Group
      Inc.
      (collectively referred to as “Related Party”) as its only two
      members, formed
      the Claymore MACROshares Oil Down Tradeable Trust (the " **Down-MACRO
      Tradeable Trust** "),
      the
      Claymore MACROshares Oil Up Tradeable Trust (the " **Up-MACRO
      Tradeable Trust** "),
      the
      Claymore MACROshares Oil Down Holding Trust (the “ **Down-MACRO
      Holding Trust** ”)
      and
      the Claymore MACROshares Oil Up Holding Trust (the “ **Up-MACRO
      Holding Trust** ”).
      Each
      of the trusts was formed under the laws of the State of New York on November
      15,
      2006.




The
      Down-MACRO Holding Trust and the Up-MACRO Holding Trust are referred to as
      “ **Paired
      Holding Trusts** .”
The
      descriptions of the Paired Holding Trusts in these notes reflect the trust
      agreements as amended on November 24, 2006. Operations of the Down-MACRO Holding
      Trust and Down-MACRO Tradeable Trust commenced on November 29, 2006. No
      creations or other activity occurred between November 24, 2006 and the
      commencement date. Each of the Paired Holding Trusts issued shares (which are
      referred to, respectively, as " **Down-MACRO
      Holding Shares** "
      and
      " **Up-MACRO
      Holding Shares** ,"
      and,
      collectively, as " **Paired
      Holding Shares** ")
      in
      minimum aggregations called " **MACRO
      Units** ,"
      each
      of which consists of 50,000 Down-MACRO Holding Shares and 50,000 Up-MACRO
      Holding Shares. The
      objective of the Paired Holding Trusts is, in the case of the Down-MACRO Holding
      Trust, to provide investors with investment returns that correspond inversely
      with changes in the price of NYMEX crude oil futures contracts within the range
      from (i) zero to (ii) twice the starting level of $60 (the " **Starting
      Level** ")
      and,
      in the case of the Up-MACRO Holding Trust, to provide investors with investment
      returns that correspond with the price of NYMEX crude oil futures within the
      range from (i) zero to (ii) twice the Starting Level. **** The
      Starting Level was $60, therefore the price range within which the Paired
      Holding Trusts are expected to provide a return  to
      both
      of the Paired Holding Shares is $0 to $120. There
      can be no assurance that the Paired Holding Trusts will achieve their investment
      objective.




The
      Depositor, Investors Bank & Trust Company,
      as trustee (in
      such
      capacity, the " **Trustee** " ) and
      Claymore Securities Inc., as administrative agent and marketing agent (in such
      capacities, the " **Administrative
      Agent** "
      and the
      " **Marketing
      Agent** " )
      have
      entered into a trust agreement that governs the activities of the Down-MACRO
      Tradeable Trust and Down-MACRO Holding Trust and specifies the terms of the
      shares issued by the Down-MACRO Tradeable Trust (the " **Down-MACRO
      Tradeable Shares** ")
      and
      the Down-MACRO Holding Shares, respectively. The Down-MACRO Tradeable Trust
      issues the Down-MACRO Tradeable Shares on a continuous basis in exchange for
      deposits of Down-MACRO Holding Shares. Down-MACRO Tradeable Shares are only
      issued or exchanged for the underlying Down-MACRO Holding Shares in connection
      with deposit of Down-MACRO Holding Shares into the Down-MACRO Tradeable Trust
      or
      the withdrawal of Down-MACRO Holding Shares from the Down-MACRO Tradeable Trust.
      One Down-MACRO Tradeable Share is issued for each Down-MACRO Holding Share
      deposited into the Down-MACRO Tradeable Trust. The per share **“underlying
      value”** of one
      Down-MACRO Tradeable Share is always equal to the per share underlying value
      of
      one Down-MACRO Holding Share. The underlying value of the Down-MACRO Holding
      Trust’s shares represents that portion of the proceeds of the assets of the
      Down-MACRO Holding Trust that would be distributed as a final distribution
      upon
      termination if the Paired Holding Trusts were to settle the settlement contracts
      and the Down-MACRO Holding Trust were to make a final distribution on the
      Down-MACRO Holding Shares. The Down-MACRO Tradeable Trust would pass through
      such final distribution to holders of Down-MACRO Tradeable Shares. The
      underlying value per share of the Down-MACRO Holding Trust at December 31,
      2006
      was $58.98. Paired Holding Shares are only created and redeemed, and Down-MACRO
      Tradeable Shares 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** " ) .
      Each
      Down-MACRO Tradeable Share represents an undivided beneficial interest in the
      pool of Down-MACRO Holding Shares deposited in the Down-MACRO Tradeable Trust.
      Issuances and redemptions of Down-MACRO Holding Shares and Down-MACRO Tradeable
      Shares are reflected in these financial statements at the value of the equity
      attributable to such shares at time of issuance or redemption, based on
      accounting principles generally accepted in the United States of America
      ("GAAP").




