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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>As Filed with the Securities and Exchange
Commission on August 9, 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><B>Registration No. 333-[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;]</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">UNITED STATES</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">SECURITIES AND EXCHANGE COMMISSION</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Washington, D.C. 20549</B></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">FORM S-1</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">REGISTRATION STATEMENT</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">UNDER</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">THE SECURITIES ACT OF 1933</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(Exact name of registrant as specified in
its charter)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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    <TD STYLE="width: 34%; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; font-size: 10pt"><B>Delaware<BR>
</B>(State or other jurisdiction of incorporation or organization)</TD>
    <TD STYLE="width: 33%; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; font-size: 10pt"><B>6221<BR>
</B>(Primary Standard Industrial<BR>
Classification Code Number)</TD>
    <TD STYLE="width: 33%; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center; font-size: 10pt"><B>36-7362830<BR>
</B>(I.R.S. Employer<BR>
Identification Number)</TD></TR>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>c/o Millburn Ridgefield Corporation<BR>
411 West Putnam Avenue<BR>
Greenwich, Connecticut 06830<BR>
203/625-7554<BR>
</B>(Address, including zip code, and telephone number, including<BR>
area code, of registrant&rsquo;s principal executive offices)</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>George E. Crapple</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Millburn Ridgefield Corporation</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>411 West Putnam Avenue</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Greenwich, Connecticut 06830</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>203/625-7554<BR>
</B>(Name, address, including zip code, and telephone number,</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">including area code, of agent for service)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Copies to:<BR>
</B>James B. Biery<BR>
Daniel F. Spies</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Sidley Austin LLP<BR>
One South Dearborn Street</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Chicago, Illinois 60603</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Approximate date of commencement of proposed
sale to the public:</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>As soon as practicable after the effective
date of this Registration Statement.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If any of the securities being registered
on this form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933 check the
following box. <FONT STYLE="font-size: 10pt"><B> </B><FONT STYLE="font-family: Wingdings">x</FONT></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If this form is filed to register additional
securities for an offering pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities
Act registration statement number of the earlier effective registration statement for the same offering. <FONT STYLE="font-family: Wingdings">o</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If this form is a post-effective amendment
filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering. <B> </B><FONT STYLE="font-family: Wingdings">o</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If this form is a post-effective amendment
filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering. <B> </B><FONT STYLE="font-family: Wingdings">o</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">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 definitions
of &ldquo;large accelerated filer,&rdquo; &ldquo;accelerated filer&rdquo; and &ldquo;smaller reporting company&rdquo; in Rule 12b-2
of the Exchange Act.</P>

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<TR STYLE="vertical-align: top">
    <TD STYLE="width: 68%; padding-left: 0.5in; text-indent: 0in">Large accelerated filer <FONT STYLE="font-family: Wingdings">o</FONT></TD>
    <TD STYLE="width: 32%; text-indent: 0in">Accelerated filer <FONT STYLE="font-family: Wingdings">o</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-left: 0.5in; text-indent: 0in">Non-accelerated filer <FONT STYLE="font-family: Wingdings">x</FONT> (Do
    not check if a smaller reporting company)</TD>
    <TD STYLE="text-indent: 0in">Smaller reporting company <FONT STYLE="font-family: Wingdings">o</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>CALCULATION OF REGISTRATION FEE</B></P>

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<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-top: windowtext 2.25pt double; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">Title&nbsp;of&nbsp;each&nbsp;class&nbsp;of&nbsp;<BR> securities&nbsp;being&nbsp;registered</TD>
    <TD STYLE="border-top: windowtext 2.25pt double; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 2.25pt double; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">Proposed&nbsp;Maximum<BR> aggregate<BR> offering&nbsp;price(1)</TD>
    <TD STYLE="border-top: windowtext 2.25pt double; font-family: Wingdings; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 2.25pt double; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">Amount&nbsp;of additional<BR>
    registration&nbsp;fee(2)</TD>
    <TD STYLE="border-top: windowtext 2.25pt double; font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 10pt; text-align: center; text-indent: -10pt">Units of Beneficial Interest</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 2.25pt double; vertical-align: bottom">$</TD>
    <TD STYLE="border-bottom: windowtext 2.25pt double; vertical-align: bottom; text-align: right">58,140,389</TD>
    <TD STYLE="vertical-align: bottom; font-family: Wingdings">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 2.25pt double; vertical-align: bottom">$</TD>
    <TD STYLE="border-bottom: windowtext 2.25pt double; vertical-align: bottom; text-align: right">0</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(1)&nbsp;To be allocated between Series&nbsp;on the basis of
subscriber demand.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(2)&nbsp;Pursuant to Rule&nbsp;457(o). As of the date
hereof, Registrant registers pursuant to this Registration Statement on Form S-1 (Registration No.
333-[&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;]) $58,140,389 of Units.&nbsp; Upon the filing of this
Registration Statement on Form S-1, Registrant carries forward and registers, pursuant to Rule 415(a)(6), $58,140,389 of
registered but unsold Units from Registrant&rsquo;s previous Registration Statement on Form S-1 (Registration No. 333-155651)
for which Registrant has paid $3,244.23 in registration fees to the
Securities and Exchange Commission.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.4pt; text-indent: -0.4pt"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.4pt; text-indent: -0.4pt"><B>The Registrant hereby amends
this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall file
a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance
with Section&nbsp;8(a)&nbsp;of the Securities Act or until this Registration Statement shall become effective on such date as the
Commission, acting pursuant to said Section&nbsp;8(a), may determine.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-size: 12pt">GLOBAL
MACRO TRUST</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">$58,140,389<BR>
Units of Beneficial Interest</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Global Macro Trust</B> is a Delaware
statutory trust organized to seek profit opportunities in global fixed-income instruments, currencies, stock indices and commodities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The primary objective of the Trust is substantial
appreciation of its assets over time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An investment in the Trust may provide valuable
diversification to a traditional portfolio of stocks and bonds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><B>The Managing Owner</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Millburn Ridgefield Corporation</B>,
a professional futures trading advisor, is the Managing Owner and trading advisor of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><B>The Units</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Selling Agents are now offering the
Trust&rsquo;s Units in four Series. The Units are offered at their Net Asset Value as of the beginning of each month. As of June
30, 2012, the Net Asset Value of a Series 1 Unit that sold for $1,000 as of July 1, 2002, when the Trust began trading, was $1,076.52.
As of June 30, 2012, the Net Asset Value of a Series 2 Unit that sold for $1,278.10 as of April 1, 2010, when Series 2 Units were
first issued, was $1,182.21. As of June 30, 2012, the Net Asset Value of a Series 3 Unit that sold for $1,180.91 as of September
1, 2009, when Series 3 Units were first issued, was $1,188.54. As of June 30, 2012, the Net Asset Value of a Series 4 Unit that
sold for $1,315.33 as of November 1, 2010, when Series 4 Units were first issued, was $1,238.38.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 2 Units and Series 3 Units are available
to investors participating in a registered investment adviser&rsquo;s asset-based fee or fixed fee advisory program through which
an investment adviser recommends a portfolio allocation to the Trust. Series 4 Units are available to employees and former employees
of the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Selling Agents and brokers will use
their best efforts to sell the Units but are not required to sell any specific number or dollar amount of Units of any Series.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the total amount of Units offered pursuant
to this Prospectus is sold, the proceeds to the Trust will be $58,140,389.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There is no scheduled termination date for
the offering of Units. No escrow account will be used in connection with this offering.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The minimum initial investment is $5,000;
$2,000 for employee benefit plans and IRAs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Risks</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>These are speculative securities. Read
this Prospectus before you decide to invest. See &ldquo;The Risks You Face&rdquo; beginning on page 11.</B></P>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>The Trust is speculative. You may lose all or substantially all of your investment in the Trust. Past performance is not necessarily
indicative of future results.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>The Trust is leveraged. The Trust acquires positions with an aggregate face amount of as much as eight to ten times or more
of its total equity. Leverage magnifies the impact of both profit and loss.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>The performance of the Trust is expected to be volatile. In the last five years, monthly returns for the Series 1 Units, which
are the highest fee paying Units, ranged from up 8.52% to down 10.33%.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>The Trust charges high fees. You will sustain losses if the Trust is unable to generate sufficient trading profits and interest
income to offset its fees and expenses.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>The Units are not liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. Additionally,
there are restrictions on transferring Units in the Trust.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>A lack of liquidity in the markets in which the Trust trades could make it impossible for the Trust to realize profits or limit
losses.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>A substantial portion of the trades executed for the Trust takes place on foreign exchanges. No United States (&ldquo;U.S.&rdquo;)
regulatory authority or exchange has the power to compel the enforcement of the rules of a foreign board of trade or any applicable
foreign laws.</TD></TR></TABLE>

<P STYLE="font: 10pt Symbol; margin: 0pt 0 0pt 1in; text-indent: -0.6in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.4in"></TD><TD STYLE="width: 0.6in"><FONT STYLE="font: 10pt Symbol">&middot;</FONT></TD><TD>Early redemption charges will be assessed if you redeem Series 1 Units during the first eleven months after they are issued
to you.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>To purchase Units, you will be required
to represent and warrant, among other things, that you have received a copy of this Prospectus and that you satisfy the minimum
net worth and income standards for a resident of your state to invest in the Trust. You are encouraged to discuss your investment
decision with your financial, tax and legal advisors.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Neither the Securities and Exchange Commission
(the &ldquo;SEC&rdquo;) nor any state securities commission has approved or disapproved of these securities or passed upon the
accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-weight: normal">This Prospectus
is in two parts: a Disclosure Document and a Statement of Additional Information. These parts are bound together and may not be
distributed separately.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>THE COMMODITY FUTURES TRADING COMMISSION
HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS
DISCLOSURE DOCUMENT.</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">The date of this Prospectus is [&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;].</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">COMMODITY FUTURES TRADING COMMISSION<BR>
RISK DISCLOSURE STATEMENT</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>YOU SHOULD CAREFULLY CONSIDER WHETHER
YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST
TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL
AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW
YOUR PARTICIPATION IN THE POOL.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>FURTHER, COMMODITY POOLS MAY BE SUBJECT
TO SUBSTANTIAL CHARGES FOR MANAGEMENT, ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE
CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS
A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 43&nbsp;TO&nbsp;47
AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT
PAGE 8.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>THIS BRIEF STATEMENT CANNOT DISCLOSE
ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO
PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL
RISK FACTORS OF THIS INVESTMENT, AT PAGES 11&nbsp;TO&nbsp;16.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY
POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS
FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE
POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF
REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>SWAPS TRANSACTIONS, LIKE OTHER FINANCIAL
TRANSACTIONS, INVOLVE A VARIETY OF SIGNIFICANT RISKS. THE SPECIFIC RISKS PRESENTED BY A PARTICULAR SWAP TRANSACTION NECESSARILY
DEPEND UPON THE TERMS OF THE TRANSACTION AND YOUR CIRCUMSTANCES. IN GENERAL, HOWEVER, ALL SWAPS TRANSACTIONS INVOLVE SOME COMBINATION
OF MARKET RISK, CREDIT RISK, COUNTERPARTY CREDIT RISK, FUNDING RISK, LIQUIDITY RISK, AND OPERATIONAL RISK. </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>HIGHLY CUSTOMIZED SWAPS TRANSACTIONS
IN PARTICULAR MAY INCREASE LIQUIDITY RISK, WHICH MAY RESULT IN A SUSPENSION OF REDEMPTIONS. HIGHLY LEVERAGED TRANSACTIONS MAY EXPERIENCE
SUBSTANTIAL GAINS OR LOSSES IN VALUE AS A RESULT OF RELATIVELY SMALL CHANGES IN THE VALUE OR LEVEL OF AN UNDERLYING OR RELATED
MARKET FACTOR. </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>IN EVALUATING THE RISKS AND CONTRACTUAL
OBLIGATIONS ASSOCIATED WITH A PARTICULAR SWAP TRANSACTION, IT IS IMPORTANT TO CONSIDER THAT A SWAP TRANSACTION MAY BE MODIFIED
OR TERMINATED ONLY BY MUTUAL CONSENT OF THE ORIGINAL PARTIES AND SUBJECT TO AGREEMENT ON INDIVIDUALLY NEGOTIATED TERMS. THEREFORE,
IT MAY NOT BE POSSIBLE FOR THE COMMODITY POOL OPERATOR TO MODIFY, TERMINATE, OR OFFSET THE POOL&rsquo;S OBLIGATIONS OR THE POOL&rsquo;S
EXPOSURE TO THE RISKS ASSOCIATED WITH A TRANSACTION PRIOR TO ITS SCHEDULED TERMINATION DATE.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.9pt; text-align: center"><B><I>Please see the important
Privacy Policy on page 79.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>This Prospectus does not include all
of the information or exhibits in the Trust&rsquo;s Registration Statement. You can read and copy the entire Registration Statement
at the Public Reference Facilities maintained by the SEC in Washington, D.C.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>The Trust files quarterly and annual
reports with the SEC. You can read and copy these reports at the SEC Public Reference Facilities in Washington, D.C. at 100 F Street,
N.E., Room 1580, Washington, D.C. 20549. Please call the SEC at 1-202-942-8090, or toll free at 1-800-SEC-0330, for further information.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>The Trust&rsquo;s filings are posted
on the SEC website at http://www.sec.gov.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION<BR>
</B>411 West Putnam Avenue<BR>
Greenwich, Connecticut 06830<BR>
(203) 625-7554<BR>
<B><I>MANAGING OWNER</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
TABLE OF CONTENTS</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 92%; text-align: right; font-weight: normal; text-decoration: none">&nbsp;</TD>
    <TD STYLE="width: 8%; border-bottom: windowtext 1pt solid; text-align: center; font-weight: normal; text-decoration: none">Page</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD COLSPAN="2" STYLE="text-align: center; font-weight: bold">Part One</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; font-weight: bold; font-style: italic">Disclosure Document</TD>
    <TD STYLE="vertical-align: bottom; font-weight: normal; font-style: normal; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Summary</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">5</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">The Risks You Face</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">11</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">You Could Lose Your Entire Investment in the Trust</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Past Performance is not Necessarily Indicative of Future Results</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Trust is a Highly Leveraged Investment</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Performance of the Trust Will be Volatile</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Trust&rsquo;s Expenses Will Cause Losses Unless Offset by Profits and Interest Income</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">An Investment in the Trust is not Liquid</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Series 1 Units Redeemed on or Before the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Timing of Your Investment and Redemption Decisions Will Affect the Profitability of Your Investment</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner Alone Directs the Trust&rsquo;s Trading</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner is Primarily a Technical Trader and May not Always Analyze Economic Factors External to Market Price</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">12</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Lack of Price Trends Will Cause Losses; There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects That There Will be Similar Periods in the Future</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">12</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Lack of Market Liquidity Could Make it Impossible for the Trust to Realize Profits or Limit Losses</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">12</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Speculative Position Limits May Alter Investment Decisions for the Trust</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">12</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner&rsquo;s Trading Systems Have Been Developed Over Time and are Subject to Change</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">12</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Trading on Foreign Exchanges Presents Greater Risk Than Trading on U.S. Exchanges</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">13</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner Anticipates the Trust&rsquo;s Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">13</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Trust May be Subject to Profit Shares Despite Certain Units Having Declined in Value</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">13</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner&rsquo;s Increased Equity Under Management Could Lead to Lower Returns for Investors</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">13</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Increased Competition Among Trend-Following Traders Could Reduce the Managing Owner&rsquo;s Profitability</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">13</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Trust is Subject to Conflicts of Interest</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">14</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Managing Owner has not Established Formal Procedures to Resolve Conflicts of Interest</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">14</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">You Will be Taxed Each Year on Your Share of Trust Profits</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">14</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">You Will be Taxed on the Trust&rsquo;s Interest Income Even if the Trust Suffers Trading Losses</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">14</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Limitations on the Deductibility of &ldquo;Investment Advisory Fees&rdquo;</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">14</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The IRS Could Audit Both the Trust and Individual Unitholders</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Accounting for Uncertain Tax Positions</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Bankruptcy of a Clearing Broker or Currency Dealer Could Cause Losses</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Trust is Not Regulated as an Investment Company or Mutual Fund</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Swap Trading is Unregulated and Involves Counterparty Risk</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Forward Trading May Take Place in Unregulated Markets</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">15</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Forwards, Swaps and Other Derivatives Are Subject to Varying CFTC Regulation</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">16</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">Trading in Options Requires an Assessment of Market Volatility as Well as Direction</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">16</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; padding-left: 16.2pt; text-indent: -0.1in; font-style: italic">The Failure of Computer Systems Could Result in Losses for the Trust</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-style: italic; text-align: right">16</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Investment Factors</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">16</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Performance Of The Trust</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">20</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Quantitative And Qualitative Disclosures About Market Risk</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">32</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">The Managing Owner</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">35</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Use Of Proceeds</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">42</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Charges</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">43</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Redemptions; Net Asset Value</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">47</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">The Clearing Brokers</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">48</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Conflicts Of Interest</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">62</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">The Trust And The Trustee</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">64</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Federal Income Tax Aspects</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">66</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Purchases By Employee Benefit Plans</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">68</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Plan Of Distribution</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">70</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Legal Matters</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">78</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Experts</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">78</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Reports</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">79</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Privacy Policy</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">79</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD COLSPAN="2" STYLE="text-align: center; font-weight: bold">Part Two</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; font-weight: bold; font-style: italic">Statement Of Additional Information</TD>
    <TD STYLE="vertical-align: bottom; font-weight: normal; font-style: normal; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">The Futures And Forward Markets</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">80</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; font-weight: bold">Supplemental Performance Information</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">82</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in"><B>Index to Financial Statements</B></TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; font-weight: normal; text-align: right">F-1</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in"><B>Exhibit A&mdash;Fourth Amended and Restated</B></TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in"><B>Declaration of Trust and Trust Agreement</B></TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">TA-1</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in"><B>Exhibit B&mdash;Subscription Requirements</B></TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">SR-1</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in"><B>Exhibit C&mdash;Subscription Agreement</B></TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">SA-1</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt"><I>The execution copy of the Subscription Agreement accompanies
this Prospectus.</I></P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Summary</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>General</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Global Macro Trust seeks profit opportunities
in global fixed-income instruments, currencies, stock indices and various commodity products. Millburn Ridgefield Corporation,
a Delaware corporation, serves as the Trust&rsquo;s Managing Owner and trading advisor. The Managing Owner uses its proprietary
quantitative, systematic trading method to trade in futures and forward contracts, and may trade in swap and options contracts,
for the Trust. In addition, positions held by the Trust may be either long, that is, contracts to buy, or short, that is, contracts
to sell. The ability to take both long and short positions provides the Trust with the flexibility to capitalize on opportunities
in both rising and falling markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust began trading July 1, 2002.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The date of this Prospectus is [&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;].</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Overview </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner trades the Trust&rsquo;s
assets in the markets that make up the Managing Owner&rsquo;s Diversified Portfolio and uses the same trading strategies it uses
in trading the Diversified Portfolio. The Diversified Portfolio itself is not a distinct trading strategy. Rather, it is a grouping
of separate futures, forward and swap markets, featuring a variety of global fixed-income instruments, currencies, stock indices,
agricultural commodities, energy products and precious and industrial metals, to which the Managing Owner applies its trading method.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s primary objective is to
achieve substantial capital appreciation over time with controlled volatility. The Trust also offers investors the advantages of
limited liability in a leveraged trading vehicle and the convenience of professional management.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The performance of the Trust is not dependent
upon any single nation&rsquo;s economy or currency. On the contrary, periods of economic uncertainty can augment the profit potential
of the Trust by increasing the likelihood of significant movements in global interest and exchange rates, and stock and commodity
prices.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Additionally, because the Trust can take
short positions as easily as long positions, the Trust is as likely to be profitable or unprofitable in falling markets as in rising
markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the Trust is successful, of which there
can be no assurance, it can provide valuable diversification to traditional portfolios of stocks and bonds due to the Trust&rsquo;s
performance being generally unrelated to the general stock and bond markets. The Trust may also incur losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Approximately 90% or more of the Trust&rsquo;s
assets are invested in U.S. Treasury securities and other highly rated and liquid instruments, some of which will be deposited
as collateral or margin in connection with the Trust&rsquo;s trading. Accordingly, in addition to its potential to profit from
its trading, the Trust earns interest on approximately 90% or more of its assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The principal office of the Trust is located
at the office of the Managing Owner: 411 West Putnam Avenue, Greenwich, Connecticut 06830 (telephone: (203) 625-7554).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Offering &mdash; Series of Units</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The selling agents (&ldquo;Selling Agents&rdquo;)
are offering the Trust&rsquo;s Units in four Series. The only differences between the Units of each Series, referred to collectively
in this Prospectus as &ldquo;Units,&rdquo; are the applicable fees and expenses described below. Otherwise, the Units of each Series
are identical to the Units of the other Series and share pro rata in the profits and losses of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Units are offered at Net Asset Value
per Unit of such Series as of the first business day of each calendar month.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 2 Units and Series 3 Units are available
only to investors participating in a registered investment adviser&rsquo;s asset-based fee or fixed fee advisory program through
which an investment adviser recommends a portfolio allocation to the Trust. The only difference between Series 2 Units and Series
3 Units is the custodial fee applicable to Series 2 Units described below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 4 Units are available only to employees
and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation 401(k)
and Profit Sharing Plan.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may, from time to time,
also permit intra-month closings.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Net Asset Value per Unit of a Series
is determined by dividing the Trust&rsquo;s assets attributable to that Series minus its liabilities attributable to that Series
by the number of Units of that Series outstanding on the date the calculation is being performed. A Series&rsquo; Net Assets in
aggregate are the Trust&rsquo;s assets attributable to that Series minus its liabilities attributable to that Series. The Trust&rsquo;s
Net Assets in aggregate are its total assets minus its total liabilities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The minimum investment in the Trust is $5,000;
$2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units will be sold in
fractions calculated to three decimal places.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">To subscribe, you must complete and sign
the Subscription Agreement Signature Page which accompanies this Prospectus and deliver it to your Selling Agent or broker. <I>See
Exhibit B &mdash; Subscription Requirements and Exhibit C &mdash; Subscription Agreement. You should review this entire Prospectus
carefully before deciding whether to invest in the Units.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Major Risks of the Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is speculative. You may lose all
or substantially all of your investment in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The past performance of the Trust and the
Managing Owner&rsquo;s Diversified Portfolio are not necessarily indicative of the future results of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is leveraged. The Trust acquires
positions with an aggregate face amount of as much as eight to ten times or more of its total equity. Leverage magnifies the
impact of both profit and loss.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The performance of the Trust is expected
to be volatile. In the last five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged
from up 8.52% to down 10.33%.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">To be profitable, the Trust&rsquo;s fees
and expenses must be offset by trading profits and interest income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Units are not liquid. No secondary market
exists for the Units, and the Units may be redeemed only as of a month-end.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Investment Considerations</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has been managing client
funds in the futures and forward markets for over 30 years. As of June 30, 2012, the Managing Owner was directing the trading of
$1.7 billion of client and proprietary capital in these markets. Of that $1.7 billion, the Managing Owner was managing approximately
$830 million pursuant to the Diversified Portfolio, the trading portfolio traded on behalf of the Trust, and the balance pursuant
to other trading portfolios managed by the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has contributed in excess
of $9.1 million to the trading capital of the Trust. As of June 30, 2012, the investments of the Managing Owner, its principals,
affiliates, employees and former employees in accounts managed pursuant to the Diversified Portfolio exceeded $74 million.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner makes trading decisions
pursuant to its investment and trading method, which includes technical trend analysis and certain non-traditional technical systems
(<I>i.e.</I>, systems falling outside of traditional technical trend analysis). The Managing Owner may, however, from time to time,
exercise discretion with respect to its technical trend analysis to adjust position sizes and will, over time, change the markets
represented in the Diversified Portfolio. The Managing Owner&rsquo;s trend-following trading approach seeks to identify and profit
from sustained market trends while limiting losses in trendless markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has the ability to shift
capital readily among different international economies and markets. As of June 30, 2012, the composition of the Managing Owner&rsquo;s
Diversified Portfolio, as well as the Trust, was approximately as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt"><IMG SRC="image_001.gif" ALT="">&nbsp;</P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">As illustrated by the correlation matrix
below, the returns of the Trust from July 2002 through June 2012 have not been significantly correlated with traditional portfolio
components such as stocks and bonds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Trust<SUP>(1)</SUP></TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 81%; text-align: left">Trust<SUP>(1)</SUP></TD><TD STYLE="width: 1%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="width: 16%; font-weight: bold; text-align: right">1.00</TD><TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">S&amp;P 500</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">(0.06</TD><TD STYLE="font-weight: bold; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NASDAQ</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">(0.03</TD><TD STYLE="font-weight: bold; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">EAFE</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">0.05</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Bonds</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">0.07</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Hedge Funds</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">0.23</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 0pt; margin-bottom: 0pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">(1)</TD><TD><FONT STYLE="font-size: 10pt">Reflecting the cost/fee structure applicable to the Series 1 Units. Statistically, investments
with a correlation of 1.00 make or lose money at the same time, and investments with a correlation of -1.00 always move in the
opposite direction. See &ldquo;Supplemental Performance Information&rdquo; in Part Two of this Prospectus.</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An investment in the Trust can, <I>but only
if the Trust itself is successful,</I> improve the reward/risk profile of a traditional portfolio of stocks and bonds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Redemptions</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">You may redeem your Units as of the end
of any calendar month, upon 10 days&rsquo; prior written notice to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A redemption charge of 4% of Net Asset Value
applies to Series 1 Units redeemed on or before the sixth month-end after they are sold. A redemption charge of 3% of Net Asset
Value applies to Series 1 Units redeemed after the sixth, but on or before the eleventh, month-end after they are sold. There are
no charges for redemptions of Series 1 Units held at least 12 months. Redemption charges will be reduced in the case of subscriptions
in the amount of $100,000 or more to 3.5% and 2.5%, of $500,000 or more to 3% and 2%, and of $1,000,000 or more to 2.5% and 1.5%.
Series 1 Units purchased on different closing dates are treated on a &ldquo;first-in, first-out&rdquo; basis for purposes of calculating
the periods to which redemption charges apply and for purposes of determining the 9.5% threshold for Selling Agent fees discussed
below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 2 Units, Series 3 Units and Series
4 Units are not subject to redemption charges.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Charges</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s expenses must be offset
by trading gains and interest income to avoid depletion of the Trust&rsquo;s assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Series 1 Units</B>. The Trust pays Brokerage
Fees to the Managing Owner of 7% per year of the Trust&rsquo;s Net Assets attributable to Series 1 Units. From this amount, the
Managing Owner pays approximately 0.25% to the Trust&rsquo;s executing and clearing brokers, and up to 4% to the Selling Agents.
The amount paid to Selling Agents will not, however, exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant
to this Prospectus. Once the 9.5% threshold is reached with respect to a Series 1 Unit, the Selling Agent will receive no future
compensation and the up to 4% amount that would otherwise be paid to the Selling Agent for that Series 1 Unit will instead be rebated
to the Trust for the benefit of all holders of Series 1 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Brokerage Fees applicable to Series 1 Units
will be reduced in respect of subscribers submitting net subscriptions of $100,000 or more to 6.5%, of $500,000 or more to 6% and
of $1,000,000 or more to 5.5%. Net subscriptions for such purposes will be calculated as subscriptions minus redemptions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the Series 1 Units earn net trading profits
for any year in excess of the highest amount of net trading profits earned in all previous years, the Trust will allocate 20% of
those &ldquo;new&rdquo; net trading profits to the Managing Owner as the Managing Owner&rsquo;s Series 1 Profit Share.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Series 2 Units</B>. The Trust will pay
the Managing Owner a management fee of 2% per year and a custodial fee of 0.25% per year of the Trust&rsquo;s Net Assets attributable
to Series 2 Units. The custodial fee will be paid on to the brokers that serve as custodians of Series 2 Units for the benefit
of investors in Series 2 Units. The maximum amount of custodial fees paid to brokers that serve as custodians of Series 2 Units
will not, however, exceed 3.1667% of the gross offering proceeds of the Series 2 Units sold pursuant to this Prospectus. Once the
maximum threshold is reached with respect to a Series 2 Unit, the broker serving as custodian for such Series 2 Unit will receive
no future payment of custodial fees and the 0.25% amount that would otherwise be paid to the custodian for that Series 2 Unit will
instead be rebated to the Trust for the benefit of all holders of Series 2 Units. Series 2 Units will also be charged for their
pro rata share of the Trust&rsquo;s actual trade execution and clearing costs, including electronic platform trading costs, estimated
at approximately 0.30% of the Trust&rsquo;s average month-end Net Assets per year attributable to the Series 2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Series 3 Units</B>. The Trust will pay
the Managing Owner a management fee of 2% per year of the Trust&rsquo;s Net Assets attributable to Series 3 Units. Series 3 Units
will also be charged for their pro rata share of the Trust&rsquo;s actual trade execution and clearing costs, including electronic
platform trading costs, estimated at approximately 0.30% of the Trust&rsquo;s average month-end Net Assets per year attributable
to the Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Series 2 and Series 3 Units</B>. If the
Series 2 and Series 3 Units in the aggregate earn net trading profits for any year in excess of the highest amount of net trading
profits earned in all previous years, the Trust will allocate 20% of those &ldquo;new&rdquo; net trading profits to the Managing
Owner as the Managing Owner&rsquo;s Series 2/3 Profit Share.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Series 4 Units. </B>Series 4 Units will
be charged for their pro rata share of the Trust&rsquo;s actual trade execution and clearing costs, including electronic platform
trading costs, estimated at approximately 0.30% of the Trust&rsquo;s average month-end Net Assets per year attributable to the
Series 4 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust pays its own offering costs such
as registration and filing fees and the legal, accounting and printing costs incurred in connection with filing and updating this
Prospectus. Ongoing offering costs will not exceed 1.25% of the gross offering proceeds of the Units sold pursuant to this Prospectus.
The Trust also pays its own operating costs such as legal, audit and administrative expenses (including, if applicable, the services
of an administrator unaffiliated with the Managing Owner), which the Managing Owner expects will not exceed 0.30% per year of the
Trust&rsquo;s average annual Net Assets, assuming Trust assets of $650,000,000, and, when aggregated with ongoing offering costs,
are not expected to exceed 0.35% of the Trust&rsquo;s average annual Net Assets. The Trust itself could be subject to taxes or
could incur extraordinary charges incidental to its trading, but the Managing Owner believes that neither situation is likely.
There are no other charges borne by investors or the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner paid, without reimbursement,
the Trust&rsquo;s initial organizational costs. You will not bear any part of those costs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will pay any Selling
Agent compensation due in connection with the sale of Series 2 Units or Series 3 Units from its own funds but not to exceed 6.3333%
and 9.5%, respectively, of the gross offering proceeds from the sale of the Series 2 and Series 3 Units. Series 4 Units are not
subject to any sales charges.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Please refer to &ldquo;Charges&rdquo; for
a more detailed discussion of the expenses applicable to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Breakeven Tables</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following Breakeven Tables indicate
the approximate amount of trading profit the Trust must earn with respect to a Series of Units, during the first twelve months
after a Unit is sold, to offset the costs applicable to that Series of Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Series 1</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">ROUTINE<BR> EXPENSES</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Percentage<BR> Return<BR> Required First<BR> Twelve<BR>
Months of<BR> Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Dollar Return<BR> Required ($5,000<BR> Initial<BR> Investment)<BR> First Twelve<BR> Months<BR> of Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 62%; text-align: left">Brokerage Fees</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 16%; text-align: right">7.00</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 16%; text-align: right">350.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Administrative and&nbsp;&nbsp;&nbsp; Offering Expenses*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">17.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Profit Share*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Less Interest Income*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.08</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(4.00</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD><B>Twelve-month &ldquo;breakeven&rdquo;</B> **</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">363.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B></B></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-top: 0pt; margin-bottom: 0pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">*</TD><TD><FONT STYLE="font-weight: normal">See Notes to Breakeven Tables below.</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Series 2</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">ROUTINE<BR> EXPENSES</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Percentage<BR> Return<BR> Required First<BR> Twelve<BR>
Months of<BR> Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Dollar Return<BR> Required ($5,000<BR> Initial<BR> Investment)<BR> First Twelve<BR> Months<BR> of Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 62%; text-align: left">Management Fee</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 16%; text-align: right">2.00</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 16%; text-align: right">100.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Custodial Fee</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">12.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Trade Execution and Clearing Costs*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">15.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Administrative and Offering Expenses*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">17.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Profit Share*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Less Interest Income*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.08</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(4.00</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">Twelve-month &ldquo;breakeven&rdquo;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.82</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">141.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">*</TD><TD><FONT STYLE="font-weight: normal">See Notes to Breakeven Tables below.</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Series 3</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">ROUTINE<BR> EXPENSES</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Percentage<BR> Return<BR> Required First<BR> Twelve<BR>
Months of<BR> Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Dollar Return<BR> Required ($5,000<BR> Initial<BR> Investment)<BR> First Twelve<BR> Months<BR> of Investment</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 62%; text-align: left">Management Fee</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 16%; text-align: right">2.00</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 16%; text-align: right">100.00</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Trade Execution and Clearing Costs*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">15.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Administrative and Offering Expenses*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">17.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Profit Share*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Less Interest Income*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.08</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(4.00</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">Twelve-month &ldquo;breakeven&rdquo;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">128.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B></B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in">*</TD><TD><FONT STYLE="font-weight: normal">See Notes to Breakeven Tables below.</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Notes to Breakeven Tables. </B>* Estimated. Administrative
and offering expenses in aggregate are estimated at 0.35% of the Trust&rsquo;s average annual Net Assets. Brokerage Fees (Series
1 only) or Management Fees and Trade Execution and Clearing Costs (Series 2 and Series 3 only), including electronic platform trading
costs, the Custodial Fee (Series 2 Only) and ongoing offering and administrative expenses must be offset by trading profits before
a Profit Share is allocated to the Managing Owner. Accordingly, the Profit Share is shown as $0.00 because none would be payable
at the &ldquo;break-even&rdquo; point. &nbsp;Interest income is assumed to be 90% of the current 91-day Treasury bill rate.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">**Series 1 Units are subject to a redemption charge if redeemed
prior to the 12<SUP>th</SUP> month-end after they are sold. As no redemption charge applies to Series 1 Units held for 12 months
or more, no redemption charge is shown at the Series 1 &ldquo;twelve-month breakeven&rdquo; point. The applicable charge for Series
1 Units redeemed before the 12<SUP>th</SUP> month-end following their sale is determined by how soon after the sale they are redeemed,
as described above under &ldquo;Summary &ndash; Redemptions.&rdquo; For example, based on an initial investment of $5,000, the
redemption charge at the end of the 11<SUP>th</SUP> month-end after the sale of Series 1 Units would be $150 or 3% of the initial
investment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Breakeven Tables assume an investment with a constant $5,000
Net Asset Value and a breakeven year. See &ldquo;Charges.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 35pt"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 35pt"><B>Series 4 Units.</B><FONT STYLE="font-weight: normal">
Employees and former employees of the Managing Owner and its affiliates may purchase Series 4 Units through </FONT>The Millburn
Corporation 401(k) and Profit Sharing Plan. Assuming a $2,000 investment, estimated trade execution and clearing costs at 0.30%
per annum ($6.00), estimated administrative and offering expenses at 0.35% per annum ($7.00) and estimated interest income at 0.08%
per annum (less $1.60), the twelve-month breakeven would be 0.57% of the initial investment ($11.40), assuming a constant $2,000
Net Asset Value and a breakeven year. Series 4 Units are not subject to a Profit Share. See &ldquo;Charges.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Federal Income Tax Aspects</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will be treated as a partnership
for federal income tax purposes. Thus, you will be taxed each year on your share of the Trust&rsquo;s income whether or not you
redeem Units from the Trust or receive distributions from the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">40% of any trading profits on certain U.S.
exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary
income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a
lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100%
of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange
are &ldquo;marked-to-market&rdquo; at the end of each year and taxed as short-term capital gains at ordinary income rates (unless
offset by capital losses). The Trust&rsquo;s trading gains from other contracts will be primarily short-term capital gains. This
tax treatment applies regardless of how long an investor holds Units. Interest income is taxed at ordinary income rates.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Capital losses on the Units may be deducted
against capital gains. However, capital losses in excess of capital gains may only be deducted by a non-corporate taxpayer against
ordinary income to the extent of $3,000 per year. Consequently, you could pay tax on the Trust&rsquo;s interest income even though
you have lost money on your Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>The Futures, Forward and Swap Markets</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Futures contracts are generally traded on
exchanges and call for the future delivery of various commodities or are settled in cash.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Forward currency contracts and swap contracts
are generally traded off-exchange through banks or dealers.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Futures, forward and swap trading is a &ldquo;zero-sum,&rdquo;
risk transfer economic activity. For every gain realized by a futures, forward or swap trader, there is an equal and offsetting
loss suffered by another. In this respect, an investment in the Trust is different from other securities investments where one
expects consistent yields, in the case of bonds, or participation in overall economic growth as in the case of stocks.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Is the Trust a Suitable Investment for You?</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">You should consider investing in the Trust
if you are interested in its potential to produce returns that are generally unrelated to those of stocks and bonds and you are
prepared to risk significant losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is a diversification opportunity
for an investment portfolio, not a complete investment program.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">You should consider an investment in the
Trust to be a 3 to 5 year commitment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">To invest, you must, at a minimum, have
either (i) a net worth of at least $250,000, exclusive of home, furnishings and automobiles, or (ii) a net worth, similarly calculated,
of at least $70,000 and an annual gross income of at least $70,000. A number of States in which the Units are offered impose higher
suitability standards. These standards are regulatory minimums only, and just because you meet the standard does not necessarily
mean the Units are a suitable investment for you.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">You should not invest more than 10% of your
net worth (exclusive of home, furnishings and automobiles) in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>These are speculative securities. You
may lose all or substantially all of your investment in the Trust.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Organizational Chart</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><img src="pg11.jpg"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>None of the entities indicated in
this organizational chart, other than the Trust, are related to the Managing Owner. See &ldquo;Conflicts of Interest.&rdquo; Descriptions
of the dealings between the Managing Owner and the Trust are set forth under &ldquo;Charges.&rdquo;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>The Risks
You Face</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Set forth below are the principal risks
associated with an investment in the Trust. You should consider these risks when making your investment decision.</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>You Could Lose Your Entire Investment
in the Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An investment in the Trust is a speculative
investment. You will be relying on the Managing Owner to trade profitably for the Trust and profitability is not assured. You could
lose all or substantially all of your investment in the Trust.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Past Performance is not Necessarily
Indicative of Future Results</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 35pt">The Trust began trading July 1, 2002 and
has traded in both rising and falling markets. Nevertheless, the past performance of the Trust is not necessarily indicative of
the Trust&rsquo;s future results, and the Trust may sustain losses in the future under market conditions in which it achieved gains
in the past.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Trust is a Highly Leveraged Investment</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust acquires positions with an aggregate
face value of as much as eight to ten times or more of its total equity. Consequently, small adverse movements in the prices
of the Trust&rsquo;s open positions can cause significant losses.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">The Performance of the Trust Will be
Volatile</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner expects that the performance
of the Trust will be volatile. The Trust may suffer sudden and substantial losses from time to time and the day-to-day value of
the Units will be variable and uncertain. The Net Asset Value per Unit may change materially between the date on which you subscribe
for Units and the date the Units are issued or the date you request a redemption and the month-end redemption date. In the last
five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged from up 8.52% to down 10.33%.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Trust&rsquo;s Expenses Will Cause
Losses Unless Offset by Profits and Interest Income</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust pays annual expenses of up to
approximately 7.35% of its average month-end Net Assets attributable to the Series 1 Units and annual expenses of up to approximately
2.90%, 2.65% and 0.65% of its average month-end Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units,
respectively. The Trust must earn trading profits and interest income allocable to each Series at least equal to these expenses
to avoid losses.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>An Investment in the Trust is not
Liquid</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There is no secondary market for the Units.
