Attached files
file | filename |
---|---|
10-K - GLOBAL MACRO TRUST | v178992_10k.htm |
EX-32.2 - GLOBAL MACRO TRUST | v178992_ex32-2.htm |
EX-32.3 - GLOBAL MACRO TRUST | v178992_ex32-3.htm |
EX-32.1 - GLOBAL MACRO TRUST | v178992_ex32-1.htm |
EX-31.2 - GLOBAL MACRO TRUST | v178992_ex31-2.htm |
EX-31.1 - GLOBAL MACRO TRUST | v178992_ex31-1.htm |
EX-31.2 - GLOBAL MACRO TRUST | v178992_ex31-3.htm |
Exhibit
13.01
Global
Macro Trust
Financial
Statements for the Years Ended December 31,
2009,
2008, and 2007, and Report of Independent
Registered
Public Accounting Firm
GLOBAL
MACRO TRUST
TABLE
OF CONTENTS
Page
|
|
AFFIRMATION
OF MILLBURN RIDGEFIELD CORPORATION
|
|
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
1
|
FINANCIAL
STATEMENTS FOR THE YEARS ENDED
|
|
DECEMBER
31, 2009, 2008, AND 2007:
|
|
Statements
of Financial Condition
|
2
|
Condensed
Schedules of Investments
|
3–6
|
Statements
of Operations
|
7
|
Statements
of Changes in Trust Capital
|
8
|
Statements
of Financial Highlights
|
9
|
Notes
to Financial Statements
|
10–22
|
AFFIRMATION
OF MILLBURN RIDGEFIELD CORPORATION
In
compliance with the Commodity Futures Trading Commission’s regulations, I hereby
affirm that to the best of my knowledge and belief, the information contained in
the statements of financial condition of Global Macro Trust, including the
condensed schedules of investments, as of December 31, 2009 and 2008, and
the related statements of operations, changes in trust capital and financial
highlights for each of the three years in the period ended December 31,
2009, are complete and accurate.
Harvey
Beker, Co-Chief Executive Officer
Millburn
Ridgefield Corporation
Managing
Owner of Global Macro Trust
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the
Unitholders of
Global
Macro Trust:
We have
audited the accompanying statements of financial condition of Global Macro Trust
(the “Trust”), including the condensed schedules of investments, as of
December 31, 2009 and 2008, and the related statements of operations,
changes in trust capital, and financial highlights for each of the three years
in the period ended December 31, 2009. These financial statements and
financial highlights are the responsibility of the Trust’s management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We
conducted our audits 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 and financial highlights are free of material misstatement. The Trust
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
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, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our
opinion, the financial statements and financial highlights referred to above
present fairly, in all material respects, the financial position of Global Macro
Trust at December 31, 2009 and 2008, and the results of its operations,
changes in trust capital and financial highlights for each of the three years in
the period ended December 31, 2009, in conformity with accounting
principles generally accepted in the United States of America.
Deloitte
& Touche LLP
New York,
New York
March 10,
2010
1
GLOBAL
MACRO TRUST
STATEMENTS
OF FINANCIAL CONDITION
AS
OF DECEMBER 31, 2009 AND 2008
2009
|
2008
|
|||||||
ASSETS
|
||||||||
EQUITY
IN TRADING ACCOUNTS:
|
||||||||
Investments
in U.S. Treasury notes — at fair value (amortized cost
$183,990,192
|
||||||||
and
$63,160,186)
|
$ | 184,131,564 | $ | 63,783,609 | ||||
Net
unrealized appreciation on open futures and
|
||||||||
forward
currency contracts
|
8,149,438 | 8,795,238 | ||||||
Due
from brokers
|
8,226,920 | 2,975,438 | ||||||
Cash
denominated in foreign currencies (cost $10,850,532 and
$680,184)
|
11,295,744 | 714,527 | ||||||
Total
equity in trading accounts
|
211,803,666 | 76,268,812 | ||||||
INVESTMENTS
IN U.S. TREASURY NOTES — at fair value (amortized cost
|
||||||||
$637,400,369
and $935,337,697)
|
637,870,733 | 942,031,016 | ||||||
CASH
AND CASH EQUIVALENTS
|
62,306,227 | 66,551,598 | ||||||
ACCRUED
INTEREST RECEIVABLE
|
7,477,239 | 9,781,465 | ||||||
TOTAL
|
$ | 919,457,865 | $ | 1,094,632,891 | ||||
LIABILITIES
AND TRUST CAPITAL
|
||||||||
LIABILITIES:
|
||||||||
Subscriptions
by Unitholders received in advance
|
$ | 850,000 | $ | 9,723,446 | ||||
Net
unrealized depreciation on open futures and forward currency
contracts
|
13,006,623 | 4,194,584 | ||||||
Due
to Managing Owner
|
5,492 | 22,611 | ||||||
Accrued
brokerage fees
|
4,831,803 | 5,808,866 | ||||||
Accrued
management fees
|
3,753 | - | ||||||
Redemptions
payable to Unitholders
|
10,404,572 | 8,036,643 | ||||||
Redemption
payable to Managing Owner
|
40,426 | 29,151,044 | ||||||
Accrued
expenses
|
132,135 | 248,479 | ||||||
Cash
denominated in foreign currencies (cost $-69,497 and
$-2,804,975)
|
69,509 | 2,746,779 | ||||||
Due
to brokers
|
10,958,940 | 4,319,078 | ||||||
Total
liabilities
|
40,303,253 | 64,251,530 | ||||||
TRUST
CAPITAL:
|
||||||||
Managing
Owner interest (9,024.593 and 8,432.177 units outstanding)
|
10,937,574 | 11,560,510 | ||||||
Series
1 Unitholders (714,519.974 and 743,122.758 units
outstanding)
|
865,980,227 | 1,018,820,851 | ||||||
Series
3 Unitholders (1,831.292 and 0 units outstanding)
|
2,236,811 | - | ||||||
Total
trust capital
|
879,154,612 | 1,030,381,361 | ||||||
TOTAL
|
$ | 919,457,865 | $ | 1,094,632,891 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING:
|
||||||||
Series
1 Unitholders
|
$ | 1,211.97 | $ | 1,371.00 | ||||
Series
3 Unitholders
|
$ | 1,221.44 | $ | - |
See notes
to financial statements
2
GLOBAL
MACRO TRUST
CONDENSED
SCHEDULE OF INVESTMENTS
AS
OF DECEMBER 31, 2009
Net Unrealized
|
||||||||
Appreciation
|
||||||||
(Depreciation)
|
Net Unrealized
|
|||||||
as a % of
|
Appreciation/
|
|||||||
Trust Capital
|
(Depreciation)
|
|||||||
FUTURES
AND FORWARD CURRENCY CONTRACTS
|
||||||||
FUTURES
CONTRACTS
|
||||||||
Long
futures contracts:
|
||||||||
Energies
|
1.37 | % | $ | 12,086,666 | ||||
Grains
|
0.05 | 471,763 | ||||||
Interest
rates:
|
||||||||
2
Year U.S. Treasury Note (1,190 contracts, expiration date
03/31/2010)
|
(0.15 | ) | (1,356,983 | ) | ||||
5
Year U.S. Treasury Note (714 contracts, expiration date
03/31/2010)
|
(0.19 | ) | (1,625,882 | ) | ||||
10
Year U.S. Treasury Note (404 contracts, expiration date
03/31/2010)
|
(0.07 | ) | (606,828 | ) | ||||
30
Year U.S. Treasury Bond (11 contracts, expiration date
03/31/2010)
|
(0.00 | ) | (36,000 | ) | ||||
Other
interest rates
|
(0.85 | ) | (7,412,093 | ) | ||||
Total
interest rates
|
(1.26 | ) | (11,037,786 | ) | ||||
Metals
|
0.34 | 2,993,788 | ||||||
Softs
|
0.35 | 3,088,661 | ||||||
Stock
indices
|
1.31 | 11,402,780 | ||||||
Total
long futures contracts
|
2.16 | 19,005,872 | ||||||
Short
futures contracts:
|
||||||||
Energies
|
(1.17 | ) | (10,330,324 | ) | ||||
Grains
|
(0.05 | ) | (478,937 | ) | ||||
Interest
rates
|
0.00 | 37,750 | ||||||
Livestock
|
(0.03 | ) | (271,610 | ) | ||||
Metals
|
(0.20 | ) | (1,755,899 | ) | ||||
Softs
|
(0.02 | ) | (142,102 | ) | ||||
Stock
indices
|
(0.03 | ) | (266,008 | ) | ||||
Total
short futures contracts
|
(1.50 | ) | (13,207,130 | ) | ||||
TOTAL
INVESTMENTS IN FUTURES CONTRACTS — Net
|
0.66 | 5,798,742 | ||||||
FORWARD
CURRENCY CONTRACTS:
|
||||||||
Total
long forward currency contracts
|
(1.72 | ) | (15,178,661 | ) | ||||
Total
short forward currency contracts
|
0.51 | 4,522,734 | ||||||
TOTAL
INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net
|
(1.21 | ) | (10,655,927 | ) | ||||
TOTAL
|
(0.55 | )% | $ | (4,857,185 | ) |
(Continued)
3
GLOBAL
MACRO TRUST
CONDENSED
SCHEDULE OF INVESTMENTS
AS
OF DECEMBER 31, 2009
U.S.
