GLOBAL MACRO TRUST - FORM 10-Q

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

¨	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

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)

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)

Global Macro Trust

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)

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)

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		$	-

See notes to financial statements

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)

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)

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

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

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;

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:

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	)

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.

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.

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.

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	)%

THREE MONTHS ENDED MARCH 31, 2009

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.

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.

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.

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