Attached files
file | filename |
---|---|
EX-32.03 - GLOBAL MACRO TRUST | v182586_ex32-03.htm |
EX-32.01 - GLOBAL MACRO TRUST | v182586_ex32-01.htm |
EX-31.02 - GLOBAL MACRO TRUST | v182586_ex31-02.htm |
EX-31.03 - GLOBAL MACRO TRUST | v182586_ex31-03.htm |
EX-32.02 - GLOBAL MACRO TRUST | v182586_ex32-02.htm |
EX-31.01 - GLOBAL MACRO TRUST | v182586_ex31-01.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
10-Q
x
|
Quarterly Report Pursuant to
Section 13 or 15(d) of the Securities Exchange Act of
1934
|
For the
Quarterly Period Ended: March 31, 2010
or
¨
|
Transition Report Pursuant to
Section 13 or 15(d) of the Securities Exchange Act of
1934
|
Commission
File Number: 000-50102
GLOBAL
MACRO TRUST
(Exact
name of registrant as specified in its charter)
Delaware
|
36-7362830
|
|
(State
or other jurisdiction of
|
(I.R.S.
Employer
|
|
incorporation
or organization)
|
Identification
No.)
|
c/o
MILLBURN RIDGEFIELD CORPORATION
411 West
Putnam Avenue
Greenwich,
Connecticut 06830
(Address
of principal executive offices)
Registrant's
telephone number, including area code: (203) 625-7554
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
¨
Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such files).
Yes ¨ No
¨
Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer, or a smaller reporting company. See
the definition of “accelerated filer,” “large accelerated filer” and “smaller
reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
Large
accelerated filer ¨
|
Accelerated
filer ¨
|
|
Non-accelerated
filer x
|
Smaller
reporting company ¨
|
Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act).
Yes ¨ No
x
PART
I: FINANCIAL INFORMATION
ITEM I: FINANCIAL STATEMENTS
Global
Macro Trust
Financial
statements
For the
three months ended March 31, 2010 and 2009 (unaudited)
Statements
of Financial Condition (a)
|
1
|
Condensed
Schedules of Investments (a)
|
2
|
Statements
of Operations (b)
|
6
|
Statements
of Changes in Trust Capital (b)
|
7
|
Statements
of Financial Highlights (b)
|
9
|
Notes
to the Financial Statements (unaudited)
|
10
|
(a) At
March 31, 2010 and December 31, 2009 (unaudited)
(b) For
the three months ended March 31, 2010 and 2009 (unaudited)
Global
Macro Trust
Statements
of Financial Condition (UNAUDITED)
March
31
|
December
31
|
|||||||
2010
|
2009
|
|||||||
ASSETS
|
||||||||
EQUITY
IN TRADING ACCOUNTS:
|
||||||||
Investments
in U.S. Treasury notes at fair value (amortized cost $189,529,147 and
$183,990,192)
|
$ | 189,676,474 | $ | 184,131,564 | ||||
Net
unrealized appreaciation on open futures and forward currency
contracts
|
36,768,348 | 8,149,438 | ||||||
Due
from brokers
|
5,709,349 | 8,226,920 | ||||||
Cash
denominated in foreign currencies (cost $4,229,126 and
$10,850,532)
|
4,474,942 | 11,295,744 | ||||||
Total
equity in trading accounts
|
236,629,113 | 211,803,666 | ||||||
INVESTMENTS
IN U.S. TREASURY NOTES at fair value (amortized cost $614,964,129 and
$637,400,369)
|
615,356,097 | 637,870,733 | ||||||
CASH
AND CASH EQUIVALENTS
|
50,337,884 | 62,306,227 | ||||||
ACCRUED
INTEREST RECEIVABLE
|
8,596,502 | 7,477,239 | ||||||
TOTAL
|
$ | 910,919,596 | $ | 919,457,865 | ||||
LIABILITIES
AND TRUST CAPITAL
|
||||||||
LIABILITIES:
|
||||||||
Subscriptions
by Unitholders received in advance
|
$ | 852,369 | $ | 850,000 | ||||
Net
unrealized depreciation on open futures and forward currency
contracts
|
233,137 | 13,006,623 | ||||||
Due
to Managing Owner
|
200,316 | 5,492 | ||||||
Accrued
brokerage fees
|
4,876,302 | 4,831,803 | ||||||
Accrued
management fees
|
6,047 | 3,753 | ||||||
Redemptions
payable to Unitholders
|
9,419,788 | 10,404,572 | ||||||
Redemptions
payable to Managing Owner
|
- | 40,426 | ||||||
Accrued
expenses
|
123,081 | 132,135 | ||||||
Cash
denominated in foreign currencies (cost $-704,659 and
$-69,497)
|
668,056 | 69,509 | ||||||
Due
to brokers
|
- | 10,958,940 | ||||||
Total
liabilities
|
16,379,096 | 40,303,253 | ||||||
TRUST
CAPITAL:
|
||||||||
Managing
Owner interest (9,211.117 and 9,024.593 units outstanding)
|
11,679,314 | 10,937,574 | ||||||
Series
1 Unitholders (693,461.798 and 714,519.974 units
outstanding)
|
879,281,237 | 865,980,227 | ||||||
Series
3 Unitholders (2,800.985 and 1,831.292 units outstanding)
|
3,579,949 | 2,236,811 | ||||||
Total
trust capital
|
894,540,500 | 879,154,612 | ||||||
TOTAL:
|
$ | 910,919,596 | $ | 919,457,865 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING:
|
||||||||
Series
1 Unitholders
|
$ | 1,267.96 | $ | 1,211.97 | ||||
Series
3 Unitholders
|
$ | 1,278.10 | $ | 1,221.44 |
See notes
to financial statements
1
Global
Macro Trust
Condensed
Schedule of Investments (UNAUDITED)
March
31, 2010
FUTURES AND FORWARD CURRENCY
CONTRACTS
|
Net Unrealized
Appreciation/
(Depreciation)
as
a % of Trust Capital
|
Net Unrealized
Appreciation/
(Depreciation)
|
||||||
FUTURES
CONTRACTS
|
||||||||
Long
futures contracts:
|
||||||||
Energies
|
0.48 | % | $ | 4,333,394 | ||||
Grains
|
(0.12 | ) | (1,095,630 | ) | ||||
Interest
rates:
|
||||||||
2
Year U.S. Treasury Note (2,599 contracts, expiration date
06/30/2010)
|
(0.03 | ) | (233,137 | ) | ||||
5
Year U.S. Treasury Note (1,142 contracts, expiration date
06/30/2010)
|
(0.04 | ) | (392,633 | ) | ||||
10
Year U.S. Treasury Note (834 contracts, expiration date
06/30/2010)
|
(0.04 | ) | (368,391 | ) | ||||
Other
interest rates
|
0.28 | 2,534,513 | ||||||
Total
interest rates
|
0.17 | 1,540,352 | ||||||
Livestock
|
(0.02 | ) | (235,200 | ) | ||||
Metals
|
0.65 | 5,842,984 | ||||||
Softs
|
0.00 | 21,665 | ||||||
Stock
indices
|
0.73 | 6,477,776 | ||||||
Total
long futures contracts
|
1.89 | 16,885,341 | ||||||
Short
futures contracts:
|
||||||||
Energies
|
0.17 | 1,545,864 | ||||||
Grains
|
0.53 | 4,819,821 | ||||||
Interest
rates
|
0.11 | 957,580 | ||||||
Metals
|
(0.09 | ) | (825,732 | ) | ||||
Softs
|
0.13 | 1,121,561 | ||||||
Total
short futures contracts
|
0.85 | 7,619,094 | ||||||
TOTAL
INVESTMENTS IN FUTURES CONTRACTS-Net
|
2.74 | 24,504,435 | ||||||
FORWARD
CURRENCY CONTRACTS
|
||||||||
Total
long forward currency contracts
|
1.21 | 10,842,394 | ||||||
Total
short forward currency contracts
|
0.13 | 1,188,382 | ||||||
TOTAL
INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net
|
1.34 | 12,030,776 | ||||||
TOTAL
|
4.08 | % | $ | 36,535,211 |
(Continued)
2
Global
Macro Trust
Condensed
Schedule of Investments (UNAUDITED)
March
31, 2010
U.S.