F-7




The
      assets of the Down-MACRO Tradeable Trust consist solely of the Down-MACRO
      Holding Shares on deposit from time to time therein. Prior to November 29,
      2006,
      the Depositor and Claymore Securities, Inc. each made an initial deposit of
      $500
      into the Down-MACRO holding trust and $500 into the Down-MACRO Tradeable Trust,
      for a total initial deposit into each trust of $1,000 (for each trust, the
      " **Founders'
      Equity** ").
      During the period ended December 31, 2006, the Founders’ Equity of both the
      Down-MACRO Holding Trust and the Down-MACRO Tradeable Trust was redeemed and
      returned to the Depositor and Claymore Securities, Inc. The Down-MACRO Tradeable
      Trust shares trade on the American Stock Exchange (" **AMEX** "),
      at
      negotiated prices, during " **New
      York Business Days** "
      (any
      day on which stock exchanges and New York money center banks are open for
      business). The market price of the Down-MACRO Tradeable Shares is expected
      to
      reflect the current market price of the referenced NYMEX light sweet crude
      oil
      futures contracts to which the Down-MACRO Tradeable Shares are benchmarked.
      This
      market price may diverge from the closing per share underlying value of the
      Down-MACRO Tradeable Trust. Based on market demand the Down-MACRO Tradeable
      Shares may trade at a premium or a discount to their per share underlying value.
      However, the market price is expected to be realigned with the per share
      underlying value by arbitrage activity on the part of Authorized Participants.
      If the Down-MACRO Tradeable Shares are trading at a premium to their per share
      underlying value, Authorized Participants would be expected to create additional
      shares at their per share underlying value (by creating Paired Holding Shares
      and depositing new Down-MACRO Holding Shares into the Down-MACRO Tradeable
      Trust), thereby increasing supply and decreasing the market price. If the
      Down-MACRO Tradeable Shares are trading at a discount to their per share
      underlying value, Authorized Participants would be expected to redeem the shares
      at their per share underlying value (by exchanging the shares for the underlying
      Down-MACRO Holding Shares and then redeeming such shares, together with the
      paired Up-MACRO Holding Shares), thereby decreasing supply and increasing the
      market price of the Down-MACRO Tradeable Shares. The ability of Authorized
      Participants to arbitrage the premium or discount reflected in the market price
      of the Down-MACRO Tradeable Shares also depends upon the premium or discount,
      if
      any, at which the Up-MACRO Tradeable Shares are concurrently
      trading.




The
      assets of the Down-MACRO Holding Trust consist of cash, government
      securities ,
      repurchase agreements collateralized by U.S. government securities and OTC
      derivative instruments entered into between the Paired Holding
      Trusts. These derivative instruments consist of " **S** **ettlement
      Contracts** "
      which
      provide that the Down-MACRO Holding Trust is entitled to receive from, or is
      required to make to, the Up-MACRO Holding Trust a payment at the termination
      of
      each of these contracts in
      an
      amount that reflects
      the percentage change
      between the settlement
      price of NYMEX crude oil futures
      contracts ( the
      " **Closing
      Price** ")
      at the
      time when the Settlement Contracts are terminated and the Starting Level of
      that
      price on
      November 29, 2006 .
      The
      NYMEX crude oil futures contracts that are referenced by the Paired Holding
      Trusts are (i) futures contracts that mature during the next calendar month
      succeeding the current month for any date of determination occurring on or
      after
      the first day of the current month up to but excluding the 11 th New York
      Business Day of that month and (ii) futures contracts that mature during the
      second calendar month succeeding the current calendar month for any date of
      determination occurring on or after such 11 th New York
      Business Day (provided that the switch out of next month's contract to the
      succeeding month's contract may not take place later than the 17 th day of
      each month).