TREASURY NOTES
Value
|
|||||||||||
as a % of
|
|||||||||||
Face
Amount
|
Description
|
Trust
Capital
|
Value
|
||||||||
$ | 99,500,000 |
U.S.
Treasury notes, 1.750%, 03/31/2010
|
11.37 | % | $ | 99,904,219 | |||||
230,000,000 |
U.S.
Treasury notes, 2.625%, 05/31/2010
|
26.42 | 232,300,000 | ||||||||
244,330,000 |
U.S.
Treasury notes, 3.875%, 07/15/2010
|
28.33 | 249,102,070 | ||||||||
233,650,000 |
U.S.
Treasury notes, 4.250%, 10/15/2010
|
27.38 | 240,696,008 | ||||||||
Total
investments in U.S. Treasury notes
|
|||||||||||
(amortized
cost $821,390,561)
|
93.50 | % | $ | 822,002,297 |
See
notes to financial statements
|
(Concluded)
|
4
GLOBAL
MACRO TRUST
CONDENSED
SCHEDULE OF INVESTMENTS
AS
OF DECEMBER 31, 2008
Net
Unrealized
|
||||||||
Appreciation
|
||||||||
(Depreciation)
|
Net
Unrealized
|
|||||||
as
a % of
|
Appreciation/
|
|||||||
Trust
Capital
|
(Depreciation)
|
|||||||
FUTURES
AND FORWARD CURRENCY CONTRACTS
|
||||||||
FUTURES
CONTRACTS
|
||||||||
Long
futures contracts:
|
||||||||
Energies
|
0.02 | % | $ | 228,038 | ||||
Grains
|
0.06 | 623,375 | ||||||
Interest
rates
|
1.00 | 10,273,688 | ||||||
Metals
|
(0.12 | ) | (1,284,097 | ) | ||||
Softs
|
0.00 | 39,850 | ||||||
Total
long futures contracts
|
0.96 | 9,880,854 | ||||||
Short
futures contracts:
|
||||||||
Energies
|
0.21 | 2,132,478 | ||||||
Grains
|
(0.33 | ) | (3,345,546 | ) | ||||
Interest
rates
|
(0.10 | ) | (1,050,539 | ) | ||||
Livestock
|
0.06 | 608,080 | ||||||
Metals
|
0.19 | 1,971,470 | ||||||
Softs
|
(0.07 | ) | (734,502 | ) | ||||
Stock
indices
|
(0.07 | ) | (715,194 | ) | ||||
Total
short futures contracts
|
(0.11 | ) | (1,133,753 | ) | ||||
TOTAL
INVESTMENTS IN FUTURES CONTRACTS-Net
|
0.85 | 8,747,101 | ||||||
FORWARD
CURRENCY CONTRACTS
|
||||||||
Total
long forward currency contracts
|
0.15 | 1,552,974 | ||||||
Total
short forward currency contracts
|
(0.55 | ) | (5,699,421 | ) | ||||
TOTAL
INVESTMENTS IN FORWARD CURRENCY
|
||||||||
CONTRACTS-Net
|
(0.40 | ) | (4,146,447 | ) | ||||
TOTAL
|
0.45 | % | $ | 4,600,654 |
(Continued)
5
GLOBAL
MACRO TRUST
CONDENSED
SCHEDULE OF INVESTMENTS
AS
OF DECEMBER 31, 2008
U.S.
TREASURY NOTES
Value
|
|||||||||||
as
a % of
|
|||||||||||
Face
Amount
|
Description
|
Trust
Capital
|
Value
|
||||||||
$ | 99,500,000 |
U.S.
Treasury notes, 4.000%, 03/31/2009
|
9.76 | % | $ | 100,572,734 | |||||
265,100,000 |
U.S.
Treasury notes, 3.875%, 05/15/2009
|
26.08 | 268,703,703 | ||||||||
293,900,000 |
U.S.
Treasury notes, 3.625%, 07/15/2009
|
29.04 | 299,181,016 | ||||||||
329,380,000 |
U.S.