Treasury Notes
Face Amount
|
Description
|
Fair
Value as a % of Trust
Capital
|
Value
|
||||||||
$
|
230,000,000 |
U.S.
Treasury notes, 2.625%, 05/31/2010
|
25.81 | % | $ | 230,934,375 | |||||
244,330,000
|
U.S.
Treasury notes, 3.875%, 07/15/2010
|
27.61 | 247,002,359 | ||||||||
233,650,000
|
U.S.
Treasury notes, 4.250%, 10/15/2010
|
26.69 | 238,724,586 | ||||||||
88,000,000
|
U.S.
Treasury notes, 0.875%, 03/31/2011
|
9.88 | 88,371,251 | ||||||||
Total
investments in U.S. Treasury notes
|
|||||||||||
(amortized
cost $804,493,276)
|
89.99 | % | $ | 805,032,571 |
See
notes to financial statements
|
(Concluded)
|
3
Condensed
Schedule of Investments (UNAUDITED)
December
31, 2009
FUTURES AND FORWARD CURRENCY
CONTRACTS
|
Net Unrealized
Appreciation/
(Depreciation)
as
a % of Trust Capital
|
Net Unrealized
Appreciation/
(Depreciation)
|
||||||
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)
4
Global
Macro Trust
Condensed
Schedule of Investments (UNAUDITED)
December
31, 2009
U.S.
Treasury Notes
Face Amount
|
Description
|
Fair
Value as a
% of 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)
|
5
Global
Macro Trust
Statements
of Operations (UNAUDITED)
For the three months ended
|
||||||||
March 31
|
March 31
|
|||||||
2010
|
2009
|
|||||||
INVESTMENT
INCOME:
|
||||||||
Interest
income
|
$ | 932,473 | $ | 4,132,391 | ||||
EXPENSES:
|
||||||||
Brokerage
fees
|
14,566,609 | 17,392,314 | ||||||
Administrative
expenses
|
570,220 | 711,822 | ||||||
Custody
fees
|
40,612 | 52,491 | ||||||
Management
fees
|
16,076 | - | ||||||
Total
expenses
|
15,193,517 | 18,156,627 | ||||||
NET
INVESTMENT LOSS
|
(14,261,044 | ) | (14,024,236 | ) | ||||
NET
REALIZED AND UNREALIZED GAINS (LOSSES):
|
||||||||
Net
realized gains (losses) on closed positions:
|
||||||||
Futures
and forward currency contracts
|
13,092,212 | 33,920,721 | ||||||
Foreign
exchange translation
|
422,851 | (702,979 | ) | |||||
Net
change in unrealized:
|
||||||||
Futures
and forward currency contracts
|
41,392,396 | (48,213,853 | ) | |||||
Foreign
exchange translation
|
(162,781 | ) | 137,302 | |||||
Net
losses from U.S. Treasury notes:
|
||||||||
Net
change in unrealized
|
(72,441 | ) | (3,636,772 | ) | ||||
TOTAL
NET REALIZED AND UNREALIZED GAINS (LOSSES)
|
54,672,237 | (18,495,581 | ) | |||||
NET
INCOME (LOSS)
|
40,411,193 | (32,519,817 | ) | |||||
LESS
PROFIT SHARE TO MANAGING OWNER
|
41,988 | 31,726 | ||||||
NET
INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
|
$ | 40,369,205 | $ | (32,551,543 | ) | |||
NET
INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
|
||||||||
PER
AVERAGE UNIT OUTSTANDING
|
||||||||
Series
1 Unitholders
|
$ | 55.99 | $ | (43.54 | ) | |||
Series
3 Unitholders
|
$ | 56.66 | $ | - |
6
Global
Macro Trust
Statements
of Changes in Trust Capital (UNAUDITED)
For
the three months ended March 31, 2010:
New Profit
|
||||||||||||||||||||||||||||||||||||||||
Series 1 Unitholders
|
Series 3 Unitholders
|
Memo Account
|
Managing Owner
|
Total
|
||||||||||||||||||||||||||||||||||||
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
|||||||||||||||||||||||||||||||
Trust
capital at January 1, 2010
|
$ | 865,980,227 | 714,519.974 | $ | 2,236,811 | 1,831.292 | $ | - | - | $ | 10,937,574 | 9,024.593 | $ | 879,154,612 | 725,375.859 | |||||||||||||||||||||||||
Subscriptions
|
3,651,963 | 3,075.328 | 1,178,631 | 975.423 | - | - | - | - | 4,830,594 | 4,050.751 | ||||||||||||||||||||||||||||||
Redemptions
|
(29,849,057 | ) | (24,590.494 | ) | (6,842 | ) | (5.730 | ) | - | - | - | - | (29,855,899 | ) | (24,596.224 | ) | ||||||||||||||||||||||||
Addt'l
units allocated *
|
- | 456.990 | - | - | - | - | - | 153.409 | - | 610.399 | ||||||||||||||||||||||||||||||
Net
income
|
39,498,104 | - | 171,349 | - | - | - | 699,752 | - | 40,369,205 | - | ||||||||||||||||||||||||||||||
Managing
Owner's allocation:
|
||||||||||||||||||||||||||||||||||||||||
New
Profit-Accrued
|
- | - | - | - | 41,988 | 33.115 | - | - | 41,988 | 33.115 | ||||||||||||||||||||||||||||||
Trust
capital at March 31, 2010
|
$ | 879,281,237 | 693,461.798 | $ | 3,579,949 | 2,800.985 | $ | 41,988 | 33.115 | $ | 11,637,326 | 9,178.002 | $ | 894,540,500 | 705,473.900 | |||||||||||||||||||||||||
Net
asset value per unit outstanding at at March 31, 2010:
|
$ | 1,267.96 | $ | 1,278.10 |
*