You may redeem your Units only as of the close of business on the last day of a calendar month, and you must give the Trust at
least 10 days&rsquo; prior written notice of your intent to redeem. Early redemption charges apply if you redeem Series 1 Units
through the end of the first eleven months you own them.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Series 1 Units Redeemed on or Before
the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 1 Units redeemed on or prior to the
end of the first six-month period after their sale will pay a redemption charge of up to 4% of the Net Asset Value at which such
Series 1 Units are redeemed. Series 1 Units redeemed on or prior to the end of the first eleven months but after the end of the
first six-month period after their sale will pay a redemption charge of up to 3% of the Net Asset Value at which such Series 1
Units are redeemed. See &ldquo;Redemptions; Net Asset Value &mdash; Redemption Procedure.&rdquo;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Timing of Your Investment and
Redemption Decisions Will Affect the Profitability of Your Investment</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner expects that a majority
of the Trust&rsquo;s trades will result in small profits only or in losses. The majority of any profits earned by the Trust will
most likely come from a small number of trades each year. Accordingly, you will not know when is a good time to invest in the Trust
or to redeem your Units, and the timing of your investment and redemption decisions will affect the amount of profit or loss you
experience as an investor in the Trust.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner Alone Directs the
Trust&rsquo;s Trading</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is a single-advisor fund. The
use of a single advisor trading one program involves a greater risk of loss than the diversified, multi-advisor approach employed
by many futures funds. In addition, if the management services of the Managing Owner were to become unavailable for any reason,
the Trust would terminate. Furthermore, were the Managing Owner to lose the services of its key principals, the Managing Owner
could decide to dissolve the Trust, possibly causing it to realize losses.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 10.5pt">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner is Primarily a
Technical Trader and May not Always Analyze Economic Factors External to Market Price</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner&rsquo;s systematic trend-following
strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market
itself that dominates prices may cause major losses to these strategies. For example, a pending political or economic event may
be very likely to cause a major price movement, but the Managing Owner&rsquo;s traditional strategies would continue to maintain
positions indicated by its trading method that would incur major losses if the event proved to be adverse.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner&rsquo;s systematic strategies
retain certain discretionary aspects. Decisions, for example, to adjust the size of the positions indicated by the systematic strategies,
which contracts to trade and method of order entry require judgmental input from the Managing Owner&rsquo;s principals. Additionally,
the Managing Owner may determine not to enter a new position indicated by its strategies if the Managing Owner determines prevailing
market conditions to be unusual, for example, significantly more volatile than the expected volatility factored into the design
of the strategies. The Managing Owner does, however, exit positions when its trading strategies indicate that it should do so.
Discretionary decision-making may result in the Managing Owner making unprofitable trades when a more wholly systematic approach
would not have done so.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Lack of Price Trends Will Cause Losses;
There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects
That There Will be Similar Periods in the Future</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is unlikely to trade profitably
unless there are major price trends in at least some of the markets it trades. Moreover, the price trends must be of a type the
Managing Owner&rsquo;s systems are designed to identify. In the past there have been sustained periods with few trending markets
where gains from trading those markets were insufficient to offset losses from trades in non-trending markets. For example, the
Trust incurred a loss for the year in 2003, 2004, 2009 and 2011. The Managing Owner expects that there will be similar periods
in the future.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Markets in which prices move rapidly and
then reverse and then do so again may cause losses. In such &ldquo;whipsaw&rdquo; market conditions, the Managing Owner may establish
positions for the Trust on the basis of incorrectly identifying the rapid movement or the reversal as a trend.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Lack of Market Liquidity Could Make
it Impossible for the Trust to Realize Profits or Limit Losses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In illiquid markets, the Trust could be
unable to close out positions to limit losses or to take positions in order to follow trends. There are too many different factors
that can contribute to market illiquidity to predict when or where illiquid markets may occur.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Unexpected market illiquidity has caused
major losses for some traders in recent years in such market sectors as emerging markets and mortgage-backed securities. There
can be no assurance that the same will not happen in the markets traded by the Trust. In addition, the large size of the positions
the Trust may take increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the
losses incurred while trying to do so.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">U.S. commodity exchanges impose limits on
the amount the price of some, but not all, futures contracts may change on a single day. Once a futures contract has reached its
daily limit, it may be impossible for the Trust to liquidate a position in that contract, if the market has moved adversely to
the Trust, until the limit is either raised by the exchange or the contract begins to trade away from the limit price.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Speculative Position Limits May Alter
Investment Decisions for the Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Commodity Futures Trading Commission
(the &ldquo;CFTC&rdquo;) has established limits on the maximum net long or net short positions which any person may hold or control
in certain futures contracts. Exchanges also have established such limits. In October 2011, the CFTC adopted position limits for
28 so-called &ldquo;exempt&rdquo; (<I>e.g</I>., metal and energy contracts) and agricultural commodity derivatives, futures and
option contracts and their economically equivalent swaps. All accounts controlled by the Managing Owner, including the account
of the Trust, are combined for speculative position limit purposes. These position limits are not yet effective and there is considerable
uncertainty surrounding their application. If position limits are exceeded by the Managing Owner in the opinion of the CFTC or
any other regulatory body, exchange or board, the Managing Owner will liquidate positions to the extent necessary to comply with
applicable position limits.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner&rsquo;s Trading
Systems Have Been Developed Over Time and are Subject to Change</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In executing its trading method, the Managing
Owner uses combinations of trading systems to generate buy and sell signals in the various markets traded. The Managing Owner has
developed, modified, retained and discarded numerous systems over more than 40 years. Consequently, some of the trading systems
and combinations of systems currently being used to trade accounts pursuant to the Diversified Portfolio, as the Trust is so traded,
are not identical to those used 5, 10, 15, 20 or more years ago.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 10.5pt">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Trading on Foreign Exchanges Presents
Greater Risk Than Trading on U.S. Exchanges</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will trade on commodity exchanges
outside the U.S. Trading on foreign exchanges is not regulated by any U.S. governmental agency and may involve certain risks that
do not arise when trading on U.S. exchanges. For example, some foreign exchanges are &ldquo;principals&rsquo; markets&rdquo; in
which performance is the responsibility only of the individual member with whom the Trust has traded, not of the exchange or a
clearing facility. In such cases, the Trust will be subject to a risk that the member with whom the Trust has traded is unable
or unwilling to perform its obligations under the transaction. Additionally, an adverse change in the exchange rate between the
U.S. dollar and the currency in which a non-U.S. futures contract is denominated would reduce the profit or increase the loss on
a trade in that contract.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Trading on foreign exchanges also presents
risks of loss due to: (1) the possible imposition of exchange controls, which could make it difficult or impossible for the Trust
to repatriate some or all of its assets held by non-U.S. counterparties; (2) possible government confiscation of assets; (3) taxation;
(4) possible government disruptions, which could result in market closures and thus an inability to exit positions and repatriate
Trust assets for sustained periods of time, or even permanently; and (5) limited rights in the event of the bankruptcy or insolvency
of a foreign broker or exchange resulting in a different and possibly less favorable distribution of the bankrupt&rsquo;s assets
than would occur in the U.S.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner Anticipates the
Trust&rsquo;s Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The performance of the Trust has been generally
non-correlated to the performance of the stock and bond markets, as represented by the S&amp;P 500 Stock Index and the Barclays
Long-Term Treasury Index. Non-correlation means that there is no statistically valid relationship between two asset classes and
should not be confused with negative correlation, where the performance of two asset classes would be opposite. Because of this
non-correlation, you should not expect the Trust to be automatically profitable during unfavorable periods for the stock and/or
bond markets, or <I>vice versa</I>.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the Trust does not perform in a manner
non-correlated with the general financial markets or does not perform successfully, you will obtain little or no diversification
benefits by investing in the Units and the Trust may have no gains to offset your losses from other investments.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Trust May be Subject to Profit
Shares Despite Certain Units Having Declined in Value</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Investors will purchase Units at different
times and will, accordingly, recognize different amounts of profit and loss on their investments. Profit Shares are accrued, or
the accruals are reversed to reflect losses, on a monthly basis so that Units are not sold with an embedded Profit Share liability.
However, Series 1 Profit Shares are ultimately calculated on the basis of the net trading profits, if any, recognized by the Series
1 Units as a whole and Series 2/3 Profit Shares are ultimately calculated on the basis of the cumulative net trading profits, if
any, recognized by the Series 2 Units and Series 3 Units as a whole, not on the profits recognized by any particular Unit or Units.
Consequently, the Managing Owner may still be allocated a Profit Share even though certain Units have lost value since the date
they were purchased.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Conversely, Units purchased at a Net Asset
Value reduced by accrued Profit Shares will benefit from any reversal of such accruals, and the benefit of such reversals to Units
outstanding at the time of such purchase will be diluted.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Similarly, Units may incur losses generating
a loss carryforward for purposes of calculating subsequent Profit Shares. The benefit of any such loss carryforward will, in the
case of Series 1 Units be diluted by the sale of additional Series 1 Units and, in the case of Series 2 and Series 3 Units, be
diluted by the sale of additional Series 2 Units or Series 3 Units.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner&rsquo;s Increased
Equity Under Management Could Lead to Lower Returns for Investors</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has not agreed to limit
the amount of money it may manage and is actively seeking additional accounts. The more money the Managing Owner manages, the more
difficult it may become for the Managing Owner to trade profitably for the Trust because of the difficulty of trading larger positions
without negatively affecting prices and performance.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Increased Competition Among Trend-Following
Traders Could Reduce the Managing Owner&rsquo;s Profitability</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A substantial number of commodity trading
advisors use technical trading systems, particularly trend-following systems, similar to the Managing Owner&rsquo;s systems. As
the amount of money under the management of such systems increases, competition for the same positions increases, making the positions
more costly and more difficult to acquire.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 10.5pt">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Trust is Subject to Conflicts
of Interest</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is subject to numerous actual
and potential conflicts of interest, including: (1) the compensation that the Selling Agents receive gives them an incentive to
promote the sale of Units as well as to discourage redemptions; (2) the brokerage commissions that Selling Agents receive if they
also serve as clearing brokers for the Trust gives an additional incentive to promote the sale of Units as well as to discourage
redemptions; (3) the Managing Owner has significant financial incentives both to promote the sale of the Units and to discourage
their redemption; and (4) the Managing Owner of the Trust will not select any other trading advisor even if doing so would be in
the best interests of the Trust. See &ldquo;Conflicts of Interest.&rdquo;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Managing Owner has not Established
Formal Procedures to Resolve Conflicts of Interest</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Because the Managing Owner has not established
any formal procedures for resolving conflicts of interest, you will be dependent on the good faith of the parties with conflicts
to resolve the conflicts equitably. The Managing Owner cannot assure that conflicts of interest will not result in losses for the
Trust.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>You Will be Taxed Each Year on Your
Share of Trust Profits </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you are an individual or entity subject
to U.S. taxes (<I>e.g.</I>, not a tax-exempt entity such as an IRA or pension plan), you will be taxed on your share of Trust income
or gain each year, whether or not you redeem Units or receive distributions from the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Because a substantial portion of the Trust&rsquo;s
open positions are &ldquo;marked-to-market&rdquo; at the end of each year, some of your tax liability will be based on unrealized
gains which the Trust may, in fact, never realize.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">40% of any trading profits on certain U.S.
exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary
income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a
lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100%
of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange
are &ldquo;marked-to-market&rdquo; at the end of each year and taxed as short-term capital gains at ordinary income rates (unless
offset by capital losses). These rates apply regardless of how long the Trust holds a contract, or an investor his or her Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Due to the different tax rates for long-term
and short-term capital gains and limitations on the deductibility of capital losses, and depending on the tax character of income
and loss you receive on other investments in your portfolio, it is possible for you to have a pre-tax economic gain on your investment
in the Trust but an after-tax loss.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">All performance information included in
this Prospectus is presented on a pre-tax basis; the investors who experienced such performance had to pay the related taxes from
other sources.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Over time, the compounding effects of the
annual taxation of the Trust&rsquo;s income are material to the economic consequences of investing in the Trust. For example, a
10% compound annual rate of return over five years would result in an initial $10,000 investment compounding to $16,105. However,
if one factors in a 30% tax rate each year, the result would be $14,025.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>You Will be Taxed on the Trust&rsquo;s
Interest Income Even if the Trust Suffers Trading Losses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Losses on the Trust&rsquo;s trading are
almost exclusively capital losses. Non-corporate investors may use net capital losses to offset up to $3,000 of ordinary income
each year. So, for example, if your share of the Trust&rsquo;s trading (<I>i.e.</I>, capital) loss was $10,000 in a given fiscal
year and your share of interest income was $5,000, you would incur a net loss in the Net Asset Value of your Units equal to $5,000,
but would nevertheless recognize taxable income of $2,000.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Limitations on the Deductibility of
&ldquo;Investment Advisory Fees&rdquo;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner does not intend to treat
the ordinary expenses of the Trust as &ldquo;investment advisory fees&rdquo; for federal income tax purposes. The Managing Owner
believes that this is the position adopted by virtually all U.S. futures fund sponsors. However, were the ordinary expenses of
the Trust characterized as &ldquo;investment advisory fees,&rdquo; non-corporate taxpayers would be subject to substantial restrictions
on the deductibility of those expenses, would pay increased taxes in respect of an investment in the Trust and could actually recognize
taxable income despite having incurred a financial loss.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The IRS Could Audit Both the Trust
and Individual Unitholders</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Internal Revenue Service (the &ldquo;IRS&rdquo;)
could audit the Trust&rsquo;s tax returns and require the Trust to adjust such returns. If an audit results in an adjustment, you
could be audited and required to pay additional taxes, plus interest and possibly penalties.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Accounting for Uncertain Tax Positions</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 10.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Financial Accounting Standards Board
Accounting Standards Codification Topic No. 740, &ldquo;Income Taxes&rdquo; (&ldquo;ASC 740,&rdquo; in part formerly known as &ldquo;FIN
48&rdquo;), provides guidance on the recognition of uncertain tax positions.&nbsp; ASC 740 prescribes the minimum recognition threshold
that a tax position is required to meet before being recognized in an entity&rsquo;s financial statements.&nbsp; It also provides
guidance on recognition, measurement, classification, interest and penalties with respect to tax positions.&nbsp; A prospective
investor should be aware that, among other things, ASC 740 could have a material adverse effect on the periodic calculations of
the Net Assets of the Trust, including reducing the Net Assets of the Trust to reflect reserves for income taxes, such as foreign
withholding taxes, that may be payable by the Trust.&nbsp; This could cause benefits or detriments to certain Unitholders, depending
upon the timing of their subscriptions and withdrawals from the Trust.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Bankruptcy of a Clearing Broker
or Currency Dealer Could Cause Losses</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner must assess the credit-worthiness
of the clearing brokers and foreign currency counterparties it selects for the Trust. If one of the Trust&rsquo;s clearing brokers
or foreign currency counterparties becomes bankrupt, the Trust will be limited to recovering none or only its <FONT STYLE="font-style: normal">pro
rata</FONT> share, of all available customer funds segregated by the Clearing Broker or counterparty. The Managing Owner
attempts to mitigate this risk by selecting only well capitalized, major financial institutions as clearing brokers and foreign
currency counterparties, but there can be no assurance that even a well capitalized, major institution will not become bankrupt,
and recent events have demonstrated that even major financial institutions of the type with which the Trust may deal in the financial
markets can and do fail.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Trust is Not Regulated as an Investment
Company or Mutual Fund</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Although the Managing Owner is subject to
regulation by the CFTC and the Trust itself is subject to reporting requirements and other regulation applicable to public companies
in the U.S., the Trust is not an investment company or mutual fund registered under the Investment Company Act of 1940. Accordingly,
investors in the Trust are not accorded the protections of such legislation.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Swap Trading is Unregulated and Involves
Counterparty Risk</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust may engage in trading commodity
swaps.&nbsp; Swaps involve many of the same risks as those described above with respect to forward contracts.&nbsp; Swap contracts
are not currently traded on exchanges; rather, banks and dealers act as principals in the swap market.&nbsp; As a result, the Trust
will be subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the counterparties
with which the Trust trades.&nbsp; The Managing Owner intends to enter into swaps on behalf of the Trust only with highly creditworthy
banks and dealers, but there can be no assurance that even highly creditworthy banks and dealers will have the ability to, or will
not refuse to, perform with respect to such contracts. The swap market remains largely unregulated by any U.S. or foreign governmental
authority; however, the CFTC recently adopted various regulations which may restrict the Trust&rsquo;s ability to utilize swaps
or may make swap contracts more costly to trade with respect to certain non-security based swaps.&nbsp; Finally, swaps may be illiquid
and participants in the swap market are not required to make continuous markets in the swap contracts they trade.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">Forward Trading May Take Place in Unregulated
Markets</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">The Trust will conduct
all or substantially all of its currency forward and related options trading in unregulated markets rather than on futures exchanges
or through &ldquo;retail&rdquo; foreign exchange markets subject to the jurisdiction of the CFTC or other regulatory bodies. In
such markets, a counterparty may not settle a transaction with the Trust in accordance with its terms because the counterparty
is either unwilling or unable to do so (for example, because of a credit or liquidity problem affecting the counterparty), potentially
resulting in significant loss. In addition, counterparties generally have the right to terminate trades under a number of circumstances,
including, for example, declines in the Trust&rsquo;s Net Assets and certain &ldquo;key person&rdquo; events. Any premature termination
of the Trust&rsquo;s currency forward trades could result in material losses for the Trust, as the Trust may be unable to quickly
re-establish those trades and may only be able to do so at disadvantageous prices.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">Trust funds on deposit
with the currency forward counterparties with which the Trust trades are not protected by the same segregation requirements imposed
on CFTC-regulated commodity brokers in respect of customer funds deposited with them. Although the Trust deals only with major
financial institutions as currency forward counterparties, the insolvency or bankruptcy of a currency forward counterparty could
subject the Trust to the loss of its entire deposit with such counterparty. The forward markets are well established. However,
it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect the
Trust, and the recent events underlying the bankruptcy of Refco, Inc. and its related entities have underscored the risks of maintaining
capital at unregulated entities. Further, as demonstrated by the recent insolvency and liquidation of MF Global Inc., customer
funds held by a broker in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process. Commodity
broker bankruptcies are not insured by any governmental agency, and investors would not have the benefit of any protection such
as that afforded customers of bankrupt securities broker-dealers by the Securities Investors Protection Corporation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Various national governments have expressed
concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the &ldquo;derivatives&rdquo;
markets in general. Future regulatory changes may limit the Trust&rsquo;s ability to trade in certain markets. The imposition of
credit controls by governmental authorities might limit such forward trading to less than that which the Managing Owner would otherwise
recommend, to the possible detriment of the Trust.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">Forwards, Swaps and Other Derivatives
Are Subject to Varying CFTC Regulation</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Enacted in July 2010, the Dodd-Frank Wall
Street Reform and Consumer Protection Act (the &ldquo;Reform Act&rdquo;) includes provisions that comprehensively regulate the
over-the-counter derivatives markets for the first time. The Reform Act will require that a substantial portion of over-the-counter
derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. Over-the-counter trades
submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse,
as well as possible CFTC-mandated margin requirements. The regulators also have broad discretion to impose margin requirements
on non-cleared over-the-counter derivatives. Although the Reform Act includes limited exemptions from the clearing and margin requirements
for so-called &ldquo;end-users,&rdquo; the Trust does not expect to be able to rely on such exemptions. In addition, the over-the-counter
derivative dealers with which the Trust may execute the majority of its over-the-counter derivatives transactions will not be able
to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements
notwithstanding whether the Trust is subject to such requirements. Over-the-counter derivative dealers also will be required to
post margin to the clearinghouses through which they clear their customers&rsquo; trades instead of using such margin in their
operations, as they currently are allowed to do. This will further increase the dealers&rsquo; costs, which costs are expected
to be passed through to other market participants in the form of higher fees and less favorable dealer marks.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The CFTC may also require a substantial
portion of derivative transactions that are currently executed on a bi-lateral basis in the over-the-counter markets to be executed
through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and
costly for investment funds, including the Trust, to enter into highly tailored or customized transactions. They may also render
certain strategies in which the Trust might otherwise engage impossible or so costly that they will no longer be economical to
implement.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>Trading in Options&nbsp;Requires an
Assessment of Market Volatility as Well as Direction </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may trade futures and
forward options on behalf of the Trust.&nbsp; Although successful options trading requires many of the same skills as successful
futures and forward trading, the risks involved are somewhat different.&nbsp; For example, the assessment of near-term market volatility
&mdash; which is directly reflected in the price of outstanding options &mdash; can be of much greater significance in trading
options than it is in many long-term futures strategies.&nbsp; The use of options can be extremely expensive if market volatility
is incorrectly predicted.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>The Failure of Computer Systems Could
Result in Losses for the Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">The Managing Owner relies
heavily on computer hardware and software, online services and other computer-related or electronic technology and equipment to
facilitate the Trust&rsquo;s investment activities and may trade financial instruments through electronic trading or order routing
systems. Electronic trading exposes the Trust to the risk of system or component failure. Should events beyond the Managing Owner&rsquo;s
control cause a disruption in the operation of any technology or equipment, the Trust&rsquo;s investment program may be severely
impaired, causing it to experience substantial losses or other adverse effects.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Investment
Factors</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Although there can be no assurance that
the Managing Owner will trade successfully on behalf of the Trust or that the Trust will avoid substantial losses, if the Trust
is successful, an investment in the Trust offers investors the following potential advantages.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Access to the Diversified Portfolio</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust offers you access to the Managing
Owner&rsquo;s oldest and most successful trading portfolio. The Managing Owner has been managing investment funds pursuant to its
Diversified Portfolio since February 1977. The composite compound annual return for the Diversified Portfolio, adjusted to reflect
the highest level of fees and expenses of the Trust, from February 1977 through June 2012 is approximately 12.7%.
<I>Past performance is not, however, necessarily indicative of future results.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Millburn Ridgefield Corporation</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner and its principals have
extensive experience in designing, sponsoring, marketing and administering futures funds. The Managing Owner, together with its
predecessors, is one of the longest operating of all futures money managers and was a pioneer in developing systematic trading
technologies. The Managing Owner&rsquo;s trading experience, together with its predecessors, spans more than 40 years. The Trust
provides you the opportunity to place capital under the management of a trading advisor with one of the longest continuous trading
records of any active manager.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Investment Diversification</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you are not prepared to spend substantial
time trading in the futures and forward markets, you may nevertheless participate through investing in the Trust. An investment
in the Trust can provide valuable diversification to a traditional portfolio of stocks and bonds. The Managing Owner believes that
the profit potential of the Trust does not depend upon favorable general economic conditions and that the Trust is just as likely
to be profitable or unprofitable during periods of declining stock and bond markets as at any other time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Allocating a small portion of your investment
portfolio to a managed futures investment, such as the Trust, can potentially enhance the performance of the portfolio. Modern
portfolio theory suggests that a diverse portfolio with positively performing assets that have little or no correlation with each
other should have higher returns and lower risk, as measured by variability of returns, than a less diversified portfolio: the
Nobel Prize for Economics in 1990 was awarded to Dr. Harry Markowitz for demonstrating that the total return can increase, and/or
risks can be reduced, when portfolios have positively performing asset categories that are essentially non-correlated.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Historically, managed futures investments
have had very little correlation to the stock and bond markets. Non-correlated performance is not, however, negatively correlated
performance. Non-correlation means only that the performance of managed futures likely has no relation to the performance of stocks
and bonds. The performance of the Trust has exhibited a substantial degree of non-correlation with the general equity and debt
markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Non-correlation will not provide diversification
advantages beyond, perhaps, lowering a portfolio&rsquo;s overall volatility unless the non-correlated assets are performing positively.