For
      purposes of determining the underlying value at which Paired Holding Shares
      are
      redeemed or created, as defined in the Down-MACRO Holding Trust Agreement,
      each
      Settlement Contract is valued on each
      New York Business Day against
      the Closing Price and the resulting percentage change in the Closing Price
      from
      the Starting Level. The
      performance obligations of the Paired Holding Trusts to each other under the
      Settlement Contracts are 100% collateralized by cash, U.S. government securities and repurchase agreements backed by U.S. government
      securities that are held in each of the Paired Holding Trusts. The Down-MACRO
      Holding Trust's obligations are not leveraged and the trust 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 Holding Trusts.




The
      " **Income
      Distribution Agreement** "
      entered
      into between the Paired Holding
      Trusts is the means for allocating between
      the Paired Holding Trusts the daily
      income accrual on the U.S.
      government securities and other assets on deposit in the trusts. Under
      the
      Income Distribution Agreement, the Down-MACRO Holding Trust is obligated to
      pay
      a portion of its income to the Up-MACRO Holding Trust or entitled to receive
      a
      portion of the Up-MACRO Holding Trust's income, based on the percentage change
      of the Closing Price from its Starting Level on each day of the calendar quarter
      between distribution dates. The Down-MACRO Holding Trust's daily income for
      the
      purposes of determining underlying value recorded under the Income Distribution
      Agreement reflects either
      an
      asset receivable by it or a liability payable by it ,
      based
      upon the daily value changes in the Closing Price relative to its Starting
      Level. A
      payment
      is made by one of the Paired Holding Trusts to the other on each quarterly
      distribution date and the Down-MACRO Holding Trust then distributes its
      remaining income (if it had to make a payment under the Income Distribution
      Agreement) or all of its income and a portion of the income it received from
      the
      Up-MACRO Holding Trust (if it received a payment under the Income Distribution
      Agreement) as a quarterly distribution to its shareholders on or immediately
      following such quarterly distribution date.




F-8




B.  Significant
      Accounting Policies




The
      following is a summary of the significant accounting policies that are
      consistently followed by the Down-MACRO Holding Trust in the preparation of
      its
      financial statements.




**Basis
      of Accounting**




The
      policies are in conformity with 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.
      Actual results could differ from those estimates.




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.




During
      the period from November 29, 2006 (commencement of operations) through December
      31, 2006 (the “Reporting Period”), 100% of the Down-MACRO Holding Trust Shares
      outstanding were held by the Down-MACRO Tradeable Trust.




**Cash
      and Cash Equivalents**




The
      Down-MACRO Holding Trust considers all highly liquid investments with original
      maturities of less than 90 days to be cash equivalents.




The
      Down-MACRO Holding Trust 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. The Down-MACRO
      Holding Trust may enter into repurchase agreements with banks and broker-dealers
      whereby the Down-MACRO Holding Trust 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.  The Down-MACRO Holding Trust, 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 the Down-MACRO Holding Trust may be delayed or limited. The U.S.
      government securities and repos are valued at amortized cost, which approximates
      market value.




**The
      Settlement Contracts**




Upon
      each
      issuance of Down-MACRO holding shares as part of a MACRO Unit in a Paired
      Subsequent Issuance, the Down-MACRO Holding Trust enters into a new Settlement
      Contract with the Up-MACRO Holding Trust. 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 MACRO Unit of outstanding Paired Holding Shares.
      Under the Settlement Contracts, the Down-MACRO Holding Trust is either (1)
      required to deliver all or a portion of its assets (held in the form of cash,
      government securities and repos) to the Up-MACRO Holding Trust or (2) entitled
      to receive all or a portion of the assets (held in the form of the same types
      of
      assets) of the Up-MACRO Holding Trust. The
      settlement payments made or received pursuant to the Settlement Contracts are
      based on the change in the
      Closing P rice from its
      Starting Level on the day on which a redemption order for Paired Holding Shares
      is delivered to the Administrative Agent. The
      final
      distribution on the Down-MACRO Holding Shares depends upon the settlement
      payment that the Down-MACRO Holding Trust 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 the
      Down-MACRO Holding Trust.