Additional units are issued to Unitholders who are charged less than a 7%
brokerage fee
|
(Continued)
|
7
Global
Macro Trust
Statements
of Changes in Trust Capital (UNAUDITED)
For
the three months ended March 31, 2009:
New
Profit
|
||||||||||||||||||||||||||||||||||||||||
Series 1 Unitholders
|
Series 3 Unitholders
|
Memo Account
|
Managing Owner
|
Total
|
||||||||||||||||||||||||||||||||||||
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
|||||||||||||||||||||||||||||||
Trust
capital at
|
||||||||||||||||||||||||||||||||||||||||
January
1, 2009
|
$ | 1,018,820,851 | 743,122.758 | $ | - | - | $ | - | - | $ | 11,560,510 | 8,432.177 | $ | 1,030,381,361 | 751,554.935 | |||||||||||||||||||||||||
Subscriptions
|
31,329,480 | 22,695.480 | - | - | - | - | - | - | 31,329,480 | 22,695.480 | ||||||||||||||||||||||||||||||
Redemptions
|
(22,070,110 | ) | (16,211.173 | ) | - | - | - | - | - | - | (22,070,110 | ) | (16,211.173 | ) | ||||||||||||||||||||||||||
Addt'l
units allocated *
|
- | 472.961 | - | - | - | 0.030 | - | 145.484 | - | 618.475 | ||||||||||||||||||||||||||||||
Net
loss
|
(32,375,990 | ) | - | - | - | (1,572 | ) | - | (173,981 | ) | (32,551,543 | ) | - | |||||||||||||||||||||||||||
Managing
Owner's allocation:
|
||||||||||||||||||||||||||||||||||||||||
New
Profit-Accrued
|
- | - | - | - | 31,726 | 22.686 | - | - | 31,726 | 22.686 | ||||||||||||||||||||||||||||||
Trust
capital at
|
||||||||||||||||||||||||||||||||||||||||
March
31, 2009
|
$ | 995,704,231 | 750,080.026 | $ | - | - | $ | 30,154 | 22.716 | $ | 11,386,529 | 8,577.661 | $ | 1,007,120,914 | 758,680.403 | |||||||||||||||||||||||||
Net
asset value per unit outstanding at at March 31,
2009:
|
$ | 1,327.46 |
*
Additional units are issued to Unitholders who are charged less than a 7%
brokerage fee
See
notes to financial statements
|
(Concluded)
|
8
Global
Macro Trust
Statements
of Financial Highlights (UNAUDITED)
For the three months ended March 31
|
2010
|
2009
|
||||||||||
Series 1
|
Series 3
|
Series 1
|
||||||||||
Net
income (loss) from operations:
|
||||||||||||
Net
investment loss
|
$ | (20.08 | ) | $ | (6.58 | ) | $ | (18.66 | ) | |||
Net
realized and unrealized gains (losses) on trading of futures and forward
currency contracts
|
76.17 | 79.66 | (20.07 | ) | ||||||||
Net
losses from U.S. Treasury obligations
|
(0.10 | ) | (0.22 | ) | (4.77 | ) | ||||||
Profit
share allocated to Managing Owner
|
- | (16.20 | ) | (0.04 | ) | |||||||
Net
income (loss) per unit
|
$ |
55.99
|
$ | 56.66 | $ | (43.54 | ) | |||||
Net
asset value per unit, beginning of period
|
1,211.97 | 1,221.44 | 1,371.00 | |||||||||
Net
asset value per unit, end of period
|
$ | 1,267.96 | $ | 1,278.10 | $ | 1,327.46 |
Total return and ratios for the three months ended March 31:
|
2010
|
2009
|
||||||||||
Series 1
|
Series 3
|
Series 1
|
||||||||||
RATIOS
TO AVERAGE CAPITAL:
|
||||||||||||
Net
investment loss (a)
|
(6.62 | )% | (2.14 | )% | (5.47 | )% | ||||||
|
||||||||||||
Total
expenses (a)
|
7.04 | % | 2.56 | % | 7.05 | % | ||||||
Profit
share allocation (b)
|
- | 1.33 | - | |||||||||
TOTAL
EXPENSES AND PROFIT SHARE ALLOCATION
|
7.04 | % | 3.89 | % | 7.05 | % | ||||||
Total
return before profit share allocation (b)
|
4.62 | % | 5.97 | % | (3.18 | )% | ||||||
Profit
share allocation (b)
|
- | (1.33 | ) | - | ||||||||
TOTAL
RETURN AFTER PROFIT SHARE ALLOCATION
|
4.62 | % | 4.64 | % | (3.18 | )% |
(a)
annualized
(b) not
annualized
See notes
to financial statements
9
The
accompanying unaudited financial statements, in the opinion of management,
include all adjustments (consisting only of normal recurring adjustments)
necessary for a fair presentation of Global Macro Trust’s (the “Trust”)
financial condition at March 31, 2010 and December 31, 2009 and the results of
its operations for the three months ended March 31, 2010 and 2009. These
financial statements present the results of interim periods and do not include
all disclosures normally provided in annual financial statements. It is
suggested that these financial statements be read in conjunction with the
audited financial statements and notes included in the Trust's annual report on
Form 10-K filed with the Securities and Exchange Commission for the year ended
December 31, 2009. The December 31, 2009 information has been derived from the
audited financial statements as of December 31, 2009.