There can be no assurance that the Trust will perform positively or avoid losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Market Diversification</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust trades in approximately 115 markets,
though not necessarily in all markets at all times.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The diversification of the Trust permits
investors to participate in markets that would otherwise not be included in their portfolios, thereby both potentially diversifying
risk and increasing profit opportunities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The markets traded by the Trust change from
time to time. Currently these markets include:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 45%; font-weight: bold; text-decoration: underline"><B><U>Currencies</U></B></TD>
    <TD STYLE="width: 55%; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic; font-weight: bold; text-decoration: underline">Major</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">British Pound</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro</P></TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Japanese Yen</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Swiss Franc</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic; font-weight: bold; text-decoration: underline">Secondary</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Australian Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Brazilian Real</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Canadian Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Chilean Peso</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Colombian Peso</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Czech Koruna</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Indian Rupee</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Indonesian Rupiah</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Israeli Shekel</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Korean Won</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Malaysian Ringgit</P></TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Mexican Peso</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">New Zealand Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Norwegian Krone</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Philippine Peso</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Polish Zloty</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Russian Ruble</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Singapore Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">South African Rand</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Swedish Krona</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Turkish Lira</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic; font-weight: bold; text-decoration: underline">Crosses</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Australian Dollar-Swiss Franc</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">British Pound-Australian Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Australian Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Czech Koruna</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Hungarian Forint</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Norwegian Krone</P></TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Polish Zloty</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Romanian Leu</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Swedish Krona</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-Turkish Lira</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro-South African Rand</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Swiss Franc-Norwegian Krone</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline">Interest Rates</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Aussie Bank Bills</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Australian Treasury 3 and 10 year Bonds</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Canada Bankers Acceptance</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Canadian Government Bond Euribor</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Bobl</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Bund</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Buxl</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Dollar</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Schatz</P></TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Euro Swiss</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">French 10 year Bond</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Gilts</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Italian 10 year Bond</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Japanese Government Bonds</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Sterling Rates</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">US Treasury 2 yr Note</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">US Treasury 5 yr Note</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">US Treasury 10 yr Note</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">US Treasury 30 yr Bond</P></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><B><U>Stock Indices</U></B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 45%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 55%">Japanese Nikkei</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P>All Shares (South Africa)<BR>
Amsterdam Index (Netherlands)<BR>
Bolsa (Mexico)<BR>
CAC 40 (France)<BR>
CBOE VIX (U.S.)<BR>
DAX (Germany)<BR>
DJ Euro Stoxx 50 (Euro Zone)<BR>
E-Mini Dow (U.S.)<BR>
E-Mini NASDAQ 100 (U.S.)<BR>
E-Mini S&amp;P 500 (U.S.)<BR>
FTSE (United Kingdom)<BR>
H-Shares (Hong Kong)<BR>
Hang Seng (Hong Kong)<BR>
IBEX 35 (Spain)<BR>
ISE 30 (Turkey)<BR>
&nbsp;</P></TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Kospi Index (Korea)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">MIB 30 (Italy)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Mini Russell 2000 (U.S.)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Nifty Index (India)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Nikkei (Japan)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">OMX (Sweden)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SET50 Futures (Thailand)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SIMEX (Singapore)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SIMEX Taiwan (Taiwan) SPI 200 (Australia)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">TAIEX Electronic Index (Taiwan)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">TAIEX Financial Index (Taiwan)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">TAIEX Index (Taiwan)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">TOPIX (Japan)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">TSE 60 (Canada)</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline">Energy</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Brent Crude Oil</TD>
    <TD>Heating Oil</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Crude Oil</TD>
    <TD>London Gas Oil</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Gasoline RBOB</TD>
    <TD>Natural Gas</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline"><B><U>Agricultural Commodities</U></B></TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Bean Oil</TD>
    <TD>Rubber (TOCOM)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Cocoa</TD>
    <TD>Soy Meal</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Coffee</TD>
    <TD>Soybean</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Corn</TD>
    <TD>Sugar</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Cotton</TD>
    <TD>Wheat</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Kansas City Wheat</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline">Metals</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Copper</TD>
    <TD>London Tin</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Gold</TD>
    <TD>London Zinc</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>London Aluminum</TD>
    <TD>Palladium</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>London Copper</TD>
    <TD>Platinum (NYMEX)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>London Lead</TD>
    <TD>Silver</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>London Nickel</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline">Livestock</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Hogs</TD>
    <TD>Live Cattle</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold; text-decoration: underline">Spreads</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Agricultural</TD>
    <TD>Financial</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Energy</TD>
    <TD>Metals</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Opportunity to Profit in Rising as Well as in Declining Markets</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust may realize positive or negative
returns in both rising and declining markets as the Trust&rsquo;s trading positions may be established on either the long or the
short side of a market. Unlike short selling in the securities markets, establishing short positions in futures or forwards or
through swaps in anticipation of a drop in price can be accomplished without additional restrictions or special margin requirements.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">It is potentially advantageous for investors
to own investments that can appreciate during a period of generally declining prices, financial disruption or economic instability.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Investors must realize, however, that the
Trust is not specifically designed to appreciate in declining markets. Rather, it is designed to perform independent of the direction
of stocks and bonds and the general economy. The Trust&rsquo;s capital traded pursuant to the Managing Owner&rsquo;s trend-following
trading systems will only increase in value to the extent that such systems are able to identify market trends and the Trust is
able to trade those trends profitably.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><U>Interest on Trust Assets</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will receive all of the interest
income earned on its assets. Approximately 90% of the Trust&rsquo;s assets are invested in deposit accounts, short-term money
market funds and U.S. Treasury bills or notes. The interest earned on the Trust&rsquo;s assets can offset a portion, though it
may not offset all, of its routine costs. Given historically low interest rates on U.S. Treasury bills and notes, any interest
earned by the Trust may be nominal. In addition, the Trust&rsquo;s interest income is subject to the risk of trading losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Small Minimum Investment</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner typically manages individual
accounts only of substantial size &mdash; $5,000,000 or more. You may gain access to the Managing Owner for a minimum investment
of only $5,000; $2,000 in the case of trustees or custodians of eligible employee benefit plans and individual retirement accounts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Limited Liability</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you open an individual futures account,
you will be generally liable for all losses incurred in the account, and may lose substantially more than you committed to the
account. However, as an investor in the Trust, you cannot lose more than your investment plus undistributed profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Administrative Convenience</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner is responsible for all
aspects of the Trust&rsquo;s operation. You will receive monthly unaudited and annual audited financial reports as well as information
necessary for you to complete your federal income tax returns. The approximate daily Net Asset Value per Unit is available by calling
representatives of the Managing Owner at (203) 625-7554 (ask for Investor Services).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Performance
Of The Trust</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
(Reflecting Series 1 Unit Expenses)<BR>
(January 1, 2007 &ndash; June 30, 2012)</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Type&nbsp;of&nbsp;Pool:</I>&nbsp;&nbsp;Single-Advisor/Publicly-Offered/No&nbsp;Principal&nbsp;Protection<BR>
<I>Inception&nbsp;of&nbsp;Trust&nbsp;Trading:</I>&nbsp;&nbsp;July&nbsp;2002<BR>
<I>Inception&nbsp;of&nbsp;Series&nbsp;1&nbsp;Trading:&nbsp;&nbsp;</I>July&nbsp;2002<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;the&nbsp;Trust:</I>&nbsp;&nbsp;$582,713,822<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;Series&nbsp;1:</I>&nbsp;&nbsp;$550,063,175<SUP>1<BR>
</SUP><I>Largest&nbsp;%&nbsp;Monthly&nbsp;Drawdown:</I>&nbsp;&nbsp;(10.33)%&nbsp;(08/07)<BR>
<I>Worst&nbsp;Peak-to-Valley&nbsp;Drawdown:</I>&nbsp;&nbsp;(23.02)%&nbsp;(02/09-06/12)<BR>
<I>Aggregate&nbsp;Trust&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,381,252,380<BR>
<I>Aggregate&nbsp;Series&nbsp;1&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,340,017,582<SUP>2</SUP></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Month</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2012</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2008</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2007</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 28%">January</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(2.79</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(1.64</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(2.63</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(0.09</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">1.39</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">1.72</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>February</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.84</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.44</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.24</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.50</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>March</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.18</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.20</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5.08</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.52</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.74</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>April</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.04</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.85</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.55</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.21</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.28</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>May</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.97</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5.83</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8.44</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.66</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.55</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>June</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.76</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.58</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.69</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.49</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.16</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>July</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.55</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.90</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.94</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.33</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.80</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>August</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.79</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.99</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.18</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.22</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(10.33</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>September</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.49</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.54</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.88</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.96</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.49</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>October</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.43</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.62</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.30</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.52</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>November</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.51</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.44</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.68</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.76</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.48</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>December</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.40</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.89</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.39</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Compound Rate of Return</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8.39</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(10.58</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(11.60</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18.48</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11.26</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Largest % Monthly Drawdown&rdquo;
is the largest negative monthly rate of return experienced by Series 1.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Worst Peak-to-Valley Drawdown&rdquo;
is the greatest percentage decline in Net Asset Value of a Series 1 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a &ldquo;peak-to-valley drawdown&rdquo; would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 1 Unit subject to Brokerage Fees at
a 7% annual rate, the highest rate applicable to investors in the Trust.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"><SUP>1</SUP>Includes
Managing Owner net asset value of $9,137,935</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: left"><SUP>2</SUP>Includes
Managing Owner subscriptions from inception of $5,812,500&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;<I>&nbsp;</I></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
(Reflecting Series 2 Unit Expenses)<BR>
(April 1, 2010 &ndash; June 30, 2012)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Type&nbsp;of&nbsp;Pool:</I>&nbsp;&nbsp;Single-Advisor/Publicly-Offered/No&nbsp;Principal&nbsp;Protection<BR>
<I>Inception&nbsp;of&nbsp;Trust&nbsp;Trading:</I>&nbsp;&nbsp;July&nbsp;2002<BR>
<I>Inception&nbsp;of&nbsp;Series&nbsp;2&nbsp;Trading:&nbsp;&nbsp;</I>April&nbsp;2010<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;the&nbsp;Trust:</I>&nbsp;&nbsp;$582,713,822<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;Series&nbsp;2:</I>&nbsp;&nbsp;$287,221</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Largest&nbsp;%&nbsp;Monthly&nbsp;Drawdown:</I>&nbsp;&nbsp;(6.71)%&nbsp;(05/10)<BR>
<I>Worst&nbsp;Peak-to-Valley&nbsp;Drawdown:</I>&nbsp;&nbsp;(16.53)%&nbsp;(04/11-03/12)<BR>
<I>Aggregate&nbsp;Trust&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,381,252,380<BR>
<I>Aggregate&nbsp;Series&nbsp;2&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$354,530</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 70%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Month</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2012</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 46%">January</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(2.42</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(1.27</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>February</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.47</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.49</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>March</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.82</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.55</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>April</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.42</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.07</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.07</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>May</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.49</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.71</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>June</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.41</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.23</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.33</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>July</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.95</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.52</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>August</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.42</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.07</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>September</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.13</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>October</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.06</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.43</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>November</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.14</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.49</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>December</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.59</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.44</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Compound Rate of Return</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.32</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.46</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.67</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(9 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Largest % Monthly Drawdown&rdquo;
is the largest negative monthly rate of return experienced by Series 2.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Worst Peak-to-Valley Drawdown&rdquo;
is the greatest percentage decline in Net Asset Value of a Series 2 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a &ldquo;peak-to-valley drawdown&rdquo; would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 2 Unit.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
(Reflecting Series 3 Unit Expenses)<BR>
(September 1, 2009 &ndash; June 30, 2012)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Type&nbsp;of&nbsp;Pool:</I>&nbsp;&nbsp;Single-Advisor/Publicly-Offered/No&nbsp;Principal&nbsp;Protection<BR>
<I>Inception&nbsp;of&nbsp;Trust&nbsp;Trading:</I>&nbsp;&nbsp;July&nbsp;2002<BR>
<I>Inception&nbsp;of&nbsp;Series&nbsp;3&nbsp;Trading:&nbsp;&nbsp;</I>September&nbsp;2009<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;the&nbsp;Trust:</I>&nbsp;&nbsp;$582,713,822<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;Series&nbsp;3:</I>&nbsp;&nbsp;$30,813,440<BR>
<I>Largest&nbsp;%&nbsp;Monthly&nbsp;Drawdown:</I>&nbsp;&nbsp;(6.69)%&nbsp;(05/10)<BR>
<I>Worst&nbsp;Peak-to-Valley&nbsp;Drawdown:</I>&nbsp;&nbsp;(16.34)%&nbsp;(04/11-03/12)<BR>
<I>Aggregate&nbsp;Trust&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,381,252,380<BR>
<I>Aggregate&nbsp;Series&nbsp;3&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$39,200,628</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 80%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Month</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2012</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%">January</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">(2.40</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">(1.25</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">(2.23</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>February</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.45</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.50</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.64</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>March</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.80</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.53</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>April</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.08</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.09</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>May</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.37</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.48</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.69</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>June</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.38</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.21</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.31</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>July</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.97</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.50</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>August</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.40</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.08</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>September</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.11</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.44</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>October</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.04</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.33</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>November</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.12</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.47</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.07</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>December</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.61</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.62</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Compound Rate of Return</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.20</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.34</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10.75</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.43</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Largest % Monthly Drawdown&rdquo;
is the largest negative monthly rate of return experienced by Series 3.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Worst Peak-to-Valley Drawdown&rdquo;
is the greatest percentage decline in Net Asset Value of a Series 3 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a &ldquo;peak-to-valley drawdown&rdquo; would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 3 Unit.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
(Reflecting Series 4 Unit Expenses)<BR>
(November 1, 2010 &ndash; June 30, 2012)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Type&nbsp;of&nbsp;Pool:</I>&nbsp;&nbsp;Single-Advisor/Publicly-Offered/No&nbsp;Principal&nbsp;Protection<BR>
<I>Inception&nbsp;of&nbsp;Trust&nbsp;Trading:</I>&nbsp;&nbsp;July&nbsp;2002<BR>
<I>Inception&nbsp;of&nbsp;Series&nbsp;4&nbsp;Trading:&nbsp;&nbsp;</I>November&nbsp;2010<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;the&nbsp;Trust:</I>&nbsp;&nbsp;$582,713,822<BR>
<I>Total&nbsp;Net&nbsp;Asset&nbsp;Value&nbsp;of&nbsp;Series&nbsp;4:</I>&nbsp;&nbsp;$1,549,986<BR>
<I>Largest&nbsp;%&nbsp;Monthly&nbsp;Drawdown:</I>&nbsp;&nbsp;(5.30)%&nbsp;(5/11)<BR>
<I>Worst&nbsp;Peak-to-Valley&nbsp;Drawdown:</I>&nbsp;&nbsp;(15.67)%&nbsp;(4/11-3/12)<BR>
<I>Aggregate&nbsp;Trust&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,381,252,380<BR>
<I>Aggregate&nbsp;Series&nbsp;4&nbsp;Subscriptions&nbsp;from&nbsp;Inception:</I>&nbsp;&nbsp;&nbsp;$1,679,640</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 70%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Month</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2012</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 46%">January</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(2.24</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(1.08</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>February</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.29</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.02</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>March</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.64</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.66</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>April</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.62</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.46</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>May</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.54</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5.30</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>June</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.22</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.05</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>July</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>August</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.23</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>September</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.94</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>October</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.88</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>November</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.90</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>December</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.78</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.95</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Compound Rate of Return</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5.26</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4.31</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.85</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2 mos.</TD><TD STYLE="text-align: left">)&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Largest % Monthly Drawdown&rdquo;
is the largest negative monthly rate of return experienced by Series 4.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&ldquo;Worst Peak-to-Valley Drawdown&rdquo;
is the greatest percentage decline in Net Asset Value of a Series 4 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a &ldquo;peak-to-valley drawdown&rdquo; would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 4 Unit.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Selected Financial Information</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-style: normal">The Selected
Financial Information for the years ended December 31, 2011, 2010, 2009, 2008 and 2007 is taken from the audited financial statements
of the Trust. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">December 31, 2011</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">December 31, 2010</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">December 31, 2009</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">December 31, 2008</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">December 31, 2007</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-decoration: underline; text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Income
    Statement Data</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Investment
    income:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 45%; text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Interest
    income</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-size: 8pt">2,072,015</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-size: 8pt">3,235,502</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-size: 8pt">9,966,151</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-size: 8pt">21,273,709</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-size: 8pt">26,686,249</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Expenses:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Total expenses</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">57,730,451</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">59,857,073</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">66,440,702</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">57,262,896</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">40,243,738</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Net investment loss</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(55,658,436</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(56,621,571</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(56,474,551</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(35,989,187</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(13,557,489</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Realized
    and unrealized gains (losses):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net realized gain (losses)
    on closed positions:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Futures and forward currency
    contracts</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(8,224,392</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">87,904,542</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(49,280,152</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">214,035,345</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">92,248,212</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Foreign exchange translation</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(52,568</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">352,202</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">126,508</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(848,741</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">214,004</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net change in unrealized:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Futures and forward currency
    contracts</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(25,425,124</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">42,259,414</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(9,457,839</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(8,084,164</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(16,622,693</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Foreign exchange translation</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(192,987</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(302,673</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">352,661</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">135,285</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(45,932</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net gains (losses) from
    U.S. Treasury notes:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Realized</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">28,504</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">16,976</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">526,749</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.35in"><FONT STYLE="font-size: 8pt">Net change in unrealized</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(373,516</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(203,035</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(6,705,006</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">4,991,515</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2,467,858</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Total net realized and
    unrealized gains (losses)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(34,240,083</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">130,027,426</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(64,437,079</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">210,229,240</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">78,261,449</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) before
    Profit Share to Managing Owner</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(89,898,519</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">73,405,855</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(120,911,630</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">174,240,053</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">64,703,960</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Less profit share to
    Managing Owner</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,385</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">262,695</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">43,187</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">30,185,853</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">6,459,328</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) after
    Profit Share to Managing Owner</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(89,899,904</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">73,143,160</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(120,954,817</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">144,054,200</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">58,244,632</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) after
    profit share to Managing Owner per Series 1 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(139.10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">102.20</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(159.03</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">213.83</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">117.07</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) after
    profit share to Managing Owner per Series 2 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(88.62</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">72.46</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) after
    profit share to Managing Owner per Series 3 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(85.70</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">131.36</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">40.53</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net income (loss) after
    profit share to Managing Owner per Series 4 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(58.92</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">50.68</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-decoration: underline; text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Balance
    Sheet Data</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Total Assets</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">782,343,935</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">911,161,872</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">919,457,865</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,094,632,891</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">659,394,985</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Total Liabilities</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">29,156,541</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">18,236,261</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">40,303,253</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">64,251,530</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">34,637,677</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Total Trust Capital</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">753,187,394</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">892,925,611</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">879,154,612</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,030,381,361</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">624,757,308</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net Asset Value per Series
    1 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,175.07</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,314.17</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,211.97</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,371.00</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,157.17</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net Asset Value per Series
    2 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,261.94</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,350.56</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net Asset Value per Series
    3 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,267.10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,352.80</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,221.44</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net Asset Value per Series
    4 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,307.09</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,366.01</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Selected Quarterly Financial Data</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following summarized quarterly financial
information presents the results of operations for the three month periods ended March 31, 2012, 2011 and 2010 and June 30, September
30 and December 31, 2011 and 2010. This information has not been audited.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 50%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">First Quarter<BR> 2012</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 80%; text-align: justify"><FONT STYLE="font-size: 8pt">Interest Income:</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 16%; text-align: right"><FONT STYLE="font-size: 8pt">266,834</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Net Realized and Unrealized Gains (Losses) :</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(43,996,819</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Expenses*:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">12,008,990</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Net (Loss):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(55,738,975</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(Decrease) in Net Asset Value per Series 1 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(89.48</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(Decrease) in Net Asset Value per Series 2 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(82.92</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(Decrease) in Net Asset Value per Series 3 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(82.52</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(Decrease) in Net Asset Value per Series 4 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(78.99</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 80%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Fourth Quarter<BR> 2011</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Third Quarter<BR> 2011</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Second Quarter<BR> 2011</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">First Quarter<BR> 2011</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%; text-align: justify"><FONT STYLE="font-size: 8pt">Interest Income:</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">356,127</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">448,040</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">575,608</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">692,240</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Net Realized and Unrealized Gains (Losses) :</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(16,653,534</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">8,155,864</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(19,140,566</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(6,601,847</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Expenses*:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">13,108,009</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14,335,180</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15,066,886</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15,221,761</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Net (Loss):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(29,405,416</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(5,731,276</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(33,631,844</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(21,131,368</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">(Decrease) in Net Asset Value per Series 1 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(45.39</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.19</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(51.19</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(32.33</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 2 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(33.96</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3.86</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(39.72</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(18.80</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 3 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(33.29</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">4.69</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(39.05</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(18.05</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 4 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(27.64</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">11.45</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(31.82</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.91</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 80%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Fourth Quarter<BR> 2010</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Third Quarter<BR> 2010</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">Second Quarter<BR> 2010</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"><FONT STYLE="font-size: 8pt">First Quarter<BR> 2010</FONT></TD><TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%; text-align: justify"><FONT STYLE="font-size: 8pt">Interest Income:</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">673,323</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">769,816</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">859,890</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-size: 8pt">932,473</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Net Realized and Unrealized Gains (Losses) :</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">61,338,397</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">61,165,422</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(47,148,630</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">54,672,237</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Expenses*:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15,217,528</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">14,651,364</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15,015,371</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">15,235,505</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">Net Income (Loss):</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">46,794,192</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">47,283,874</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(61,304,111</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">40,369,205</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 1 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">67.07</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">67.00</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(87.86</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">55.99</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 2 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">68.14</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">69.83</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(65.51</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase (Decrease) in Net Asset Value per Series 3 Unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">68.90</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">70.57</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(64.77</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">56.66</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Increase in Net Asset Value per Series 4 Unit:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">50.68</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">* Expenses are inclusive
of accruals and reversals of accruals of profit share to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There were no extraordinary, unusual or
infrequently occurring items recognized in any quarter reported above, and the Trust has not disposed of any segments of its business.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Managing Owner&rsquo;s Discussion and Analysis of Financial
Condition and Results of Operations</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Results of Operations</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I><U>General</U></I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust was organized on July 23, 2001
under the Delaware Statutory Trust Act and commenced trading operations July 1, 2002.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s success depends on the
Managing Owner&rsquo;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&rsquo;s trading methods do not generally aim to predict price movements,
nor do they always rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths
of different national economies or economic sectors. Instead, the systems generally apply proprietary computer models to analyzing
past market data, and from this data alone attempt to determine whether market prices are trending. Primarily technical traders
such as the Managing Owner base their strategies on the theory that market prices reflect the collective judgment of numerous different
traders and are, accordingly, the best and most efficient indication of market movements. However, there are frequent periods during
which fundamental factors external to the market dominate prices.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the Managing Owner&rsquo;s trend-following
models identify a trend, they signal positions which follow it. When these models identify the trend as having ended or reversed,
these positions are either closed out or reversed. Due to their trend-following character, the Managing Owner&rsquo;s trend-following
systems do not predict either the commencement or the end of a price movement. Rather, their objective is to identify a trend early
enough to profit from it and to detect its end or reversal in time to close out the Trust&rsquo;s positions while retaining most
of the profits made from following the trend.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In analyzing the performance of the Managing
Owner&rsquo;s trend-following systems, economic conditions, political events, weather factors, etc., are not directly relevant
because the Managing Owner uses only market data in developing these systems. Additionally, in general there is no direct connection
between particular market conditions and price trends. There are so many influences on the markets that the same general type of
economic event may lead to a price trend in some cases but not in others. Further, even if significant price trends do occur, if
these trends are not comprised of the type of price movements which these systems are designed to identify, the Managing Owner
may not position the Trust to profit from or avoid losses due to the trend. Moreover, there have been prolonged periods in the
futures markets without significant price movements, as well as markets, in which prices appear to be moving in one direction but
then quickly reverse. Such periods may recur with considerable frequency, and the Managing Owner would expect it to be very difficult
to achieve profitability in such markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The performance summary set forth below
is an outline description of how the Trust performed in the past trading in a wide variety of markets. The Trust&rsquo;s futures
and currency forward contract prices are marked-to-market every trading day, and the Trust&rsquo;s trading accounts are credited
or debited with its daily gains or losses. Accordingly, there is no material economic distinction between realized gains or losses
on closed positions and unrealized gains or losses on open positions. The Trust&rsquo;s past performance is not necessarily indicative
of how it will perform in the future.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I><U>Performance Summary</U></I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><I>2012 (3 months)</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During the three months ended March 31,
2012, the Trust achieved net realized and unrealized losses of $43,996,819 from its trading operations (including foreign exchange
transactions and translations). Brokerage and custodial fees of $11,277,869, management fees of $160,448, administrative expenses
of $532,057 and custody fees and other expenses of $38,616 were paid or accrued. Interest income of $266,834 partially offset the
Trust expenses resulting in a net&nbsp;loss of $55,738,975.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">An analysis of the
trading gain (loss) by sector is as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 96%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.25in">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid">Sector</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">% Gain (Loss)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 83%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(2.73</TD><TD STYLE="width: 1%; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.43</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.60</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.23</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.00</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.95</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.31</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.19</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(5.96</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust produced a loss during the quarter
as losses from trading currency forwards and interest rates, equities, metals and grains futures overwhelmed gains from trading
energies and soft commodities futures. The sentiment of market participants during the quarter was driven by the belief that both
the economic outlook and the European debt crisis were improving.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Foreign exchange trading was particularly
volatile and unprofitable. Entering the quarter, the U.S. dollar had been trading higher against most currencies based on relative
economic strength, financial tumult in Europe and perceived weakening of growth in China. As these factors receded and the U.S.
interest rates appeared to be staying negligible for an extended period the U.S. dollar sold off against Central and South American,
European and Asian currencies generating losses on long U.S. dollar positions and in many cases bringing a reversal to short U.S.
dollar positions. Later, short U.S. dollar trades versus the Brazilian real, Colombian peso and Chilean peso also generated losses.
For the Brazilian real in particular, a larger than expected cut in the Brazilian Central Bank&rsquo;s Selic benchmark interest
rate and increased capital controls geared toward weakening the currency undermined the real. Also, a long Japanese yen trade versus
the U.S. dollar lost money and was reversed to a short trade after the Japanese yen weakened suddenly following a surprise expansionary
move by the Bank of Japan which increased its asset purchase program by $130 billion and set an inflation target for the first
time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Turning to non-U.S. dollar cross rates,
long Australian dollar positions against a variety of currencies generated losses when the Australian dollar weakened as slowing
growth, rising unemployment and declining inflation statistics combined with forecasts of a Chinese growth slowdown to increase
the likelihood that the Reserve Bank of Australia might ease monetary policy. Short euro trades against several currencies were
unprofitable as the euro rebounded when the European Central Bank&rsquo;s longer-term refinancing operation program improved the
functioning of financial markets in Europe and as the size of the European rescue fund was substantially raised.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Whether from a reduced need for safety because
of an improving economic outlook, particularly in the U.S., from an increased worry about inflation, from a renewed concern about
government debt levels or from a reduced likelihood of Quantitative Easing 3 from the Federal Reserve, interest rates rose and
long positions in U.S., Australian, Canadian, British and Japanese note and bond futures produced losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A first quarter rally in equity markets
was rather widespread as market participants responded favorably to an apparent improvement in the global economic outlook, particularly
in the U.S. and to progress by the European Union toward resolving their sovereign debt crisis. Long positions in U.S. equity futures
were profitable, as was a short CBOE VIX trade that also benefitted from rising equity markets. However, short positions in numerous
European and Asian equity indices, especially Japan, China, Hong Kong and Germany, produced even bigger losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Industrial metals had been in a sustained
downtrend but as pessimism about global growth swung to modest optimism, perhaps prematurely, the metals rallied strongly, generating
losses on short positions. A short platinum position also was unprofitable as a supply interruption from South Africa boosted prices.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the energy markets, long positions in
Brent crude, RBOB gasoline, London gas oil and heating oil benefited from the general commodity rally and continued stresses from
the Middle East, and as a result were profitable. The biggest winner in the sector was short positions in natural gas where the
supply boom from fracking and horizontal drilling in shale formations continues to drive prices down.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Trading of soft agricultural commodities
was marginally negative. Short grain trades, especially in the soybean complex, were unprofitable. A short cocoa position was unprofitable
as hot, dry weather hit the Ivory Coast and raised fears that an expected bumper crop might face significant damage. Short cotton
and rubber trades were also unprofitable when prices rose as pessimism about worldwide growth lifted at least temporarily. A short
Arabica coffee trade produced a profit as expectations of a bumper Brazilian harvest pushed Arabica to its lowest price in 18 months
in late March.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;<I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0in"><I>2011</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During 2011, the Trust achieved net realized
and unrealized losses of $34,240,083 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $54,834,929, management fees of $571,739, administrative expenses of $2,158,133 and custody fees of $165,650 were paid
or accrued. The Trust allocated $1,385 in profit share to the New Profits Memo Account for the benefit of the Managing Owner. Interest
income of $2,072,015 partially offset the Trust expenses resulting in a net loss after profit share to the Managing Owner of $89,899,904.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">An analysis of the
trading gain (loss) by sector is as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 96%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.25in">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid">Sector</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">% Gain (Loss)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 83%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(4.01</TD><TD STYLE="width: 1%; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.76</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.38</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.99</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.46</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.11</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.28</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(7.54</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(4.03</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">2011 was a volatile year of &ldquo;Risk
On/Risk Off&rdquo; trading as market sentiment swung from hope to despair and back again on numerous occasions. The Trust was unprofitable
as gains from interest rates, precious metals and energy were outweighed by losses from equities, currencies, industrial metals
and soft and agricultural commodities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Market participants were buffeted by a dizzying
array of economic growth, economic policy, political and natural disaster-related factors. There were floods in Australia, an earthquake,
tsunami and nuclear disaster in Japan, earthquakes in New Zealand and floods in Thailand. Then there were the usual extreme wet
and dry weather events that occurred throughout the world as well. On the fiscal front, policy paralysis and a lack of courage
kept the U.S. and Europe from dealing in a definitive way with debt and deficit crises that led to ratings downgrades for many
countries, endangered the worldwide banking system and led to volatile changes of governments in Greece, Italy and Spain. Throughout
2011, there were periodic developed countries&rsquo; monetary policy moves to prop up sagging confidence and prod weakening growth.
Persistently low official interest rates and quantitative easing by the U.S. Federal Reserve, Bank of England and the European
Central Bank&mdash;especially with its late in the year injection of long term lending to banks&mdash;aimed to counter despair
with some hope. Also, in late November, six central banks, orchestrated by the U.S. Federal Reserve, reduced the cost of U.S. dollar
trusting for commercial banks worldwide after the ratings agencies announced downgrades for many of the largest global banks. By
August, even emerging market central banks, including China, Brazil, India and Indonesia, that had been maintaining relatively
tight monetary policies in order to contain inflation, began to ease as slowing growth become a bigger worry. Indeed, during the
final 4 months of the year, d<FONT STYLE="color: black">ownward growth revisions peppered the market regularly as the International
Monetary Fund, World Bank, Organization for Economic Co-operation and Development, European Central Bank, European Commission,
Bank of England, U.S. Federal Reserve, Bank of Japan and numerous private financial institutions lowered their gross domestic product
forecasts. Exchange rate policy was also far from steady in 2011. Many countries from Switzerland and Japan to Brazil and Chile
enacted policies designed to counter and reverse the upward pressure on their currencies that threatened their export industries.
Finally from the Middle East, the Arab Spring, Iranian intransigence on seeking nuclear power and the U.S. exit from Iraq added
to uncertainty, particularly in the energy sector, prompting the International Energy Agency to release 60 million barrels of oil
from strategic reserves in July.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In this environment it is hardly surprising
that safe haven or risk aversion trades were profitable, even as price activity in most markets was erratic and lacking persistent
direction. Long positions in U.S., U.K., German, Australian, Canadian and Japanese note and bond futures were profitable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Safe haven long positions in gold and to
a lesser extent in silver were profitable. Meanwhile, trading of industrial metals was unprofitable as prices vacillated with the
growth outlook, more than offsetting precious metal gains.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Trading of stock indices was very unprofitable
and the losses were widespread as prices swung erratically in response to the myriad of issues listed above. Losses were sustained
in many cases on both long and short positions. Trading of U.S., European&mdash; especially U.K., Asian&mdash;especially Japanese,
Korean and Australian, and of both emerging and developed countries equity futures produced losses in 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Early in the year short U.S. dollar positions
against high growth and high yield currencies of emerging market and commodity countries were profitable. However, as the growth
outlook deteriorated, as the debt and deficit crises became more pronounced and as a number of countries implemented policies to
halt and reverse their currency appreciation, the U.S. dollar rebounded, partly due to safe haven purchases, and these short positions
produced losses and were reversed. On balance, profits from trades versus the currencies of Brazil, Canada, the Euro, India, Korea,
Poland, Russia and Switzerland were slightly outweighed by losses from trading the currencies of Australia, Britain, Chile, Columbia,
Israel, Japan, New Zealand, South Africa and Sweden.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Cross rate currency trading was very unprofitable.
Trading the Euro/New Zealand dollar cross and the New Zealand dollar/Japanese yen cross resulted on losses from both long and short
positions as the interactions of the ebb and flow of the European debt crisis and New Zealand earthquakes and the Japanese tsunami
disaster caused erratic price moves. Volatility also brought losses from both long and short trades in the Australian dollar versus
the Canadian dollar, Swiss franc and Japanese yen units. Finally, trading of the Swiss franc, euro and British pound sterling relative
to the Scandinavian currencies was unprofitable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Energy trading was profitable. Long positions
in RBOB gasoline and London gasoil produced gains as prices rose in the first half of the year. Short natural gas trades were profitable
especially as prices fell sharply in the last third of 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Softs trading was unprofitable. A short
cocoa trade was profitable in the July-December period as weak European demand and a good supply outlook depressed prices. A long
cotton trade produced gains early in the year when worldwide growth appeared good. Meanwhile trading sugar generated a loss as
prices were volatile and erratic.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Trading of agricultural commodities was
unprofitable. Livestock prices were volatile and losses were sustained on both long and short trades through the year. The soybean
complex produced losses both long and short as prices of beans, bean oil and meal were volatile. Wheat trading was also unprofitable,
while high frequency trading registered a small gain.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>2010</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During 2010, the Trust achieved net realized
and unrealized gains of $130,027,426 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $57,320,175, administrative expenses of $2,233,354, custody fees of $160,011, and management fees of $143,533 were paid
or accrued. The Trust allocated $262,695 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.
Interest income of $3,235,502 partially offset the Trust&rsquo;s expenses resulting in a net gain after profit share to the Managing
Owner of $73,143,160.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An analysis of the Trust&rsquo;s trading
gain (loss) by sector is as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 96%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.25in">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid">Sector</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">% Gain (Loss)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 83%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">3.19</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.60</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.74</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9.35</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.04</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.65</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.90</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.04</TD><TD STYLE="padding-bottom: 1pt; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">16.23</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust produced a gain for the full year
2010 as profits in the early spring and from late summer to year-end outdistanced losses suffered when the European debt crisis
was at its height in the May-July period. Gains from trading interest rate futures led the way, although trading of currencies,
metals, grains and soft commodity futures also generated attractive profits. Meanwhile, energy trading resulted in a modest loss
while equity futures trading was essentially flat as gains during the last six months offset losses from the first half.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">One persistent influence on market activity
throughout the year was the U.S. Federal Reserve&rsquo;s easy monetary policy as evidenced by near zero official short term interest
rates and continuous liquidity injections via the first and second rounds of quantitative easing. Against this background, long
positions in U.S., U.K. and European bond, note and short-term interest rate futures were highly profitable during the first three
quarters of the year. In the October-December period, however, concerns about massive government borrowing requirements in developed
economies &mdash; underscored by the agonizing spread of the European debt crisis &mdash; and future inflation triggered a substantial
uptick in rates that led to widespread losses on long interest rate futures positions. The fact that a number of countries, including
China, India and Australia, tightened their monetary policies to combat incipient inflation added to upward interest rate pressures.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Foreign exchange trading was profitable
with both U.S. dollar and non-U.S. dollar cross rate components generating gains. In particular, short U.S. dollar positions versus
growth-oriented and commodity currencies of countries such as Brazil, Columbia, India, Indonesia, Mexico, South Africa and Singapore
were profitable. In the cross rate component, short Euro positions relative to a variety of currencies registered gains as did
a short Euro/long U.S. dollar trade.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Long positions in precious metals were profitable
as they benefitted from the flight to safety demand whenever the Euro crisis flared, and from improving optimism about growth toward
year-end. Trading of aluminum, lead and zinc, on the other hand, produced losses as industrial metal prices vacillated on the ebb
and flow of growth prospects throughout the year.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The weak U.S. dollar, improving growth prospects,
particularly in the fourth quarter, and supply concerns caused by a variety of weather conditions &mdash; too much or too little
rain, too hot or not hot enough &mdash;boosted agricultural markets, producing gains from long positions in corn, wheat and the
soybean complex. Long coffee and cotton trades were also profitable, while trading of cocoa and sugar produced small losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Energy trading was unprofitable as prices
for crude oil and products oscillated without direction at least until late in the year when they began an advance. Short natural
gas positions did produce a modest gain that offset some of these losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Equity trading was marginally negative,
although performance across time and across countries was quite disparate. During the first half of 2010 a number of significant
events including the growing recognition of the European debt crisis, worries about tighter policy from China, the May 6 &ldquo;flash
crash&rdquo;, the North/South Korea confrontations and the sustainability of incipient global growth produced losses from equity
futures trading. During the last six months as growth prospects became more solid and as the liquidity from the U.S. Federal Reserve
underpinned confidence, gains from equity trading largely offset the earlier losses. By country, long positions in Indian, Thai,
Singaporean, Taiwanese, Korean, U.S., German, U.K., Swedish and Canadian equity futures were profitable. On the other hand, trading
the equities of China, Hong Kong, Spain, Italy, Japan and Australia produced losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>2009 </I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During 2009, the Trust achieved net realized
and unrealized losses of $64,437,079 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $63,566,376, administrative expenses of $2,670,335, custody fees of $193,127, and management fees of $10,864 were paid
or accrued. The Trust allocated $43,187 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.
Interest income of $9,966,151 partially offset the Trust&rsquo;s expenses resulting in a net loss after profit share to the Managing
Owner of $120,954,817.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An analysis of the Trust&rsquo;s trading
gain (loss) by sector is as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 96%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.25in">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid">Sector</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">% Gain (Loss)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 83%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">(0.67</TD><TD STYLE="width: 1%; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.28</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.71</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.14</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.02</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.23</TD><TD STYLE="padding-bottom: 1pt; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(5.34</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust produced an overall loss during
2009. Losses from trading energy, interest rate, metal, and grain futures and dollar currency forwards outweighed gains from trading
stock index and livestock futures and non-U.S. dollar currency crosses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">From January into early March, in the wake
of the subprime crisis and subsequent credit crunch and amidst concern about the leadership of U.S. economic policy following the
elections, economic activity was slowing precipitously worldwide. In this environment, stock indices and commodity prices were
falling. Also, as risk aversion remained widespread, a flight to safety and quality produced a rising U.S. dollar, declining high
yield currencies, and a flood of funds into government fixed income instruments, and highly liquid investments. Broadly speaking,
these conditions had persisted from October 2008 into early March 2009. Consequently, the Trusts&rsquo; short stock index, short
commodity, long U.S. dollar and long interest rate futures positions were profitable early in 2009.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Around March 10, market participants&rsquo;
attitudes seemed to change abruptly. First, equity prices rose. Then commodity prices moved upward. Also, the U.S. dollar started
to fall and longer term interest rates rose. The positions which had been profitable for so long began to generate losses. These
positions were reduced gradually as the Managing Owner&rsquo;s models processed the new data. However, since trend following strategies
accounted for over two thirds of the program models and since the average trade duration of trend strategies is over 6 months,
it was not until the summer when the positions were reduced, completely closed and, in many instances, reversed.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During the third quarter of 2009, the financial
markets led the way to profitable results. Short positions in the U.S. dollar and a number of other currencies versus higher yielding
and commodity based currencies were profitable. Long stock index futures positions and long interest rate futures positions added
to the gains. The weak U.S. dollar also led to gains from long positions in precious metals. In the agricultural sector, short
wheat and long sugar trades were profitable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During the fourth quarter of 2009, improving
economic prospects, especially in the U.S. and Asia led to gains from long stock index futures positions in the U.S., South Africa,
Norway and Asia-ex Japan. This growth improvement produced profits from long precious and industrial metals positions, but also
led to higher interest rates which brought losses from long interest rate futures positions. Long positions in sugar and cotton
were profitable, but as grain prices rose, reversing earlier downtrends, long grain positions lost money.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Liquidity and Capital Resources</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Units may be offered for sale as of the
beginning, and may be redeemed as of the end, of each month.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The amount of capital raised for the Trust
should not have a significant impact on its operations, as the Trust has no significant capital expenditure or working capital
requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization,
the Managing Owner&rsquo;s trading positions should increase or decrease in approximate proportion to the size of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust raises additional capital only
through the sale of Units and capital is increased through trading profits (if any). The Trust does not engage in borrowing.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust trades futures and forward contracts,
and may trade swap and options contracts, on interest rates, commodities, currencies, metals, energy and stock indices. Risk arises
from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform
under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions
acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments
is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The
risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter
transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit
(in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity
of the exchange. In most over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective
individual counterparties. Margins which may be subject to loss in the event of a default, are generally required in exchange trading,
and counterparties may require margin or collateral in the over-the-counter markets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has procedures in place
to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily
focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets
committed as margin or collateral, generally within a range of 5% to 35% of an account&rsquo;s net assets at exchange, though the
amount may at any time be substantially higher; (4) prohibiting pyramiding &ndash; that is, using unrealized profits in a particular
market as margin for additional positions in the same market; and (5) changing the equity utilized for trading by an account solely
on a controlled periodic basis, not automatically due to an increase in equity from trading profits. The Trust controls credit
risk by dealing exclusively with large, well capitalized financial institutions as brokers and counterparties.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The financial instruments traded by the
Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts
or the Trust&rsquo;s satisfaction of the obligations may exceed the amount recognized in the Statement of Financial Condition of
the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Due to the nature of the Trust&rsquo;s business,
substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Trust maintains
its market exposure through open futures and forward contract positions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s futures contracts are
settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading
day and the Trust&rsquo;s trading accounts are debited or credited accordingly. Options on futures contracts are settled either
by offset or by exercise. If an option on a future is exercised, the Trust is assigned a position in the underlying future which
is then settled by offset. The Trust&rsquo;s spot and forward currency transactions conducted in the interbank market are settled
by netting offsetting positions or payment obligations and by cash payments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The value of the Trust&rsquo;s cash and
financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation,
could cause the value of certain of the Trust&rsquo;s debt securities to decline, but only to a limited extent. More important,
changes in interest rates could cause periods of strong up or down market price trends, during which the Trust&rsquo;s profit potential
generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid
reversals, markets in which the Trust is likely to suffer losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s assets are generally
held as cash or cash equivalents, including short-term U.S. government obligations, which are used to margin the
Trust&rsquo;s futures and forward currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than
potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or
to daily price fluctuation limits, which are inherent in the Trust&rsquo;s futures and forward trading, the Trust&rsquo;s
assets are highly liquid and are expected to remain so. During 2011 and from the end of 2011 until March 31, 2012, the
Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Critical Accounting Estimates</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust records its transactions in futures
and forward currency contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on
an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract
is traded by the Trust on the day with respect to which Net Assets are being determined. Open swap contracts are recorded at fair
value based on the closing settlement price for equivalent or similar futures positions that are traded on an exchange on the day
with respect to which Net Assets are being determined. Open forward currency contracts are recorded at fair value, based on pricing
models that consider the current market prices (&ldquo;Spot Prices&rdquo;) plus the time value of money (&ldquo;Forward Points&rdquo;)
and contractual prices of the underlying financial instruments. The Spot Prices and Forward Points for open forward currency contracts
are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect
to which Net Assets are being determined. 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 currency contracts
traded by the Trust may be in between these periods.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner&rsquo;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. The Managing Owner will also compare the calculated price to the forward currency
prices provided by dealers to determine whether the calculated price is fair and reasonable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The preparation of financial statements
in conformity with accounting principles generally accepted in the U.S. requires management to make estimates and assumptions,
such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature
of the business and operations of the Trust, the Managing Owner believes that the estimates utilized in preparing the Trust&rsquo;s
financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used
do not provide a range of possible results that would require the exercise of subjective judgment. The Managing Owner further believes
that, based on the nature of the business and operations of the Trust, no other reasonable assumptions relating to the application
of the Trust&rsquo;s critical accounting estimates other than those currently used would likely result in materially different
amounts from those reported.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Off-Balance Sheet Arrangements</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust does not engage in off-balance
sheet arrangements with other entities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Contractual Obligations</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">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&rsquo;s sole business is trading futures and forward currency contracts,
both long (contracts to buy) and short (contracts to sell). The Trust may also engage in trading swaps. 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&rsquo;s Financial Statements present a Condensed Schedule of Investments setting forth net unrealized appreciation
(depreciation) of the Trust&rsquo;s open future and forward currency contracts, both long and short, at March 31, 2012, December
31, 2011 and December 31, 2010.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Quantitative
And Qualitative Disclosures About Market Risk</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Introduction</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Past Results Are Not Necessarily Indicative of Future
Performance</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is a speculative commodity pool.
Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust&rsquo;s main line
of business.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Market movements result in frequent changes
in the fair market value of the Trust&rsquo;s open positions and, consequently, in its earnings and cash flow. The Trust&rsquo;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&rsquo;s open
positions and the liquidity of the markets in which it trades.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust can rapidly acquire and/or liquidate
both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular
future market scenario will affect performance, and the Trust&rsquo;s past performance is not necessarily indicative of its future
results.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">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&rsquo;s speculative trading and the recurrence 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 indicated Value at Risk or the Trust&rsquo;s experience to
date (<I>i.e.</I>, &ldquo;risk of ruin&rdquo;). 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&rsquo;s losses in any market sector will be limited to Value at Risk or by the Trust&rsquo;s attempts
to manage its market risk.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Materiality, as used in this section &ldquo;Quantitative
and Qualitative Disclosures About Market Risk,&rdquo; 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&rsquo;s
market sensitive instruments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Quantifying the Trust&rsquo;s Trading Value at Risk</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Quantitative Forward-Looking Statements</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>The following quantitative disclosures
regarding the Trust&rsquo;s market risk exposures contain &ldquo;forward-looking statements&rdquo; 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.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;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&rsquo;s mark-to-market
accounting, any loss in the fair value of the Trust&rsquo;s open positions is directly reflected in the Trust&rsquo;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).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Exchange maintenance margin requirements
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 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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust calculates Value at Risk for forward
currency contracts that are not exchange traded using exchange maintenance margin requirements for equivalent or similar futures
positions as the measure of Value at Risk.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In quantifying the Trust&rsquo;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&rsquo;s aggregate
Value at Risk. The diversification effects resulting from the fact that the Trust&rsquo;s positions are rarely, if ever, 100% positively
correlated have not been reflected.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>The Trust&rsquo;s Trading Value at Risk in Different Market
Sectors</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following tables indicate the average,
highest and lowest amounts of trading Value at Risk associated with the Trust&rsquo;s open positions by market category for the
first fiscal quarter of 2012 and fiscal year ended December 31, 2011. During the three months ended March 31, 2012 and fiscal year
2011, the Trust&rsquo;s average total capitalization was approximately $710.0 million and $865.9 million, respectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" NOWRAP STYLE="font-weight: bold; text-align: center">March 31, 2012</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">Market Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Average<BR> Value at<BR> Risk</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">% of Average<BR> Capitalization</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Highest<BR> Value<BR> At Risk</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Lowest<BR> Value<BR> At Risk</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 32%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">20.6</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">2.9</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">20.6</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">20.6</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">9.4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">9.4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">9.4</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3.1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">22.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">22.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">22.1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.0</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.1</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6.2</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6.2</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6.2</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2.8</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2.8</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2.8</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">23.6</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3.3</TD><TD STYLE="padding-bottom: 1pt; text-align: left">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">$</TD><TD STYLE="padding-bottom: 1pt; text-align: right">23.6</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">$</TD><TD STYLE="padding-bottom: 1pt; text-align: right">23.6</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">87.9</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12.3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Average, highest and lowest Value at Risk
amounts relate to the quarter-end amounts for the&nbsp;three months ended March 31, 2012. Average capitalization is the Trust&rsquo;s
capitalization at&nbsp;the end of the&nbsp;three months ended&nbsp;March 31, 2012. Dollar amounts represent millions of dollars.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="17" NOWRAP STYLE="font-weight: bold; text-align: center">Fiscal Year 2011</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">Market Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Average<BR> Value at<BR> Risk</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">% of Average<BR> Capitalization</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Highest<BR> Value<BR> At Risk</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Lowest<BR> Value<BR> At Risk</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 32%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">41.5</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">4.9</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">61.6</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 14%; text-align: right">19.9</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">7.5</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">9.7</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6.1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">4.8</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">5.4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3.4</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Interest Rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">22.7</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">27.0</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">15.0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.5</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.7</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">0.3</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">8.8</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.0</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">10.5</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">7.0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2.4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3.4</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1.1</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Stock Indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">20.5</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2.4</TD><TD STYLE="padding-bottom: 1pt; text-align: left">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">$</TD><TD STYLE="padding-bottom: 1pt; text-align: right">33.7</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">$</TD><TD STYLE="padding-bottom: 1pt; text-align: right">8.5</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">108.7</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12.8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Average, highest and lowest Value at Risk
amounts relate to the quarter-end amounts during the fiscal year. Average Capitalization is the average of the Trust&rsquo;s capitalization
at the end of each month during the fiscal year 2011. Dollar amounts represent millions of dollars.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Material Limitations on Value at Risk as an Assessment of
Market Risk</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The face value of the market sector instruments
held by the Trust is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally
range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Trust. The magnitude
of the Trust&rsquo;s open positions creates a &ldquo;risk of ruin&rdquo; not typically found in most other investment vehicles.
Because of the size of its positions, certain market conditions &mdash; unusual, but historically recurring from time to time &mdash;
could cause the Trust to incur severe losses over a short period of time. The foregoing Value at Risk table &mdash; as well as
the past performance of the Trust &mdash; give no indication of this &ldquo;risk of ruin.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Non-Trading Risk</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust has non-trading market risk on
its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust also has non-trading cash flow
risk as a result of holding a substantial portion (approximately 90%) of its assets in U.S. Treasury notes and other short-term
debt instruments (as well as any market risk they represent) for margin and cash management purposes. Although the Managing Owner
does not anticipate that, even in the case of major interest rate movements, the Trust would sustain a material mark-to-market
loss on its securities positions, if short-term interest rates decline so will the Trust&rsquo;s cash management income. The Trust
also maintains a portion (over 5%) of its assets in cash in interest-bearing bank accounts. These cash balances are also subject
(as well as any market risk they represent) to cash flow risk, which is not material.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Qualitative Disclosures Regarding Primary Trading Risk Exposures</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>The following qualitative disclosures
regarding the Trust&rsquo;s market risk exposures&mdash;except for (i) those disclosures that are statements of historical fact
and (ii) the descriptions of how the Managing Owner manages the Trust&rsquo;s primary market risk exposures&mdash;constitute forward-looking
statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust&rsquo;s
primary market risk exposures as well as the strategies used and to be used by the Managing Owner for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust&rsquo;s
risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations,
illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships,
an influx of new market participants, increased regulation and many other factors could result in material losses as well as in
material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust&rsquo;s
current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective
in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following were the primary trading risk
exposures of the Trust as of March 31, 2012, by market sector (see pages 17-18 for a complete list
of futures and forward contracts traded).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Financial Instruments</U>. 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&rsquo;s profitability. The Trust&rsquo;s primary interest rate exposure is to interest rate fluctuations
in countries or regions including Australia, Canada, Japan, Switzerland, the U.K., the U.S. and the Eurozone. However, the Trust
also may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest
rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure
of the Trust for the foreseeable future.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Currencies</U>. Exchange rate risk is
a principal market exposure of the Trust. The Trust&rsquo;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&mdash;<I>e.g.</I>, positions between two currencies other than the U.S. dollar.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Stock Indices</U>. The Trust&rsquo;s
equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Metals</U>. The Trust&rsquo;s metals
market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver, tin and
zinc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Agricultural</U>. The Trust&rsquo;s primary
commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions
as well as supply and demand factors.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Energy</U>. The Trust&rsquo;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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Qualitative Disclosures Regarding Non-Trading Risk Exposure</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following were the only non-trading
risk exposures of the Trust as of March 31, 2012.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Foreign Currency Balances</U>. <FONT STYLE="color: black">The
Trust&rsquo;s primary foreign currency balances are in </FONT>Australian Dollars, British Pounds, Canadian Dollars, Euros, Japanese
Yen, Korean Won, Malaysian Ringgit, Swiss Francs and Thai Bhat. To the extent possible, the Trust controls the non-trading risk
of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><U>Securities Positions</U>. The Trust&rsquo;s
only market exposure in instruments held other than for trading is in its securities portfolio. The Trust holds only cash or interest-bearing,
credit risk-free, short-term paper &mdash; typically U.S. Treasury instruments with durations no longer than 1 year. Violent fluctuations
in prevailing interest rates could cause immaterial mark-to-market losses on the Trust&rsquo;s securities, although substantially
all of these short-term instruments are held to maturity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Qualitative Disclosures Regarding Means of Managing Risk
Exposure</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner attempts to control risk
through the systematic application of its trading method, which includes a multi-system approach to price trend recognition, an
analysis of market volatility, the application of certain money management principles, which may be revised from time to time,
and adjusting leverage or portfolio size. In addition, the Managing Owner limits its trading to markets which it believes are sufficiently
liquid in respect of the amount of trading it contemplates conducting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The goal of the Managing Owner&rsquo;s research
has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain
overall portfolio risk within a targeted range while allowing exposure to profitable trend opportunities. Over more than 30 years,
the Managing Owner has developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular
market based on the direction of price movements in the market.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Of course, systems can be materially different
&mdash; better in some periods and worse in others. The main distinguishing features are: the time-frame over which systems work
(intra-day to long-term); the granularity of data fed into them (tick data to daily, weekly or monthly frequencies); type (market
or economic statistics); source (cash-, futures- or option markets-generated data or government and industry generated statistical
information), and the objective of the system (profiting from trends, mean reversion, trading-ranges or volatility). No single
approach will work all the time. Therefore, the Managing Owner&rsquo;s objective is to have several approaches operating simultaneously.
Since the early 1980s, the Managing Owner has selected multiple systems for each market.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">When arriving at the portfolio allocation,
the Managing Owner seeks maximum diversification subject to liquidity and sector concentration constraints, and each market is
traded using a diversified (but generally not optimized for each particular market) set of trading systems. The markets traded
and allocations are reviewed at least monthly, although changes may occur more or less frequently. The following factors, among
others, are considered in constructing a universe of markets to trade for the Trust: profitability, liquidity of markets, professional
judgment, desired diversification, transaction costs, exchange regulations and depth of market. Once the universe of markets is
established, the Managing Owner&rsquo;s simulation and optimization techniques help determine which markets to include in the Trust&rsquo;s
portfolio. The current allocation to any market in the Trust&rsquo;s portfolio does not exceed 3% of total market exposure, measured
by risk allocation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Risk is a function of both price level and
price volatility. The Managing Owner sizes the position in each market taking into account its measurement of risk based on price
level and volatility in that market. Market exposure is then managed by the position-sizing models which measure the risk in the
portfolio&rsquo;s position in each market. In the event the model determines that the risk has changed beyond an acceptable threshold,
it will signal a change in the position &mdash; a decrease in position size when risk increases and an increase in position size
when risk decreases. The Managing Owner&rsquo;s position-sizing models maintain overall portfolio risk and distribution of risk
across markets within designated ranges. The position-sizing model manages the position traded by each of the (directional) trading
systems discussed above. A secondary benefit of the position-sizing model can be timely profit taking. Because markets tend to
become more volatile after a profitable trend has been long underway, the position-sizing model often signals position reductions
before trend reversals.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition, the Managing Owner&rsquo;s
risk management focuses on money management principles applicable to the portfolio as a whole rather than to individual markets.
The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Additional money management principles applicable
to the portfolio as a whole include: (1) limiting the assets committed as margin or collateral, generally within a range of 5%
to 35% of an account&rsquo;s net assets, though the amount may at any time be higher or lower; (2) prohibiting pyramiding &mdash;
that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3)
changing the equity used for trading by an account solely on a controlled periodic basis, not automatically due to an increase
in equity from trading profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Another important risk management function
is the careful control of leverage or total portfolio exposure. Leverage levels are determined by simulating the entire portfolio
&mdash; all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed
level of leverage &mdash; over the past five or ten years to determine the portfolio&rsquo;s simulated risk and return characteristics
as well as the worst case experienced by the portfolio in the simulation period. The worst case, or peak-to-trough drawdown, is
measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the
daily high. If the Managing Owner considers the drawdown too severe or the portfolio&rsquo;s simulated volatility too high, it
reduces the leverage or total portfolio exposure. There are, however, no restrictions on the amount of leverage the Trust may use
at any given time.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>The Managing
Owner</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Millburn Ridgefield Corporation</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner, Millburn Ridgefield
Corporation, is a Delaware corporation operating in Greenwich, Connecticut, organized in May 1982 to manage discretionary accounts
in futures and forward markets. It is the corporate successor to a futures trading and advisory organization which has been continuously
managing assets in the currency and futures markets using quantitative, systematic techniques since 1971. As of June 30, 2012,
the Managing Owner, together with its affiliates, was managing approximately $1.7 billion in currencies, financial and commodity
futures and other alternative strategies.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The value of the Managing Owner&rsquo;s
investment in the Trust as of June 30, 2012 was $9,137,935. As of the same date, the aggregate value of the Managing Owner&rsquo;s
principals&rsquo; investments in the Trust was $437,854.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Background and Management</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has been registered with
the CFTC as a &ldquo;commodity pool operator&rdquo; since July 1, 1982 and as a &ldquo;commodity trading advisor&rdquo; since September
13, 1984 and has been a member of the National Futures Association (&ldquo;NFA&rdquo;) since July 1, 1982.&nbsp; The Managing Owner
is the successor to the trading advisory and commodity pool operator functions of Millburn Partners and CommInVest Research Limited
Partnership (&ldquo;CommInVest&rdquo;), which served as the general partners of various public commodity pools and both of which
are or were affiliates of The Millburn Corporation.&nbsp; The Millburn Corporation, an affiliate of the Managing Owner operating
in New York, performs certain administrative and operating functions for the Managing Owner, including research, trade order entry,
technology, operations, marketing, accounting, tax, legal, compliance, human resources and administration services.&nbsp; The Millburn
Corporation is compensated by the Managing Owner out of the Managing Owner&rsquo;s own funds and neither the Trust nor any Unitholder
bears any additional costs as a result of the arrangement between The Millburn Corporation and the Managing Owner.&nbsp; Millburn
International, LLC (&ldquo;Millburn International&rdquo;) was formed on November 18, 2010 and it and its subsidiaries and branch
office provide information regarding the Managing Owner and its strategies and certain investor services on behalf of the Managing
Owner in connection with the Managing Owner&rsquo;s international activities.&nbsp; ShareInVest Research L.P. (&ldquo;ShareInVest&rdquo;),
an affiliate of the Managing Owner, managed U.S. small capitalization growth stock hedge funds and ceased operations as of December
31, 2007.&nbsp; There have never been, nor are there pending or on appeal, any administrative, civil or criminal actions against
the Managing Owner or its principals or affiliates. <I>&nbsp;The registration of the Managing Owner with the CFTC must not be taken
as an indication that such agency has recommended or approved either the Managing Owner or the Trust.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">The core of the Managing
Owner&rsquo;s business centers on its Systematic Futures &amp; Currency Investment Process (the &ldquo;Investment Process&rdquo;).
The Investment Process is overseen by the Managing Owner&rsquo;s Investment Committee, which is comprised of the Managing Owner&rsquo;s
senior principals. The Investment Process is supported by service providers from The Millburn Corporation that are responsible
for research, data management, system implementation, trade order entry and market intelligence. The Investment Process includes,
among other functions, system design, modeling and the Managing Owner&rsquo;s risk management. This Investment Process is responsible
for deploying portfolio risk across markets, strategies and models.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">The Managing Owner was
among the first systematic money managers to begin building a comprehensive in-house computerized database of cleaned and time-stamped
pricing and market-related data pertaining to instruments traded by its funds. This database has been enhanced and updated continuously
since its introduction in 1975, but includes data from several decades before that time. Over the years, with advancements in software
and storage technology, the database has been expanded to include terabytes of tick and other data. The Managing Owner and The
Millburn Corporation utilize third-party software packages to collect this data efficiently and have developed several proprietary
software tools that they believe enhance their ability to filter the data and generate simulations, trading signals and new trading
models. Data robustness is supported by multiple data feeds from independent third party vendors and by the continuous back up
and redundancy of data between the two different geographical locations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">Other key components of
the Managing Owner&rsquo;s Investment Process include trade execution and market intelligence. Currently, most of the Managing
Owner&rsquo;s trades in the futures markets are executed electronically. The Managing Owner believes electronic trading has been
instrumental in making the trading operation more efficient and cost effective. The Millburn Corporation&rsquo;s experienced trading
team provides meaningful feedback to the research team which is critical in monitoring the markets (<I>e.g.</I>, liquidity, credit,
sovereign issues) and in the development of trading algorithms.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">The Millburn Corporation&rsquo;s
back office infrastructure supports the Managing Owner&rsquo;s Investment Process. The infrastructure consists of legal, compliance,
fund accounting, tax, technology, marketing, human resources and administrative departments. The Managing Owner and The Millburn
Corporation have a strong focus on internal controls and risk management to ensure that all accounts are reconciled in a timely
manner. Portfolios are priced using independent pricing sources, assets are safeguarded at independent counterparties and there
is adequate separation of duties among employees. A suite of risk management tools is used to monitor various items such as counterparty
credit risk, liquidity in the markets traded, targeted risk levels, margin and performance attribution.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">In addition to the back
office infrastructure provided by The Millburn Corporation, the Trust has engaged CACEIS (USA) Inc., a third-party asset servicing
provider (the &ldquo;Verification Agent&rdquo;), to, among other things, independently price the Trust&rsquo;s portfolio, or verify
the Managing Owner&rsquo;s valuations, verify the existence of assets, cash balances and counterparty balances, calculate counterparty
exposures, verify the Managing Owner&rsquo;s calculation of fees and allocations, verify the Managing Owner&rsquo;s calculation
of Net Assets and provide monthly reports related to the foregoing.&nbsp; The agreement between the Trust and the Verification
Agent may be terminated by either party for cause or, after August 16, 2012, upon 90 days notice. The Trust reimburses the Verification
Agent for expenses that the Verification Agent incurs on the Trust&rsquo;s behalf and pays the Verification Agent a monthly fee
in arrears equal to the higher of: (1) 1/12 of 0.004% of the month-end Net Assets of the Trust and (2) $2,500. Such expenses and
fees are considered a part of the routine legal, accounting, administrative, printing and similar costs associated with the Trust&rsquo;s
day-to-day operations, which are not expected to exceed 0.30 of 1% of the Trust&rsquo;s average month-end Net Assets in any given
year, assuming Trust assets of $650,000,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">Communication between
the Managing Owner and the Trust&rsquo;s investors is maintained by the investor services department, which provides investors
with insight into the trading methodology, current market conditions and performance of their investments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The background of each of the principals
and senior officers of the Managing Owner and its affiliates who perform services on the Managing Owner&rsquo;s behalf is set forth
below. The principals of the Managing Owner responsible for investment decisions and/or business operations on behalf of the Trust
are Harvey Beker, George E. Crapple, Barry Goodman, Grant N. Smith, Gregg R. Buckbinder, Mark B. Fitzsimmons and Dennis B. Newton.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in"><B><I>Harvey Beker, age
59.</I></B> Mr. Beker is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and Chief Executive Officer and Chairman
of The Millburn Corporation, and serves as a member of the Managing Owner&rsquo;s Investment Committee. He received a Bachelor
of Arts degree in economics from New York University (&ldquo;NYU&rdquo;) in 1974 and a Master of Business Administration degree
in finance from NYU in 1975. From June 1975 to July 1977, Mr. Beker was employed by the investment bank Loeb Rhoades, Inc. where
he developed and traded silver arbitrage strategies. From July 1977 to June 1978, Mr. Beker was a futures trader at the commodities
and securities brokerage firm of Clayton Brokerage Co. of St. Louis. Mr. Beker has been employed by The Millburn Corporation since
June 1978 and initially served as the Director of Operations for its affiliate, Millburn Partners. During his tenure at the Managing
Owner (including its affiliates, Millburn Partners and CommInVest), he has been instrumental in the development of the research,
trading and operations areas. Mr. Beker became a principal of the firm in June 1982, and a partner in the predecessor to ShareInVest
in April 1982. Mr. Beker became registered as an Associated Person of the Managing Owner effective November 25, 1986. Additionally,
he became listed as a Principal and registered as an Associated Person of The Millburn Corporation effective February 8, 1984 and
May 23, 1989, respectively. He was also listed as a Principal and registered as an Associated Person of ShareInVest effective February
20, 1986 until February 25, 2007. Mr. Beker has also served as Co-Chairman of Millburn International since its inception.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in"><B><I>George E. Crapple,
age 68.</I></B> Mr. Crapple is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and served in the same capacities
at The Millburn Corporation through May 31, 2011, and serves as a member of the Managing Owner&rsquo;s Investment Committee. In
1966, he graduated with honors from the University of Wisconsin where his field of concentration was economics and he was elected
to Phi Beta Kappa. In 1969, he graduated from Harvard Law School, <I>magna cum laude</I>, where he was an editor of the Harvard
Law Review. He was a lawyer with the law firm of Sidley Austin, Chicago, Illinois, from June 1969 until April 1, 1983, as a partner
since July 1975, specializing in commodities, securities, corporate and tax law. He was first associated with the Managing Owner
in June 1976 and joined the Managing Owner and The Millburn Corporation (including its affiliates, Millburn Partners and CommInVest)
on April 1, 1983 on a full-time basis. Mr. Crapple ceased his employment with The Millburn Corporation effective May 31, 2011.
He became a partner in ShareInVest in April 1984. Mr. Crapple is a Director, Member of the Executive Committee, Chairman of the
Appeals Committee and a former Chairman of the Eastern Regional Business Conduct Committee of the NFA, past Chairman of the Managed
Funds Association, a member of the Global Markets Advisory Committee of the CFTC and a member of the board of directors of the
Futures Industry Association. Mr. Crapple has also served as Co-Chairman of Millburn International since its inception. Mr. Crapple
became listed as a Principal and registered as an Associated Person of the Managing Owner effective September 13, 1984 and April
2, 1988, respectively. Additionally, he was listed as a Principal and registered as an Associated Person of The Millburn Corporation
effective April 9, 1981 and May 23, 1989, respectively, until May 31, 2011. He was also listed as a Principal and registered as
an Associated Person of ShareInVest effective February 20, 1986 until February 25, 2007.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Barry Goodman, age55. </I></B> Mr.
Goodman is Executive Vice-President and Director of Trading for the Managing Owner and The Millburn Corporation, and serves as
a member of the Managing Owner&rsquo;s Investment Committee. As Executive Vice President, Mr. Goodman also plays an integral role
in business and product development, and in the strategic direction of the firm as a whole. Mr. Goodman joined the Managing Owner
and The Millburn Corporation (including its affiliate, Millburn Partners) in November 1982 as Assistant Director of Trading. From
September 1980 through October 1982, he was a commodity trader at the brokerage firm of E. F. Hutton &amp; Co., Inc. (&ldquo;E.F.
Hutton&rdquo;). At E.F. Hutton, he also designed and maintained various technical indicators and coordinated research projects
pertaining to the futures markets. Mr. Goodman graduated <I>magna cum laude</I> from Harpur College of the State University of
New York in 1979 with a B.A. in economics. He has been a featured speaker at industry events in the U.S., Europe and Asia. Mr.
Goodman has also served as President and a Director of Millburn International since its inception. Mr. Goodman became listed as
a Principal and registered as an Associated Person of the Managing Owner effective December 19, 1991 and May 23, 1989, respectively.
He also became listed as a Principal and registered as an Associated Person of The Millburn Corporation effective June 20, 1995
and April 5, 1989, respectively. He became a partner in ShareInVest in January 1994. Mr. Goodman was a listed Principal of ShareInVest,
effective May 19, 1999 until February 25, 2007.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Grant N. Smith, age 60.</I></B> Mr.
Smith is Executive Vice-President and Director of Research of the Managing Owner and The Millburn Corporation, and serves as a
member of the Managing Owner&rsquo;s Investment Committee. He is responsible for the design, testing and implementation of quantitative
trading strategies, as well as for planning and overseeing the computerized decision-support systems of the firm. He received a
B.S. degree from the Massachusetts Institute of Technology (&ldquo;MIT&rdquo;) in 1974 and an M.S. degree from MIT in 1975. While
at MIT, he held several teaching and research positions in the computer science field and participated in various projects relating
to database management. He joined the predecessor entity to The Millburn Corporation in June 1975, and has been continuously associated
with the Managing Owner, The Millburn Corporation and their affiliates since that time. Mr. Smith has also served as a Director
of Millburn International since its inception, where he, along with the other Directors of Millburn International, is responsible
for its overall management. Mr. Smith became listed as a Principal and registered as an Associated Person of the Managing Owner,
effective December 19, 1991 and April 15, 2009, respectively. He became listed as a Principal and registered as an Associated Person
of The Millburn Corporation effective June 20, 1995 and May 21, 1992, respectively. Mr. Smith also became a partner in ShareInVest
in January 1994. He also was listed as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Gregg R. Buckbinder, age 53.</I></B>
Mr. Buckbinder is Senior Vice-President and Chief Operating Officer of the Managing Owner and The Millburn Corporation. He joined
the Managing Owner and The Millburn Corporation in January 1998 from Odyssey Partners, L.P., an investment management firm, where
he was responsible for the operation, administration and accounting of the firm&rsquo;s merchant banking and managed account businesses
from July 1990 through December 1997. Mr. Buckbinder was employed by Tucker Anthony, a securities broker and dealer, from June
1985 to July 1990 where he was First Vice President and Controller, and from August 1983 to June 1984 where he designed and implemented
various operations and accounting systems. He was with the public accounting firm of Ernst &amp; Whinney from June 1984 to June
1985 as a manager in the tax department and from September 1980 to August 1983 as a senior auditor, with an emphasis on clients
in the financial services business. Mr. Buckbinder graduated <I>cum laude</I> from Pace University (&ldquo;Pace&rdquo;) in 1980
with a B.B.A. in accounting and received an M.S. in taxation from Pace in 1988. He is a Certified Public Accountant and a member
of the American Institute of Certified Public Accountants. Mr. Buckbinder has also served as Senior Vice President, Chief Operating
Officer and a Director of Millburn International since its inception. Mr. Buckbinder became listed as a Principal of the Managing
Owner effective February 5, 1999. He became listed as a Principal of The Millburn Corporation effective March 23, 1998. Mr. Buckbinder
became a partner in ShareInVest in January 2000. He was also listed as a Principal of ShareInVest effective February 28, 2001 until
February 25, 2007.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Steven M. Felsenthal, age 42. </I></B>
Mr. Felsenthal is General Counsel and Chief Compliance Officer of the Managing Owner and The Millburn Corporation. Prior to joining
the Managing Owner and its affiliates in January 2004, Mr. Felsenthal was a senior associate in the investment management group
at the law firm of Schulte Roth &amp; Zabel LLP (September 1999 - January 2004), where he represented and advised hedge funds,
registered investment companies, investment advisers, broker-dealers and banks in connection with all facets of their asset management
businesses, and a member of the tax department of the law firm of Kramer, Levin, Naftalis &amp; Frankel LLP (October 1996 - September
1999). He graduated<I> cum laude</I> from Yeshiva University in 1991 with a B.A. in political science, and <I>order of the coif</I>
from Fordham University School of Law in 1996, where he also served as an editor of the Fordham Environmental Law Journal. Mr.
Felsenthal received an LL.M degree in taxation from NYU School of Law in 2001 and has written and been quoted in numerous published
articles, and frequently speaks at conferences, on various topics related to investment management. Mr. Felsenthal is a member
of the New York State Bar (since August 1997), former Chairman of the hedge fund industry group Managed Funds Association (&ldquo;MFA&rdquo;)
CPO/CTA Advisory Committee (November 2006 to June 2010) and is currently Co-Chairman of the Steering Committee of MFA&rsquo;s CPO/CTA
Forum (since June 2010), a member of the Editorial Board of the Journal of Securities Law, Regulation and Compliance (since February
2007) and a faculty member of the Regulatory Compliance Association&rsquo;s Chief Compliance Officer University (since May 2009).
Mr. Felsenthal has also served as General Counsel, Chief Compliance Officer and Secretary of Millburn International since its inception.
Mr. Felsenthal became listed as a Principal of the Managing Owner and The Millburn Corporation effective June 24, 2004. Mr. Felsenthal
also served as General Counsel and Chief Compliance Officer of ShareInVest.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Mark B. Fitzsimmons, age 65.</I></B>
Mr.&nbsp;Fitzsimmons is a Senior Vice-President of the Managing Owner and served in the same capacity at The Millburn Corporation
until December 31, 2011. His responsibilities include both business development and investment strategy. He joined the Managing
Owner and its affiliates in January 1990 from the brokerage firm of Morgan Stanley &amp; Co. Incorporated, a global financial services
firm, where he was a Principal and Manager of institutional foreign exchange sales and was involved in strategic trading for the
firm from October 1987 until January 1990. From September 1977 to October 1987, he was with the financial institution Chemical
Bank New York Corporation (&ldquo;Chemical&rdquo;), first as a Senior Economist in Chemical&rsquo;s Foreign Exchange Advisory Service
and later as a Vice-President and Manager of Chemical&rsquo;s Corporate Trading Group. While at Chemical he also traded both foreign
exchange and fixed income products. From September 1973 to September 1977, Mr. Fitzsimmons was employed by the Federal Reserve
Bank of New York, dividing his time between the International Research Department and the Foreign Exchange Department. He graduated
<I>summa cum laude</I> from the University of Bridgeport, Connecticut in 1970 with a B.S. degree in economics. His graduate work
was done at the University of Virginia, where he received a certificate of candidacy for a Ph.D. in economics in 1973. Mr. Fitzsimmons
became listed as a Principal and registered as an Associated Person of the Managing Owner effective July 2, 1993, and April 15,
2009, respectively. Mr. Fitzsimmons was a listed Principal and registered Associated Person of The Millburn Corporation effective
June 20, 1995 and October 12, 1992, respectively, each until December 31, 2011. Mr. Fitzsimmons was a partner in ShareInVest beginning
in January 2000. He was also a listed Principal of ShareInVest effective May 19, 1999 until February 25, 2007.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Dennis B. Newton, age 60. </I></B>
Mr. Newton is a Senior Vice-President of the Managing Owner and served in the same capacity at The Millburn Corporation through
July 1, 2011. His primary responsibilities are in administration and business development. Prior to joining the Managing Owner
and The Millburn Corporation in September 1991, Mr. Newton was President of Phoenix Asset Management, Inc., a registered commodity
pool operator from April 1990 to August 1991 and President of its affiliated introducing broker, Phoenix Futures Inc. (&ldquo;Phoenix&rdquo;),
from March 1990 to June 1991. Mr. Newton was listed as a Principal of Phoenix Asset Management, Inc. and Phoenix beginning in June
1990 and April 1990, respectively, and, although he left the firms in August 1991 and June 1991, respectively, his registration
as a Principal was not withdrawn until January 1992 and November 1992, respectively. Mr. Newton was registered as an Associated
Person of Phoenix from May 1990 until June 1991 and of Phoenix Asset Management, Inc. from May 1990 until January 1992 (although
he left the firm prior to that date, in August 1991). Prior to his employment with Phoenix, Mr. Newton was a Director of Managed
Futures with the brokerage firm of Prudential-Bache Securities Inc. (&ldquo;Prudential-Bache&rdquo;) from October 1987 to March
1990 and was associated with its affiliated futures commission merchant entity, Prudential Securities Futures Management, Inc.
Until March 1990, he was registered as an Associated Person with Prudential Equity Group LLC (beginning in October 1987), and was
listed as a Principal of the commodity pool operator Seaport Futures Management, Inc. (&ldquo;Seaport&rdquo;) (beginning in January
1989) and Prudential Securities Futures Management, Inc. (beginning in June 1989). Mr. Newton was a Director of Seaport, and his
responsibilities at Seaport, Prudential-Bache, Prudential Securities Futures Management, Inc. and Prudential Equity Group LLC included
the organization and marketing of public commodity pools. Mr. Newton joined Prudential-Bache from Heinold Asset Management, Inc.