Treasury notes, 3.375%, 10/15/2009
|
32.74 | 337,357,172 | ||||||||
Total
investments in U.S. Treasury notes
|
|||||||||||
(amortized
cost $998,497,883)
|
97.62 | % | $ | 1,005,814,625 |
See
notes to financial statements
|
(Concluded)
|
6
GLOBAL
MACRO TRUST
STATEMENTS
OF OPERATIONS
YEARS
ENDED DECEMBER 31, 2009, 2008, AND 2007
2009
|
2008
|
2007
|
||||||||||
INVESTMENT
INCOME — Interest income
|
$ | 9,966,151 | $ | 21,273,709 | $ | 26,686,249 | ||||||
EXPENSES:
|
||||||||||||
Brokerage
fees
|
63,566,376 | 54,511,974 | 38,279,891 | |||||||||
Administrative
expenses
|
2,670,335 | 2,590,867 | 1,878,041 | |||||||||
Custody
fees
|
193,127 | 160,055 | 85,806 | |||||||||
Management
fees
|
10,864 | - | - | |||||||||
Total
expenses
|
66,440,702 | 57,262,896 | 40,243,738 | |||||||||
NET
INVESTMENT LOSS
|
(56,474,551 | ) | (35,989,187 | ) | (13,557,489 | ) | ||||||
NET
REALIZED AND UNREALIZED GAINS (LOSSES):
|
||||||||||||
Net
realized gains (losses) on closed positions:
|
||||||||||||
Futures
and forward currency contracts
|
(49,280,152 | ) | 214,035,345 | 92,248,212 | ||||||||
Foreign
exchange translation
|
126,508 | (848,741 | ) | 214,004 | ||||||||
Net
change in unrealized:
|
||||||||||||
Futures
and forward currency contracts
|
(9,457,839 | ) | (8,084,164 | ) | (16,622,693 | ) | ||||||
Foreign
exchange translation
|
352,661 | 135,285 | (45,932 | ) | ||||||||
Net
gains (losses) from U.S. Treasury notes:
|
||||||||||||
Realized
|
526,749 | - | - | |||||||||
Net
change in unrealized
|
(6,705,006 | ) | 4,991,515 | 2,467,858 | ||||||||
Total
net realized and unrealized gains (losses)
|
(64,437,079 | ) | 210,229,240 | 78,261,449 | ||||||||
NET
INCOME (LOSS)
|
(120,911,630 | ) | 174,240,053 | 64,703,960 | ||||||||
LESS
PROFIT SHARE TO MANAGING OWNER
|
43,187 | 30,185,853 | 6,459,328 | |||||||||
NET
INCOME (LOSS) AFTER PROFIT SHARE TO
|
||||||||||||
MANAGING
OWNER
|
$ | (120,954,817 | ) | $ | 144,054,200 | $ | 58,244,632 | |||||
NET
INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING
|
||||||||||||
OWNER
PER AVERAGE UNIT OUTSTANDING (see Note 7):
|
||||||||||||
Series
1 Unitholders
|
$ | (159.03 | ) | $ | 213.83 | $ | 117.07 | |||||
Series
3 Unitholders
|
$ | 40.53 | $ | - | $ | - |
See notes
to financial statements.
7
GLOBAL
MACRO TRUST
STATEMENTS
OF CHANGES IN TRUST CAPITAL
YEARS
ENDED DECEMBER 31, 2009, 2008, AND 2007
New
Profit Memo
|
||||||||||||||||||||||||||||||||||||||||
Series
1 Unitholders
|
Series
3 Unitholders
|
Account
|
Managing
Owner
|
Total
|
||||||||||||||||||||||||||||||||||||
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
|||||||||||||||||||||||||||||||
TRUST
CAPITAL — January 1, 2007
|
$ | 480,532,970 | 462,004.829 | $ | - | - | $ | - | - | $ | 5,290,389 | 5,086.375 | $ | 485,823,359 | 467,091.204 | |||||||||||||||||||||||||
Subscriptions
|
149,852,918 | 133,492.106 | - | - | - | - | - | - | 149,852,918 | 133,492.106 | ||||||||||||||||||||||||||||||
Redemptions
|
(69,160,402 | ) | (62,025.145 | ) | - | - | - | - | (6,462,527 | ) | (5,584.764 | ) | (75,622,929 | ) | (67,609.909 | ) | ||||||||||||||||||||||||
Additional
units allocated*
|
- | 923.179 | - | - | - | 10.828 | - | 421.261 | - | 1,355.268 | ||||||||||||||||||||||||||||||
Net
income after profit share to
|
||||||||||||||||||||||||||||||||||||||||
Managing
Owner
|
57,158,543 | - | - | - | 3,198 | - | 1,082,891 | - | 58,244,632 | - | ||||||||||||||||||||||||||||||
Managing
Owner’s profit share
|
- | - | - | - | 6,459,328 | 5,573.940 | - | - | 6,459,328 | 5,573.940 | ||||||||||||||||||||||||||||||
Transfer
of New Profit Memo Account
|
||||||||||||||||||||||||||||||||||||||||
to
Managing Owner
|
- | - | - | - | (6,462,526 | ) | (5,584.768 | ) | 6,462,526 | 5,584.768 | - | - | ||||||||||||||||||||||||||||
TRUST
CAPITAL — December 31, 2007
|
618,384,029 | 534,394.969 | - | - | - | - | 6,373,279 | 5,507.640 | 624,757,308 | 539,902.609 | ||||||||||||||||||||||||||||||
Subscriptions
|
341,517,412 | 272,963.809 | - | - | - | - | 1,900,000 | 1,461.442 | 343,417,412 | 274,425.251 | ||||||||||||||||||||||||||||||
Redemptions
|
(82,882,368 | ) | (65,542.043 | ) | - | - | - | - | (29,151,044 | ) | (21,262.614 | ) | (112,033,412 | ) | (86,804.657 | ) | ||||||||||||||||||||||||
Additional
units allocated*
|
- | 1,306.023 | - | - | - | 28.600 | - | 635.432 | - | 1,970.055 | ||||||||||||||||||||||||||||||
Net
income after profit share to
|
||||||||||||||||||||||||||||||||||||||||
Managing
Owner
|
141,801,778 | - | - | - | 99,892 | - | 2,152,530 | - | 144,054,200 | - | ||||||||||||||||||||||||||||||
Managing
Owner’s profit share
|
- | - | - | - | 30,185,853 | 22,061.677 | - | - | 30,185,853 | 22,061.677 | ||||||||||||||||||||||||||||||
Transfer
of New Profit Memo Account
|
||||||||||||||||||||||||||||||||||||||||
to
Managing Owner
|
- | - | - | - | (30,285,745 | ) | (22,090.277 | ) | 30,285,745 | 22,090.277 | - | - | ||||||||||||||||||||||||||||
TRUST
CAPITAL — December 31, 2008
|
1,018,820,851 | 743,122.758 | - | - | - | - | 11,560,510 | 8,432.177 | 1,030,381,361 | 751,554.935 | ||||||||||||||||||||||||||||||
Subscriptions
|
78,304,008 | 59,130.010 | 1,727,114 | 1,444.668 | - | - | - | - | 80,031,122 | 60,574.678 | ||||||||||||||||||||||||||||||
Redemptions
|
(110,305,815 | ) | (89,327.054 | ) | - | - | - | - | (40,426 | ) | (33.356 | ) | (110,346,241 | ) | (89,360.410 | ) | ||||||||||||||||||||||||
Transfers
|
(461,258 | ) | (388.822 | ) | 461,258 | 386.624 | - | - | - | - | - | (2.198 | ) | |||||||||||||||||||||||||||
Additional
units allocated*
|
- | 1,983.082 | - | - | - | 1.214 | - | 592.416 | - | 2,576.712 | ||||||||||||||||||||||||||||||
Net
income after profit share to
|
||||||||||||||||||||||||||||||||||||||||
Managing
Owner
|
(120,377,559 | ) | - | 48,439 | - | (2,761 | ) | - | (622,936 | ) | - | (120,954,817 | ) | - | ||||||||||||||||||||||||||
Managing
Owner’s profit share
|
- | - | - | - | 43,187 | 32.142 | - | - | 43,187 | 32.142 | ||||||||||||||||||||||||||||||
Transfer
of New Profit Memo Account
|
||||||||||||||||||||||||||||||||||||||||
to
Managing Owner
|
- | - | - | - | (40,426 | ) | (33.356 | ) | 40,426 | 33.356 | - | - | ||||||||||||||||||||||||||||
TRUST
CAPITAL — December 31, 2009
|
$ | 865,980,227 | 714,519.974 | $ | 2,236,811 | 1,831.292 | - | - | $ | 10,937,574 | 9,024.593 | $ | 879,154,612 | 725,375.859 |
*
Additional units are issued to Series 1 Unitholders and the Managing Owner who
are charged less than a 7.0% brokerage fee.