With the
effectiveness of the Trust’s Registration Statement on August 12, 2009, the
Trust began to offer Series 2, Series 3 and Series 4 units. The only
units offered prior to such date are Series 1 units and were referred to as
units. As of March 31, 2010, no Series 2 or 4 units have been
issued.
The Trust
pays all routine expenses, such as legal, accounting, printing, postage and
similar administrative expenses (including the Trustee's fees, the charges
of an outside accounting services agency and the expenses of updating the
Prospectus), as well as extraordinary costs. At March 31, 2010, Millburn
Ridgefield Corporation (the “Managing Owner”) is owed $192,607 from
the Trust in connection with such expenses it has paid on the Trust's
behalf (and is included in "Due to Managing Owner" in the statements of
financial condition).
Unitholders
in the Trust (the “Unitholders”) who redeem Units at or prior to the end of the
first eleven months 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. All redemption charges will be paid to the Managing Owner. At
March 31, 2010, $7,709 of redemption charges was owed to the Managing Owner (and
is included in “Due to Managing Owner” in the statements of financial
condition).
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 quarter. Series 1 weighted average units outstanding
were 708,969.025 and 753,438.464 for the three months ended March 31, 2010 and
2009, respectively. Series 3 weighted average units outstanding was
2,591.868 for the three months ended March 31, 2010.
The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America (the “U.S.”) 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.
The Trust
enters into contracts that contain a variety of indemnification
provisions. The Trust’s maximum exposure under these arrangements is
unknown. The Trust does not anticipate recognizing any loss related to
these arrangements.
The
Income Taxes topic of the Codification, 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, 2006 to 2009,
for the U.S. Federal jurisdiction, the New York and Delaware State
jurisdictions, and the New York City jurisdiction, it did not have an impact on
the Trust. 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.
The Fair
Value Measurements and Disclosures topic of the Codification defines fair value,
establishes a framework for measuring 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;
10
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 a
short-term U.S. government and related securities money market fund. The
Managing Owner 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.
In
January 2010, the FASB issued ASU 2010-6, Fair Value Measurements and
Disclosures: Improving Disclosures about Fair Value Measurements, to amend the
disclosure requirements related to recurring and nonrecurring fair value
measurements. The guidance requires new disclosures regarding
transfers of assets and liabilities between Level 1 and Level 2 of the
fair value measurement hierarchy, including the reasons and the timing of the
transfers. Additionally, the guidance requires a rollforward of
activities, separately reporting purchases, sales, issuance, and settlements,
for assets and liabilities measured using significant unobservable inputs (Level
3). The guidance is effective for annual reporting periods that begin
after December 15, 2009 and for interim periods within those annual reporting
periods, except for the changes to the disclosure of rollforward activities for
any Level 3 fair value measurements, which are effective for annual reporting
periods that begin after December 15, 2010, and for interim periods within those
annual reporting periods. During the three months ended March 31, 2010, there
were no transfers of assets or liabilities between Level 1 and Level
2.
The
following tables set forth by level and major category within the fair value
hierarchy:
Financial Assets at Fair
Value as of March 31, 2010
Level 1
|
Level 2
|
Total
|
||||||||||
U.S.
Treasury Notes
|
$
|
805,032,571
|
$
|
-
|
$
|
805,032,571
|
||||||
Short-Term
Money Market Fund
|
49,937,884
|
-
|
49,937,884
|
|||||||||
Exchange-Traded
|
||||||||||||
Futures
Contracts
|
24,504,435
|
-
|
24,504,435
|
|||||||||
Over-the-Counter
|
||||||||||||
Forward
Currency Contracts
|
-
|
12,030,776
|
12,030,776
|
|||||||||
Total
assets at fair value
|
$
|
879,474,890
|
$
|
12,030,776
|
$
|
891,505,666
|
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
assets at fair value
|
$
|
889,720,690
|
$
|
(10,655,927
|
)
|
$
|
879,064,763
|
Derivative
Instruments
The
Derivatives and Hedging topic of the Codification 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’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 interest
rates, commodities, currencies, metals, energies, livestock and stock indices.
The following were the primary trading risk exposures of the Trust at March 31,
2010, by market sector:
11
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 as well as supply and demand factors.
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 a 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 in
an asset position are recorded in the statements of financial condition as “Net
unrealized appreciation on open futures and forward currency contracts.” Fair
value of futures and forward currency contracts in a liability position are
recorded in the statements of financial condition as “Net unrealized
depreciation on open futures and forward currency contracts.” The Trust’s policy
regarding fair value measurement is discussed in the Fair Value and Disclosures
note, contained herein.
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.
See “Item
3. Quantitative and Qualitative Disclosures About Market Risk” for additional
derivative-related information.
The
following tables present the fair value of open futures and forward currency
contracts, held long or sold short, at March 31, 2010 and 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.