F-9




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




For
      the
      purpose of determining the underlying value at which Paired Holding Shares
      are
      redeemed or created, each daily recording of the difference between the Closing
      Price and the Starting Level is referred to as the daily calculation of the
      amount due to or from the Down-MACRO Holding Trust under the Settlement
      Contract. If the Closing Price exceeds its Starting Level, a liability is
      recorded as being due to the Up-MACRO Holding Trust under the Settlement
      Contracts. If the Closing Price is less than its Starting Level, an asset
      receivable from the Up-MACRO Holding Trust is recorded under the Settlement
      Contracts. If the Closing Price equals 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 in Down-MACRO Tradeable Shares on the AMEX. 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 held by the Down-MACRO Holding Trust as of
      December 31, 2006 for 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 the Up-MACRO Holding Trust, the Down-MACRO
      Holding Trust will, on each quarterly distribution date, either (1) be 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
      one percent) for the payment of fees and expenses, to the Up-MACRO Holding
      Trust
      or (2) be entitled to receive all or a portion of the Up-MACRO Holding Trust's
      income, after the Up-MACRO Holding Trust has deducted a fixed number of basis
      points for payment of its expenses and fees, based on its daily accrued income
      for each day during the preceding calendar quarter and the Closing Price for
      that day.




For
      the
      purpose of determining the underlying value at which Paired Holding Shares
      are
      redeemed or created, if the Closing Price on any New York Business Day exceeds
      its Starting Level, the Down-MACRO Holding Trust records a payment obligation
      payable to the Up-MACRO Holding Trust under the Income Distribution Agreement
      as
      a liability payable for that day. If the Closing Price is less than its Starting
      Level on any New York Business Day, the Down-MACRO Holding Trust records an
      asset receivable from the Up-MACRO Holding Trust under the Income Distribution
      Agreement. If the Closing Price equals its Starting Level, no accounting entry
      is recorded. For any
      day that is not a New York Business Day, the Closing Price from 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 for each day by the Down-MACRO Holding Trust are netted
      in
      order to determine whether it will make a net payment to, or be entitled to
      receive a net payment from, the Up-MACRO Holding Trust on the quarterly
      distribution date, prior to distributing its income to its
      shareholders.




For
      the
      purpose of financial reporting, the income distribution contract constitutes
      a
      derivative contract. Accordingly, the income distribution contract are recorded
      in the financial statements at fair value, as determined by the Administrative
      Agent. As there is no market for the income distribution contract, 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 contract 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 contract existed,
      and
      the differences could be material. The fair value of the income distribution
      contract held by the Down-MACRO Holding Trust as of December 31, 2006 for
      financial reporting purposes was different from the value used to determine
      underlying value, as defined previously.




F-10




**Federal
      Income Taxes**




The
      Down-MACRO Holding Trust 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 Party Waivers




Operating
      expenses are deducted daily from the income earned by the Down-MACRO Holding
      Trust (and, if income is insufficient during any quarter, from the assets of
      the
      Down-MACRO Holding Trust) 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 the Down-MACRO Holding
      Trust on each day (the " **Down-MACRO
      Asset Amount** ")
      and
      (i) a rate of 160 basis points (one basis point equals 0.01%) per annum until
      the second anniversary of the formation of the Down-MACRO Holding Trust and
      (ii)
      a rate of 150
      basis
      points per annum thereafter.




All
      operating expenses of the Down-MACRO Tradeable Trust are paid by the Down-MACRO
      Holding Trust. Because the Down-MACRO Tradeable Trust invests solely in the
      shares of the Down-MACRO Holding Trust, its investments are subject to the
      operating expenses charged by the Down-MACRO Holding Trust.




C1.
            Related
                Party Expenses and Waivers




If
      actual
      operating expenses incurred by the Down-MACRO Holding Trust and the Down-MACRO
      Tradeable Trust exceed the applicable fee deduction annual rate of 160 or 150
      basis points, MacroMarkets
      LLC and the Administrative and Marketing Agent have agreed to waive all or
      a
      portion of their respective fees. If, after the waiver, a shortfall remains,
      the
      Depositor will assume these expenses. To the extent there is a surplus, the
      Depositor is entitled to the excess.