See notes
to financial statements.
8
GLOBAL
MACRO TRUST
STATEMENTS
OF FINANCIAL HIGHLIGHTS
YEARS
ENDED DECEMBER 31, 2009, 2008, AND 2007
2009
|
2009*
|
2008
|
2007
|
|||||||||||||||||
Series
1
|
Series
3
|
Series
1
|
Series
1
|
|||||||||||||||||
PER
UNIT OPERATING PERFORMANCE
|
||||||||||||||||||||
(FOR
A UNIT OUTSTANDING
|
||||||||||||||||||||
THROUGHOUT
THE YEAR):
|
||||||||||||||||||||
Net
income (loss) from operations:
|
||||||||||||||||||||
Net
investment loss
|
$ | (75.05 | ) |
(a)
|
$ | (8.71 | ) |
(a)
|
$ | (57.47 | ) |
(a)
|
$ | (27.88 | ) |
(a)
|
||||
Net
realized and unrealized gains (losses) on trading
|
||||||||||||||||||||
of
futures and forward currency contracts
|
(75.84 | ) | 58.50 | 311.42 | 153.06 | |||||||||||||||
Net
gains (losses) from U.S. Treasury notes
|
(8.10 | ) |
(a)
|
(0.59 | ) |
(a)
|
7.85 |
(a)
|
4.93 |
(a)
|
||||||||||
Net
income (loss) from operations
|
(158.99 | ) | 49.20 | 261.80 | 130.11 | |||||||||||||||
Less
profit share allocated to Managing Owner
|
0.04 | 8.67 | 47.97 | 13.04 | ||||||||||||||||
Net
income (loss) after profit share allocation
|
(159.03 | ) | 40.53 | 213.83 | 117.07 | |||||||||||||||
NET
ASSET VALUE — Beginning of year (period)
|
1,371.00 | 1,180.91 | 1,157.17 | 1,040.10 | ||||||||||||||||
NET
ASSET VALUE — End of year
|
$ | 1,211.97 | $ | 1,221.44 | $ | 1,371.00 | $ | 1,157.17 | ||||||||||||
RETURNS:
|
||||||||||||||||||||
Total
return before profit share allocation
|
(11.60 | )% | 4.17 | % | 22.62 | % | 12.51 | % | ||||||||||||
Profit
share allocation
|
(0.00 | ) | (0.74 | ) | (4.14 | ) | (1.25 | ) | ||||||||||||
TOTAL
RETURN AFTER PROFIT SHARE
|
||||||||||||||||||||
ALLOCATION
|
(11.60 | )% | 3.43 | % | 18.48 | % | 11.26 | % | ||||||||||||
RATIOS
TO AVERAGE TRUST CAPITAL:
|
||||||||||||||||||||
Net
investment loss
|
(6.00 | )% | (2.14 | )% | (4.55 | )% | (2.48 | )% | ||||||||||||
Total
expenses
|
7.05 | % | 2.61 | % | 7.21 | % | 7.23 | % | ||||||||||||
Profit
share allocation
|
0.00 | 0.71 | 3.80 | 1.16 | ||||||||||||||||
Total
expenses and profit share allocation
|
7.05 | % | 3.32 | % | 11.01 | % | 8.39 | % |
(a)
Calculated based on weighted average number of units during the year, see Note
7.
*Series 3
data is since inception, September 1, 2009. Net investment loss and
total expense ratios have been annualized.
See notes
to financial statements.
9
GLOBAL
MACRO TRUST
NOTES
TO FINANCIAL STATEMENTS
YEARS
ENDED DECEMBER 31, 2009, 2008, AND 2007
1.
|
ORGANIZATION
|
Global
Macro Trust (the “Trust”) was organized on July 23, 2001, under the
Delaware Statutory Trust Act. At such time, original capital of $400 by Millburn
Ridgefield Corporation (the “Managing Owner”) and $1,600 by the Initial
Unitholder, an affiliated entity, was contributed to the Trust. The Trust
commenced trading operations on July 1, 2002. The Trust engages in the
speculative trading of futures and forward currency contracts. The instruments
that are traded by the Trust are volatile and involve a high degree of market
risk.
The
Managing Owner manages the business of the Trust and makes all trading
decisions.
The
Managing Owner has agreed to make additional capital contributions, subject to
certain possible exceptions, in order to maintain its capital account at not
less than 1% of the total outstanding capital contributions in the Trust
(including the Managing Owner’s contributions) but in no event shall the
Managing Owner invest less than $500,000. The Managing Owner and the holders
(the “Unitholders”) of the Units of Beneficial Interest (“Units”) issued by the
Trust will share in any profits and losses of the Trust in proportion to the
percentage interest owned by each before brokerage commissions, management fees
and profit share allocations.
The Trust
will dissolve on December 31, 2031, or at an earlier date if certain
conditions occur set forth in the Fourth Amended and Restated Declaration of
Trust and the Trust Agreement (the “Agreement”).
2.
|
SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES
|
On
June 30, 2009, the Financial Accounting Standards Board (“FASB”) issued the
FASB Accounting Standards Codification (“Codification”). The Codification is
effective for interim and annual periods ending after September 15, 2009
and is the source, along with guidance issued by the Securities and Exchange
Commission, of authoritative U.S. accounting and reporting standards for
nongovernmental entities. The Codification is a major restructuring of
accounting and reporting standards designed to simplify user access to all
authoritative U.S. generally accepted accounting principles by providing the
authoritative literature in a topically organized structure. All other
accounting literature not included in the Codification will be considered non
authoritative. The Codification does not change current U.S. GAAP literature in
the Trust’s financial statements and the notes thereto have been updated to
reflect new Codification references.
Investments — The Trust
records its transactions in futures and forward currency contracts and U.S.
Treasury notes including related income and expenses on a trade date
basis.
10
Open
futures contracts are valued at quoted market values and open forward currency
contracts are valued at fair value which is based on pricing models that
consider the time value of money and the current market and contractual prices
of the underlying financial instruments. Brokerage commissions on futures
contracts are expensed when contracts are opened. Realized gains (losses) and
changes in unrealized appreciation (depreciation) on futures and forward
currency contracts are recognized in the periods in which the contracts are
closed or the changes in the value of open contracts occur and are included in
net realized and unrealized gains (losses) in the statements of
operations.
Investments
in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask
quotations reported daily at 3 pm EST by Bloomberg. The Trust amortizes
premiums and accretes discounts on U.S. Treasury notes. Such securities are
normally on deposit with financial institutions (see Note 6) as collateral
for performance of the Trust’s trading obligations with respect to derivative
contracts or are held for safekeeping in a custody account at HSBC Bank
USA, N.A.
Cash and Cash
Equivalents — Cash and cash equivalents includes cash and an
investment in Dreyfus Treasury & Agency Cash Management fund, a short-term
U.S. government securities and related instruments money market
fund.
Foreign Currency
Translation — Assets and liabilities denominated in foreign
currencies are translated to U.S. Dollars at prevailing exchange rates of such
currencies. Purchases and sales of investments are translated to U.S. Dollars at
the exchange rate prevailing when such transactions occurred.