Fair
Value of Futures and Forward Currency Contracts at March 31, 2010
Net Unrealized
|
||||||||||||||||||||
Fair Value - Long Positions
|
Fair Value - Short Positions
|
Gains (Losses) on
|
||||||||||||||||||
Sector
|
Gains
|
Losses
|
Gains
|
Losses
|
Open Positions
|
|||||||||||||||
Futures
contracts:
|
||||||||||||||||||||
Energies
|
$ | 5,501,634 | $ | (1,168,240 | ) | $ | 3,725,080 | $ | (2,179,216 | ) | $ | 5,879,258 | ||||||||
Grains
|
- | (1,095,630 | ) | 4,830,784 | (10,963 | ) | 3,724,191 | |||||||||||||
Interest
rates
|
5,031,915 | (3,491,563 | ) | 974,643 | (17,063 | ) | 2,497,932 | |||||||||||||
Livestock
|
59,470 | (294,670 | ) | - | - | (235,200 | ) | |||||||||||||
Metals
|
5,890,284 | (47,300 | ) | 51,638 | (877,370 | ) | 5,017,252 | |||||||||||||
Softs
|
611,395 | (589,730 | ) | 1,139,051 | (17,490 | ) | 1,143,226 | |||||||||||||
Stock
indices
|
6,710,887 | (233,111 | ) | - | - | 6,477,776 | ||||||||||||||
Total
futures contracts:
|
23,805,585 | (6,920,244 | ) | 10,721,196 | (3,102,102 | ) | 24,504,435 | |||||||||||||
Forward
currency contracts
|
13,674,512 | (2,832,118 | ) | 4,803,799 | (3,615,417 | ) | 12,030,776 | |||||||||||||
Total
futures and
|
||||||||||||||||||||
forward
currency contracts
|
$ | 37,480,097 | $ | (9,752,362 | ) | $ | 15,524,995 | $ | (6,717,519 | ) | $ | 36,535,211 |
Fair Value of Futures and
Forward Currency Contracts at December 31, 2009
Net Unrealized
|
||||||||||||||||||||
Fair Value - Long Positions
|
Fair Value - Short Positions
|
Gains (Losses) 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 | ) |
12
The
effect of trading futures and forward currency contracts is represented on the
statements of operations for the three months ended March 31, 2010 and March 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 Gains (Losses) of
Futures and Forward Currency Contracts for the Three Months Ended March 31, 2010
and 2009
Trading
Gains (Losses) for the
three
months ended
|
||||||||
Sector
|
March 31, 2010
|
March 31, 2009
|
||||||
Futures
contracts:
|
||||||||
Currencies
|
$ | - | $ | 4,350 | ||||
Energies
|
5,922,670 | (551,083 | ) | |||||
Grains
|
3,257,891 | (396,476 | ) | |||||
Interest
rates
|
31,293,061 | 5,864,640 | ||||||
Livestock
|
(876,760 | ) | 1,866,910 | |||||
Metals
|
1,030,914 | (10,621,559 | ) | |||||
Softs
|
(2,514,330 | ) | (1,518,352 | ) | ||||
Stock
indices
|
(1,056,471 | ) | 1,730,154 | |||||
Total
futures contracts:
|
37,056,975 | (3,621,416 | ) | |||||
Forward
currency contracts
|
17,427,633 | (10,671,716 | ) | |||||
Total
futures and
|
||||||||
forward
currency contracts
|
$ | 54,484,608 | $ | (14,293,132 | ) |
The
following tables present average notional value by sector of open futures and
forward currency contracts for the three months ended March 31,
2010 and March 31, 2009, in U.S. Dollars. The Trust's average net asset value
for the quarter ended March 31, 2010 and March 31, 2009 was approximately
$887,000,000 and $1,019,000,000, respectively.
Average
Notional Value by Sector of Open Futures and Forward Currency Contracts at
March, 31, 2010
Long
Positions
|
Short
Positions
|
|||||||
Sector
|
||||||||
Energies
|
227,376,872 | 153,379,511 | ||||||
Grains
|
18,284,885 | 44,686,559 | ||||||
Interest
Rates
|
1,391,021,887 | 86,479,272 | ||||||
Livestock
|
12,868,800 | 11,762,315 | ||||||
Metals
|
131,062,205 | 18,921,634 | ||||||
Softs
|
32,440,266 | 6,188,390 | ||||||
Stock
indices
|
602,939,713 | 9,872,915 | ||||||
Futures
- Total
|
2,415,994,628 | 331,290,596 | ||||||
Forward
currency contracts
|
793,261,780 | 249,675,868 | ||||||
Total
notional
|
3,209,256,408 | 580,966,464 |
Average Notional Value by Sector of Open Futures and
Forward Currency Contracts at March, 31, 2009
Long
Positions
|
Short
Positions
|
|||||||
Sector
|
||||||||
Currencies
|
- | 3,320,750 | ||||||
Energies
|
45,414,701 | 94,424,771 | ||||||
Grains
|
19,816,569 | 66,273,227 | ||||||
Interest
Rates
|
613,253,557 | 18,768,828 | ||||||
Livestock
|
- | 30,083,670 | ||||||
Metals
|
12,297,103 | 80,162,961 | ||||||
Softs
|
2,763,852 | 32,764,573 | ||||||
Stock
indices
|
- | 124,978,428 | ||||||
Futures
- Total
|
693,545,782 | 450,777,208 | ||||||
Forward
currency contracts
|
33,880,662 | 159,887,228 | ||||||
Total
notional
|
727,426,444 | 610,664,436 |
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 the relevant
period end. 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.
Concentration
of Credit Risk
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.
The
Managing Owner seeks to minimize credit risk primarily by depositing and
maintaining the Trust’s assets at financial institutions and trading
counterparties which the Managing Owner believes to be creditworthy. In
addition, for over-the-counter forward currency contracts, the Trust enters into
master netting agreements with its counterparties. Collateral posted at the
various counterparties for trading of futures and forward currency contracts
includes cash and U.S. Treasury notes.
All of
the Trust’s forward currency trading activities are cleared by Deutsche Bank AG
(“DB”) and Morgan Stanley & Co. Inc. (“MS”). The Trust’s concentration of
credit risk associated with DB or MS nonperformance 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 DB and MS. The amount
of such credit risk was $114,349,166 at March 31, 2010.
13
ITEM 2.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS
Reference
is made to Item 1, "Financial Statements". The information contained therein is
essential to, and should be read in connection with, the following
analysis.
OPERATIONAL
OVERVIEW
Due to
the nature of the Trust's business, its results of operations depend on the
Managing Owner’s ability to recognize and capitalize on trends and other profit
opportunities in different sectors of the global capital and commodity markets.
The Managing Owner's trading methods are confidential, so that substantially the
only information that can be furnished regarding the Trust's results of
operations is contained in the performance record of its trading. Unlike
operating businesses, general economic or seasonal conditions do not directly
affect the profit potential of the Trust, and its past performance is not
necessarily indicative of future results. The Managing Owner believes, however,
that there are certain market conditions, for example, markets with strong price
trends, in which the Trust has a better likelihood of being profitable than in
others.
LIQUIDITY
AND CAPITAL RESOURCES
The Trust
raises additional capital only through the sale of Units. Trust capital may also
be increased by trading profits, if any. The Trust does not engage in borrowing.
Units may be offered for sale as of the beginning of each month during any
period for which the Trust has an effective registration statement.
The Trust
trades futures and forward contracts on interest rates, commodities, currencies,
metals, energies, livestock and stock indices. Due to the nature of the Trust's
business, substantially all its assets are represented by cash and United States
government obligations, while the Trust maintains its market exposure through
open futures and forward contract positions.
The
Trust's assets are generally held as cash, cash equivalents or U.S. Government
obligations which are used to margin or collateralize the Trust's futures and
forward positions and are withdrawn, as necessary, to pay redemptions and
expenses. Other than potential market-imposed limitations on liquidity, due to,
for example, daily price fluctuation limits, which are inherent in the Trust's
futures and forward trading, the Trust's assets are highly liquid and are
expected to remain so.
There
have been no material changes with respect to the Trust's critical accounting
policies, off-balance sheet arrangements or disclosure of contractual
obligations as reported in the Trust's Annual Report on Form 10-K for fiscal
year 2009.