Claymore
      Securities, Inc. makes
      all investment decisions for the Down-MACRO Holding Trust. Pursuant to the
      Down-MACRO Holding Trust Agreement, the Down-MACRO Holding Trust pays Claymore
      Securities, Inc. a fee that accrues daily at an annualized rate of 0.35% of
      the
      Down-MACRO Asset Amount for acting as the administrative agent and marketing
      agent. The Claymore Securities, Inc. fees for the period ended December 31,
      2006
      were $7,345, all of which was waived by Claymore Securities, Inc.




The
      Down-MACRO Holding Trust pays (a) MacroMarkets LLC (i) a licensing fee for
      the
      use of its intellectual property related to the patented MACROs structure,
      which
      accrues daily at an annualized rate of 0.10% on the Down-MACRO Asset Amount,
      (ii) a structuring fee for structuring the product, which accrues at an
      annualized rate of 0.20% on the Down-MACRO Asset Amount and pays (b) MACRO
      Financial LLC, an affiliate of MacroMarkets LLC, a marketing fee for acting
      as
      an additional marketing agent for the trust, which accrues daily at an
      annualized rate of 0.10% of the Down-MACRO Asset Amount. The MacroMarkets LLC
      and MACRO Financial, LLC fees for the period ended December 31, 2006 were
      $8,394, all of which was waived by MacroMarkets LLC and MACRO Financial,
      LLC.




For
      the
      period ended December 31, 2006, a shortfall remained after these fee waivers.
      As
      a result, the Depositor assumed this expense shortfall.




C2.
            Trustee
                Fees




Pursuant
      to the Declaration of Down-MACRO Holding Trust, the Trustee receives a fee
      with
      respect to the services for the Down-MACRO Holding Trust an amount equal to
      the
      product of a per annum rate of 0.08% and the Down-MACRO Asset Amount on such
      day. For the period from November 29, 2006 through December 31, 2006 Trustee
      fees were $17,948.




Investors
      Bank & Trust is the “Custodian” of the Trust assets on behalf of the
      Down-MACRO Holding Trust. The Trustee has delegated certain responsibilities
      to
      the Custodian, which is an affiliate of the Trustee.




F-11




D.  Distributions




The
      Trustee of the Down-MACRO Holding Trust will make quarterly and final
      distributions to each person who was a " **Registered
      Owner** ," **** which
      is
      the depository or nominee thereof in which name the Down-MACRO Holding Shares
      are registered **,** on the
      record date that preceded such distribution date.




E.  Indemnifications




Under
      the
      Down-MACRO Holding Trust's organizational documents, the Depositor, the
      Administrative Agent, the Trustee, NYMEX and MacroMarkets LLC are indemnified
      by
      the Down-MACRO Holding Trust against any liability or expense that any of them
      may incur in connection with the service and licensing agreements into which
      they entered with the Down-MACRO Holding Trust that is not the result of gross
      negligence, bad faith, willful misconduct or reckless disregard on their part.
      The Down-MACRO Holding Trust's maximum exposure under these indemnification
      arrangements (as set forth in their respective trust agreements and certain
      licensing agreements) is unknown and dependent upon future claims that may
      be
      made against the Down-MACRO Holding Trust based on events that have not yet
      occurred. However, the Down-MACRO Holding Trust expects the risk of loss to
      be
      remote.




F.  New
      Accounting Pronouncements




On
      September 15, 2006, the Financial Accounting Standards Board (“FASB”) issued
      Statement of Financial Accounting Standards No. 157, “Fair Value Measurements”
(“SFAS No. 157”).  SFAS No. 157 defines fair value, establishes a framework
      for measuring fair value in accordance with generally accepted accounting
      principles and expands disclosure about fair value measurements.  SFAS No.
      157 is effective for fiscal years beginning after November 15, 2007.  The
      Depositor of the Down-MACRO Holding Trust is currently evaluating the impact
      the
      adoption of SFAS No. 157 will have on the Down-MACRO Holding Trust’s financial
      statement disclosures.