Income Taxes —The Income
Taxes topic of the Codification (formerly FASB Interpretation No. 48,
Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement
No. 109 (“FIN 48”)), clarifies the accounting for uncertainty in tax
positions. This requires that the Trust recognize in its financial statements
the impact of a tax position and if that position is more likely than not of
being sustained on audit based on the technical merits of the
position. Based on a review of the Trust’s open tax years, 2005 to 2009,
for the U.S. Federal jurisdiction, the New York and Delaware State jurisdictions
and the New York City jurisdiction, there is no impact on the Trust with regard
to uncertainty in tax positions. The Trust is treated as a limited partnership
for federal and state income tax reporting purposes and therefore the
unitholders are responsible for the payment of taxes.
Estimates — The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the amounts and disclosures reported in
the financial statements. Actual results could differ from these
estimates.
Right of Offset — The
customer agreements between the Trust and each of its brokers give the Trust the
legal right to net unrealized gains and losses with each broker. Unrealized
gains and losses related to offsetting transactions with these brokers are
reflected on a net basis in the equity in trading accounts in the statements of
financial condition.
11
Fair Value of Financial
Instruments — The fair value of the Trust’s assets and liabilities
which qualify as financial instruments under the Fair Value Measurements and
Disclosures topic of the Codification (formerly FAS No. 157: Fair Value
Measurements) approximates the carrying amounts presented in the statements of
financial condition. The topic defines fair value, establishes a framework for
measurement of fair value and expands disclosures about fair value measurements.
The three levels of the fair value hierarchy are described below:
Level 1 —
Unadjusted quoted prices in active markets that are accessible at the
measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted
prices in markets that are not active or financial instruments for which all
significant inputs are observable either directly or indirectly;
Level 3 — Prices or
valuations that require inputs that are both significant to the fair value
measurement and unobservable.
In
determining fair value, the Trust separates its investments into two categories:
cash instruments and derivative contracts.
Cash Instruments — The
Trust’s cash instruments are generally classified within level 1 of the
fair value hierarchy because they are typically valued using quoted market
prices. The types of instruments valued based on quoted market prices in active
markets include U.S. government obligations and an investment in Dreyfus
Treasury & Agency Cash Management fund, a short-term U.S. government
securities and related instruments money market fund. The Managing Owner of the
Trust does not adjust the quoted price for such instruments even in situations
where the Trust holds a large position and a sale could reasonably impact the
quoted price.
Derivative Contracts —
Derivative contracts can be exchange-traded or over-the-counter (OTC).
Exchange-traded futures contracts are valued based on quoted closing settlement
prices and typically fall within level 1 of the fair value
hierarchy.
OTC
derivatives or forward currency contracts are valued based on pricing models
that consider the current market prices (“Spot Prices”) plus the time value of
money (“Forward Points”) and contractual prices of the underlying financial
instruments. The Forward Points from the quotation service providers are
generally in periods of one month, two months, three months and six months
forward while the contractual forward delivery dates for the foreign forward
currency contracts traded by the Trust may be in between these periods. The
Managing Owner’s policy is to calculate the Forward Points for each contract
being valued by determining the number of days from the date the forward
currency contract is being valued to its maturity date and then using
straight-line interpolation to calculate the valuation of Forward Points for the
applicable forward currency contract. Model inputs can generally be verified and
model selection does not involve significant management judgment. Such
instruments are typically classified within level 2 of the fair value
hierarchy.
12
The
following table sets forth by level within the fair value
hierarchy:
Financial
Assets at Fair Value
|
||||||||||||
as of December 31,
2009
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
U.S.
Treasury notes
|
$ | 822,002,297 | $ | - | $ | 822,002,297 | ||||||
Short-term
money market fund
|
61,919,651 | - | 61,919,651 | |||||||||
Exchange-traded
futures contracts
|
5,798,742 | - | 5,798,742 | |||||||||
Over-the-counter
|
||||||||||||
forward
currency contracts
|
- | (10,655,927 | ) | (10,655,927 | ) | |||||||
Total
financial assets at fair value
|
$ | 889,720,690 | $ | (10,655,927 | ) | $ | 879,064,763 |
Financial
Assets at Fair Value
|
||||||||||||
as of December 31,
2008
|
||||||||||||
Level
1
|
Level
2
|
Total
|
||||||||||
U.S.
Treasury notes
|
$ | 1,005,814,625 | $ | - | $ | 1,005,814,625 | ||||||
Short-term
money market fund
|
66,101,133 | - | 66,101,133 | |||||||||
Exchange-traded
futures contracts
|
8,747,101 | - | 8,747,101 | |||||||||
Over-the-counter
|
||||||||||||
forward
currency contracts
|
- | (4,146,447 | ) | (4,146,447 | ) | |||||||
Total
financial assets at fair value
|
$ | 1,080,662,859 | $ | (4,146,447 | ) | $ | 1,076,516,412 |
Recently Issued
Pronouncements — Accounting Standards Update (“ASU”)
No. 2010-06, Improving Disclosures about Fair Value Measurements, was
issued in January 2010. ASU No. 2010-06 provides amendments that require
new disclosures about transfers in and out of levels 1 and 2 and activity in
level 3 fair value measurements. ASU No. 2010-06 also clarifies existing
disclosures about the level of disaggregation and inputs and valuation
techniques. The new disclosures and clarifications of existing disclosures are
effective for interim and annual reporting periods beginning after
December 15, 2009. The implementation of ASU 2010-06 is not expected to
have a material impact on the Trust's financial statements.
3.
|
TRUST
AGREEMENT
|
With the
effectiveness of the Trust’s Registration Statement on August 12, 2009, the
Trust began to offer Series 1, Series 2, Series 3 and Series 4 Units. The Units
offered prior to such date were Series 1 Units and, with respect to periods
prior to the year ended December 31, 2009 are referred to as Units. As of
December 31, 2009, Series 2 and Series 4 Units have not been
issued.
Series 1
Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to
7.0% of the Trust’s average month-end Net Assets of Unitholders’ interests
(prior to reduction for accrued brokerage commissions or Profit Share). Series 1
Unitholders who make net capital investments into Series 1 of $100,000 or more
or who had previously invested through asset-based fee or fixed fee investment
programs are charged less than the annual brokerage rate of 7.0% as
follows:
13
Net
Capital Investments
|
Brokerage
Fee
|
|||
$100,000–$499,999
|
6.50 | % | ||
$500,000–$999,999
|
6.00 | |||
Greater
than $1,000,000
|
5.50 | |||
Asset-based
or fixed fee investment programs
|
4.00 |
Brokerage
fees will be charged to capital accounts of the Managing Owner, its principals,
their respective affiliates or the New Profit Memo Account only to the extent of
charges paid to third party executing and clearing brokers. In order to maintain
a uniform Net Asset Value per Unit, additional Units are issued to Series 1
Unitholders who are charged less than a 7.0% brokerage fee.
The
Managing Owner, not the Trust, will pay the allocable share to Series 1 of all
routine costs of executing and clearing the Trust’s futures trades including
brokerage commissions payable to the clearing brokers and electronic platform
trading costs. The Managing Owner also pays, from its own funds, selling
commissions on all sales of Series 1 Units.