PROFIT
SHARE
The
following table indicates the total profit share earned and accrued during the
three months ended March 31, 2010 and 2009. Profit share earned (from
Unitholders' redemptions) is credited to the New Profit memo account as defined
in the Trust’s Trust Agreement.
Three months ended:
|
||||||||
3/31/10
|
3/31/09
|
|||||||
Profit
share earned
|
0
|
31,726
|
||||||
Profit
share accrued
|
41,988
|
0
|
||||||
Total
profit share
|
41,988
|
31,726
|
RESULTS
OF OPERATIONS
During
its operations for the three months ending March 31, 2010, the Trust experienced
no meaningful periods of illiquidity in any of the numerous markets traded by
the Managing Owner.
Due to
the nature of the Trust’s trading, the results of operations for the interim
periods presented should not be considered indicative of the results that may be
expected for the entire year.
Series 1
units, which were initially issued simply as “units” beginning in July 2002,
were the only series of units available prior to August 2009. As a result, the
performance summaries for the three months ended March 31, 2009 and 2008 only
relate to the Series 1 units. Series 3 units were first issued on September 1,
2009. The Trust’s past performance is not necessarily indicative of how well it
will perform in the future.
14
Period
ended March 31, 2010
Month Ending:
|
Total Trust
Capital
|
|||
March
31, 2010
|
$
|
894,540,500
|
||
December
31, 2009
|
879,154,612
|
Three Months
|
||||
Change
in Trust Capital
|
$
|
15,385,888
|
||
Percent
Change
|
1.75
|
%
|
THREE
MONTHS ENDED MARCH 31, 2010
The
increase in the Trust’s net assets of $15,385,888 for the three months ended
March 31, 2010 was attributable to net gain (before profit share) of $40,411,193
and subscriptions of $4,830,594, which was partially offset by redemptions of
$29,855,899.
Brokerage
fees are calculated on the net asset value on the last day of each month and are
affected by trading performance, subscriptions and
redemptions. Brokerage fees for the three months ended March 31, 2010
decreased $2,825,705 relative to the corresponding period in
2009. The decrease was due primarily to a decrease in average net
assets during the three months ended March 31, 2010 relative to the
corresponding period in 2009.
Administrative
expenses for the three months ended March 31, 2010 decreased $141,602 relative
to the corresponding period in 2009. The decrease was due mainly to a
decrease in the Trust’s net assets during the three months ended March 31, 2010,
relative to the corresponding period in 2009.
Interest
income is derived from cash and U.S. Treasury instruments held at the Trust's
brokers and custodian. Interest income for the three months ended
March 31, 2010 decreased $3,199,918 relative to the corresponding period in
2009. This decrease was due to a decrease in short-term Treasury yields and by a
decrease in net assets.
The Trust
experienced net realized and unrealized gains of $54,672,237 from its trading
operations (including foreign exchange translations and Treasury obligations).
Brokerage fees of $14,566,609, administrative expenses of $570,220, custody fees
of $40,612, management fees of $16,076 and accrued profit share to the Managing
Owner of $41,988 were incurred. Interest income of $932,473 partially offset the
Trust's expenses resulting in a net gain of $40,369,205. An analysis of the
trading gain (loss) by sector is as follows:
Sector
|
% Gain
(Loss)
|
|||
Currencies
|
2.07 | % | ||
Energies
|
0.71 | % | ||
Grains
|
0.38 | % | ||
Interest
Rates
|
3.62 | % | ||
Livestock
|
(0.10 | )% | ||
Metals
|
0.14 | % | ||
Softs
|
(0.30 | )% | ||
Stock
Indices
|
(0.12 | )% | ||
Trading
Gain/(Loss)
|
6.40 | % |
MANAGEMENT DISCUSSION
2010
The
Trust's Series 1 and Series 3 net asset value per unit increased 4.62% and
4.64%, respectively, for the three months ended March 31,
2010. Profits from trading interest rate, energy, grain and
metal futures and forward currency contracts, well outpaced the fractional
losses sustained from trading equity, soft commodity and livestock
futures.
At the
start of the year the sustainability and robustness of incipient global growth
was called into question amid signs that monetary policy was becoming less
accommodative in China, India and other countries which had led the
recovery. Worries that fiscal stimulus in the developed world was
winding down also weighed on growth prospects as did the looming Greek fiscal
crisis. Near quarter-end however, a string of positive economic
statistics caused the outlook for economic expansion to brighten
somewhat.
Against
this background, interest rates eased and long positions in U.S., British and
European note, bond and short-term interest rate futures were
profitable. On the other hand, short positions in Australian interest
rate futures were profitable as the Reserve Bank of Australia continued to
tighten policy to ward off feared inflation.
15
The
burgeoning budget crisis in Greece weighed on the euro throughout the quarter
and short euro positions relative to the Australian and New Zealand dollars,
Hungarian forint, Polish zloty and Turkish lira were profitable. More
generally, long positions in high yielding and commodity currencies—Australian,
New Zealand and Canadian dollars—versus a variety of currencies were
profitable. The U.S. dollar was not as weak as the euro but it did
lose ground to the currencies of Australia, Canada, India, Columbia, Korea,
Mexico and South Africa, producing profits from long positions in these
currencies.
Equity
trading was marginally negative although performance during the quarter and
across countries was quite disparate. Losses in January and February
reflected the weaker economic outlook and signs of policy
tightening. March gains based on improving economic statistics
largely offset those losses. By country, long positions in U.S., UK,
Canada and parts of Europe were profitable, while long positions in Asia, Spain
Italy, Australia, Mexico and South Africa were unprofitable.
Natural
gas continued to be in a bear market as increasing supplies from shale gas met
decreasing demand and short natural gas futures positions were quite
profitable. Elsewhere in the energy complex, prices moved higher and
long positions in crude oil products were somewhat profitable.
In the
metals sector, gains from long nickel and aluminum positions modestly outweighed
losses from long copper and zinc positions and a short lead trade.
Deflation
was the story in agricultural markets. Profits on short positions in
corn and wheat outweighed losses on long positions in the soybean complex, cocoa
and sugar where forecasts of large sugar harvests accelerated the down-move from
record highs.
Period
ended March 31, 2009
Month Ending:
|
Total Trust
Capital
|
|||
March
31, 2009
|
$
|
1,007,120,914
|
||
December
31, 2008
|
1,030,381,361
|
Three Months
|
||||
Change
in Trust Capital
|
$
|
(23,260,447
|
)
|
|
Percent
Change
|
(2.26
|
)%
|
The
decrease in the Trust’s net assets of $23,260,447 for the three months ended
March 31, 2009 was attributable to net loss (before profit share) of $32,519,817
and subscriptions of $31,329,480, which was partially offset by redemptions of
$22,070,110.