(&ldquo;Heinold&rdquo;), and its affiliated futures commission merchant, Heinold Commodities Inc., where he was a member of the
senior management team from October 1974 to October 1987. Heinold was a pioneer and one of the largest sponsors of funds utilizing
futures and currency forward trading. Mr. Newton was registered as an Associated Person (March 1981 - October 1987) of Heinold
Commodities Inc. Mr. Newton was registered as an Associated Person of Heinold beginning in January 1986 and was listed as a Principal
of Heinold beginning in February 1986. Although Mr. Newton left Heinold in October 1987, his registration as an Associated Person
and his listing as a Principal were not withdrawn until November 1987. Mr. Newton joined the Managing Owner as an Associated Person
in May 1991, and then joined the Managing Owner and its affiliates on a full-time basis in September 1991. Mr. Newton became listed
as a Principal and registered as an Associated Person and branch office manager of the Managing Owner effective May 14, 1997, May
30, 1991 and December 16, 1991, respectively. He also became listed as Principal of The Millburn Corporation effective May 5, 2004
until July 1, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B><I>Tod A. Tanis, age 58.</I></B> Mr.
Tanis is a Vice President and Principal Accounting Officer of the Managing Owner and The Millburn Corporation. He is responsible
for overseeing operations and accounting for the firm&rsquo;s commodity pools. He graduated from Grove City College in May 1976
with a B.A. in accounting and joined the Managing Owner and The Millburn Corporation in May 1983. Prior to joining the Managing
Owner and its affiliates, he was with the brokerage firm of E.F. Hutton, where he was a Manager from December 1982 to April 1983;
a Supervisor from August 1982 to December 1982; an International Accountant from April 1979 to August 1982; and a staff accountant
from June 1978 to April 1979. As a Supervisor at E.F. Hutton, he was responsible for supervising internal and external reporting
for the futures division. In December of 1982, he was promoted to Manager and continued his role in supervising internal and external
reporting. Mr. Tanis also served as a Junior Accountant and then International Staff Accountant with the brokerage firm of Merrill
Lynch &amp; Company from September 1976 to May 1978. Mr. Tanis became listed as a Principal of the Managing Owner and The Millburn
Corporation effective July 14, 2004.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shares with its affiliates
a staff of over 70, including the above-named individuals.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Past performance of the Units is set forth
on pages 20-23 hereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Trading Strategies in General</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Forward and futures traders may generally
be classified as either systematic or discretionary. A systematic trader will generally rely to some degree on judgmental decisions
concerning, for example, which markets to follow and trade, when to liquidate a position in a contract that is about to expire
and how heavy a weighting a particular market should have in a portfolio. However, although these judgmental decisions may have
a substantial effect on a systematic trading advisor&rsquo;s performance, the trader relies primarily on trading programs or models
that generate trading signals. The systems used to generate trading signals themselves may be changed from time to time, but the
trading instructions generated by the systems are followed without significant additional analysis or interpretation. Discretionary
traders on the other hand&nbsp;&mdash; while they may use market charts, computer programs and compilations of quantifiable information
to assist them in making investment decisions&nbsp;&mdash; make investment decisions on the basis of their own judgment and trading
instinct, not on the basis of trading signals generated by any program or model.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner is a systematic trader.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition to being distinguished from
one another on the basis of whether they are systematic or discretionary traders, futures trading advisors are also distinguished
as relying on either technical or fundamental analysis, or on a combination of the two.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Technical analysis is not based on the anticipated
supply and demand of a particular commodity, currency or financial instrument. Instead, it is based on the theory that the study
of the markets themselves will provide a means of anticipating the external factors that affect the supply and demand for a particular
commodity, currency or financial instrument in order to predict future prices. Technical analysis operates on the theory that market
prices at any given point in time reflect all known factors affecting supply and demand for a particular commodity, currency or
financial instrument.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Fundamental analysis, in contrast, is based
on the study of factors external to the trading markets that affect the supply and demand of a particular commodity, currency or
financial instrument in an attempt to predict future prices. Such factors might include the economy of a particular country, government
policies, domestic and foreign political and economic events, and changing trade prospects. Fundamental analysis theorizes that
by monitoring relevant supply and demand factors for a particular commodity, currency or financial instrument, a state of current
or potential disequilibrium of market conditions may be identified that has yet to be reflected in the price level of that instrument.
Fundamental analysis assumes that the markets are imperfect, that information is not instantaneously assimilated or disseminated
and that econometric models can be constructed that generate equilibrium prices that may indicate that current prices are inconsistent
with underlying economic conditions and will, accordingly, change in the future.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner employs models analyzing
both technical and fundamental data, but is predominantly a technical trader.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Managing Owner&rsquo;s Trading Strategy</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Multiple Trading Systems</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner makes trading decisions
pursuant to its investment and trading method, which includes technical trend analysis, certain non-traditional technical systems
(<I>i.e.</I>, systems falling outside of traditional technical trend analysis), and money management principles, which may be revised
from time to time. The objective of the Managing Owner&rsquo;s investment and trading method is to (i) use trend-following models
to participate in all major sustained price moves in the markets traded and (ii) simultaneously deploy shorter-term opportunistic
non-traditional models that may or may not take positions in the same direction as trend-following positions. The Managing Owner&rsquo;s
approach employs models that analyze data over a time spectrum from several minutes to multiple years. A majority of trades generated
by quantitative models may be unprofitable. Their objective is to make a few large profits, more than offsetting their numerous
but smaller losses. Consequently, during periods in which no major price trends develop in a market, trend-following models are
likely to incur substantial losses. Similarly, during periods when market behavior is unsuitable for non-traditional models, such
models are likely to incur substantial losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner is engaged in an ongoing
research effort to improve its trading methods and to apply its quantitative analytic expertise to new financial products.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Successful systematic futures trading depends
on several factors. Two of the main factors are development and selection of the trading systems used in each market, and allocation
of portfolio risk among the markets available for trading.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Market environments change over time, and
particular systems may perform well in one environment but poorly in another. Likewise, market sectors and individual markets go
through periods where systematic trading is very profitable and other periods where no system is able to generate any profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The goal of the Managing Owner&rsquo;s research
has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain
overall portfolio risk within a targeted range, while allowing exposure to profitable opportunities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Over more than 40 years, the Managing Owner
has developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular market based on
the analysis of price movements in the market, some non-price information or a combination of both.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Of course, systems can be materially different
&mdash; better in some periods and worse in others. The main distinguishing features are: the time-frame over which systems work
(intra-day to long-term); the granularity of data fed into them (tick data to daily, weekly or monthly frequencies); type (market
or economic statistics); source (cash-, futures- or option markets-generated data or government and industry generated statistical
information), and the objective of the system (profiting from trends, mean reversion, trading-ranges or volatility). No single
approach will work all the time. Therefore, the Managing Owner&rsquo;s objective is to have several approaches operating simultaneously.
Since the early 1980s, the Managing Owner has selected multiple systems for each market.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">When arriving at the portfolio allocation,
the Managing Owner seeks maximum diversification subject to liquidity and sector concentration constraints, and each market is
traded using a diversified (but generally not optimized for each particular market) set of trading systems. The markets traded
and allocations are reviewed at least monthly, although changes may occur more or less frequently. The following factors, among
others, are considered in constructing a universe of markets to trade for the Trust: profitability, liquidity of markets, professional
judgment, desired diversification, transaction costs, exchange regulations and depth of market. Once the universe of markets is
established, the Managing Owner&rsquo;s simulation and optimization techniques help determine which markets to include in the Trust&rsquo;s
portfolio. The current allocation to any market in the Trust&rsquo;s portfolio does not exceed 3% of total market exposure, measured
by risk allocation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Risk Management</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Risk is a function of both price level and
price volatility. For example, a 100,000 barrel crude oil position is worth more and is, therefore, probably more risky with oil
at $90 per barrel than with oil at $50 per barrel. Similarly, oil would be more risky if prices are moving in a 5% daily range
than if prices are moving in a 1% daily range. The Managing Owner sizes the position in each market taking into account its measurement
of risk based on price level and volatility in that market. Market exposure is then managed by the position-sizing models which
measure the risk in the portfolio&rsquo;s position in each market. In the event the model determines that the risk has changed
beyond an acceptable threshold, it will signal a change in the position &mdash; a decrease in position size when risk increases
and an increase in position size when risk decreases. The Managing Owner&rsquo;s position-sizing models maintain overall portfolio
risk and distribution of risk across markets within designated ranges. The position-sizing model manages the position traded by
each of the (directional) trading systems discussed above. A secondary benefit of the position-sizing model can be timely profit
taking. Because markets tend to become more volatile after a profitable trend has been long underway, the position-sizing model
often signals position reductions before trend reversals.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition, the Managing Owner&rsquo;s
risk management focuses on money management principles applicable to the portfolio as a whole rather than to individual markets.
The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Additional money management principles applicable
to the portfolio as a whole include: (1) limiting the assets committed as margin or collateral, generally within a range of 5%
to 35% of an account&rsquo;s net assets, though the amount may at any time be higher or lower; (2) prohibiting pyramiding &mdash;
that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3)
changing the equity used for trading by an account solely on a controlled periodic basis, not automatically due to an increase
in equity from trading profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Another important risk management function
is the careful control of leverage or total portfolio exposure. Leverage levels are determined by simulating the entire portfolio
&mdash; all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed
level of leverage &mdash; over the past five or ten years to determine the portfolio&rsquo;s simulated risk and return characteristics
as well as the worst case experienced by the portfolio in the simulation period. The worst case, or peak-to-trough drawdown, is
measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the
daily high. If the Managing Owner considers the drawdown too severe or the portfolio&rsquo;s simulated volatility too high, it
reduces the leverage or total portfolio exposure. There are, however, no restrictions on the amount of leverage the Trust may use
at any given time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Decisions whether to trade a particular
market require the exercise of judgment. The decision not to trade certain markets for certain periods, or to reduce the size of
a position in a particular market, may result at times in missing significant profit opportunities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner employs discretion in
the execution of trades where The Millburn Corporation&rsquo;s trader expertise plays a role in timing of orders and, from time
to time, the Managing Owner may adjust the size of a position, long or short, in any given market indicated by its systematic trading
strategies. This exercise of discretion (other than in trade execution) generally occurs only in response to unusual market conditions
that may not have been factored into the design of the trading systems and is generally intended to reduce risk exposure. Decisions
to make such adjustments also require the exercise of judgment and may include consideration of the volatility of the particular
market; the pattern of price movements, both inter-day and intra-day; open interest; volume of trading; changes in spread relationships
between various forward contracts; and overall portfolio balance and risk exposure.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">With respect to the execution of trades,
the Managing Owner and The Millburn Corporation employees responsible for trade order entry may rely to an extent upon the judgment
of others, including dealers and bank traders. No assurance is given that it will be possible to execute trades regularly at or
near the desired buy or sell point.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The trading method, systems and money management
principles utilized by the Managing Owner are proprietary and confidential. The foregoing description is general and is not intended
to be complete.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Use Of
Proceeds</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The entire proceeds of this offering of
the Units will be used by the Trust to engage in its trading activities and as reserves to support that trading.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will deposit its assets in cash
with the Trust&rsquo;s clearing brokers and other futures clearing brokers to be used as margin, in accounts established in the
name of the Trust at major U.S. banks and with its foreign exchange counterparties. The assets deposited as margin with the clearing
brokers will be held in &ldquo;customer segregated funds accounts&rdquo; or &ldquo;foreign futures and foreign options secured
amount accounts,&rdquo; as required by the Commodity Exchange Act and CFTC regulations. In general, the Managing Owner expects
that approximately 3% to 13% of the Trust&rsquo;s assets will be held in customer segregated funds and approximately 3% to 13%
will be held in foreign futures and options secured amount accounts. Assets held in customer segregated funds accounts and foreign
futures and options secured amount accounts will be held in cash or in U.S. Treasury instruments approved by the CFTC for the investment
of customer segregated funds. In general, the Managing Owner expects that approximately 70% to 85% of the Trust&rsquo;s assets
will be held in bank, U.S. government securities and related instrument money market fund or custody accounts opened in the Trust&rsquo;s
name, although the actual level may vary from time to time. Assets held in these accounts will be held primarily in interest-bearing
deposits or in U.S. Treasury instruments and/or Government Agency and related instruments. However, any interest actually earned
may be nominal as a result of the historically low interest rates currently available.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will trade in the forward currency
and may trade in swap markets. The Trust will deposit assets with its currency forward and swap counterparties in order to initiate
and maintain its currency forward and swap contracts, primarily with Morgan Stanley &amp; Co., LLC, Deutsche Bank AG and Barclays
Bank PLC which serve as the Trust&rsquo;s prime brokers in connection with the Trust&rsquo;s foreign currency forward contract
transactions. Such assets will be held in U.S. Treasury instruments or in cash, for which the Trust will receive an interest credit
at short-term rates. The foreign exchange and swap counterparties may receive a benefit as a result of the deposit of such cash
in the form of a reduction in their outstanding overnight borrowings, despite such cash belonging to the Trust, not the counterparties.
Approximately 3% to 12% of the Trust&rsquo;s assets will be held, in the Trust&rsquo;s name, in cash or U.S. Treasury instruments
in accounts in the U.S., with foreign exchange and swap counterparties. These accounts are not subject to the segregation regulations
of the CFTC and thus may offer less protection than segregated funds accounts in the event of the bankruptcy of a foreign exchange
or swap counterparty.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On an ongoing basis, the Managing Owner
anticipates that the Trust will be able to earn interest on approximately 90% of its daily Net Assets. The Managing Owner will
not receive any interest income earned on the approximately 10% of the Trust&rsquo;s Net Assets which do not earn interest for
the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Under current margin requirements, the Managing
Owner expects the Trust&rsquo;s average margin to equity ratio, including collateral held by foreign exchange and swap counterparties,
to be approximately 5% to 35% of the Trust&rsquo;s assets. However, margin requirements vary from time to time, and the Trust
is not limited in the amount of leverage it may use at any one time.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner does not anticipate making
any distributions of Trust profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will not lend any of its assets
to any person or entity other than through permitted securities investments. The Managing Owner will not commingle the property
of the Trust with the property of any other person or entity in violation of law.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Charges</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner believes that you should
consider the charges to which the Trust is subject when making your investment decision.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Charges Paid by the Trust</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="width: 23%; vertical-align: bottom; font-weight: bold">Recipient</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 23%; vertical-align: bottom; font-weight: bold; text-align: center">Nature of Payment</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 50%; vertical-align: bottom; font-weight: bold; text-align: center">Amount of Payment</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>The Managing Owner</TD>
    <TD>&nbsp;</TD>
    <TD>Brokerage Fee</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD><B>Series 1 Units only:</B> 7% annually, paid as a monthly fee of 0.5833 of 1% of the Trust&rsquo;s month-end Net Assets attributable to Series 1 Units before accruals for unpaid Brokerage Fees or Series 1 Profit Shares. The Managing Owner will, in turn, pay all the routine costs of executing and clearing the Trust&rsquo;s trades and all selling commissions due to the Selling Agents. During 2011, the Trust incurred $54,834,417 in Brokerage Fees that were paid and accrued to the Managing Owner.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Persons who invest $100,000 or more in the Series 1 Units pay annual Brokerage Fees at reduced rates. This reduction has no effect on other investors.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Management Fee</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD><B>Series 2 Units and Series 3 Units only:</B> 2% annually, paid as a monthly fee of 0.166 of 1% of the Trust&rsquo;s month-end Net Assets attributable to Series 2 Units and Series 3 Units before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares. During 2011, the Trust incurred $571,739 in management fees that were paid and accrued to the Managing Owner.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Custodial Fee</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD><B>Series 2 Units only:</B> 0.25% annually, paid as a monthly fee of 0.0208 of 1% of the Trust&rsquo;s month-end Net Assets attributable to Series 2 Units, before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing Owner will pay on to broker-dealers serving as custodians of the Series 2 Units. During 2011, the Trust incurred $512 in custodial fees. </TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Executing, Clearing Brokers and Others</TD>
    <TD>&nbsp;</TD>
    <TD>Round-Turn Brokerage and Electronic Trading Platform Fees</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD><B>Series 2 Units, Series 3 Units and Series 4 Units only:</B> Actual costs of executing and clearing the Trust&rsquo;s futures trades and actual electronic platform trading costs attributable to Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.30% of the Trust&rsquo;s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2011, the Trust incurred $64,537 in round-turn brokerage and electronic trading platform fees attributable to the Series 2 Units, Series 3 Units and Series 4 Units.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Forward and Swap</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Counterparties/Prime Brokers</P></TD>
    <TD>&nbsp;</TD>
    <TD>&ldquo;Bid-ask&rdquo; Spreads, Prime Brokerage Fees</TD>
    <TD>&nbsp;</TD>
    <TD>&ldquo;Bid-ask&rdquo; spreads are not actually fees but are dealer profit margins incorporated into forward and swap contract pricing. They are, therefore, unquantifiable.&nbsp; The Managing Owner, not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.002% of the Trust&rsquo;s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units.&nbsp; During 2011, approximately 93% of the Trust&rsquo;s currency forward contracts were not subject to such prime brokerage fee.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 23%">The Managing Owner</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 23%">Annual Profit Share</TD>
    <TD STYLE="width: 2%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 50%">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Series 1 Units: </B>20% of any New Trading Profit attributable
        to Series 1 Units, excluding interest income and after reduction for Brokerage Fees and ongoing offering and administrative costs.</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Series 2 Units and Series 3 Units:</B> 20% of any aggregate
        New Trading Profit attributable to Series 2 Units and Series 3 Units, excluding interest income and after reduction for management
        fees (attributable to Series 2 Units and Series 3 Units), executing and clearing costs (attributable to Series 2 Units and Series
        3 Units), custodial fees (attributable to Series 2 Units) and ongoing offering and administrative costs.</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">During 2011, the Trust allocated $1,385 of Profit Share to the
        Managing Owner.</P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Others</TD>
    <TD>&nbsp;</TD>
    <TD>Trustee fees, legal, accounting, printing, postage and other offering and administrative costs</TD>
    <TD>&nbsp;</TD>
    <TD>As incurred; not expected to exceed 0.35 of 1% of average month-end Net Assets annually.&nbsp; During 2011, the Trust incurred $2,158,133 in administrative expenses.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Others</TD>
    <TD>&nbsp;</TD>
    <TD>Extraordinary charges</TD>
    <TD>&nbsp;</TD>
    <TD>Actual payments to third parties; expected to be negligible.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Flat-Rate Brokerage Fees &mdash; Series 1 Units</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will pay the Managing Owner a
flat-rate annual Brokerage Fee equal to 7% of the average month-end Net Assets attributable to the Series 1 Units after reduction
for expenses but before reduction for any accrued but unpaid Brokerage Fees or Profit Shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner, not the Trust, will
pay all routine costs of executing and clearing the Trust&rsquo;s futures trades attributable to the Series 1 Units. These costs
include the brokerage commissions paid to the clearing brokers, electronic trading platform fees, and NFA transaction fees described
below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s expenses must be offset
by trading gains and interest income to avoid depletion of the Trust&rsquo;s assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner pays up to 4% to the
Selling Agents in respect of the Series 1 Units sold by the Selling Agents. The amount paid to Selling Agents will not, however,
exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant to this Prospectus. Once the 9.5% threshold is reached
with respect to a Series 1 Unit, the Selling Agent will receive no future compensation and the up to 4% amount that would otherwise
be paid to the Selling Agent for that Series 1 Unit will instead be rebated to the Trust for the benefit of all holders of Series
1 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The balance of the Brokerage Fees in respect
of Series 1 Units, after payment of compensation to the Selling Agents (or after rebating to the Trust amounts which would otherwise
have been paid to the Selling Agents but for the cap on such compensation) will be retained by the Managing Owner. The amount of
the Brokerage Fee retained per Series 1 Unit by the Managing Owner is estimated to be approximately 2.75% of the average month-end
Net Asset Value per Series 1 Unit per year, <I>i.e.</I>, the 7% Brokerage Fee received less (i) the up to 4% amount paid as selling
commissions or otherwise rebated to the Trust and (ii) the estimated 0.25% per annum paid out in execution costs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Brokerage Fee Differentials</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you subscribe for Series 1 Units in the
amount of $100,000, $500,000 or $1,000,000 or more, you will be subject to Brokerage Fees of 6.5%, 6% and 5.5%, respectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If your Series 1 Units are subject to reduced
Brokerage Fees, rather than actually being charged the reduced amount, your Series 1 Units will be charged the same 7% Brokerage
Fee as those of other investors. However, the Managing Owner will rebate to you the difference between the 7% Brokerage Fee and
the reduced Brokerage Fee to which you are subject. This rebate will be in the form of additional Series 1 Units, calculated to
three decimal places and issued at the then current Series 1 Unit Net Asset Value. Accordingly, the Net Asset Value of your investment
in the Trust will reflect the reduced Brokerage Fee applicable to your Series 1 Units and a somewhat higher Profit Share as a result
of the lower Brokerage Fee. The Managing Owner uses this rebate procedure to maintain a uniform Net Asset Value across all Series
1 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The level of the Brokerage Fees you pay
will be determined by taking into account the net investments you make &mdash; <I>i.e.</I>, subscriptions minus redemptions. Thus,
if you first invest $50,000 in the Series 1 Units, you will qualify for reduced Brokerage Fees upon a subsequent investment of
$50,000, even if your original investment has lost value.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If, immediately after you redeem Series
1 Units, your aggregate net investment is less than $1,000,000, $500,000, or $100,000, you will no longer qualify for the level
of reduced Brokerage Fee you were paying. If you make a subsequent investment, you will again qualify for reduced Brokerage Fees
at the former level if the amount of the investment, plus the amount of your remaining net capital contributions &mdash; that is,
subscriptions minus redemptions, assuming redemptions to be made first from profits, not capital contributions &mdash; equals or
exceeds the relevant break point.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Management Fees &mdash; Series 2 Units and Series 3 Units</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will pay the Managing Owner an
annual management fee equal to 2% of the average month-end Net Assets attributable to the Series 2 Units and Series 3 Units after
reduction for expenses but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><I>Round-Turn Brokerage Fees &mdash; Series
2 Units, Series 3 Units and Series 4 Units</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust, not the Managing Owner, will
pay the actual costs of executing and clearing the Trust&rsquo;s futures trades attributable to Series 2 Units, Series 3 Units
and Series 4 Units, estimated at approximately 0.25% of the Trust&rsquo;s average month-end Net Assets per year attributable to
the Series 2 Units, Series 3 Units and Series 4 Units. The costs of executing and clearing the Trust&rsquo;s futures trades attributable
to Series 2 Units, Series 3 Units and Series 4 Units will be borne by the Series 2 Units, Series 3 Units and Series 4 Units, respectively,
not by the Trust as a whole.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The costs of executing and clearing the
Trust&rsquo;s futures trades include brokerage commissions paid to the clearing brokers and electronic trading platform fees, as
both are described below, and NFA transaction fees of $0.02 per round-turn trade of a futures contract and $0.01 for each trade
of a commodity option executed on a U.S. exchange.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has negotiated brokerage
rates with the clearing brokers ranging from approximately $2.00 to approximately $15.00 per round-turn trade, including all
related exchange and regulatory fees. Commissions on some foreign exchanges are somewhat higher. Electronic trading platform fees
for futures range from $0.15 to $0.25 per contract, depending upon the futures trading volume. At these rates, and including
the foreign currency prime broker fees described below, the Managing Owner estimates the Trust&rsquo;s aggregate execution and
clearing costs borne by the Series 2 Units, Series 3 Units and Series 4 Units will be approximately 0.25% of average month-end
Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units per year. The Managing Owner does not receive
any portion of the commissions paid to the clearing brokers.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial Fees &mdash; Series 2 Units</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will pay the Managing Owner a
custodial fee equal to 0.25% of the average month-end Net Assets attributable to the Series 2 Units, after reduction for expenses
but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing
Owner will pay on to brokers acting as custodian of Series 2 Units for the benefit of investors in Series 2 Units. The custodial
fee expense will be borne by the Series 2 Units, not by the Trust as a whole.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The maximum amount of custodial fees paid
to brokers that serve as custodians of Series 2 Units will not exceed 3.1667% of the gross offering proceeds of the Series 2 Units
sold pursuant to this Prospectus. Once the maximum threshold is reached with respect to a Series 2 Unit, the broker serving as
custodian for such Series 2 Unit will receive no future payment of custodial fees and the 0.25% amount that would otherwise be
paid to the custodian for that Series 2 Unit will instead be rebated to the Trust for the benefit of all holders of Series 2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: left; margin-bottom: 0pt"><I>&ldquo;Bid-Ask&rdquo; Spreads</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Currency dealers trade with a spread between
the price at which they are prepared to buy or sell a particular currency. These &ldquo;bid-ask&rdquo; spreads are not actually
fees but, rather, represent a profit margin to the dealer for making a market in the currency. The Managing Owner cannot quantify
the amount of dealer profit that is embedded in a price quoted by a dealer, but the Managing Owner believes that the Trust will
effect its currency transactions at prevailing market prices. Because the Trust will buy currency at the offer price and sell it
at the bid price, the Trust, not the Managing Owner, will pay the dealer spreads. Dealer profit from the Trust&rsquo;s currency
trading may, over time, be substantial. Moreover, if the Trust trades swaps, banks and other dealers charge a &ldquo;spread&rdquo;
between &ldquo;bid&rdquo; and &ldquo;ask&rdquo; prices, reflecting their profit on the transaction. In addition, the Managing Owner,
not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately
$4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the
Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker
or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated
on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, such prime brokerage fees to be an
expense borne by the Series 2 Units, Series 3 Units and Series 4 Units, not the Trust as a whole. Prime brokerage fees borne by
the Series 2 Units, Series 3 Units and Series 4 Units are estimated at approximately 0.002% of the Trust&rsquo;s average month-end
Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2011, approximately 93% of the
Trust&rsquo;s currency forward contracts were not subject to such prime brokerage fee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>20% Profit Share Based on &ldquo;High Water Mark&rdquo; New
Trading Profit</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust pays the Managing Owner a Series
1 Profit Share equal to 20% of any cumulative New Trading Profit recognized by the Series 1 Units as of the end of each calendar
year. The Trust pays the Managing Owner a Series 2/3 Profit Share equal to 20% of any cumulative New Trading Profit recognized,
in the aggregate, by the Series 2 Units and the Series 3 Units as of the end of each calendar year. New Trading Profit is any cumulative
Trading Profit in excess of the highest level &mdash; the &ldquo;High Water Mark&rdquo;&mdash;of cumulative Trading Profit as of
any previous calendar year-end. Trading Profit includes (1) realized trading profit (loss) plus or minus (2) the change in unrealized
trading profit (loss) on open positions as of the previous calendar year-end. New Trading Profit in respect of Series 1 Units is
calculated after payment of the monthly Brokerage Fee and ongoing offering and administrative expenses. New Trading Profit in respect
of Series 2 and Series 3 Units is calculated after payment of the monthly management fee, execution and clearing costs, custodial
fees, and ongoing offering and administrative expenses. For purposes of determining the Unit Net Asset Value and for allocating
Profit Shares in respect of Units redeemed as of a date other than December 31, the Profit Share is accrued, and the accruals are
reversed to reflect losses, on a monthly basis. Trading Profit does not include interest earned on the Trust&rsquo;s assets. Profit
Shares previously paid do not reduce New Trading Profit. That is, the Managing Owner does not have to &ldquo;earn back&rdquo; its
Profit Shares in order to produce New Trading Profit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">For example, assume that at the end of the
first year of trading the Series 1 Units had, after payment of monthly Brokerage Fees and ongoing offering and administrative costs,
a realized profit of $50,000 on its closed positions and an unrealized profit of $150,000 on open positions. Series 1 Trading Profit
would equal $200,000 and 20%, or $40,000, would be allocated as a Series 1 Profit Share. Assume that during the second calendar
year, again after payment of monthly Brokerage Fees and ongoing offering and administrative costs, the Series 1 Units had realized
profits of $60,000 and a decrease in the unrealized profits on its open positions of $50,000. Cumulative Series 1 New Trading Profit
would have increased to $210,000 ($200,000 + $60,000 &mdash;$50,000), and 20% of $10,000, or $2,000, would be allocated as a Series
1 Profit Share. Now assume that during the third year, again after payment of monthly Brokerage Fees and ongoing offering and administrative
costs, the Series 1 Units incurred realized losses of $150,000 and a decrease in the unrealized profit on its open positions of
$100,000. Series 1 Trading Profit would have decreased as of the end of such year to $(40,000) ($210,000 &mdash; $150,000 &mdash;
$100,000), and no Series 1 Profit Share would be paid. The Managing Owner would retain the $42,000 already paid as Series 1 Profit
Shares but would not receive additional Series 1 Profit Shares until cumulative Series 1 New Trading Profit exceeded $210,000 as
of a year-end.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption of Units will result in a proportional
decrease in any loss carryforward &mdash; since the last calendar year-end as of which a Profit Share was paid &mdash; as of the
date of redemption. Redemption of Units at a time when there is accrued New Trading Profit will result in a proportional Profit
Share allocation to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 4 Units, which are available only
to employees and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation
401(k) and Profit Sharing Plan, are not subject to the Managing Owner&rsquo;s Profit Share.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><I>Offering Expenses</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust pays all offering costs of the
Units, including registration and filing fees and the legal and accounting costs of updating this Prospectus and printing and postage
costs associated with producing and distributing this Prospectus and related sales literature to the Selling Agents, as well as
payments to administrators for processing subscription agreements. The Managing Owner may pay certain of these costs and, if so,
will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs are unexpectedly high,
the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement. The offering costs of the Trust will
not exceed 1.25% of the gross offering proceeds of the Units. When added to selling compensation discussed herein, the &ldquo;organizational
and offering expenses&rdquo; of the Trust, as defined by Rule 2310 of the Financial Industry Regulatory Authority, Inc. (&ldquo;FINRA&rdquo;),
will not exceed 11.25% of the gross offering proceeds of the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Administrative Expenses</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust pays all routine legal, accounting,
administrative (including, if applicable, the services of an administrator unaffiliated with the Managing Owner), printing and
similar costs associated with its day-to-day operations, including the Trustee&rsquo;s fees and the Valuation Agent&rsquo;s fees.
The Managing Owner estimates such costs will not exceed 0.30 of 1% of the Trust&rsquo;s average month-end Net Assets in any given
year, assuming Trust assets of $650,000,000, and, when aggregated with the offering costs described above, are not expected to
exceed 0.35 of 1% of the Trust&rsquo;s average month-end Net Assets in any given year. The Managing Owner may pay certain of these
costs and, if so, will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs
are unexpectedly high, the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Extraordinary Expenses</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is responsible for the taxes,
if any, imposed on the Trust itself. The Trust is required to pay any extraordinary charges incidental to its trading, for example,
insurance or delivery expenses. The Managing Owner expects that any such charges will be negligible.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Charges Paid by the Managing Owner</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling Commissions</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner pays, from its own funds,
the Selling Agent&rsquo;s selling commissions in connection with the sale and distribution of the Series 1 Units. The Managing
Owner will also pay, from its own funds, any sales commissions or compensation due Selling Agents in connection with the sale of
the Series 2 Units and Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Charges Paid by Certain Investors</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Redemption Charges</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption charges, described below, apply
through the first eleven months after a Series 1 Unit is issued. Redemption charges reduce the amount of your redemption proceeds.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Redemptions;
Net Asset Value</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Redemption Procedure</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is intended as a medium- to long-term
investment, which the Managing Owner construes to mean at least a 3-5 year period. However, you may redeem Units as of the close
of business on the last day of any calendar month. You must give at least 10 days&rsquo; prior written notice to the Managing Owner
of your intent to redeem.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you redeem Series 1 Units on or before
the end of the first consecutive six-month and five-month periods after you buy such Series 1 Units, you will pay redemption charges
of 4% and 3%, respectively, of your redeemed Series 1 Units&rsquo; Net Asset Value as of the date of redemption. Series 1 Units
are considered sold, for purposes of determining whether redemption charges apply, on the closing date &mdash; the first day of
the month &mdash;of the investment, not the day subscriptions are received or accepted. If your subscription is in the amount of
$100,000, $500,000 or $1,000,000 or more, your redemption charges will be 3.5% and 2.5%, 3% and 2%, and 2.5% and 1.5%, respectively.