The Trust
will pay the Managing Owner a management fee of 2% per year of the Trust’s Net
Assets before management fee and profit share calculations attributable to
Series 2 and 3 Units. In addition, Series 2 Unitholders will pay an annual
custodial fee of 0.25% of their attributable Net Asset Value before management
fee and profit share calculations. Series 2, 3 and 4 Units will also be
charged for their pro rata share of the Trust’s actual trade execution and
clearing costs including electronic platform trading costs. Series 4 Unitholders
will not be charged a management fee.
The
Agreement provides that the Managing Owner’s profit share, equal to 20% of New
Trading Profits in excess of the highest cumulative level of Trading Profit as
of any previous calendar year-end, is charged to the Unitholders’ capital
accounts. The highest cumulative level of Trading Profit is maintained
separately for Series 1 and Series 2 and 3 Unitholders in the aggregate. New
Trading Profits includes realized and unrealized trading profits (losses),
brokerage fees, trading-related expenses and administrative expenses. New
Trading Profits do not include interest income. For Unitholders’ redemptions
during the year, the profit share calculation shall be computed as though the
redemption occurred at year-end. Profit share attributable to interests redeemed
during a year is tentatively credited to an account maintained for bookkeeping
purposes called New Profit Memo Account. Any profit share charged is added to
the Managing Owner’s capital account to the extent that net taxable capital
gains are allocated to the Managing Owner. The remainder of such profit share,
if any, is added to the New Profit Memo Account. The Managing Owner may not make
any withdrawal from the balance in the New Profit Memo Account. If, at the end
of a subsequent year, net taxable gains are allocated to the Managing Owner in
excess of such year’s profit share, a corresponding amount is transferred from
the New Profit Memo Account to the Managing Owner’s capital account. There will
be no profit share on New Trading Profits for Series 4 Unitholders.
14
The Trust
will pay its legal, accounting, auditing, printing, postage and similar
administrative expenses (including Trustees’ fees, accounting services fees and
the expenses of updating the Prospectus) as well as extraordinary costs. The
Managing Owner, at its discretion, may reimburse certain expenses paid by the
Trust.
Units may
be redeemed at the option of any Unitholder at Net Asset Value (as defined in
the Agreement) as of the close of business on the last business day of any
calendar month on ten business days’ written notice to the Managing Owner.
Series 1 Unitholders who redeem Units at or prior to the end of the first
consecutive six-month and five-month periods after such Units are sold shall be
assessed redemption charges calculated based on their redeemed Units’ Net Asset
Value as of the date of redemption as follows:
Redemption Charge
|
||||||||
Subscriptions
|
First 6 Months
|
Second 5 Months
|
||||||
Less
than $100,000
|
4.0 | % | 3.0 | % | ||||
$100,000–$499,999
|
3.5 | 2.5 | ||||||
$500,000–$999,999
|
3.0 | 2.0 | ||||||
Greater
than $1,000,000
|
2.5 | 1.5 |
All
redemption charges will be paid to the Managing Owner. At December 31, 2009
and 2008, $5,492 and $22,611, respectively, of redemption charges were owed to
the Managing Owner. Such amounts are included in “Due to Managing Owner” in the
statements of financial condition. The aggregate amount of redemption charges
paid to the Managing Owner for the years ended December 31, 2009, 2008, and
2007, were $266,979, $137,776, and $128,527, respectively.
4.
|
DUE
FROM/TO BROKERS
|
At
December 31, 2009 and 2008, due from and due to brokers balance in the
statements of financial condition include net cash receivable from each broker
and net cash payable to each broker, respectively.
5.
|
TRADING
ACTIVITIES
|
The Trust
conducts its futures trading with various futures commission merchants (“FCMs”)
on futures exchanges and its forward currency trading with various banks or
dealers (“Dealers”) in the interbank markets. Substantially all assets included
in the Trust's equity in trading accounts and certain liability accounts, as
discussed below, were held as collateral by such FCMs in either U.S. regulated
segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S.
secured accounts (for futures contracts traded on non-U.S. exchanges) as
required by U.S. Commodity Futures Trading Commission's regulations, or held as
collateral by the counterparty Dealers.
15
Liabilities
in the statements of financial condition that are components of “Total equity in
trading accounts” include net unrealized depreciation on open futures and
forward currency contracts, cash denominated in foreign currencies and due to
brokers.
The Trust
enters into contracts with various financial institutions that contain a variety
of indemnifications. The Trust’s maximum exposure under these arrangements is
unknown. However, the Trust has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
6.
|
DERIVATIVE
INSTRUMENTS
|
The Trust
is party to derivative financial instruments in the normal course of its
business. These financial instruments include futures and forward currency
contracts which may be traded on an exchange (“exchange-traded contracts”) or
over-the-counter (“OTC contracts”).
The Trust
records its derivative activities on a mark-to-market basis as described in
Note 2. For OTC contracts, the Trust enters into master netting agreements
with its counterparties. Therefore, assets represent the Trust’s unrealized
gains, less unrealized losses for OTC contracts in which the Trust has a master
netting agreement. Similarly, liabilities represent net amounts owed to
counterparties on OTC contracts.
Futures
contracts are agreements to buy or sell an underlying asset or index for a set
price in the future. Initial margin deposits are made upon entering into futures
contracts and can be either in cash or treasury securities. Open futures
contracts are revalued on a daily basis to reflect the market value of the
contracts at the end of each trading day. Variation margin payments are received
or made depending upon whether unrealized gains or losses are incurred. When a
contract is closed, the Trust records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
time it was closed. The Trust bears the market risk that arises from changes in
the value of these financial instruments.
Forward
currency contracts entered into by the Trust represent a firm commitment to buy
or sell an underlying currency at a specified value and point in time based upon
an agreed or contracted quantity. The ultimate gain or loss is equal to the
difference between the value of the contract at the onset and the value of the
contract at settlement date.
Each of
these financial instruments is subject to various risks similar to those related
to the underlying financial instruments including market risk, credit risk and
sovereign risk.
Market
risk is the potential change in the value of the instruments traded by the Trust
due to market changes including interest and foreign exchange rate movements and
fluctuations in futures or security prices. Market risk is directly impacted by
the volatility and liquidity in the markets in which the related underlying
assets are traded. The financial instruments traded by the Trust contain varying
degrees of off-balance sheet risk whereby changes in the market values of the
futures and forward currency contracts and the Trust’s satisfaction of its
obligations related to such market value changes may exceed the amount
recognized in the statements of financial condition.
16
Credit
risk is the possibility that a loss may occur due to the failure of a
counterparty to perform according to the terms of a contract. Credit risk is
normally reduced to the extent that an exchange or clearing organization acts as
a counterparty to futures transactions since typically the collective credit of
the members of the exchange is pledged to support the financial integrity of the
exchange. In the case of OTC transactions, the Trust must rely solely on the
credit of the individual counterparties. The contract amounts of the forward and
futures contracts do not represent the Trust’s risk of loss due to counterparty
nonperformance. The Trust’s exposure to credit risk associated with counterparty
nonperformance of these contracts includes unrealized gains inherent in such
contracts, which are recognized in the statements of financial condition, plus
the value of margin or collateral held by the counterparty. The amount of such
credit risk was $101,223,534 and $16,011,104 at December 31, 2009 and 2008,
respectively.