G.  Concentration
      Risk




The
      Down-MACRO Holding Trust's performance at underlying value is determined by the
      daily
      Closing Price of NYMEX
      light sweet crude oil futures
      contracts .
      Therefore, the primary risk of loss to the Down-MACRO Holding Trust comes from
      fluctuations in the Closing Price of c rude o il futures
      contracts. The minimum price level of crude oil futures for which the Down-MACRO
      Holding Trust can deliver investment returns at underlying value corresponding
      inversely to the change in price of such crude oil futures is equal to $0.00.
      (Conversely, the maximum price level of crude oil futures for which the Up-MACRO
      Holding Trust can deliver investment returns at underlying value corresponding
      to the change in price of such crude oil futures is equal to twice the Starting
      Level $120.) In addition, the Down-MACRO Holding Trust is exposed to possible
      indemnification obligations, as described above. An additional risk comes from
      interest rate fluctuations, which affects the total amount of income earned
      by
      the Paired Holding Trusts.




H.  Termination
      of the Trust




The
      Down-MACRO Holding Trust will be terminated in December of 2026. On such
      date , the
      holders of any Down-MACRO Holding Shares which remain outstanding will receive
      the net assets of the Down-MACRO Holding Trust 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 the Down-MACRO Holding Trust consist of (i) any event
      in
      which any of the Paired Holding Trusts or the Tradeable Trusts (collectively,
      the " **MACRO**  **Trusts** ")
      become
      insolvent or bankrupt; (ii) any of the MACRO Trusts become required to register
      as "investment companies" under the Investment Company Act of 1940, as amended;
      (iii) the MACRO Trusts are prohibited from using, or NYMEX or the applicable
      substitute oil price provider does not establish, a settlement price for light
      sweet crude oil futures or the applicable substitute reference oil price for
      five consecutive New York Business Days and no other substitute oil benchmark
      is
      identified and approved by the shareholders and/or the Depositor is unable
      to
      negotiate a licensing arrangement with any such substitute oil price provider;
      (iv) the Closing Price falls to only 15% of its Starting Level (at which Closing
      Price the Down-MACRO Holding Trust would be entitled to receive all but 15%
      of
      the Up-MACRO Holding Trust’s assets) or the Closing Price rises to a level that
      is equal to 185% of its Starting Level (at which Closing Price the Down-MACRO
      Holding Trust would be entitled to retain only 15% of its own assets under
      the
      Settlement Contracts); (v) the reduction of the funds of either of the Paired
      Holding Trusts to an amount below $10 million U.S. dollars; and (vi) the amount
      of cash and U.S. government securities on deposit in the Up-MACRO Holding Trust
      or the Down-MACRO Holding Trust is reduced to fifty million dollars or less
      after previously reaching an amount equal to two hundred million dollars or
      more, or the failure on the part of the Paired Holding Trusts to each hold
      cash
      and U.S. government securities in an amount equal to at least two hundred
      million dollars after six months or more have elapsed since the commencement
      of
      operations and the Depositor elects to terminate the Paired Holding
      Trusts.




F-12




In
      the
      case of each of these termination events, including the event described in
      clause (iv) above, the Settlement Contracts would settle on the next
      distribution date on the basis of the Closing Price on the last New York
      Business Day that preceded that distribution date, which may be different from
      the Closing Price at the time when the termination event occurred.




F-13




**SIGNATURES**




Pursuant
      to the requirements of Section 13 or 15(d) 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.




MACRO
                SECURITIES DEPOSITOR, LLC,
              as Depositor for the Claymore MACROshares Oil
                Down
                Holding Trust/s/ Samuel
              Masucci, IIISamuel
              Masucci, IIIChief Executive Officer


/s/ Steven
                M.
                HillSteven
                M. HillChief Financial
                Officer




Pursuant
      to the requirements of the Securities Exchange Act of 1934, this report has
      been
      signed below by the following persons on behalf of the registrant and in the
      capacities and on the dates indicated.


/s/ Samuel
                  Masucci, IIISamuel
                  Masucci, IIIChief Executive Officer
 /s/ Steven
                    M.
                    HillSteven
                    M. HillChief Financial Officer
 /s/ Robert
                      TullRobert
                      TullManager
 /s/ Nicholas
                        DalmasoNicholas
                        DalmasoManager




Date:
      April 2, 2007