Redemption charges are paid to the Managing Owner. Series 1 Units purchased on different closing dates are treated on a &ldquo;first-in,
first-out&rdquo; basis for purposes of calculating the periods to which redemption charges apply and for purposes of determining
the 9.5% threshold for Selling Agent fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">All additional Series 1 Units issued to
subscribers subject to reduced Brokerage Fees will, for redemption purposes, be deemed all to have been issued as of the same issue
date as the longest outstanding Series 1 Units held by the particular Unitholder. In the event that Series 1 Units are sold at
an intra-month closing date, the end of such month will constitute the first of the eleven month-ends as of which such redemption
charges are due.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 2 Units, Series 3 Units and Series
4 Units are not subject to redemption charges.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may declare additional
redemption dates upon notice to the Unitholders and may, in unusual circumstances, permit certain, or all, Unitholders to redeem
as of dates other than month-end.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Unitholders may redeem any whole number
of Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Fractional Units may be redeemed only upon
redemption of a Unitholder&rsquo;s entire remaining interest in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A form of Request for Redemption is attached
to the Fourth Amended and Restated Declaration of Trust and Trust Agreement (the &ldquo;Declaration of Trust&rdquo;) as an Annex.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">All requests for redemption will be honored
and payment will be made within 15 business days of the month-end redemption date. The Managing Owner will make arrangements with
Selling Agents who so request to pay redemptions through crediting Unitholders&rsquo; customer securities accounts with such Selling
Agents. In the unlikely event a market disruption that results in the closing of financial markets in the U.S. or abroad makes
it impossible or impracticable to value the Units or liquidate Trust assets, redemptions may be suspended or payment of redemption
proceeds may be delayed. Unitholders will be notified by telephone or first-class mail if redemptions are suspended or if redemption
payments will be delayed due to such a market disruption.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Investments by the Managing Owner, other
than its required investment in the Trust, may be redeemed on the same terms as the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Net Asset Value</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Net Assets are determined in accordance
with generally accepted accounting principles of the U.S. and include unrealized profits as well as unrealized losses on open commodity
positions. Net Assets include the sum of all cash, U.S. Treasury instruments or other fixed-income instruments, valued at market,
the liquidating value, or cost of liquidation, of all futures, forward and options positions and the fair market value of all other
assets of the Trust, less all liabilities of the Trust, including accrued liabilities, irrespective of whether such liabilities,
such as Profit Shares, may, in fact, never be paid. If a contract cannot be liquidated on a day with respect to which Net Assets
are being determined, the settlement price on the next day on which the contract can be liquidated will be the basis for determining
the liquidating value of such contract, or such day, or such other value as the Managing Owner may deem fair and reasonable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Net Asset Value of a Unit of a particular
Series refers to the Net Assets allocated to the aggregate capital accounts of the Units of such Series divided by the number of
outstanding Units of such Series.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>The Clearing
Brokers</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust utilizes the services of various
clearing and executing brokers in connection with its futures trading. The Managing Owner currently intends to clear trades through
J.P. Morgan Securities LLC, Deutsche Bank Securities Inc., Merrill Lynch, Pierce, Fenner &amp; Smith Incorporated, Newedge USA,
LLC, Barclays Capital Inc. and Credit Suisse Securities (USA) LLC but may execute or clear some or all of the Trust&rsquo;s trades
through other brokerage firms without notice to the Unitholders (the &ldquo;Clearing Brokers&rdquo;). The Managing Owner may execute
or clear trades through brokerage firms which are also Selling Agents.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 10.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Customer Agreements among the clearing
brokers, the Managing Owner and the Trust generally provide that the clearing brokers will not be liable to the Trust except for
gross negligence, willful misconduct or bad faith and, in the case of trades executed as well as cleared by the clearing brokers,
for errors in such execution.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Although J.P. Morgan Securities LLC (&ldquo;JPMS&rdquo;),
as a large futures commission merchant (&ldquo;FCM&rdquo;) and broker dealer, has been subject to regulatory disciplinary matters
involving sizeable fines or other sanctions, as of the date hereof neither the firm nor any of its principals has been the subject
of any material administrative, civil or criminal action, including any action that has been pending, on appeal, or concluded within
the last five years, except as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">J.P. Morgan Futures Inc. (&ldquo;JPMFI&rdquo;)
merged with and into JPMS on June 1, 2011. In 2009, JPMFI agreed to pay a Civil Monetary Penalty of $300,000 in connection with
the CFTC finding that JPMFI violated the Commodity Exchange Act and CFTC Regulations.&nbsp; The violations concerned rules governing
segregation of customer funds, timely computation of segregation obligations, timely reporting of an under segregation deficiency
to the CFTC and diligent supervision of its employees.&nbsp; The CFTC also indicated that JPMFI did not have a process in place
to determine the impact of expected withdrawals from the segregated accounts on the amount required to be kept in segregation,
and that JPMFI, as required by the CFTC, has enhanced existing procedures by implementing a segregation forecasting process to
ensure that proper segregation is maintained.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In 2007, JPMFI maintained accounts for customer
funds (segregated accounts) and kept its own funds in separate accounts. During this time, JPMFI processed transactions related
to the delivery of Treasury notes that resulted in JPMFI&rsquo;s segregated accounts being insufficiently funded on one business
day by approximately $750 million. This resulted in JPMFI drawing upon customer segregated funds beyond its actual interest, which
caused customer funds to be commingled with JPMFI&rsquo;s funds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The CFTC&rsquo;s 2009 Order did not make
any findings indicating that JPMFI being under segregated caused any losses to customers.&nbsp; Additionally, the CFTC indicated
that the securities JPMFI held were sufficient,&nbsp; had they been moved to a segregated account on the day in question, to allow
JPMFI to maintain proper funding of its segregated bank accounts.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On October 27, 2009, JPMS submitted an Offer
of Settlement to the SEC. In the Offer of Settlement, JPMS agreed to consent to the entry of the Order, without admitting or denying
the findings contained therein (other than those relating to jurisdiction). The SEC Order was issued on November 4, 2009. The case
involved claims that JPMS did not disclose in official statements or offering memoranda payments by JPMS to local broker dealers
and consultants in connection with $5 billion in bond underwriting and interest rate swap agreement business awarded to JPMS. The
Order censured JPMS, required that JPMS cease-and-desist from committing or causing any violations or future violations of Section
17(a)(2) and (3) of the Securities Act of 1933, Section 15B(c)(1) of the Securities Exchange Act of 1934 and Municipal Securities
Rulemaking Board Rule G-17, and required that JPMS pay disgorgement of $1 and a civil money penalty of $25 million. The disgorgement
and civil money penalty were paid on November 9, 2009. The Order also reflected JPMS&rsquo;s undertaking to (a) make a $50 million
payment to and for the benefit of Jefferson County, Alabama, for the purpose of assisting displaced County employees, residents
and sewer ratepayers, and (b) terminate any and all obligations of the County to make any payments to JPMS&rsquo;s affiliated commercial
bank arising from the termination of certain swap agreements with the County. The payment to and for the benefit of Jefferson County,
Alabama was paid on November 9, 2009, and the payment obligations of the County to JPMS&rsquo;s affiliated commercial bank were
terminated on November 4, 2009.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On June 2, 2009, J.P. Morgan Chase &amp;
Co. (&ldquo;J.P. Morgan&rdquo;), on behalf of itself and its affiliates, including JPMS, agreed to a settlement in principle with
the New York Attorney General&rsquo;s Office (&ldquo;NYAG&rdquo;), which provided, among other things, that J.P. Morgan would offer
to purchase at par certain auction-rate securities (&ldquo;ARS&rdquo;) purchased from JPMS by individual investors, charities and
small- to medium-sized businesses. On June 4, 2009, J.P. Morgan also agreed to a substantively similar settlement in principle
with the Office of Financial Regulation for the State of Florida and the North American Securities Administrators Association (&ldquo;NASAA&rdquo;)
Task Force, which agreed to recommend approval of the settlement to all remaining states, Puerto Rico and the U.S. Virgin Islands.
The settlement agreements with the NYAG and the Office of Financial Regulation for the State of Florida have been finalized. The
regulators alleged &nbsp;that JPMS misrepresented the nature, liquidity and risk of the ARS it sold, and that in February 2008,
JPMS stopped uniformly supporting auctions for which it acted as the sole or lead broker, leaving certain investors holding long-term
securities that could not be sold at par value.&nbsp; JPMS neither admitted nor denied the facts alleged by the regulators and
the settlement agreements provide for the payment of penalties totaling $25 million.&nbsp; J.P. Morgan is currently in the process
of finalizing consent agreements with NASAA&rsquo;s member states.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On June 21, 2011, the SEC filed a Complaint
in the U.S. District Court for the Southern District of New York pursuant to a settlement agreement with JPMS resolving an inquiry
concerning the structuring and sale of certain mortgage related collateralized debt obligations (&ldquo;CDO&rdquo;).&nbsp; The
Complaint alleges that JPMS negligently failed to disclose in the offering documents for Squared CDO 2007-1 that an institutional
investor that purchased the subordinated notes in the CDO, and purchased protection on a substantial portion of the collateral,
played a significant role in the collateral selection process.&nbsp; Without admitting or denying the allegations of the SEC&rsquo;s
complaint, JPMS consented to entry of a judgment that (i) enjoins JPMS from violating Section 17(a)(2) and (3) of the Securities
Act of 1933, (ii) orders JPMS to pay $18.6 million in disgorgement, $2 million in prejudgment interest and a $133 million penalty,
and (iii) orders JPMS to comply with certain undertakings relating to its future offerings of Residential Mortgage Backed Securities
(&ldquo;RMBS&rdquo;).&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The SEC, the U.S. Department of Justice
(&ldquo;USDOJ&rdquo;), the IRS, the Office of the Comptroller of the Currency (&ldquo;OCC&rdquo;), the Board of Governors of the
Federal Reserve System and 25 State Attorneys General (collectively, the &ldquo;Agencies&rdquo;) conducted investigations into
manipulation of the sales and bidding processes on certain municipal derivative transactions in or prior to 2006 by certain former
employees of JPMS at its former municipal derivatives desk. On July 7, 2011, JPMS and/or certain of its affiliates entered into
settlements with the Agencies, as a result of which JPMS and/or certain of its affiliates will pay a total amount of $211.2 million
as follows: $50 million to the IRS; $51.2 million in connection with its agreement with the SEC; $35 million in connection with
its agreement with the OCC; and $75 million in connection with its agreement with the State Attorneys General.&nbsp; Of those funds,
$129.7 million will be eligible for distribution to municipalities and other tax-exempt issuers.&nbsp; JPMS and/or certain of its
affiliates also consented to various undertakings, including the implementation of enhanced compliance measures.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On March 8, 2012, the CFTC issued an order
filing and simultaneously settling charges against JPMS for prearranging a trade involving ten year U.S. Treasury Note Futures
spreads on the Chicago Board of Trade. The order found that on a single occasion in 2010, before the merger of JPMFI with and into
JPMS, a customer directed a JPMFI employee to sell a certain number of ten year Treasury spreads on its behalf and to look for
any &ldquo;all or nones&rdquo; against which to sell those spreads. An &ldquo;all or none&rdquo; order must be filled in its entirety.
According to the order, the JPMFI employee subsequently identified an all or none bid for the exact same amount as the sell order
and then sold against that bid, with the result being that the same customer was on both sides of the transaction. The order found
that JPMFI, through its employee, confirmed the execution of a prearranged trade, and that such trade was both noncompetitively
executed and a fictitious sale, in violation of Commodity Exchange Act Section 4c(a)(1) and CFTC Regulation 1.38(a). The order
required JPMS to pay a civil monetary penalty of $140,000, cease and desist from further violations of the Commodity Exchange Act
and CFTC Regulations, and undertake all necessary steps to ensure that all employees and/or agents under its authority or control
understand and comply with the order.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A portion of the Trust&rsquo;s futures transactions
are cleared through Deutsche Bank Securities Inc. (&ldquo;DBSI&rdquo;). DBSI has its main business office located at 60 Wall Street,
New York, New York 10005, U.S.A., and is an indirect wholly owned subsidiary of Deutsche Bank AG. DBSI is registered with the CFTC
as an FCM and is a member of the NFA in such capacity. &nbsp;DBSI is also a U.S.-registered broker-dealer. In the ordinary course
of its business, DBSI is involved in numerous legal actions, some of which seek significant damages. <FONT STYLE="color: black">DBSI
believes, based on information available to it, that the resolution of the following matters will not have a material adverse effect
on the financial condition of DBSI. The actions against DBSI as of December 31, 2011 include but are not limited to the following:</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">DBSI and its predecessor firms, along with
numerous other securities firms, have been named as defendants in over 80 putative class action lawsuits pending in the U.S. District
Court for the Southern District of New York. These lawsuits allege violations of securities and antitrust laws in connection with
the allocation of shares in a large number of initial public offerings (&ldquo;IPOs&rdquo;) by issuers, officers and directors
of issuers, and underwriters of those securities. DBSI is named in these suits as an underwriter. The securities cases allege material
misstatements and omissions in registration statements and prospectuses for the IPOs and market manipulation with respect to aftermarket
trading in the IPO securities. A related putative antitrust class action was finally dismissed in 2007. Among the allegations in
the securities cases are that the underwriters tied the receipt of allocations of IPO shares to required aftermarket purchases
by customers and to the payment of undisclosed compensation to the underwriters in the form of commissions on securities trades,
and that the underwriters caused misleading analyst reports to be issued. In the securities cases, the motions to dismiss the complaints
of DBSI and others were denied on February 13, 2003. Plaintiffs&rsquo; motion to certify six &ldquo;test&rdquo; cases as class
actions in the securities cases was granted on October 13, 2004. On December 5, 2006, the U.S. Court of Appeals for the Second
Circuit vacated the decision and held that the classes in the six cases, as defined, could not be certified. On March 26, 2008,
the trial court granted in part and denied in part motions to dismiss plaintiffs&rsquo; amended complaints. The extent to which
the court granted the motions did not affect any cases in which DBSI is a defendant. Following a mediation, a settlement was reached
and approved by the trial court on October 6, 2009. On October 23, 2009, an objector filed a Rule 23(f) petition with the Second
Circuit, seeking leave to appeal the trial court&rsquo;s certification of the settlement class in connection with all 310 cases,
including the cases in which DBSI was named as a defendant. The plaintiffs objected, and all the underwriter defendants responded
to the petition on November 2, 2009. The petition was subsequently withdrawn and substituted with an appeal of the district court&rsquo;s
order. The appeal is currently pending before the Second Circuit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank AG, along with certain affiliates,
including DBSI, and current and/or former employees (collectively referred to as &ldquo;Deutsche Bank&rdquo;), have collectively
been named as defendants in a number of legal proceedings brought by customers in various tax-oriented transactions. Deutsche Bank
provided financial products and services to these customers, who were advised by various accounting, legal and financial advisory
professionals. The customers claimed tax benefits as a result of these transactions, and the IRS has rejected those claims. In
these legal proceedings, the customers allege that the professional advisors, together with Deutsche Bank, improperly misled the
customers into believing that the claimed tax benefits would be upheld by the IRS. The legal proceedings are pending in state and
federal courts, and claims against Deutsche Bank are alleged under both U.S. state and federal law. Approximately 102 legal proceedings
have been resolved and dismissed with prejudice with respect to Deutsche Bank. A number of other legal proceedings remain pending
as against Deutsche Bank and are currently at various pre-trial stages, including discovery. Deutsche Bank has received a number
of unfiled claims as well, and has resolved certain of those unfiled claims, though others remain pending against Deutsche Bank.
Deutsche Bank AG does not expect these pending legal proceedings and unfiled claims to have a significant effect on its financial
position or profitability.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank has received subpoenas and
requests for information from certain regulators and government entities concerning its activities regarding the origination, purchase,
securitization, sale and/or trading of mortgage loans, RMBS, CDOs, asset backed commercial paper and credit derivatives. Deutsche
Bank is cooperating fully in response to those subpoenas and requests for information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: black">Deutsche Bank
has been named as defendant in numerous civil litigations</FONT> <FONT STYLE="color: black">in various roles as issuer or underwriter
in RMBS offerings. These cases include purported class action suits, actions by individual purchasers of securities, and actions
by insurance companies that guaranteed payments of principal and interest for particular tranches of securities offerings. Although
the allegations vary by lawsuit, these cases generally allege that the RMBS offering documents contained material misrepresentations
and omissions, including with regard to the underwriting standards pursuant to which the underlying mortgage loans were issued,
or assert that various representations or warranties relating to the loans were breached at the time of origination. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank and several current or former
employees were named as defendants in a putative class action commenced on June 27, 2008, relating to two Deutsche Bank-issued
RMBS offerings. Following a mediation, the parties reported to the court that they had reached a preliminary agreement to settle
the case. In response, the court closed the case without prejudice to reopening it for the purpose of concluding class action settlement
procedures. A settlement agreement has not been finalized and there is no assurance that it will be. If it is, the settlement will
be subject to certain terms and conditions including court approval.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank is a defendant in putative
class actions relating to its role, along with other financial institutions, as underwriter of RMBS issued by various third-parties
and their affiliates including Countrywide Financial Corporation, IndyMac MBS, Inc., Novastar Mortgage Corporation, and Residential
Accredit Loans, Inc. These cases are in various stages up through discovery. A settlement in a putative class action brought on
behalf of purchasers of RMBS issued by affiliates of Wells Fargo Asset Securities Corporation received final court approval on
November 14, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank is a defendant in various
non-class action lawsuits by alleged purchasers of, and counterparties involved in transactions relating to, RMBS, and their affiliates,
including Allstate Insurance Company, Assured Guaranty Municipal Corp., Cambridge Place Investments Management Inc., the Federal
Deposit Insurance Corporation (as conservator for Franklin Bank S.S.B.), the Federal Home Loan Bank of Boston, the Federal Home
Loan Bank of San Francisco, the Federal Home Loan Bank of Seattle, the Federal Housing Finance Agency (as conservator for Fannie
Mae and Freddie Mac), Mass Mutual Life Insurance Company, Phoenix Light SF Limited, Stichting Pensioenfonds ABP, The Charles Schwab
Corporation, The Union Central Life Insurance Company, The Western and Southern Life Insurance Co. and the West Virginia Investment
Management Board. These civil litigations are in various stages up through discovery.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the actions against Deutsche Bank solely
as an underwriter of other issuers&rsquo; RMBS offerings, Deutsche Bank has contractual rights to indemnification from the issuers,
but those indemnity rights may in whole or in part prove effectively unenforceable where the issuers are now in bankruptcy or otherwise
defunct.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank has entered into a settlement
with the National Credit Union Administration (&ldquo;NCUA&rdquo;), as conservator for five failed credit unions, to resolve potential
claims relating to RMBS purchased by the five credit unions. Under the terms of the settlement, which was announced by the NCUA
on November 14, 2011, DBSI paid $145 million.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On February 6, 2012, the U.S. District Court
for the Southern District of New York issued an order dismissing claims brought by Dexia SA/NV and Teachers Insurance and Annuity
Association of America, and their affiliates. The court dismissed some of the claims with prejudice and granted the plaintiffs
leave to replead other claims.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A number of other entities have threatened
to assert claims against Deutsche Bank in connection with various RMBS offerings and other related products, and Deutsche Bank
has entered into agreements with a number of these entities to toll the relevant statute of limitations. It is possible that these
potential claims may have a material impact on Deutsche Bank.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank is a defendant in an action
brought by M&amp;T Bank (&ldquo;M&amp;T&rdquo;) in New York State Supreme Court in connection with M&amp;T&rsquo;s March 2007 purchase
of notes issued by Gemstone VII CDO, which was collateralized by subprime RMBS. M&amp;T alleged that Deutsche Bank misrepresented
and did not disclose the impairment of the underlying collateral for the Gemstone VII CDO; that Deutsche Bank&rsquo;s level of
due diligence in the selection and monitoring of the underlying collateral was deficient; and that Deutsche Bank withheld from
the rating agencies information regarding the deteriorating quality of the collateral. M&amp;T asserted numerous causes of action
under New York state law, including among others, fraud, negligent misrepresentation, rescission, breach of contract and violations
of New York&rsquo;s consumer protection statute. All claims against Deutsche Bank, except for the fraud and rescission claims,
had previously been dismissed. The parties have reached a settlement and filed a stipulation of discontinuance with the court closing
the case.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank is a defendant in an action
filed in New York State Supreme Court by eleven special purpose entities affiliated with IKB Deutsche Industriebank AG. The action
concerns six CDOs backed by RMBS collateral that Deutsche Bank arranged and sold to plaintiffs in 2006 and 2007. Plaintiffs allege
that Deutsche Bank misstated and otherwise failed to disclose that these CDOs were affected by certain impairments and conflicts
of interest, including impairments to the underlying collateral and the alleged involvement of certain short counterparties in
the process by which collateral was selected. Plaintiffs assert numerous causes of action under New York state law, including among
others, fraud, negligent misrepresentation, rescission, fraudulent conveyance and unjust enrichment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On May 3, 2011, the USDOJ filed a civil
action against Deutsche Bank AG and MortgageIT, Inc. in the U.S. District Court for the Southern District of New York. The USDOJ
filed an amended complaint on August 22, 2011. The amended complaint, which asserts claims under the U.S. False Claims Act and
common law, alleges that Deutsche Bank AG, DB Structured Products, Inc., MortgageIT, Inc. and DBSI submitted false certifications
to the Department of Housing and Urban Development&rsquo;s Federal Housing Administration (&ldquo;FHA&rdquo;) concerning MortgageIT,
Inc.&rsquo;s compliance with FHA requirements for quality controls and concerning whether individual loans qualified for FHA insurance.
As set forth in the amended complaint, FHA has paid $368 million in insurance claims on mortgages that are allegedly subject to
false certifications. The amended complaint seeks recovery of treble damages and indemnification of future losses on loans insured
by FHA, and as set forth in the filings, the government seeks over $1 billion in damages. On September 23, 2011, the defendants
filed a motion to dismiss the amended complaint. Following a hearing on December 21, 2011, the court order granted the USDOJ leave
to file a second amended complaint, which was due on or before February 27, 2012.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: black">Deutsche Bank
AG and DBSI, including a division of DBSI, have been named as defendants in 21 individual actions asserting various claims under
the federal securities and state common laws arising out of the sale of </FONT>ARS<FONT STYLE="color: black">. Of those 21 actions,
seven are pending and fourteen have been resolved and dismissed with prejudice.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Deutsche Bank AG and DBSI have also been
the subjects of proceedings by state and federal securities regulatory and enforcement agencies relating to the marketing and sale
of ARS. In August 2008, Deutsche Bank AG and its subsidiaries entered into agreements in principle with the NYAG and NASAA, representing
a consortium of other states and U.S. territories, pursuant to which Deutsche Bank AG and its subsidiaries agreed to purchase from
their retail, certain smaller and medium-sized institutional, and charitable clients, ARS that those clients purchased from Deutsche
Bank AG and its subsidiaries prior to February 13, 2008; to work expeditiously to provide liquidity solutions for their larger
institutional clients who purchased ARS from Deutsche Bank AG and its subsidiaries; to pay an aggregate penalty of $15 million
to state regulators; and to be subject to state orders requiring future compliance with applicable state laws. On June 3, 2009,
DBSI finalized settlements with the NYAG and the New Jersey Bureau of Securities that were consistent with the August 2008 agreements
in principle, and DBSI entered into a settlement with the SEC that incorporated the terms of the agreements in principle with the
states. DBSI has since entered into settlement orders and paid the applicable share of the $15 million penalty to all but one of
the states and territorial agencies.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: black">Deutsche Bank
is the subject of a consolidated putative class action, filed in the U.S. District Court for the Southern District of New York,
asserting claims under the federal securities laws on behalf of persons who purchased certain trust preferred securities issued
by Deutsche Bank between October 2006 and May 2008. Claims are asserted under sections 11, 12(a)(2), and 15 of the Securities Act
of 1933. An amended and consolidated class action complaint was filed on January 25, 2010. </FONT>On August 19, 2011, the court
granted in part and denied in part the defendants&rsquo; motion to dismiss. Defendants have moved for reconsideration of the portion
of the decision denying the motion to dismiss. On September 20, 2011, plaintiffs filed a second amended complaint, which no longer
includes claims based on the October 2006 issuance of securities. <FONT STYLE="color: black"> </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">DBSI has been named as a respondent in 25
arbitrations seeking damages allegedly sustained from investments in the Aravali Fund (&ldquo;Aravali&rdquo;), a third-party hedge
fund sold by DBSI to retail clients. Aravali used a high degree of leverage in investing in municipal bonds to generate return
and income, leverage that led to the collapse of the fund when the municipal bond market suffered a decline in the fall of 2008.
Five of the arbitrations are pending, and twenty of the arbitrations have concluded or have been resolved and have been or will
soon be dismissed with prejudice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">DBSI has been named as a respondent in 16
arbitrations seeking damages for losses sustained through a put spread options investment strategy directed by an independent registered
investment advisor, Themis Asset Strategies LLC (&ldquo;Themis&rdquo;), whose principal Derek Clark was a client advisor at DBSI
from 2002-2005. Claimants include direct clients of Themis, for whom DBSI performed execution and custody services; customers of
DBSI, who participated in the trading program through DBSI&rsquo;s referral program; and a non-customer whose trades were executed
through DBSI&rsquo;s options desk and delivered to another firm. The put spread options strategy experienced a severe decline during
the market turmoil of October 2008, and DBSI discontinued its referral arrangement with Themis in November 2008. Five of the arbitrations
are pending and eleven have been resolved and dismissed with prejudice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">DBSI has been named as respondent in an
arbitration alleging that DBSI failed to sell an equity position held by the claimant, Dr. Xiaohua Qu, in accordance with the terms
of a Rule 10b5-1 sales plan agreement. Claimant seeks compensatory damages in excess of $10 million plus punitive damages and costs
and fees. There is no hearing date scheduled.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">DBSI, along with numerous other securities
firms and individuals, has been named as a defendant in two class action lawsuits pending in the U.S. District Court for the Southern
District of New York. These lawsuits are purportedly brought on behalf of investors in certain debt securities issued by MF Global
Holdings Ltd. DBSI is being sued as an underwriter for two of the three debt offerings that are the subject of the lawsuits. The
two complaints, which are substantially similar, allege material misstatements and omissions in a registration statement and prospectuses.
The parties are awaiting appointment of a lead plaintiff and class counsel.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">Merrill Lynch, Pierce,
Fenner &amp; Smith Incorporated (&ldquo;MLPFS&rdquo;), a Delaware corporation, is registered with the CFTC as an FCM. MLPFS is
a clearing member of the Chicago Board of Trade, and the Chicago Mercantile Exchange, and is either a clearing member or member
of all other principal U.S. futures and futures options exchanges. With regard to those domestic futures and futures options exchanges
of which it is not a clearing member, MLPFS has entered into third party brokerage relationships with FCMs that are clearing members
of those exchanges. MLPFS maintains its principal place of business at One Bryant Park, New York, NY 10036.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">Bank of America Corporation
(the &ldquo;Corporation&rdquo;), MLPFS&rsquo;s ultimate parent, and Merrill Lynch &amp; Co., Inc., MLPFS&rsquo;s direct corporate
parent (the &ldquo;Parent&rdquo;) make all required disclosures in their Annual Reports on Form 10-K and Quarterly Reports on Form
10-Q, which may be updated by Current Reports on Form 8-K, all of which are filed with the SEC (&ldquo;Regulatory Filings&rdquo;).&nbsp;
MLPFS makes all required disclosures in its Form BD and ADV filings (&ldquo;Form BD and ADV Filings&rdquo;) with FINRA. Those Regulatory
Filings and Form BD and ADV Filings include disclosures of regulatory inquiries as required by federal law and applicable regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">MLPFS has been named as
a defendant in various legal actions, including arbitrations, class actions and other litigation arising in connection with its
activities as a global diversified financial services institution. Some of the legal actions include claims for substantial compensatory
and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the issuers that would otherwise be the
primary defendants in such cases are bankrupt or otherwise in financial distress. MLPFS is also involved in investigations and/or
proceedings by governmental and self-regulatory agencies.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">In view of the inherent
difficulty of predicting the outcome of litigation and regulatory matters, particularly where the claimants seek very large or
indeterminate damages or where the matters present novel legal theories or involve a large number of parties, MLPFS generally cannot
predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of these matters will
be, or what the eventual loss, fines or penalties related to each pending matter may be.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">In accordance with applicable
accounting guidance, MLPFS establishes an accrued liability for litigation and regulatory matters when those matters present loss
contingencies that are both probable and estimable. In such cases, there may be an exposure to loss in excess of any amounts accrued.
When a loss contingency is not both probable and estimable, MLPFS does not establish an accrued liability. As a litigation or regulatory
matter develops, MLPFS, in conjunction with any outside counsel handling the matter, evaluates on an ongoing basis whether such
matter presents a loss contingency that is probable and estimable. If, at the time of evaluation, the loss contingency related
to a litigation or regulatory matter is not both probable and estimable, the matter will continue to be monitored for further developments
that would make such loss contingency both probable and estimable. Once the loss contingency related to a litigation or regulatory
matter is deemed to be both probable and estimable, MLPFS will establish an accrued liability with respect to such loss contingency
and continue to monitor the matter for further developments that could affect the amount of the accrued liability that has been
previously established.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">In some of the matters
described below, loss contingencies are not both probable and estimable in the view of management, and accordingly, an accrued
liability has not been established for those matters. Information is provided below regarding the nature of these contingencies
and, where specified, the amount of the claim associated with these loss contingencies. Based on current knowledge, management
does not believe that loss contingencies arising from pending matters will have a material adverse effect on MLPFS&rsquo;s consolidated
financial position or liquidity. However, in light of the inherent uncertainties involved in these matters, and the very large
or indeterminate damages sought in some or all of these matters, an adverse outcome in one or more of these matters could be material
to MLPFS&rsquo;s results of operations or cash flows for any particular reporting period.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The actions against MLPFS include, but are
not limited to, the following:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On July 31, 2007, the CFTC issued an order
against MLPFS affiliates Merrill Lynch Alternative Investments, LLC (&ldquo;MLAI&rdquo;) and Merrill Lynch Investment Managers,
LLC (&ldquo;MLIM&rdquo;) to which MLAI and MLIM consented, containing findings, which MLAI and MLIM neither admitted nor denied,
that MLAI and MLIM filed with the NFA a number of annual reports for commodity pools for which they acted as commodity pool operators
after the deadline established by the CFTC&rsquo;s regulations, in violation of CFTC Regulation 4.22(c).&nbsp; MLIM and MLAI were
ordered to cease and desist from violating CFTC Regulation 4.22(c) and to pay a civil penalty in the amount of $500,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Since October 2007, MLPFS, and its former
affiliate Banc of America Securities LLC (&ldquo;BAS&rdquo;, which was merged into MLPFS on November 1, 2010 with MLPFS as the
surviving corporation in the merger), have been named as defendants in a variety of lawsuits and other proceedings brought by customers
and both individual and institutional investors regarding ARS. These actions generally allege that the defendants (i) misled the
plaintiffs into believing that there was a deeply liquid market for ARS, and (ii) failed to adequately disclose their or their
affiliates&rsquo; practice of placing their own bids to support ARS auctions. Plaintiffs assert that ARS auctions started failing
from August 2007 through February 2008 when the defendants and other broker-dealers stopped placing those &ldquo;support bids.&rdquo;
In addition to the matters described in more detail below, numerous arbitrations and individual lawsuits have been filed against
MLPFS and certain affiliates by parties who purchased ARS and are seeking relief that includes compensatory and punitive damages
totaling in excess of $1.8 billion, as well as rescission, among other relief.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">MLPFS and the Parent face a number of civil
actions relating to the sales of ARS and management of ARS auctions, including two putative class action lawsuits in which the
plaintiffs seek to recover the alleged losses in market value of ARS purportedly caused by the defendants&rsquo; actions. Plaintiffs
also seek unspecified damages, including rescission, other compensatory and consequential damages, costs, fees and interest. The
first action, <I>In Re Merrill Lynch Auction Rate Securities Litigation</I>, is the result of the consolidation of two separate
class action suits in the U.S. District Court for the Southern District of New York. These suits were brought by two customers
of MLPFS, on behalf of all persons who purchased ARS in auctions managed by MLPFS and other affiliates, against the Parent and
MLPFS. On March 31, 2010, the U.S. District Court for the Southern District of New York granted defendants&rsquo; motion to dismiss.
On November 14, 2011, the U.S. Court of Appeals for the Second Circuit affirmed that dismissal. The second action, <I>Bondar v.
Bank of America Corporation</I>, was brought by a putative class of ARS purchasers against the Corporation and BAS in the U.S.
District Court for the Northern District of California. On February&nbsp;24, 2011, the U.S. District Court for the Northern District
of California granted defendants&rsquo; motion to dismiss the complaint. The plaintiffs&rsquo; time to decide whether to file <FONT STYLE="color: windowtext">an
amended complaint has been stayed pending the U.S. Court of Appeals for the Second Circuit&rsquo;s decision in <I>In Re Merrill
Lynch Auction Rate Securities Litigation</I>.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in"><FONT STYLE="color: windowtext">On
August 1, 2001, Gail Cahaly and others filed an action against </FONT>MLPFS<FONT STYLE="color: windowtext"> and others entitled
<I>Gail Cahaly, et al. v. Benistar Property Exchange Trust Co., Inc. (&ldquo;Benistar&rdquo;), et al. </I>in the Superior Court
of the Commonwealth of Massachusetts, Suffolk County. Plaintiffs alleged that </FONT>MLPFS<FONT STYLE="color: windowtext"> aided
and abetted a fraud, violation of a consumer protection law and breach of fiduciary duty allegedly perpetrated by Benistar, a former
client of </FONT>MLPFS<FONT STYLE="color: windowtext">. In 2002, following a trial, a jury rendered a verdict requiring plaintiffs
to pay $9 million in compensatory damages. After the court granted </FONT>MLPFS<FONT STYLE="color: windowtext">&rsquo;s motion
to vacate the verdict, the court granted plaintiffs&rsquo; motion for a new trial. On June 25, 2009, following a retrial, the jury
in the second trial found in favor of the plaintiffs on all counts. The plaintiffs then filed discovery-related sanctions motions
and the court conducted a sanctions hearing and the damages phases of the trial. On January 11, 2011, the court entered rulings
denying plaintiffs&rsquo; motion for sanctions and punitive damages, but awarding certain plaintiffs consequential damages, and
attorneys&rsquo; fees to plaintiffs in an amount not material to </FONT>MLPFS<FONT STYLE="color: windowtext">&rsquo;s results of
operations. The plaintiffs and </FONT>MLPFS<FONT STYLE="color: windowtext"> have appealed the court&rsquo;s January 11, 2011 rulings
on damages and sanctions.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">Commencing
in 1979, the Illinois Funeral Directors Association (&ldquo;IFDA&rdquo;), an Illinois not-for-profit corporation that serves as
a trade association representative for the Illinois funeral industry, began providing trust services to Illinois consumers for
the deposit of payments for pre-paid funeral services. Illinois law regulates the sale of pre-paid funeral goods and services and
requires that proceeds of those sales be held in trust. In 1986, the IFDA began offering a tax-advantaged pre-need trust administered
by its subsidiary, IFDA Services, Inc. (&ldquo;IFDA Services&rdquo;). The tax-advantaged pre-need trust invested primarily in variable
universal life insurance (&ldquo;VUL&rdquo;) policies written against the lives of &ldquo;keymen&rdquo; of IFDA, its members and
its affiliates. In response to the stated investment objectives of IFDA&rsquo;s executive director and its board of directors,
</FONT>MLPFS<FONT STYLE="color: windowtext"> recommended the purchase of the VUL policies to IFDA for the tax-advantaged pre-need
trust, and Merrill Lynch Life Agency, Inc. (&ldquo;MLLA&rdquo;), sold the pre-need trust approximately 270 VUL policies as investment
vehicles.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">During IFDA Services&rsquo; operation of
the pre-need trust, it credited IFDA members with earnings on deposits into the pre-need trust based on a rate of return set by
IFDA Services, even though the crediting rate sometimes exceeded the actual earnings on the trust investments. As a result, a deficit
developed between the amounts that the IFDA credited to IFDA members and the actual earnings of the trust. The Illinois Office
of the Comptroller, the trust&rsquo;s regulator, removed IFDA Services as trustee of the trust in 2008, and asked Merrill Lynch
Bank &amp; Trust Company, FSB (&ldquo;MLBTC&rdquo;), to serve as successor trustee. There currently are four court proceedings
relating to the IFDA pre-need trust pending against the Parent and affiliated entities and their present and former employees:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">On July
28, 2010, Charles G. Kurrus, III, P.C., a funeral director and owner of a funeral home, filed an action in the Circuit Court for
the Twentieth Judicial Circuit, St. Clair County, Illinois, against </FONT>MLPFS<FONT STYLE="color: windowtext">, MLLA and MLBTC,
among others, including present and former </FONT>MLPFS<FONT STYLE="color: windowtext"> employees. The complaint, entitled <I>Charles
F. Kurrus, III, P.C. v. Merrill Lynch, Pierce, Fenner &amp; Smith, Inc., et al.</I>, asserts causes of action for breach of the
Illinois Consumer Fraud and Deceptive Business Practices Act and civil conspiracy against all defendants; breach of fiduciary duty
against </FONT>MLPFS<FONT STYLE="color: windowtext"> and MLBTC; and negligence and aiding and abetting breach of fiduciary duty
against </FONT>MLPFS<FONT STYLE="color: windowtext">. The complaint seeks declaratory relief; disgorgement of all commissions,
fees and revenues received by </FONT>MLPFS<FONT STYLE="color: windowtext">, MLLA and MLBTC; pre-judgment and post-judgment interest;
an accounting; and attorneys&rsquo; fees. Defendants have filed motions to dismiss.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">On June
16, 2009, a purported class action on behalf of a proposed class of pre-need contract holders, <I>David Tipsword as Trustee of
Mildred E. Tipsword Trust, individually and on behalf of all others similarly situated v. I.F.D.A.</I></FONT><I> Services Inc.,
et al.</I>, was filed in the U.S. District Court for the Southern District of Illinois against MLPFS, among other defendants. The
complaint alleges that MLPFS breached purported fiduciary duties and committed negligence. On November 22, 2010, plaintiff filed
an amended complaint substituting Claudia Burns for Mr. Tipsword as plaintiff in an amended complaint. The amended complaint seeks
compensatory damages in an unliquidated amount, punitive damages, reasonable attorneys&rsquo; fees, and costs. MLPFS filed a motion
to dismiss, which was denied on July 1, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On June 30, 2009, a purported class action
on behalf of a proposed class of funeral directors, <I>Clancy-Gernon Funeral Home, Inc., et al. v. MLPF&amp;S, et al.</I>, was
filed in the Circuit Court of Cook County, Illinois, alleging that MLPFS and MLLA, among other defendants, committed consumer fraud,
civil conspiracy, unjust enrichment and conversion. MLPFS and MLLA removed the complaint to the U.S. District Court for the Northern
District of Illinois, and the case ultimately transferred to the U.S. District Court for the Southern District of Illinois and
consolidated with the <I>Tipsword</I> action. On November 9, 2010, plaintiff filed a third amended complaint, which added new parties,
including MLBTC, and additional claims. In addition to the claims asserted in the original complaint, the complaint now asserts
claims for fraud, breach of fiduciary duty, negligence and aiding and abetting fiduciary duty against MLPFS and MLLA, and breach
of fiduciary duty and negligence against MLBTC. MLPFS, MLLA and MLBTC have filed motions to dismiss. The third amended complaint
seeks: disgorgement and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA and MLBTC; an accounting;
compensatory damages in an unliquidated amount; pre-judgment and post-judgment interest; reasonable attorneys&rsquo; and experts&rsquo;
fees and costs. All defendants filed motions to dismiss the complaint. The court denied MLBTC&rsquo;s motion to dismiss on June
21, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On December 9, 2010, a purported class action
on behalf of a proposed class of funeral directors, <I>Pettett Funeral Home, Ltd., et al. v. MLPF&amp;S, et al.</I>, was filed
in the U.S. District Court for the Southern District of Illinois, alleging that MLPFS, MLLA and MLBTC, among other defendants,
committed consumer fraud, civil conspiracy, unjust enrichment and breach of fiduciary duty. On January 7, 2010, plaintiff filed
a second amended complaint, which added claims for fraud, negligence and aiding and abetting fiduciary duty against MLPFS, MLLA
and MLBTC, and added an additional breach of fiduciary duty claim against MLBTC. The second amended complaint seeks: disgorgement
and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA and MLBTC; an accounting; compensatory damages
in an unliquidated amount; punitive damages; restitution; pre-judgment and post-judgment interest; reasonable attorneys&rsquo;
and experts&rsquo; fees and costs. On January 19, 2011, defendants filed a motion to consolidate this matter with the <I>Tipsword</I>
and <I>Clancy-Gernon</I> actions and to dismiss the second amended complaint with prejudice. On March 14, 2011, the Pettett action
was ordered consolidated with the <I>Tipsword</I> and <I>Clancy-Gernon</I> matters. On April 5, 2011, the pending motion to dismiss
the <I>Pettett</I> third amended complaint was denied without prejudice and ordered to be refiled in the consolidated action, which
was done on June 21, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Parent, MLPFS, including BAS, along
with other underwriters, and various issuers and others, were named as defendants in a number of putative class action lawsuits
that have been consolidated in the U.S. District Court for the Southern District of New York as <I>In re Initial Public Offering
Securities Litigation</I>. Plaintiffs contend, among other things, that defendants failed to make certain required disclosures
in the registration statements and prospectuses for applicable offerings regarding alleged agreements with institutional investors
that tied allocations in certain offerings to the purchase orders by those investors in the aftermarket. Plaintiffs allege that
such agreements allowed defendants to manipulate the price of the securities sold in these offerings in violation of Section 11
of the Securities Act of 1933 and Section 10(b) of the Securities Exchange Act of 1934 and SEC rules promulgated thereunder. The
parties agreed to settle the matter, for which the court granted final approval in an amount that was not material to MLPFS&rsquo;s
results of operations. Some putative class members have filed an appeal, which remains pending, in the U.S. Court of Appeals for
the Second Circuit seeking reversal of the final approval.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On August&nbsp;25, 2011, the court, on remand
from the U.S.&nbsp;Court of Appeals for the Second Circuit, dismissed the objection by the last remaining putative class member.