The
Managing Owner has established procedures to actively monitor market risk and
minimize credit risk although there can be no assurance that it will, in fact
succeed in doing so. The Managing Owner’s market risk control procedures include
diversification of the Trust’s portfolio and continuously monitoring the
portfolio’s open positions, historical volatility and maximum historical loss.
The Managing Owner seeks to minimize credit risk primarily by depositing and
maintaining the Trust’s assets at financial institutions and brokers which the
Managing Owner believes to be creditworthy. The Trust’s trading activities are
primarily with brokers and other financial institutions located in North
America, Europe and Asia. All futures transactions of the Trust are cleared by
major securities firms, pursuant to customer agreements, including Merrill
Lynch, Pierce, Fenner & Smith Incorporated, Deutsche Bank
Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), J.P.
Morgan Futures Inc. and Newedge USA, LLC (a wholly owned subsidiary of
Newedge Group, which is owned by Société Générale (50%) and Calyon (50%)). For
all forward currency transactions, the Trust utilizes two prime brokers,
Deutsche Bank AG and Morgan Stanley & Co., Inc.
The Trust
is subject to sovereign risk such as the risk of restrictions being imposed by
foreign governments on the repatriation of cash and the effect of political or
economic uncertainties. Net unrealized appreciation (depreciation) on futures
and forward currency contracts are denominated in the functional currency (U.S.
Dollar). Cash settlement of futures and forward currency contracts is made in
the local currency (settlement currency) and then translated to U.S.
Dollars.
Net
unrealized appreciation (depreciation) on futures and forward currency contracts
by settlement currency type, denominated in U.S. Dollars, is detailed
below:
17
December
31,
|
||||||||||||||||
2009
|
2008
|
|||||||||||||||
Total
Net
|
Total
Net
|
|||||||||||||||
Unrealized
|
Unrealized
|
|||||||||||||||
Appreciation
|
Percent
|
Appreciation
|
Percent
|
|||||||||||||
Currency
Type
|
(Depreciation)
|
of
Total
|
(Depreciation)
|
of
Total
|
||||||||||||
Australian
dollar
|
$ | 1,470,216 | (30.27 | )% | $ | 909,776 | 19.76 | % | ||||||||
British
pound
|
(700,215 | ) | 14.42 | 1,240,626 | 26.97 | |||||||||||
Canadian
dollar
|
(2,581,263 | ) | 53.14 | 1,643,671 | 35.73 | |||||||||||
Czech
koruna
|
- | - | 104,876 | 2.28 | ||||||||||||
Euro
|
(241,793 | ) | 4.98 | 807,465 | 17.55 | |||||||||||
Hong
Kong dollar
|
836,967 | (17.23 | ) | (1,812 | ) | (0.04 | ) | |||||||||
Hungarian
forint
|
(121,301 | ) | 2.50 | - | - | |||||||||||
Japanese
yen
|
(458,971 | ) | 9.45 | (168,048 | ) | (3.65 | ) | |||||||||
Korean
won
|
776,517 | (15.99 | ) | - | - | |||||||||||
Mexican
peso
|
21,471 | (0.44 | ) | - | - | |||||||||||
New
Zealand dollar
|
805,302 | (16.58 | ) | (18,760 | ) | (0.41 | ) | |||||||||
Norwegian
krone
|
607,864 | (12.51 | ) | 690,265 | 15.00 | |||||||||||
Polish
zloty
|
(501,739 | ) | 10.33 | 138,776 | 3.02 | |||||||||||
Singapore
dollar
|
505,929 | (10.42 | ) | (71,565 | ) | (1.56 | ) | |||||||||
South
African rand
|
803,346 | (16.54 | ) | 39,814 | 0.87 | |||||||||||
Swedish
krona
|
1,608,660 | (33.12 | ) | 283,184 | 6.16 | |||||||||||
Swiss
franc
|
397,192 | (8.18 | ) | 402,855 | 8.76 | |||||||||||
Taiwan
dollar
|
1,085,814 | (22.35 | ) | - | - | |||||||||||
Thai
bhat
|
2,533 | (0.05 | ) | - | - | |||||||||||
Turkish
lira
|
266,494 | (5.49 | ) | (27,206 | ) | (0.59 | ) | |||||||||
U.S.
dollar
|
(9,440,208 | ) | 194.35 | (1,373,263 | ) | (29.85 | ) | |||||||||
Total
|
$ | (4,857,185 | ) | 100.00 | % | $ | 4,600,654 | 100.00 | % |
The
Derivatives and Hedging topic of the Codification (formerly FAS 161,
“Disclosures about Derivative Instruments and Hedging Activities—an amendment of
FASB Statement No. 133”) requires qualitative disclosure about objectives
and strategies for using derivatives, quantitative disclosures about fair value
amounts of gains and losses on derivative instruments and disclosures about
credit-risk-related contingent features in derivative agreements. The Trust
adopted these changes on January 1, 2009. As a result the Trust has
expanded its disclosures regarding derivative instruments.
The
Trust’s market risk is influenced by a wide variety of factors, including the
level and volatility of interest rates, exchange rates, equity price levels, the
market value of financial instruments and contracts, the diversification effects
among the Trust’s open positions and the liquidity of the markets in which it
trades.
The Trust
engages in the speculative trading of futures and forward contracts on
currencies, energies, grains, interest rates, livestock, metals, softs and stock
indicies. The following were the primary trading risk exposures of the Trust at
December 31, 2009, by market sector:
18
Agricultural (grains, livestock and
softs) — The Trust’s primary exposure is to agricultural price
movements, which are often directly affected by severe or unexpected weather
conditions.
Currencies — Exchange
rate risk is a principal market exposure of the Trust. The Trust’s currency
exposure is to exchange rate fluctuations, primarily fluctuations which disrupt
the historical pricing relationships between different currencies and currency
pairs. The fluctuations are influenced by interest rate changes as well as
political and general economic conditions. The Trust trades in a large number of
currencies, including cross-rates—e.g., positions between two currencies other
than the U.S. dollar.
Energies — The Trust’s
primary energy market exposure is to gas and oil price movements, often
resulting from political developments in the Middle East and economic conditions
worldwide. Energy prices are volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.
Interest rates —
Interest rate movements directly affect the price of the sovereign bond futures
positions held by the Trust and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries may materially impact the Trust’s
profitability. The Trust’s primary interest rate exposure is to interest rate
fluctuations in countries or regions including Australia, Canada, Japan,
Switzerland, the United Kingdom, the United States, and the
Eurozone. However, the Trust also may take positions in futures contracts
on the government debt of other nations. The Managing Owner anticipates
that interest rates in these industrialized countries or areas, both
long-term and short-term, will remain the primary market exposure of the Trust
for the foreseeable future.
Metals — The Trust’s
metals market exposure is to fluctuations in the price of aluminum, copper,
gold, lead, nickel, platinum, silver, tin and zinc.
Stock Indices — The
Trust’s equity exposure, through stock index futures, is to equity price risk in
the major industrialized countries as well as other
countries.
The
Derivatives and Hedging topic of the Codification requires entities to recognize
in the statements of financial Condition all derivative contracts as assets or
liabilities. Fair value of futures and forward currency contracts are
first netted by broker as discussed in Note 2. Futures and forward currency
contracts in an asset or liability position are recorded in the statements of
financial condition as “Net unrealized appreciation on open futures and forward
currency contracts” or “Net unrealized depreciation on open futures and forward
currency contracts”, respectively. The Trust’s policy regarding fair value
measurement is discussed earlier in Note 2.