Brokerage
fees are calculated on the net asset value on the last day of each month and are
affected by trading performance, subscriptions and
redemptions. Brokerage fees for the three months ended March 31, 2009
increased $5,794,753 relative to the corresponding period in 2008 due to an
increase in the Trust’s net assets.
Administrative
expenses for the three months ended March 31, 2009 increased $201,709 relative
to the corresponding period in 2008. The increase was due mainly to an increase
in the Trust’s net assets during the three months ended March 31, 2009, relative
to the corresponding period in 2008.
Interest
income is derived from cash and U.S. Treasury instruments held at the Trust's
brokers and custodian. Interest income for the three months ended
March 31, 2009 decreased $2,451,014 relative to the corresponding period in
2008. This decrease was due predominantly to a decrease in short-term Treasury
yields which was partially offset by an increase in net assets.
The Trust
experienced net realized and unrealized losses of $18,495,581 from its trading
operations (including foreign exchange translations and Treasury obligations).
Brokerage fees of $17,392,314, administrative expenses of $711,822, custody fees
of $52,491 and accrued profit share to the Managing Owner of $31,726 were
incurred. Interest income of $4,132,391 partially offset the Trust's expenses
resulting in a net loss of $32,551,543. An analysis of the trading gain (loss)
by sector is as follows:
SECTOR
|
% GAINS/(LOSS)
|
|||
Energies
|
(0.04
|
)%
|
||
Grains
|
(0.02
|
)%
|
||
Interest
Rates
|
0.60
|
%
|
||
Livestock
|
0.20
|
%
|
||
Metals
|
(1.09
|
)%
|
||
Softs
|
(0.15
|
)%
|
||
Stock
Indices
|
0.20
|
%
|
||
Currencies
|
(1.08
|
)%
|
||
Total
|
(1.38
|
)%
|
MANAGEMENT DISCUSSION –
2009
Three
months ended March 31, 2009
The
Trust's net asset value per unit decreased 3.18% for the three months ended
March 31, 2009. As the year began, the trends which had been dominant since the
middle of 2008—declining equities, declining commodities, declining interest
rates, and a rising US dollar—persisted, and the Trust posted a moderate
gain. However, in early March, many of these trends reversed abruptly
and the Trust suffered a loss during the final three weeks of the quarter that
more than outweighed the earlier gain. For the quarter, trading of
metals, currencies, energy and soft commodities futures was unprofitable, while
trading of interest rate futures, and to a lesser extent equity and livestock
futures was profitable.
For much
of the quarter, a profusion of international government interventions failed to
allay concerns about the ongoing financial and economic crisis which continued
to roil markets. In this environment, the Trust continued to hold short
positions in equity indices worldwide; short positions in most energy, metals,
and agricultural commodity markets; long positions in interest rate futures; and
long US dollar positions. Consequently, into early March, as equity
and commodity prices fell, and as the dollar rose, the Trust registered a
gain.
However,
with equity markets at multi-year lows following six consecutive quarterly
drops, some reports suggesting that the economic decline was slowing and
perceptions that the latest government interventions might aid the financial
system triggered some short covering and bottom fishing, causing stock markets
to stage a substantial rally. As risk aversion decreased and the
Federal Reserve announced plans to buy massive amounts of Treasury securities,
the dollar lost some of its safe haven cachet and fell. This dollar
decline, coupled with reduced pessimism about the future, arrested the decline
in commodity prices. Interest rates did not respond to these changes
and generally continued to decline. As a result, trading of equities,
commodities and currencies was highly unprofitable for the month of March, while
trading of interest rates provided only a partial offset.
Off-Balance Sheet
Arrangements
The Trust
does not engage in off-balance sheet arrangements with other
entities.
Contractual
Obligations
The Trust
does not enter into any contractual obligations or commercial commitments to
make future payments of a type that would be typical for an operating company or
that would affect its liquidity or capital resources. The Trust’s
sole business is trading futures and forward currency contracts, both long
(contracts to buy) and short (contracts to sell). All such contracts
are settled by offset, not delivery. Substantially all such contacts
are for settlement within four months of the trade date and substantially all
such contracts are held by the Trust for less than four months before being
offset or rolled over into new contracts with similar maturities. The
Trust’s Financial Statements present a Condensed Schedule of Investments setting
forth net unrealized appreciation (depreciation) of the Trust’s open future and
forward currency contracts, both long and short, at March 31, 2010.
16
ITEM 3.
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Value at
Risk is a measure of the maximum amount which the Trust could reasonably be
expected to lose in a given market sector. However, the inherent uncertainty of
the Trust's speculative trading and the occurrence in the markets traded by the
Trust of market movements far exceeding expectations could result in actual
trading or non-trading losses far beyond the amounts indicated or the Trust's
experience to date (i.e., "risk of ruin"). In light of the foregoing as well as
the risks and uncertainties intrinsic to all future projections, the inclusion
of the quantification included in this section should not be considered to
constitute any assurance or representation that the Trust's losses in any market
sector will be limited to Value at Risk or by the Trust's attempts to manage its
market risk.
Materiality,
as used in this section "Quantitative and Qualitative Disclosures About Market
Risk," is based on an assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account the leverage,
optionality and multiplier features of the Trust's market sensitive
instruments.
Quantifying
the Trust's Trading Value at Risk
Quantitative
Forward-Looking Statements
The
following quantitative disclosures regarding the Trust's market risk exposures
contain "forward-looking statements" within the meaning of the safe harbor from
civil liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act
and Section 21E of the Securities Exchange Act of 1934). All quantitative
disclosures in this section are deemed to be forward-looking statements for
purposes of the safe harbor, except for statements of historical
fact.
The
Trust's risk exposure in the various market sectors traded by the Managing Owner
is quantified below in terms of Value at Risk. Due to the Trust's mark-
to-market accounting, any loss in the fair value of the Trust's open positions
is directly reflected in the Trust's earnings (realized or unrealized) and cash
flow (at least in the case of exchange-traded contracts in which profits and
losses on open positions are settled daily through variation
margin).