On September&nbsp;23, 2011, the objector filed a notice of appeal challenging the district court&rsquo;s dismissal of the objection
to the settlement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Beginning in September 2008, MLPFS, including
BAS, along with other underwriters and individuals, were named as defendants in several putative class action lawsuits filed in
federal and state courts. All of these cases have since been transferred or conditionally transferred to the U.S. District Court
for the Southern District of New York under the caption <I>In re Lehman Brothers Securities and ERISA Litigation</I>. Plaintiffs
allege that the underwriter defendants violated Section 11 of the Securities Act of 1933, as well as various state laws, by making
false or misleading disclosures about the real estate-related investments and mortgage lending practices of Lehman Brothers Holdings,
Inc. (&ldquo;LBHI&rdquo;) in connection with various debt and convertible stock offerings of LBHI. Plaintiffs seek unspecified
damages. On June&nbsp;4, 2010, defendants filed a motion to dismiss the complaint. On July&nbsp;27, 2011, the court granted in
part and denied in part the motion. Certain of the allegations in the complaint that purported to support the Section&nbsp;11 claim
against the underwriter defendants were dismissed; others were not dismissed relating to alleged misstatements regarding LBHI&rsquo;s
leverage and financial condition, risk management and risk concentrations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: black">On September&nbsp;23,
2011, the majority of the underwriter defendants, including BAS, </FONT>MLPFS<FONT STYLE="color: black"> and approximately 40 others,
reached an agreement in principle with the lead plaintiffs to settle the securities class action as to the settling underwriters.
The settlement is subject to court approval. </FONT>MLPFS<FONT STYLE="color: black">&rsquo;s portion of the settlement is not material
to its results of operations or financial condition. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On April 30, 2009, MBIA Insurance Corporation
(&ldquo;MBIA&rdquo;) and LaCrosse Financial Products, LLC filed a complaint in New York State Supreme Court, New York County, against
MLPFS and Merrill Lynch International (&ldquo;MLI&rdquo;) under the caption <I>MBIA Insurance Corporation and LaCrosse Financial
Products, LLC v. Merrill Lynch Pierce Fenner and Smith Inc., and Merrill Lynch International</I>. The complaint relates to certain
credit default swap and insurance agreements by which plaintiffs provided credit protection to MLPFS and MLI and other parties
on CDO securities. Plaintiffs claim that MLPFS and MLI did not adequately disclose the credit quality and other risks of the CDO
securities and underlying collateral. The complaint alleges claims for fraud, negligent misrepresentation, breach of the implied
covenant of good faith and fair dealing and breach of contract and seeks rescission and unspecified compensatory and punitive damages,
among other relief. On April&nbsp;9, 2010, the court granted defendants&rsquo; motion to dismiss as to the fraud, negligent misrepresentation,
and breach of the implied covenant of good faith and fair dealing and rescission claims, as well as a portion of the breach of
contract claim. Plaintiffs appealed the dismissal of their claims and MLI has cross-appealed the denial of its motion to dismiss
the breach of contract claim in its entirety. On February 1, 2011, the appellate court dismissed the case against MLI in its entirety.
On July&nbsp;11, 2011, the parties reached an agreement to settle the litigation. The settlement did not require any payment by
MLPFS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">MLPFS, including BAS, has been named as
a defendant in several cases relating to its various roles as seller, underwriter and/or controlling entity in mortgage backed
securities (&ldquo;MBS&rdquo;) offerings, as applicable, pursuant to which the MBS investors were entitled to a portion of the
cash flow from the underlying pools of mortgages. These cases generally include purported class action suits and actions by individual
MBS purchasers. Although the allegations vary by lawsuit, these cases generally allege that the registration statements, prospectuses
and prospectus supplements for securities issued by securitization trusts contained material misrepresentations and omissions,
in violation of Sections&nbsp;11, 12 and 15 of the Securities Act of 1933, Sections&nbsp;10(b) and 20 of the Securities Exchange
Act of 1934 and/or state securities laws and other state statutory and common laws. &nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">These cases generally involve allegations
of false and misleading statements regarding: (i)&nbsp;the process by which the properties that served as collateral for the mortgage
loans underlying the MBS were appraised; (ii)&nbsp;the percentage of equity that mortgage borrowers had in their homes; (iii)&nbsp;the
borrowers&rsquo; ability to repay their mortgage loans; (iv)&nbsp;the underwriting practices by which those mortgage loans were
originated; (v)&nbsp;the ratings given to the different tranches of MBS by rating agencies; and (vi)&nbsp;the validity of each
issuing trust&rsquo;s title to the mortgage loans comprising the pool for the securitization (collectively &ldquo;MBS Claims&rdquo;).
Plaintiffs in these cases generally seek unspecified compensatory damages, unspecified costs and legal fees and, in some instances,
seek rescission. A number of other entities (including the NCUA) have threatened legal actions against MLPFS concerning MBS offerings.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On August&nbsp;8, 2011, American International
Group, Inc. and certain of its affiliates (collectively, &ldquo;AIG&rdquo;) filed a complaint in the Supreme Court of the State
of New York, New York County, in a case entitled <I>American International Group, Inc. et al.&nbsp;v. Bank of America Corporation
et al</I>. AIG has named, among others, MLPFS, including BAS, as defendants. AIG&rsquo;s complaint asserts certain MBS Claims under
federal securities and common law pertaining to 349&nbsp;MBS offerings, 144 of which relate to MLPFS, in which AIG alleges that
it purchased securities between 2005 and 2007. AIG seeks rescission of its purchases or a rescissory measure of damages or, in
the alternative, compensatory damages of not less than $10&nbsp;billion as to all defendants, including MLPFS; punitive damages;
and other unspecified relief. Defendants removed the case to the U.S.&nbsp;District Court for the Southern District of New York,
which has denied AIG&rsquo;s motion to remand the case to state court.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On March 1, 2011, Allstate Insurance Company,
Allstate Life Insurance Company, Allstate Bank, Allstate Life Insurance Company of New York, Agents Pension Plan, and Allstate
Retirement Plan filed an action against MLPFS and others in the Supreme Court of New York, County of New York, entitled <I>Allstate
Insurance Company, et al., v. Merrill Lynch &amp; Co., et al. </I>Plaintiffs allege that they purchased MBS underwritten by MLPFS
in offerings between March 2006 and March 2007. In addition to MBS Claims, plaintiffs contend that defendants made false and misleading
statements regarding: (i) the percentage of known non-conforming loans in the loan pools; (ii) the purpose and use of approving
exceptions for loans that did not meet certain criteria; and (iii) the credit enhancements utilized for each offering. Plaintiffs
seek unspecified compensatory damages, interest and legal fees, or alternatively rescission and recovery of the consideration paid
for the MBS certificates. On April 1, 2011, defendants removed the case to the U.S. District Court for the Southern District of
New York. On August 15, 2011, the case was remanded to the Supreme Court of New York.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">Cambridge
Place Investment Management Inc. (&ldquo;CPIM&rdquo;) brought an action against </FONT>MLPFS<FONT STYLE="color: windowtext">, including
BAS, and others in Massachusetts Superior Court, Suffolk County, entitled <I>Cambridge Place Investment Management Inc. v. Morgan
Stanley &amp; Co., Inc., et al</I>. CPIM&rsquo;s complaint asserts certain MBS Claims under state securities laws pertaining to
MBS underwritten by </FONT>MLPFS<FONT STYLE="color: windowtext">. On August 13, 2010, certain defendants removed the case to the
U.S. District Court for the District of Massachusetts. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">On February
11, 2011, CPIM commenced a separate civil action in Massachusetts Superior Court, Suffolk County, captioned <I>Cambridge Place
Investment Management Inc. v. Morgan Stanley &amp; Co., Inc., et al.</I>, in connection with the offering or sale of certain additional
MBS by </FONT>MLPFS<FONT STYLE="color: windowtext">, including BAS and others. CPIM&rsquo;s complaint asserts certain MBS Claims
under state securities laws pertaining to MBS underwritten by </FONT>MLPFS<FONT STYLE="color: windowtext">. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Both actions were remanded to the Massachusetts
Superior Court for Suffolk County.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On July 15, 2010, the Charles Schwab Corporation
(&ldquo;Schwab&rdquo;) filed an individual action against BAS and others, in the Superior Court of California, County of San Francisco,
entitled <I>The Charles Schwab Corp. v. BNP Paribas Securities Corp., et. al</I>. &nbsp;The complaint asserts certain MBS Claims
under federal and state securities laws and state common law pertaining to MBS purchased by Schwab. In September 2010, BAS joined
in and consented to the removal of this action to the U.S. District Court for the Northern District of California. &nbsp;The matter
was remanded to the Superior Court of California for the County of San&nbsp;Francisco. On October&nbsp;13, 2011, plaintiffs dismissed
the federal claims with prejudice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Federal Home Loan Bank of Boston (&ldquo;FHLB
Boston&rdquo;) filed a complaint on April 20, 2011 against numerous defendants, including MLPFS in Massachusetts Superior Court,
Suffolk County, entitled <I>Federal Home Loan Bank of Boston v. Ally Financial, Inc., et al. </I>FHLB Boston alleges that it purchased
MBS issued by numerous entities in 115 public offerings, including MBS underwritten by MLPFS. FHLB Boston asserts certain MBS Claims
under state securities and common law pertaining to the MBS. Defendants have removed the case to the U.S. District Court for the
District of Massachusetts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">The Federal
Home Loan Bank of Chicago (&ldquo;FHLB Chicago&rdquo;) filed a complaint against </FONT>MLPFS<FONT STYLE="color: windowtext">,
including BAS and others in the Illinois Circuit Court, Cook County, entitled <I>Federal Home Loan Bank of Chicago v. Banc of America
Funding Corp., et al</I> (the &ldquo;Illinois Action&rdquo;). FHLB Chicago also filed a complaint against BAS in the Superior Court
of California, Los Angeles County, entitled <I>Federal Home Loan Bank of Chicago v. Banc of America Securities LLC, et al.</I>
(the &ldquo;California Action&rdquo;). FHLB Chicago asserts certain MBS Claims under state securities and common law pertaining
to MBS. Both actions have been removed to federal court. The Illinois Action and the California Action have been remanded to the
Circuit Court of Cook County, Illinois and the Superior Court of California for the County of Los Angeles, respectively. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">In the <I>Federal
Home Loan Bank of Chicago </I>matter pending in California, the plaintiff filed an amended complaint on September 15, 2011 adding
</FONT>MLPFS<FONT STYLE="color: windowtext"> as a defendant and asserting new claims against BAS. The Federal Home Loan Bank of
Indianapolis filed a complaint against </FONT>MLPFS<FONT STYLE="color: windowtext"> and others in the Superior Court of Indiana,
Marion County, entitled <I>Federal Home Loan Bank of Indianapolis&nbsp;v. Banc of America Mortgage Securities, Inc., et al.</I>
Plaintiffs assert certain MBS Claims under state securities and common law and allege that they purchased MBS issued by or underwritten
by certain of the defendants from April 2006 to April 2007.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">The Federal
Home Loan Bank of San Francisco filed two actions against different defendants, including </FONT>MLPFS<FONT STYLE="color: windowtext">,
in the Superior Court of California, County of San Francisco, entitled (i) <I>Federal Home Loan Bank of San Francisco v. Credit
Suisse Securities (USA) LLC, et al</I>, which asserts claims against the BAS and others; and (ii) <I>Federal Home Loan Bank of
San Francisco v. Deutsche Bank Securities Inc., et al</I>, which assert certain MBS claims against </FONT>MLPFS<FONT STYLE="color: windowtext">
and others under federal securities law and state securities and common law.&nbsp;&nbsp; Defendants had removed the state court
actions to federal court, but on December 20, 2010 the U.S. District Court, Northern District of California remanded the cases
to state court.&nbsp; Plaintiffs dismissed the federal claims with prejudice on August&nbsp;11, 2011. On September&nbsp;8, 2011,
the court denied defendants&rsquo; motions to dismiss the state law claims in these actions. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">The Federal
Home Loan Bank of Seattle filed two separate complaints, each against different defendants, including </FONT>MLPFS,<FONT STYLE="color: windowtext">
in the Superior Court of Washington for King County concerning separate issuances, entitled <I>Federal Home Loan Bank of Seattle
v. Banc of America Securities LLC, et al</I>, and <I>Federal Home Loan Bank of Seattle v. Merrill Lynch, Pierce, Fenner &amp; Smith,
Inc., et al</I>. The complaints assert certain MBS Claims under state securities law. On June&nbsp;23, 2011, July&nbsp;18, 2011
and August&nbsp;15, 2011, the court denied defendants&rsquo; remaining motions to dismiss in both actions. </FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="color: windowtext">On September&nbsp;2,
2011, the Federal Housing Finance Agency (&ldquo;FHFA&rdquo;), as conservator for Fannie Mae and Freddie Mac,</FONT> filed complaints
against MLPFS and other related entities, and certain current and former officers and directors of these entities in two separate
actions. The actions are entitled, <I>Federal Housing Finance Agency&nbsp;v. Bank of America Corporation, et al.</I>, and <I>Federal
Housing Finance Agency&nbsp;v. Merrill Lynch&nbsp;&amp; Co., Inc., et al.</I>, both filed in the U.S.&nbsp;District Court for the
Southern District of New York.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The complaints assert certain MBS Claims
relating to MBS issued and/or underwritten by MLPFS and other entities between 2005 and 2008 and purchased by either Fannie Mae
or Freddie Mac in their investment portfolio. The complaints assert claims under both federal securities laws and state common
law. The FHFA seeks among other relief rescission of the consideration Fannie Mae and Freddie Mac paid for the securities or alternatively
damages allegedly incurred by Fannie Mae and Freddie Mac. The FHFA also seeks recovery of punitive damages.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In 2006 and 2007, MLPFS and other financial
institutions participated as underwriters in MBS offerings in which IndyMac MBS, Inc. securitized residential mortgage loans originated
or acquired by IndyMac Bank, F.S.B. and created trusts that issued MBS. In 2009, the Corporation was named as an underwriter defendant,
along with several other financial institutions, in its alleged capacity as &ldquo;successor-in-interest&rdquo; to MLPFS in a consolidated
class action in the U.S. District Court for the Southern District of New York, entitled <I>In re IndyMac Mortgage-Backed Securities
Litigation</I>. In their complaint, plaintiffs assert certain MBS Claims relating to 106 offerings of IndyMac-related MBS. On June
21, 2010, the court dismissed the Corporation from the action because the plaintiffs failed to plead sufficient facts to support
their allegation that it is the &ldquo;successor-in-interest&rdquo; to MLPFS. On August 3, 2010, plaintiffs filed a motion to add
MLPFS as a defendant. On June&nbsp;21, 2011, the court denied plaintiffs&rsquo; motion to add MLPFS as a defendant.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Parent, MLPFS and others are named as
defendants in a putative consolidated class action in the U.S. District Court in the Southern District of New York, entitled <I>Public
Employees&rsquo; Ret. System of Mississippi v. Merrill Lynch &amp; Co. Inc</I>. In March 2010, the court dismissed claims related
to 65 of 84 offerings with prejudice due to lack of standing as no named plaintiff purchased securities in those offerings. On
November 8, 2010, the court dismissed claims related to 1 of 19 remaining offerings on separate grounds. MLPFS was the sole underwriter
of these 18 offerings. On June 15, 2011, the court granted plaintiffs&rsquo; motion for class certification. On October&nbsp;20,
2011, the parties reached an agreement in principle to settle the action. The settlement is subject to court approval.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On August&nbsp;19, 2010, Stichting Pensioenfonds
ABP (&ldquo;ABP&rdquo;) filed a complaint against MLPFS and other defendants, in the Supreme Court of New York, New York County,
entitled <I>Stichting Pensioenfonds&nbsp;v. Merrill Lynch&nbsp;&amp; Co., Inc., et al</I>. Defendants removed the case to the U.S.&nbsp;District
Court for the Southern District of New York. ABP&rsquo;s original complaint asserted certain MBS Claims relating to 13 offerings
of Merrill Lynch-related MBS. On October&nbsp;12, 2011, ABP filed an amended complaint regarding the same offerings and adding
additional federal securities law and state law claims. ABP seeks unspecified compensatory damages, interest and legal fees, or
alternatively rescission.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition to the MBS litigation described
above, MLPFS, including BAS, has also received a number of subpoenas and other informal requests for information from federal regulators
regarding MBS matters, including inquiries related to MLPFS&rsquo;s underwriting and issuance of MBS and its participation in certain
CDO offerings. These inquiries and investigations include, among others: an investigation by the SEC related to MLPFS&rsquo;s risk
control, valuation, structuring, marketing and purchase of CDOs. MLPFS has provided documents and testimony in and continues to
cooperate fully with these inquiries and investigations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On May&nbsp;28, 2008, two former hedge fund
clients of Merrill Lynch Professional Clearing Corporation, Rosen Capital Partners LP and Rosen Capital Institutional LP (collectively,
the &ldquo;Rosen Funds&rdquo;), filed a statement of claim asserting claims for breach of contract, fraud and negligence against
Merrill Lynch Professional Clearing Corporation in connection with alleged losses in the fall of 2008. On July&nbsp;5, 2011, a
FINRA panel awarded the Rosen Funds $64&nbsp;million plus interest at the rate of 9% per year, accruing from October&nbsp;7, 2008
until the award is paid in full. The Rosen Funds have moved to confirm the award in the Superior Court of California.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The SEC alleged, and MLPFS neither admitted
nor denied, that MLPFS failed to maintain policies and procedures reasonably designed to prevent the misuse of customer order information
as required by Section 15(f) of the Securities Exchange Act of 1934 and Section 204A of the Investment Advisors Act of 1940. The
order (1) requires that MLPFS cease and desist from committing or causing any future violations of the provisions charged, (2)
censures MLPFS, (3) imposed a civil money penalty in the amount of $7,000,000, and (4) orders MLPFS to comply with undertakings
regarding the enhancement of certain policies and procedures. On March 11, 2009, without admitting or denying the SEC&rsquo;s findings,
MLPFS consented to the entry of an administrative SEC order finding violations of Section 15(f) of the Securities Exchange Act
of 1934 and Section 204A of the Investment Advisors Act of 1940 for allegedly failing to maintain written policies and procedures
reasonably designed to prevent the misuse of customer order information. The order requires MLPFS to comply with undertakings to
implement (or to continue) and maintain policies and procedures to, among things: (1) inform employees that information concerning
customer order information is confidential, (2) address employee access to the equity squawk box, and (3) train employees who use
squawk box related technology. In addition, MLPFS&rsquo;s internal audit department will conduct periodic reviews of these policies
and procedures and provide the SEC staff with a copy of the audit report.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">On January 30, 2009, MLPFS,
without admitting or denying any findings of misconduct by the SEC, consented to the entry of an administrative order by the SEC
that (1) found that MLPFS violated Investment Advisers Act of 1940 Sections 204 and 206(2), and Rule 204-2(a)(14) thereunder; (2)
required that MLPFS cease and desist from committing or causing any violation or further violations of the provisions charged;
(3) censured MLPFS pursuant to Advisers Act Section 203(e); and (4) required MLPFS to pay a civil money penalty of $1 million.
The order found that MLPFS, through its pension consulting services advisory program, breached its fiduciary duty to certain current
and prospective pension fund clients by misrepresenting and omitting to disclose material information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">On July 31, 2008, the
Commonwealth of Massachusetts Office of the Secretary of the Commonwealth Securities Division (&ldquo;MSD&rdquo;) alleged that
MLPFS violated the Massachusetts Uniform Securities Act, which, in part, prohibits unethical or dishonest conduct or practices
in the securities business, concerning the sale of ARS to retail and other customers by MLPFS. Without admitting or denying the
allegations, MLPFS entered into a settlement with the MSD, in which it agreed to certain undertakings, including offering to buy
back eligible ARS from eligible investors. MLPFS agreed to pay the MSD a civil penalty of $1,598,650.90, as part of a $125,000,000
fine that will be allocated at the Commonwealth of Massachusetts and other states&rsquo; discretion to resolve all underlying conduct
relating to the sale of ARS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">As the result of the merger
of Banc of America Investment Services, Inc. (&ldquo;BAI&rdquo;) with and into MLPFS on October 23, 2009 and the merger of BAS
with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAI and BAS in the following matter: the SEC alleged
that BAI and BAS (together, the &ldquo;Firms&rdquo;), misled customers regarding the fundamental nature and increasing risks associated
with ARS that the Firms underwrote, marketed and sold. The SEC also alleged that, by engaging in such conduct, the Firms violated
Section 15(c) of the Securities Exchange Act of 1934. The Firms neither admit nor deny these allegations. Among other undertakings,
the Firms have, through their affiliate Blue Ridge Investments, L.L.C., offered to purchase at par from &ldquo;Individual Investors&rdquo;
(as defined in the Consent of Defendants BAS and BAI) certain ARS, and have substantially completed the purchase of those ARS.
The Firms have also agreed to pay a total civil penalty<FONT STYLE="color: blue"> </FONT>of $50,000,000 that will be distributed
among the states and U.S. territories that enter into administrative or civil consent orders related to ARS.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On September 8, 2009, the Texas State Securities
Board (the &ldquo;Board&rdquo;) alleged that in connection with the sale of securities in Texas by certain of MLPFS&rsquo;s client
associates who were not registered in Texas, MLPFS failed to establish a supervisory system reasonably designed to achieve compliance
with the Texas Securities Act and Rules and Regulations of the Board (the &ldquo;Board Rules&rdquo;) and failed to enforce its
established written procedures in violation of Sections 115.10(a) and (b)(1) of the Board Rules, respectively. Without admitting
or denying the findings of fact or conclusions of law, MLPFS entered into a Consent Order with the Board in which it agreed to
a reprimand, to cease and desist from engaging in the sale of securities in Texas through unregistered agents and to comply with
certain undertakings. MLPFS agreed to pay the State of Texas $1,568,985 as part of a total payment, consisting of fines, penalties
and any other monetary sanctions, of $26,563,094.50 that will be allocated among the 50 states, the District of Columbia, Puerto
Rico and the U.S. Virgin Islands. MLPFS also agreed to pay $25,000 to the North American Securities Administrators Association
(&ldquo;NASAA&rdquo;) as consideration for financial assistance provided by NASAA in connection with the multi-state investigation.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">As the result of the merger
of BAS with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAS in the following matter: on December 7, 2010,
the SEC issued an administrative and cease-and-desist order finding that BAS willfully violated Section 15(c)(1)(A) of the Securities
Exchange Act of 1934 when certain employees participated in improper bidding practices involving the temporary investment of proceeds
of tax-exempt municipal securities in reinvestment products during the period 1998-2002. The order censured BAS, ordered BAS to
cease and desist from committing or causing such violations and future violations, and ordered BAS to pay disgorgement plus prejudgment
interest in the amount of $36,096,442. BAS consented to the order without admitting or denying the SEC&rsquo;s findings.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Pursuant to an offer of settlement made
by MLPFS, the SEC issued on January 25, 2011 an order finding that between February 2003 and February 2005 MLPFS market makers
executing institutional customer orders for securities sometimes shared information concerning those trades with traders on a MLPFS
securities proprietary trading desk.&nbsp; The order found that, at times, MLPFS&rsquo;s securities proprietary traders used that
information to place trades for MLPFS after execution of the institutional customer order.&nbsp; The order found that this disclosure
and use of institutional customer order information by MLPFS&rsquo;s traders was improper and contrary to MLPFS&rsquo;s confidentiality
representations to its customers.&nbsp; The order also found instances between 2002 and 2007 when MLPFS charged institutional and
high net worth customers undisclosed mark-ups and mark-downs on riskless securities principal trades for which MLPFS had agreed
to charge the customer only a commission equivalent fee.&nbsp; The order found that, in doing so, MLPFS acted improperly and contrary
to its agreements with its customers.&nbsp; The order also found that from 2002 through 2007 MLPFS failed in many instances to
make records of its agreements with institutional customers to guarantee an execution price, which agreements were part of the
terms and conditions of the institutional customer orders.&nbsp; The order found that, as a result of its conduct, MLPFS willfully
violated Section 15(c)(1)(A) of the Securities Exchange Act of 1934 by effecting transactions in securities by means of manipulative,
deceptive or other fraudulent devices or contrivances, and willfully violated Section 15(g) of the Securities Exchange Act of 1934
by failing to establish, maintain and enforce written policies and procedures reasonably designed to prevent the misuse of material,
nonpublic information.&nbsp; The order also found that under Section 15(b)(4)(E) of the Securities Exchange Act of 1934, MLPFS
failed reasonably to supervise its traders with a view towards preventing them from violating the federal securities laws.&nbsp;
The order also found that MLPFS willfully violated Section 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder
by failing to record certain terms and conditions of customer orders.&nbsp; MLPFS neither admitted nor denied the findings in the
order. The findings in the order are not binding on any person or entity other than MLPFS. On December 17, 2010, MLPFS submitted
an offer of settlement to the SEC.&nbsp; In the offer of settlement, MLPFS agreed to consent to the entry of the order, without
admitting or denying the findings contained therein (other than those relating to jurisdiction).&nbsp; The order was issued on
January 25, 2011. The order (1) required that MLPFS cease and desist from committing or causing any violations and any future violations
of Sections 15(c)(1)(A), 15(g) and 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder; (2) censured MLPFS
pursuant to Section 15(b)(4) of the Securities Exchange Act of 1934; and (3) required pursuant to Section 15(b)(4) and Section
21B of the Securities Exchange Act of 1934 that MLPFS pay a civil money penalty in the amount of $10 million.&nbsp; The penalty
was paid on February 1, 2011.</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-weight: normal; font-style: normal">Newedge
USA, LLC (&ldquo;Newedge USA&rdquo;) serves as a clearing broker to execute and clear futures and equities transactions for the
Trust and provide other brokerage-related services. Newedge USA is an FCM registered with the CFTC and a broker dealer registered
with the SEC, and is a member of FINRA. Newedge USA is a clearing member of all principal futures exchanges located in the U.S.
as well as a member of the Chicago Board Options Exchange, International Securities Exchange, New York Stock Exchange, Options
Clearing Corporation and Government Securities Clearing Corporation. Newedge USA is headquartered at 550 W. Jackson, Suite 500,
Chicago, IL 60661 with branch offices in New York, New York; Kansas City, Missouri; Cypress, Texas; Houston Texas; Atlanta, GA
and Montreal, Canada.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Prior to January 2, 2008, Newedge USA was
known as Fimat USA, LLC. On September 1, 2008, Newedge USA merged with FCM and broker dealer Newedge Financial Inc. (&ldquo;NFI&rdquo;)
&ndash; formerly known as Calyon Financial Inc. Newedge USA was the surviving entity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In March 2008, NFI settled, without admitting
or denying the allegations, a disciplinary action brought by the New York Mercantile Exchange (&ldquo;NYMEX&rdquo;) alleging that
NFI violated NYMEX rules related to: numbering and time stamping orders by failing properly to record a floor order ticket; wash
trading; failure to adequately supervise employees; and violation of a prior NYMEX cease and desist order, effective as of December
5, 2006, related to numbering and time stamping orders and block trades. NFI paid a $100,000 fine to NYMEX in connection with this
settlement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In February 2011, Newedge USA settled, without
admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA exceeded speculative
limits in the October 2009 live cattle futures contract on the Chicago Mercantile Exchange and failed to provide accurate and timely
reports to the CFTC regarding their larger trader positions. Newedge USA paid a $140,000 civil penalty and disgorgement value of
$80,910 to settle this matter. In addition, the CFTC Order required Newedge USA to implement and maintain a program designed to
prevent and detect reporting violations of the Commodity Exchange Act and CFTC regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In January 2012, Newedge USA settled, without
admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA failed to file accurate
and timely reports to the CFTC and failed to report certain large trader information to the CFTC. Newedge USA paid a $700,000 civil
penalty to settle this matter. In addition, the CFTC Order required Newedge USA to timely submit accurate position reports and
notices, and to implement and maintain procedures to prevent and detect reporting violations of the Commodity Exchange Act and
CFTC regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Other than the foregoing proceedings, which
did not have a material adverse effect upon the financial condition of Newedge USA, there have been no material administrative,
civil or criminal actions brought, pending or concluded against Newedge USA or its principals in the past five years.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Neither Newedge USA nor any affiliate, officer,
director or employee thereof have passed on the merits of this Prospectus or offering, or give any guarantee as to the performance
or any other aspect of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Barclays Capital Inc. (&ldquo;BCI&rdquo;)
serves as a clearing broker to execute and clear futures and equity transactions for the Trust and provides other brokerage-related
services. BCI is a registered securities broker-dealer and FCM. BCI is wholly owned by Barclays Bank PLC (&ldquo;Barclays Bank&rdquo;),
which is authorized and regulated by the UK Financial Services Authority. BCI is headquartered at 745 Seventh Avenue, New York,
NY, 10019.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">BCI is involved in a number of judicial
and arbitration matters arising in connection with the conduct of its business. BCI&rsquo;s management believes, based on currently
available information, that the results of such proceedings will not have a significant adverse effect on BCI&rsquo;s financial
condition.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">On September 15, 2009, motions were filed
in the U.S. Bankruptcy Court for the Southern District of New York by Lehman Brothers Holdings Inc. (&ldquo;LBHI&rdquo;), the SIPA
Trustee for Lehman Brothers Inc. (the &ldquo;Trustee&rdquo;) and the Official Committee of Unsecured Creditors of LBHI (the &ldquo;Committee&rdquo;).
All three motions challenged certain aspects of the transaction pursuant to which BCI, its parent Barclays Bank and other subsidiaries
of Barclays Bank (collectively, &ldquo;Barclays&rdquo;) acquired most of the assets of Lehman Brothers Inc. (&ldquo;LBI&rdquo;)
in September 2008 and the court order approving such sale. The claimants sought an order voiding the transfer of certain assets
to BCI, requiring BCI to return to the LBI estate alleged excess value BCI received, and declaring that BCI is not entitled to
certain assets that it claims it was entitled to pursuant to the sale documents and order approving the sale (the &ldquo;Rule 60
Claims&rdquo;). On November 16, 2009, LBHI, the Trustee and the Committee filed separate complaints in the U.S. Bankruptcy Court
for the Southern District of New York asserting claims against BCI based on the same underlying allegations as the pending motions
and seeking relief similar to that which is requested in the motions. On January 29, 2010, BCI filed its response to the Rule 60
Claims and also filed a motion seeking delivery of certain assets that LBHI and LBI have failed to deliver as required by the sale
documents and U.S. Bankruptcy Court for the Southern District of New York order approving the sale (together with the Trustee&rsquo;s
competing claims to those assets, the &ldquo;Contract Claims&rdquo;). On February 22, 2011, the Court issued its Opinion in relation
to these matters, rejecting the Rule 60 Claims and deciding some of the Contract Claims in the Trustee&rsquo;s favor and some in
favor of BCI. On July 15, 2011, the U.S. Bankruptcy Court for the Southern District of New York entered final Orders implementing
its Opinion. BCI and the Trustee have each filed a notice of appeal from the U.S. Bankruptcy Court for the Southern District of
New York&rsquo;s adverse rulings on the Contract Claims. LBHI and the Committee have withdrawn their notices of appeal from U.S.