Since the
derivatives held or sold by the Trust are for speculative trading purposes, the
derivative instruments are not designated as hedging instruments under the
provisions of the Derivatives and Hedging guidance. Accordingly, all realized
gains and losses, as well as any change in net unrealized gains or losses on
open positions from the preceding period, are recognized as part of the Trust’s
trading gains and losses in the statements of operations.
19
The
following table presents the fair value of open futures and forward currency
contracts, held long or sold short, at December 31, 2009. Fair value is
presented on a gross basis even though the contracts are subject to master
netting agreements and qualify for net presentation in the statements of
financial condition.
Net Unrealized
|
||||||||||||||||||||
Fair Value - Long Positions
|
Fair Value - Short Positions
|
Gain (Loss) on
|
||||||||||||||||||
Sector
|
Gains
|
Losses
|
Gains
|
Losses
|
Open Positions
|
|||||||||||||||
Futures
contracts:
|
||||||||||||||||||||
Energies
|
$ | 12,486,086 | $ | (399,420 | ) | $ | 226,800 | $ | (10,557,124 | ) | $ | 1,756,342 | ||||||||
Grains
|
471,763 | - | 106,963 | (585,900 | ) | (7,174 | ) | |||||||||||||
Interest
rates
|
99,709 | (11,137,495 | ) | 96,694 | (58,944 | ) | (11,000,036 | ) | ||||||||||||
Livestock
|
- | - | - | (271,610 | ) | (271,610 | ) | |||||||||||||
Metals
|
4,051,013 | (1,057,225 | ) | 45,513 | (1,801,412 | ) | 1,237,889 | |||||||||||||
Softs
|
3,088,661 | - | 5,100 | (147,202 | ) | 2,946,559 | ||||||||||||||
Stock
indices
|
11,867,210 | (464,430 | ) | - | (266,008 | ) | 11,136,772 | |||||||||||||
Total
futures contracts
|
32,064,442 | (13,058,570 | ) | 481,070 | (13,688,200 | ) | 5,798,742 | |||||||||||||
Forward
currency contracts
|
4,572,427 | (19,751,088 | ) | 7,406,520 | (2,883,786 | ) | (10,655,927 | ) | ||||||||||||
Total
futures and forward
|
||||||||||||||||||||
currency
contracts
|
$ | 36,636,869 | $ | (32,809,658 | ) | $ | 7,887,590 | $ | (16,571,986 | ) | $ | (4,857,185 | ) |
The
effect of trading futures and forward currency contracts is represented on the
statements of operations for the year ended December 31, 2009 as “Net
realized gains (losses) on closed positions, futures and forward currency
contracts” and “Net change in unrealized, futures and forward currency
contracts.” These trading gains and losses are detailed below:
Trading
|
||||
Sector
|
Gain
(Loss)
|
|||
Futures
contracts:
|
||||
Currencies
|
$ | 12,863 | ||
Energies
|
(20,943,376 | ) | ||
Grains
|
(6,699,369 | ) | ||
Interest
rates
|
(19,513,721 | ) | ||
Livestock
|
2,065,620 | |||
Metals
|
(11,958,920 | ) | ||
Softs
|
(218,950 | ) | ||
Stock
indices
|
7,916,951 | |||
Total
futures contracts
|
(49,338,902 | ) | ||
Forward
currency contracts
|
(9,399,089 | ) | ||
Total
futures and forward currency contracts
|
$ | (58,737,991 | ) |
20
The
following table presents average quarter-end notional value by sector of open
futures and forward currency contracts in U.S. dollars for the year ended
December 31, 2009. The Trust’s average quarter-end net asset value during
2009 was approximately $931,000,000.
Notional
values in the interest rate sector were calculated by converting the notional
value in local currency of all open interest rate futures positions to 10-year
equivalent fixed income instruments, translated to U.S. Dollars at each
quarter-end during 2009. The 10-year note is often used as a benchmark for many
types of fixed-income instruments and the Managing Owner believes it is a more
meaningful representation of notional values of the Trust’s open interest rate
positions.
Sector
|
Long
Positions
|
Short
Positions
|
||||||
Currencies
|
$ | - | $ | 3,320,750 | ||||
Energies
|
109,535,870 | 113,200,422 | ||||||
Grains
|
22,378,090 | 53,157,025 | ||||||
Interest
rates
|
936,859,841 | 38,825,820 | ||||||
Livestock
|
- | 26,230,698 | ||||||
Metals
|
52,829,526 | 39,335,538 | ||||||
Softs
|
20,257,081 | 13,534,675 | ||||||
Stock
indices
|
344,334,006 | 85,714,579 | ||||||
Futures
— total
|
1,486,194,414 | 373,319,507 | ||||||
Forward
currency contracts
|
473,904,261 | 200,256,650 | ||||||
Total
average notional
|
$ | 1,960,098,675 | $ | 573,576,157 |
7.
|
FINANCIAL
HIGHLIGHTS
|
Per Unit
operating performance for Series 1 and Series 3 Units is calculated based on
Unitholders' trust capital for each Series taken as a whole utilizing the
beginning and ending net asset value per unit and weighted average number of
units during the period/year. Series 1 weighted average units outstanding were
753,054.008, 629,237.394 and 495,484.559 for the years ended December 31,
2009, 2008 and 2007, respectively. Series 3 weighted average units outstanding
for the period from September 1, 2009 and December 31, 2009 was
1,322.314. An individual Unitholder’s operating performance may vary based on
the timing of capital transactions and differences in individual Unitholder’s
brokerage fee (for Series 1), management fee (for Series 3) and profit share
allocation arrangements. Net investment loss and total expense ratios have been
annualized for Series 3.
The
ratios for Series 1 and Series 3 Unitholders are calculated based on
Unitholders’ trust capital for each Series taken as a whole. The computation of
such ratios based on the amount of net investment income (loss), total expenses
and profit share allocation to an individual Unitholder’s trust capital balance
may vary from these ratios based on the timing of capital transactions and
differences in individual Unitholder’s brokerage fee (for Series 1), management
fee (for Series 3) and profit share allocation arrangements.
21
Returns
for Series 1 and Series 3 are calculated for each Series taken as a whole. An
individual Unitholder’s returns may vary from these returns based on the timing
of capital transactions and differences in individual Unitholder’s brokerage fee
(for Series 1), management fee (for Series 3) and profit share allocation
arrangements. Returns have not been annualized.
8.
|
REDEMPTION
PAYABLE TO MANAGING OWNER
|
At
December 31, 2009 and December 31, 2008, redemption payable of $40,426
and $29,151,044, respectively, was related to profit share allocated to the
Managing Owner at each year-end and redeemed.
9.
|
SUBSEQUENT
EVENTS
|
The
Subsequent Events topic of the Codification (formerly FAS 165, “Subsequent
Events”) which establishes principles and requirements for disclosure about
events that occur after the balance sheet date, but before financial statements
are issued or available to be issued. The Trust adopted these measures in the
second quarter of 2009. Based on a review of any events occurring after the
balance sheet date that may effect estimates made in the financial statements
especially with regard to litigation or realization of receivables, the Managing
Owner has determined that the guidance did not have an impact on the Trust. The
Trust has updated its subsequent events disclosure through the issuance date of
the financial statements.
******
22