Exchange
maintenance margin requirements for equivalent or similar futures positions have
been used by the Trust as the measure of its Value at Risk. Maintenance margin
requirements are set by exchanges to equal or exceed 95-99% of the maximum
one-day losses in the fair value of any given contract incurred during the time
period over which historical price fluctuations are researched for purposes of
establishing margin levels. The maintenance margin levels are established by
dealers and exchanges using historical price studies as well as an assessment of
current market volatility (including the implied volatility of the options on a
given futures contract) and economic fundamentals to provide a probabilistic
estimate of the maximum expected near-term one-day price
fluctuation.
In
quantifying the Trust’s Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category’s aggregate Value at
Risk. The diversification effects resulting from the fact that the Trust’s
positions are rarely, if ever, 100% positively correlated have not been
reflected.
The fair
value of the Trust's futures and forward positions does not have any optionality
component. However, the Managing Owner may also trade commodity options on
behalf of the Trust. The Value at Risk associated with options would be
reflected in the margin requirement attributable to the instrument underlying
each option.
In the
case of contracts denominated in foreign currencies, the Value at Risk figures
include foreign margin amounts converted into U.S. Dollars.
17
The Trust's Trading Value at
Risk in Different Market Sectors
The
following table indicates the average, highest and lowest amounts of trading
Value at Risk associated with the Trust's open positions by market category for
each quarter-end during the period ended March 31, 2010. During the three months
ended
March 31, 2010, the Trust's average total capitalization was
approximately $875,228,000.
Market Sector
|
Average
Value
at Risk
|
% of
Average
Capitalization
|
Highest
Value
at Risk
|
Lowest
Value
at Risk
|
||||||||||||
Currencies
|
$ | 37.1 | 4.2 | % | $ | 37.1 | $ | 37.1 | ||||||||
Energies
|
20.8 | 2.4 | % | 20.8 | 20.8 | |||||||||||
Grains
|
7.2 | 0.8 | % | 7.2 | 7.2 | |||||||||||
Interest
rates
|
53.2 | 6.1 | % | 53.2 | 53.2 | |||||||||||
Livestock
|
1.0 | 0.1 | % | 1.0 | 1.0 | |||||||||||
Metals
|
10.7 | 1.2 | % | 10.7 | 10.7 | |||||||||||
Softs
|
3.0 | 0.3 | % | 3.0 | 3.0 | |||||||||||
Stock
indices
|
72.3 | 8.3 | % | 72.3 | 72.3 | |||||||||||
Total
|
$ | 205.3 | 23.4 | % |
Average,
highest and lowest Value at Risk amounts relate to the quarter-end amounts for
the three months ended March 31, 2010. Average capitalization is the average of
the Trust's capitalization at the end of each of the three months ended March
31, 2010. Dollar amounts represent millions of dollars.
There otherwise has been no material change to the market risk
discussed in Section 7A of the 2009 10-K.
ITEM 4T.
CONTROLS AND PROCEDURES
Millburn
Ridgefield Corporation, the Managing Owner of the Trust, with the participation
of the Managing Owner's Co-Chief Executive Officers and Chief Financial Officer,
has evaluated the effectiveness of the design and operation of its disclosure
controls and procedures with respect to the Trust as of the end of the period
covered by this quarterly report, and, based on their evaluation, have concluded
that these disclosure controls and procedures are effective. There were no
changes in the Managing Owner’s internal control over financial reporting during
the quarter ended March 31, 2010 that have materially affected, or are
reasonably likely to materially affect, the Managing Owner’s internal control
over financial & reporting with respect to the Trust.
PART II.
OTHER INFORMATION
ITEM 1.
LEGAL PROCEEDINGS
None
ITEM 1A.
RISK FACTORS.
Potential
for Enhanced Regulation of the Over-the-Counter Derivatives Markets
Since
June 2009, several legislative proposals to regulate the over-the-counter
derivatives market have been proposed by the Obama Administration, the U.S.
Treasury, the House of Representatives and the Senate (the “OTC
Proposals”). The OTC Proposals, among other things, would provide for
comprehensive regulation of over-the counter derivatives transactions, dealers
and certain end-users of over-the-counter derivatives, possibly including the
Trust. There can be no assurance that legislation will be enacted in
a form comparable to that of any of the OTC Proposals or at
all. While it is difficult to accurately predict the scope of future
over-the-counter legislation, such legislation may result in increased cost of
over-the-counter derivatives, new clearing and exchange trading requirements and
reduced availability of customized derivatives.
There
otherwise are no material changes from risk factors as previously disclosed in
Form 10-K, filed March 31, 2010.
ITEM
2.
|
UNREGISTERED SALES OF EQUITY
SECURITIES AND USE OF
PROCEEDS
|
(a)
|
There
have been no sales of unregistered securities of the Trust during the
three months ended March 31,
2010.
|
(c)
|
Pursuant
to the Trust's Declaration of Trust and Trust Agreement, Unitholders may
redeem their Units at the end of each calendar month at the then current
month-end Net Asset Value per Unit. The redemption of Units has
no impact on the value of Units that remain outstanding, and Units are not
reissued once redeemed.
|
18
The
following table summarizes the redemptions by Series 1 and Series 3 Unitholders
during the three months ended March 31, 2010:
Series
1
|
Series
3
|
|||||||||||||||
Date
of
Redemption
|
Units
Redeemed
|
NAV
per
Unit
|
Units
Redeemed
|
NAV
per
Unit
|
||||||||||||
January
31, 2010
|
5,113.215 | $ | 1,180.15 | 5.730 | $ | 1,194.15 | ||||||||||
February
28, 2010
|
12,042.110 | 1,194.74 | - | 1,213.74 | ||||||||||||
March
31, 2010
|
7,435.169 | 1,267.96 | - | 1,278.10 | ||||||||||||
Total
|
24,590.494 | 5.730 |
ITEM 3.
DEFAULTS UPON SENIOR SECURITIES
None
ITEM 4.
(REMOVED AND RESERVED)
None
ITEM 5.
OTHER INFORMATION
None
ITEM 6.
(A) EXHIBITS -
The
following exhibits are included herewith:
19
31.01
Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive
Officer
31.02
Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive
Officer
31.03
Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial
Officer
32.01
Section 1350 Certification of Co-Chief Executive Officer
32.02
Section 1350 Certification of Co-Chief Executive Officer
32.03
Section 1350 Certification of Chief Financial Officer
SIGNATURES
Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant has
duly caused this report to be signed on its behalf by the undersigned thereunto
duly authorized.
By:
|
Millburn
Ridgefield Corporation,
|
Managing
Owner
Date:
May 17, 2010
|
|
/s/Tod
A. Tanis
|
|
Tod
A. Tanis
|
|
Vice-President
|
|
(Principal
Accounting
Officer)
|
20