Bankruptcy Court for the Southern District of New York&rsquo;s ruling on the Rule 60 Claims, rendering the U.S. Bankruptcy Court
for the Southern District of New York&rsquo;s Order on the Rule 60 Claims final.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If the final Orders relating to the Contract
Claims were to be unaffected by future proceedings, Barclays estimates that after taking into account the effective provision of
$1.2 billion, its loss would be approximately $4.293 billion. Any such loss, however, is not considered probable and Barclays is
satisfied with the current level of provision. More than half of that loss would relate to exchange-traded derivative margin assets
already received by BCI, which would have to be returned to the Trustee along with prejudgment interest thereon. As a result of
an agreement entered into by BCI and certain of its affiliates in July 2011, as well as the Trustee&rsquo;s agreement to enforce
any obligations relating to the return of the margin assets only against Barclays Bank, BCI is not liable for these obligations.
The remainder of Barclays&rsquo; potential $4.293 billion loss would relate to assets not yet received by Barclays Bank. In addition,
LBHI had been pursuing a claim for approximately $500 million relating to bonuses that BCI was allegedly obligated to pay to former
Lehman employees. On September 14, 2011, the U.S. Bankruptcy Court for the Southern District of New York issued a decision dismissing
that claim and entered a final Order to that effect on September 21, 2011. LBHI has stipulated that it will not appeal that decision,
rendering the Order dismissing that claim final.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The FHFA, acting for two U.S. government
sponsored enterprises, Fannie Mae and Freddie Mac, filed lawsuits on September 2, 2011 against seventeen financial institutions
in connection with the Fannie Mae&rsquo;s and Freddie Mac&rsquo;s purchases of RMBS. The lawsuits allege, among other things, that
the RMBS offering materials contained materially false and misleading statements and/or omissions. BCI and certain of its former
employees are named in two of these lawsuits, relating to sales between 2005 and 2007 of RMBS, in which BCI was lead or co-lead
underwriter.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Both complaints demand, among other things:
rescission and recovery of the consideration paid for the RMBS; and recovery for Fannie Mae&rsquo;s and Freddie Mac&rsquo;s alleged
monetary losses arising out of their ownership of the RMBS. The complaints are similar to other civil actions filed against BCI
by other plaintiffs, including the Federal Home Loan Bank of Seattle, Federal Home Loan Bank of Boston, Federal Home Loan Bank
of Chicago, Cambridge Place Investment Management, Inc., HSH Nordbank AG (and affiliates) and Stichting Pensioenfonds ABP, relating
to their purchases of RMBS. BCI considers that the claims against it are without merit and intends to defend them vigorously.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The original amount of RMBS related to the
claims against BCI in these cases totaled approximately $6.827 billion, of which approximately $2.012 billion was outstanding as
at December 31, 2011. Cumulative losses reported on these RMBS as at December 31, 2011 were approximately $76 million. If BCI were
to lose these cases it could incur a loss of up to the outstanding amount of the RMBS at the time of judgment (taking into account
further principal payments after December 31, 2011) plus any cumulative losses on the RMBS at such time and any interest, fees
and costs, less the market value of the RMBS at such time. BCI has estimated the total market value of the RMBS as at December
31, 2011 to be approximately $1.071 billion. BCI may be entitled to indemnification for a portion of any losses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Neither BCI nor any affiliate, officer,
director or employee thereof has passed on the merits of this Prospectus or offering, or gives any guarantee as to the performance
or any other aspect of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>Conflicts Of Interest</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>General</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has not established any
formal procedures to resolve the conflicts of interest described below. You should be aware that no such procedures have been established,
and that, consequently, you will be dependent on the good faith of the respective parties subject to such conflicts to resolve
such conflicts equitably. Although the Managing Owner will attempt to monitor and resolve these conflicts in good faith, it will
be extremely difficult, if not impossible, for it to assure that these conflicts will not, in fact, result in losses for the Trust.
Notwithstanding the conflict of interest, the Trust will trade in parallel with all other Managing Owner accounts traded pursuant
to the Managing Owner&rsquo;s Diversified Portfolio.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Managing Owner</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The responsibilities of the Managing Owner
include acting as the managing owner and trading advisor for the Trust and engaging commodity brokers and dealers to execute trades
on behalf of the Trust. The Managing Owner has a conflict of interest in that it has a financial disincentive to replace itself
as either the trading advisor or the entity receiving the Brokerage Fees from the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Profit Share arrangement between the
Trust and the Managing Owner may create an incentive for the Managing Owner to make trading and investment decisions (or implement
the Trust&rsquo;s systematic trading strategy) in a manner that is more speculative or subject to a greater degree of loss than
would be the case if no such arrangement existed.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner receives, with respect
to the Series 1 Units, the difference between (1) the amount paid out to the Selling Agents plus the amount paid out for executing
the Trust&rsquo;s trades and (2) the Brokerage Fee the Managing Owner receives from the Trust with respect to Series 1 Units. Thus,
the Managing Owner has a conflict of interest between trading in the manner which it believes to be in the best interests of the
Trust and trading in low volume or in the forward markets so as to reduce the Trust&rsquo;s futures trading costs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner directs the trading for
clients other than the Trust. The Managing Owner and its principals may have incentives (financial or otherwise) to favor such
other accounts over the Trust in such matters as, for example, the allocation of available speculative position limits. Different
accounts also pay different fees, trade at different levels of leverage and will, from time to time, compete for the same positions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has agreed to treat the
Trust equitably with its other accounts. However, the Managing Owner trades different portfolios for other accounts and there can
be no assurance whatsoever that such other portfolios will not outperform the Trust. The Managing Owner will, however, trade the
Trust&rsquo;s account in parallel with all other accounts managed by the Managing Owner pursuant to the Diversified Portfolio.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Trust&rsquo;s Brokers</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Clearing Brokers and other brokers employed
by the Trust act from time to time as commodity brokers for other accounts with which they are affiliated or in which they or one
of their respective affiliates has a financial interest. In addition, various accounts traded through the Trust&rsquo;s brokers
(and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to
those of the Trust or compete with the Trust for the same positions. The Trust&rsquo;s brokers may have a conflict of interest
in their execution of trades for the Trust and for other of their customers. The Managing Owner has, however, no reason to believe
that the Trust&rsquo;s brokers would knowingly or deliberately favor any other customer over the Trust with respect to the execution
of commodity trades.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s brokers assess the Trust
brokerage commissions and may assess forward contract &ldquo;bid-ask&rdquo; spreads. These commission rates and forward contract
pricing arrangements for the Trust may not have been negotiated at arm&rsquo;s length.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner selects the Trust&rsquo;s
Clearing Brokers, other brokers and counterparties to execute transactions on behalf of the Trust. The commission rates or &ldquo;bid-ask&rdquo;
spreads paid by the Trust may not be the lowest rates the Trust could have obtained, but the Managing Owner believes that those
rates/spreads are competitive with rates paid by similar customers. The Managing Owner selects those service providers based on
various factors, including, but not limited to, quality of execution, commission rates, market knowledge, financial condition and
creditworthiness. The Managing Owner may also consider factors that benefit the Managing Owner, such as the referral of prospective
Trust and other investors to the Managing Owner. The Managing Owner&rsquo;s receipt of such benefits may give it an incentive to
select a Clearing Broker, other broker or counterparty that it would not otherwise use, but the Managing Owner intends to use only
those Clearing Brokers, other brokers and counterparties that provide the Trust with high quality services and competitive commission
rates consistent with the Managing Owner&rsquo;s obligations to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Certain officers or employees of the Trust&rsquo;s
brokers are, and may in the future be, members of U.S. commodities exchanges and are serving, and may in the future serve, on the
governing bodies and standing committees of such exchanges and of their clearinghouses and of various industry organizations. In
such capacities, these employees have a fiduciary duty to the exchanges and their clearinghouses which could compel such employees
to act in the best interests of these entities, perhaps to the detriment of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Selling Agents</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Selling Agents receive substantial selling
commissions on the sale of Units. Consequently, the Selling Agents have a conflict of interest in advising their clients whether
to invest in the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Selling Agents receive ongoing compensation
or installment selling commissions based on Units sold by them which remain outstanding longer than twelve months. Consequently,
the Selling Agents have a disincentive to advise clients to redeem their Units even when doing so is in such clients&rsquo; best
interests.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The total dollar amount of brokerage commissions
paid by the Trust is dependent upon the size of the Trust&rsquo;s capitalization. Consequently, the Selling Agents have a financial
incentive to discourage their clients from redeeming Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition, one or more Selling Agents
may also be selected, based on the criteria described above, to serve as Clearing Brokers, other brokers or counterparties for
the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Proprietary Trading and Trading for Other Accounts</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner, the Clearing Brokers
and other clearing brokers employed by the Trust and their respective principals and affiliates may trade in the futures and forward
markets for their own accounts and for the accounts of their clients. In doing so, they may take positions opposite to those held
by the Trust or may compete with the Trust for positions in the marketplace. Records of this trading are not available for inspection.
Such trading may create conflicts of interest on behalf of one or more of such persons in respect of their obligations to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Because the Managing Owner, the Clearing
Brokers and other brokers employed by the Trust and their respective principals and affiliates may trade for their own accounts
at the same time that they are managing the Trust&rsquo;s account, you should be aware that, as a result of a neutral allocation
system, testing a new trading system, trading their proprietary accounts more aggressively or other actions not constituting a
violation of fiduciary duty, such persons may from time to time take positions in their proprietary accounts which are opposite,
or ahead of, the positions taken for the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Fiduciary Duty and Remedies</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In evaluating the foregoing conflicts of
interest, a prospective investor should be aware that the Managing Owner has a responsibility to Unitholders to exercise good faith
and fairness in all dealings affecting the Trust. The fiduciary responsibility of the Managing Owner is comparable to that of a
general partner of a limited partnership.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If you believe that the Managing Owner has
violated its fiduciary duty to the Unitholders, you may seek legal relief individually or on behalf of the Trust under applicable
laws to recover damages from or require an accounting by the Managing Owner. The Declaration of Trust is governed by Delaware law
and any breach of the Managing Owner&rsquo;s fiduciary duty under the Declaration of Trust will generally be governed by Delaware
law. The Declaration of Trust does not limit fiduciary obligations under Delaware or common law. The Managing Owner may, however,
assert as a defense to claims of breach of fiduciary duty that the conflicts of interest and fees payable to the Managing Owner
have been disclosed to you in the Prospectus.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>The Trust
And The Trustee</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following summary briefly describes
certain aspects of the operation of the Trust. You should carefully review the Declaration of Trust attached hereto as Exhibit
A and consult with your own advisors concerning the implications to you of investing in a Delaware statutory trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Principal Office; Location of Records</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is organized under the Delaware
Statutory Trust Act (formerly, the Delaware Business Trust Act). The Trust is administered, including the performance of transfer
agent services, by the Managing Owner, whose office is located at 411 West Putnam Avenue, Greenwich, Connecticut 06830 (telephone:
(203) 625-7554). The records of the Trust, including a list of the Unitholders and their addresses, is located at the foregoing
address, and available for inspection and copying by Unitholders as provided in the Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Certain Aspects of the Trust</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is the functional equivalent of
a limited partnership. No special custody arrangements are applicable to the Trust that would not be applicable to a limited partnership.
You should not anticipate any legal or practical protections under the Delaware Statutory Trust Act greater than those available
to limited partners of a limited partnership.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">To the greatest extent permissible under
Delaware law, the Trustee acts in a passive role, with all authority over the operation of the Trust going to the Managing Owner.
The Managing Owner is the functional equivalent of a sole general partner in a limited partnership.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Declaration of Trust gives Unitholders
voting rights comparable to those typically extended to limited partners in publicly-offered futures funds.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Trustee</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Wilmington Trust Company, a Delaware banking
corporation, is the sole Trustee of the Trust. The Trustee&rsquo;s principal offices are located at Rodney Square North, 1100 North
Market Street, Wilmington, Delaware 19890-0001. The Trustee is not affiliated with either the Managing Owner or the Selling Agents.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trustee will accept service of legal
process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee
does not owe any other duties to the Trust, the Managing Owner or the Unitholders. The Declaration of Trust provides that the Trustee
is compensated by the Trust. The Managing Owner has the discretion to replace the Trustee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Under the Declaration of Trust, the Trustee
has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Trust. The Trustee
has no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability
for the acts or omissions of the Managing Owner. In the course of its management, the Managing Owner may, in its sole and absolute
discretion, appoint an affiliate or affiliates of the Managing Owner as additional managing owners and retain such persons, including
affiliates of the Managing Owner, as it deems necessary for the efficient operation of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trustee is not registered in any capacity
with the CFTC.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Management of Trust Affairs; Voting by Unitholders</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Unitholders will not take any part in the
management or control and will have no voice in the operations of the Trust or its business. Unitholders may, however, remove and
replace the Managing Owner as managing owner of the Trust, and may amend the Declaration of Trust, except in certain limited respects,
by the affirmative vote of a majority of the outstanding Units then owned by Unitholders. The owners of a majority of the outstanding
Units then owned by Unitholders may also compel dissolution of the Trust. Although the Trust will not hold any regular, or annual,
meetings of the Unitholders, upon receipt of a written proposal signed by the owners of at least 10% of the outstanding Units that
a meeting be called, the Managing Owner will call a meeting of the Trust. The details of this procedure are set forth in Section
18 of the Declaration of Trust attached hereto as Exhibit A. The Managing Owner has no power under the Declaration of Trust to
restrict any of the Unitholders&rsquo; voting rights.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has the right to amend
the Declaration of Trust without the consent of the Unitholders provided that any such amendment is for the benefit of and not
adverse to the Unitholders or the Trustee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the event that the Managing Owner or
the Unitholders vote to amend the Declaration of Trust in any material respect, the amendment will not become effective before
all Unitholders have had an opportunity to redeem their Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Recognition of the Trust in Certain States</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A number of states do not have &ldquo;business
trust&rdquo; statutes such as that under which the Trust has been formed in the State of Delaware. In order to protect Unitholders
against any possible loss of limited liability, the Declaration of Trust provides that no written obligation may be undertaken
by the Trust unless such obligation is explicitly limited so as not to be enforceable against any Unitholder personally.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Possible Repayment of Distributions Received by Unitholders;
Indemnification of the Trust by Unitholders</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Units are limited liability investments;
you may not lose more than the amount you invest plus any profits recognized on your investment. However, you could be required,
as a matter of law, to return to the Trust&rsquo;s estate any distribution which you received at a time when the Trust was in fact
insolvent or in violation of the Declaration of Trust. In addition, although the Managing Owner is not aware of this provision
ever having been invoked in the case of any public futures fund, Unitholders agree in the Declaration of Trust that they will indemnify
the Trust for any harm suffered by it as a result of (1) Unitholders&rsquo; actions unrelated to the business of the Trust, (2)
transfers of their Units in violation of the Declaration of Trust or (3) taxes imposed on the Trust by the states or municipalities
in which such investors reside.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Indemnification and Standard of Liability</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner and certain of its affiliates,
officers, directors and controlling persons may not be liable to the Trust or any Unitholder for errors in judgment or other acts
or omissions not amounting to misconduct or negligence, as a consequence of the indemnification and exculpatory provisions described
in the following paragraph. You may, therefore, have more limited rights of action than you would absent such provisions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner and its affiliates will
not have any liability to the Trust or to any Unitholder for any loss suffered by the Trust which arises out of any action or inaction
of the Managing Owner or any such affiliate if the Managing Owner or its affiliates, in good faith, determined that such course
of conduct was in the best interests of the Trust, and such course of conduct did not constitute negligence or misconduct.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust has agreed to indemnify the Managing
Owner and its affiliates, officers, directors and controlling persons against claims, losses or liabilities based on their conduct
relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did
not constitute negligence, misconduct or breach any fiduciary obligation to the Trust and was done in good faith and in a manner
the Managing Owner, in good faith, determined to be in the best interests of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Declaration of Trust provides that the
Managing Owner, its affiliates and the Selling Agents will not be indemnified for any losses, liabilities or expenses arising from
or out of an alleged violation of federal or state securities laws unless (1) there has been a successful adjudication on the merits
of each count involving alleged securities law violations as to the particular indemnitee and the court approves indemnification
of the litigation costs, or (2) such claims have been dismissed with prejudice on the merits by a court of competent jurisdiction
as to the particular indemnitee and the court approves indemnification of the litigation costs, or (3) a court of competent jurisdiction
approves a settlement of the claims against a particular indemnitee and finds that indemnification of the settlement and related
costs should be made. It is the opinion of the SEC and certain States that indemnification for violation of the securities laws
is against public policy and unenforceable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Transfers of Units Restricted</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Subject to compliance with applicable securities
laws, you may assign your Units upon notice to the Trust and the Managing Owner. No assignment will be effective in respect of
the Trust or the Managing Owner until the first day of the month following the month in which such notice is received. An assignee
may become a substituted Unitholder only with the consent of the Managing Owner and upon execution and delivery of an instrument
of transfer in form and substance satisfactory to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There are no certificates for the Units.
Transfers of Units are reflected on the books and records of the Trust. Transferors and transferees of Units will each receive
notification from the Managing Owner to the effect that such transfers have been duly reflected as notified to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Reports to Unitholders</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will provide you with
monthly reports in compliance with CFTC requirements. The Managing Owner also distributes, not later than March 15 of each year,
audited financial statements and the tax information related to the Trust necessary for the preparation of your annual federal
income tax returns.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will notify all Unitholders
of a Series within seven business days of any decline in the Net Asset Value per Unit of such Series to less than 50% of such Net
Asset Value as of the previous month-end valuation date. In addition, the Managing Owner will notify all Unitholders of any change
in the fees paid by the Trust or of any material changes in the basic investment policies or structure of the Trust. Any such notifications
will include a description of your voting rights.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Federal
Income Tax Aspects </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>The following constitutes the opinion
of Sidley Austin LLP and summarizes the material federal income tax consequences to individual investors in the Trust. Sidley Austin
LLP&rsquo;s opinion is filed as an exhibit to the registration statement related to the Units offered by this Prospectus. </I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>The Trust&rsquo;s Partnership
Tax Status</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will be treated as a partnership
and, based on the type of income expected to be earned by the Trust, it will not be treated as a &ldquo;publicly traded partnership&rdquo;
taxable as a corporation. Accordingly, the Trust will not pay any federal income tax.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Taxation of Unitholders
on Profits and Losses of the Trust</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Unitholder (other than Foreign Unitholders
and tax-exempt U.S. Unitholders, discussed below) must pay tax on his share of the Trust&rsquo;s annual income and gains, if any,
even if the Trust does not make any cash distributions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust generally allocates the Trust&rsquo;s
gains and losses equally with respect to each Unit. However, a Unitholder who redeems any Units will be specially allocated the
Trust&rsquo;s gains and losses in order that the amount of cash a Unitholder receives for a redeemed Unit will generally equal
the Unitholder&rsquo;s adjusted tax basis attributable to the redeemed Unit. A Unitholder&rsquo;s adjusted tax basis in his Units
generally equals the amount paid for the Units, increased by income or gains allocated to the Unitholder with respect to the Units
and decreased (but not below zero) by distributions, deductions and losses allocated to the Unitholder with respect to the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Deductibility of Trust
Losses by Unitholders</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A Unitholder may deduct Trust losses only
to the extent of his adjusted tax basis in his Units. However, a Unitholder subject to &ldquo;at-risk&rdquo; limitations (generally,
non-corporate taxpayers and closely-held corporations) can only deduct losses to the extent the Unitholder is &ldquo;at-risk.&rdquo;
The &ldquo;at-risk&rdquo; amount is similar to adjusted tax basis, except that it does not include any amount borrowed on a nonrecourse
basis or from someone with an interest in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>&ldquo;Passive-Activity
Loss Rules&rdquo; and Their Effect on the Treatment of Income and Loss</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The trading activities of the Trust are
not a &ldquo;passive activity.&rdquo; Accordingly, a Unitholder can deduct Trust losses from taxable income (subject to certain
limitations, such as the limitation on deductibility of capital losses, discussed below). However, a Unitholder cannot offset losses
from &ldquo;passive activities&rdquo; against Trust gains.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Cash Distributions and
Unit Redemptions</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A Unitholder who receives cash from the
Trust, either through a distribution or a partial redemption, will not pay tax on that cash until his adjusted tax basis in the
Units is reduced to zero. A Unitholder who receives cash upon the complete redemption of Units will recognize gain or loss for
federal income tax purposes. Such gain or loss will generally equal the difference between the amount of cash received and the
Unitholder&rsquo;s adjusted tax basis for his Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Potential Trust-Level Consequences
of Withdrawals and Transfers of Units</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If a Unitholder receives a distribution
of property in liquidation of his Units that would, if the Trust had an Internal Revenue Code of 1986, as amended (the &ldquo;Code&rdquo;),
Section 754 election in effect, require the Trust to make a downward adjustment of more than $250,000 to the basis of its remaining
assets, then even if the Trust does not have a Code Section 754 election in effect, the Trust will be required to make a downward
adjustment to the basis of its remaining assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition, if immediately after the transfer
of a Unit, the Trust&rsquo;s adjusted basis in its property exceeds the fair market value by more than $250,000 of such property,
the Trust generally will be required to adjust the basis of its property with respect to the transferee Unitholder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Gain or Loss on Section
1256 Contracts and Non-Section 1256 Contracts</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Section 1256 Contracts include certain futures
and forward contracts as well as certain option contracts on certain futures contracts traded on U.S. exchanges. For tax purposes,
Section 1256 Contracts that remain open at year-end are marked-to-market and treated as if the position were closed at year-end.
The gain or loss on Section 1256 Contracts is characterized as 60% long-term capital gain or loss and 40% short-term capital gain
or loss, regardless of how long the position was open.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Non-Section 1256 Contracts include Section
988 transactions, <I>i.e.</I>, transactions in which the amount paid or received is denominated by reference to a foreign currency.
In general, gain or loss on Section 988 transactions is characterized as ordinary income or loss. However, the Trust elects to
treat gain or loss on certain Non-Section 1256 Contracts, such as foreign futures contracts, certain foreign currency forward contracts
and non-equity options on foreign currencies, as capital gain or loss.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Trading and Investing in&nbsp;Swaps</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The&nbsp;Trust may invest in and trade&nbsp;swaps.&nbsp;&nbsp;The
proper tax treatment of&nbsp;swaps may not be entirely free from doubt.&nbsp;&nbsp;The Trust expects to mark-to-market its swap
positions at the end of each taxable year and to treat any gain or loss on such positions as ordinary income or loss.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Tax on Capital Gains and
Losses</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A non-corporate Unitholder&rsquo;s long-term
capital gains &mdash; net gain on capital assets held more than one year and 60% of the gain on Section 1256 Contracts &mdash;
are taxed at a maximum rate of 15% for most gains recognized in taxable years beginning on or before December 31, 2012. Short-term
capital gains &mdash; net gain on capital assets held one year or less and 40% of the gain on Section 1256 Contracts &mdash; are
subject to tax at the same rates as ordinary income.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Individual taxpayers can deduct capital
losses only to the extent of their capital gains plus $3,000. Accordingly, the Trust could suffer significant losses and a Unitholder
could still be required to pay taxes on his share of the Trust&rsquo;s interest income. Capital losses generally may not be carried
back to offset capital gains in prior years, but can be carried forward indefinitely.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">An individual taxpayer can carry back net
capital losses on Section 1256 Contracts three years to offset earlier gains on Section 1256 Contracts. To the extent the taxpayer
cannot offset past Section 1256 Contract gains, he can carry forward such losses indefinitely as losses on Section 1256 Contracts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Limited Deduction for Certain
Expenses</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Individual taxpayers are subject to material
limitations on their ability to deduct investment advisory expenses and other expenses of producing income. Sidley Austin LLP has
advised the Managing Owner that the amount, if any, of the Trust&rsquo;s expenses which might be subject to this limitation should
be <I>de minimis</I>. Based on such advice, the Managing Owner treats these items as ordinary business deductions, or income allocations
not subject to the material deductibility limitations that apply to investment advisory expenses. However, the IRS could take a
different position. The IRS could contend that the Brokerage Fee, the management fee, the Profit Share or the ordinary expenses
of the Trust should be recharacterized as investment advisory expenses or, alternatively, capitalized. If these items were treated
as investment advisory expenses or were capitalized, individual taxpayers would have additional tax liability. See also &ldquo;&mdash;
Syndication Expenses,&rdquo; below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Interest Income</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Interest received by the Trust is taxed
as ordinary income. Net capital losses can offset ordinary income only to the extent of $3,000 per year. See &ldquo;&mdash; Tax
on Capital Gains and Losses,&rdquo; above.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Syndication Expenses</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Neither the Trust nor any Unitholder is
entitled to any deduction for syndication expenses (<I>i.e.</I>, expenses incurred in issuing and marketing the Units, including
costs of updating this Prospectus), nor can these expenses be amortized by the Trust or any Unitholder even though the payment
of such expenses reduces Net Asset Value.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner has paid all organization
and initial offering costs from its own funds. However, the IRS could take the position that a portion of the Brokerage Fee paid
by the Trust to the Managing Owner constitutes non-deductible syndication expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Investment Interest Deductibility
Limitation</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Individual taxpayers can deduct &ldquo;investment
interest&rdquo;&mdash; interest on indebtedness allocable to property held for investment &mdash; only to the extent that it does
not exceed net investment income. Net investment income does not include certain net capital gains. A taxpayer can elect to include
certain net capital gains in investment income if he forgoes the benefit of the reduced capital gains rate.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><U>Medicare Tax</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">For taxable years beginning after December
31, 2012, a 3.8% tax will be imposed on some or all of the net investment income of certain individuals with modified adjusted
gross income of over $200,000 ($250,000 in the case of joint filers) and the undistributed net investment income of certain estates
and trusts. For these purposes, &ldquo;net investment income&rdquo; will include a Unitholder&rsquo;s share of interest, dividends,
gain and other income derived from the Trust&rsquo;s investment and trading activities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>IRS Audits of the Trust
and Its Unitholders</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The IRS audits Trust-related items at the
Trust level rather than at the Unitholder level. The Managing Owner acts as &ldquo;tax matters partner&rdquo; with the authority
to determine the Trust&rsquo;s responses to an audit. If an audit results in an adjustment, all Unitholders may be required to
pay additional taxes, interest, and penalties.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Taxation of Foreign Investors</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A Unitholder who is a non-resident alien
individual, foreign corporation, foreign trust or foreign estate (a &ldquo;Foreign Unitholder&rdquo;) generally is not subject
to taxation by the U.S. on capital gains from commodity trading, provided that such Foreign Unitholder (in the case of an individual)
does not spend more than 182 days in the U.S. during his taxable year, and provided further, that such Foreign Unitholder is not
engaged in a trade or business within the U.S. during a taxable year to which income, gain, or loss of the Trust is treated as
&ldquo;effectively connected.&rdquo; An investment in the Trust should not, by itself, cause a Foreign Unitholder to be engaged
in a trade or business within the U.S. for the foregoing purposes, assuming that the trading activities of the Trust continue to
be conducted as described in this Prospectus. In the event that the Trust were found to be engaged in a U.S. trade or business,
a Foreign Unitholder would be required to file a U.S. federal income tax return for such year and pay tax at full U.S. rates. In
the case of a Foreign Unitholder which is a foreign corporation, an additional 30% &ldquo;branch profits&rdquo; tax might be imposed.
Furthermore, in such event the Trust would be required to withhold taxes from the income or gain allocable to such a Unitholder
under Section 1446 of the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Portfolio interest income (other than so-called
&ldquo;contingent interest&rdquo;) allocable to a Foreign Unitholder is likewise not subject to federal income tax withholding,
provided that such Foreign Unitholder is not engaged in a trade or business within the U.S. and provides the Trust with a Form
W-8BEN or other applicable form. Similarly, a Foreign Unitholder&rsquo;s allocable share of interest on U.S. bank deposits, certificates
of deposit and discount obligations with maturities (from original issue) of 183 days or less is not subject to U.S. federal income
tax withholding. Generally, other interest from U.S. sources (including original issue discount) paid to the Trust and allocable
to Foreign Unitholders will be subject to U.S. federal income tax withholding at a statutory rate of 30%. The foregoing discussion
of tax consequences to Foreign Unitholders may be subject to applicable treaty modifications.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Hiring Incentives to Restore Employment
Act (&ldquo;HIRE Act&rdquo;) requires certain foreign entities to enter into an agreement with the Secretary of the Treasury to
disclose to the IRS the name, address and tax identification number of certain U.S. persons who own an interest in the foreign
entity and require certain other foreign entities to provide certain other information to avoid a 30% withholding tax on certain
payments of U.S. source income and certain payments of proceeds from the sale of property that could give rise to U.S. source interest
or dividends. The IRS has released proposed regulations and preliminary guidance that provide for the phased implementation of
the foregoing withholding and reporting requirements. Accordingly, certain Foreign Unitholders may be subject to a 30% withholding
tax in respect of certain of the Trust&rsquo;s investments if they fail to enter into an agreement with the Secretary of the Treasury
or otherwise fail to satisfy their obligations under the legislation. Foreign Unitholders are encouraged to consult with their
own tax advisors regarding the possible implications of this legislation on an investment in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>Tax-Exempt U.S. Unitholders</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A tax-exempt U.S. Unitholder will not be
required to pay tax on its share of income or gains of the Trust, so long as such Unitholder does not use borrowed funds in connection
with its purchase of Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-weight: normal"><U>State and Other Taxes</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition to the federal income tax consequences
described above, the Trust and the Unitholders may be subject to various state and other taxes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Prospective investors are urged to consult
their tax advisors before deciding whether to invest.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Purchases
By Employee Benefit Plans </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Although there can be no assurance that
an investment in the Trust, or any other managed futures product, will achieve the investment objectives of an employee benefit
plan, such investments have certain features which may be of interest to such plans. For example, the futures markets are one of
the few investment fields in which employee benefit plans can participate in leveraged strategies without being required to pay
tax on &ldquo;unrelated business taxable income.&rdquo; In addition, because they are not taxpaying entities, employee benefit
plans are not subject to paying annual tax on their profits, if any, from the Trust despite receiving no distributions from it,
as are other Unitholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>General</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following section sets forth certain
consequences under the Employee Retirement Income Security Act of 1974, as amended (&ldquo;ERISA&rdquo;), and the Code, which a
fiduciary of an &ldquo;employee benefit plan&rdquo; as defined in, and subject to the fiduciary responsibility provisions of, ERISA
or of a &ldquo;plan&rdquo; as defined in and subject to Section 4975 of the Code who has investment discretion should consider
before deciding to invest any of such plan&rsquo;s assets in the Trust (such &ldquo;employee benefit plans&rdquo; and &ldquo;plans&rdquo;
being referred to herein as &ldquo;Plans,&rdquo; and such fiduciaries with investment discretion being referred to herein as &ldquo;Plan
Fiduciaries&rdquo;). The following summary is not intended to be complete, but only to address certain questions under ERISA and
the Code which are likely to be raised by the Plan Fiduciary&rsquo;s own counsel.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In general, the terms &ldquo;employee benefit
plan&rdquo; as defined in ERISA and &ldquo;plan&rdquo; as defined in Section 4975 of the Code together refer to any plan or account
of various types which provides retirement benefits or welfare benefits to an individual or to an employer&rsquo;s employees and
their beneficiaries. Such plans and accounts include, but are not limited to, corporate pension and profit sharing plans, &ldquo;simplified
employee pension plans,&rdquo; Keogh plans for self-employed individuals (including partners), individual retirement accounts described
in Section 408 of the Code and medical benefit plans.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Plan Fiduciary must give appropriate
consideration to the facts and circumstances that are relevant to an investment in the Trust, including the role that an investment
in the Trust plays in the Plan&rsquo;s overall investment portfolio. Each Plan Fiduciary, before deciding to invest in the Trust,
must be satisfied that investment in the Trust is a prudent investment for the Plan, that the investments of the Plan, including
the investment in the Trust, are diversified so as to minimize the risk of large losses and that an investment in the Trust complies
with the terms of the Plan and the related trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="text-transform: uppercase">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="text-transform: uppercase">Each
plan fiduciary considering acquiring Units must consult its own legal and tax advisors before doing so.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>&ldquo;Plan Assets&rdquo;</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The purchase of Units by a Plan raises the
issue of whether that purchase will cause, for purposes of Title I of ERISA and Section 4975 of the Code, the underlying assets
of the Trust to constitute assets of such Plan. ERISA and a regulation issued thereunder (the &ldquo;ERISA Regulation&rdquo;) contain
rules for determining when an investment by a Plan in an entity will result in the underlying assets of such entity being considered
assets of such Plan for purposes of ERISA and Section 4975 of the Code (<I>i.e.</I>, &ldquo;plan assets&rdquo;). Those rules provide
that assets of an entity will not be considered plan assets of a Plan which purchases an equity interest in the entity if certain
exceptions apply, including an exception applicable if the equity interest purchased is a &ldquo;publicly-offered security&rdquo;
(the &ldquo;Publicly-Offered Security Exemption&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Publicly-Offered Security Exception
applies if the equity interest is a security that is (1) &ldquo;freely transferable,&rdquo; (2) part of a class of securities that
is &ldquo;widely held&rdquo; and (3) either (a) part of a class of securities registered under Section 12(b) or 12(g) of the Securities
Exchange Act of 1934, or (b) sold to the Plan as part of a public offering pursuant to an effective registration statement under
the Securities Act of 1933 and the class of which such security is a part is registered under the Securities Exchange Act of 1934
within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year of the issuer in which the offering
of such security occurred. The ERISA Regulation states that the determination of whether a security is &ldquo;freely transferable&rdquo;
is to be made based on all relevant facts and circumstances. The ERISA Regulation specifies that, in the case of a security that
is part of an offering in which the minimum investment is $10,000 or less, the following requirements, alone or in combination,
ordinarily will not affect a finding that the security is freely transferable: (i) a requirement that no transfer or assignment
of the security or rights in respect thereof be made that would violate any federal or state law; (ii) a requirement that no transfer
or assignment be made without advance notice given to the entity that issued the security; and (iii) any restriction on substitution
of an assignee as &ldquo;a limited partner of a partnership, including a general partner consent requirement, provided that the
economic benefits of ownership of the assignor may be transferred or assigned without regard to such restriction or consent&rdquo;
(other than compliance with any of the foregoing restrictions). Under the ERISA Regulation, a class of securities is &ldquo;widely
held&rdquo; only if it is of a class of securities owned by 100 or more investors independent of the issuer and of each other.
A class of securities will not fail to be widely held solely because subsequent to the initial offering the number of independent
investors falls below 100 as a result of events beyond the issuer&rsquo;s control.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner believes that the Publicly-Offered
Securities Exception currently applies to the Units for the following reasons. First, the Units are registered under the Securities
Act of 1933 and timely registered under the Securities Exchange Act of 1934. Second, the Units currently are held by more than
100 investors who the Managing Owner believes are independent of the Trust and of each other. Lastly, the Managing Owner believes
that the Units should be considered to be &ldquo;freely transferable.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Ineligible Purchasers</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In general, Units may not be purchased with
the assets of a Plan if the Managing Owner, the Trustee, any Clearing Broker, Morgan Stanley &amp; Co., LLC, Deutsche Bank AG,
Barclays Bank PLC, any wholesaler, any Selling Agent, or any of their respective affiliates or any of their respective agents
or employees either: (1) has investment discretion with respect to the investment of such plan assets; (2) has authority or responsibility
to give or regularly gives investment advice with respect to such plan assets, for a fee, and pursuant to an agreement or understanding
that such advice will serve as a primary basis for investment decisions with respect to such plan assets and that such advice will
be based on the particular investment needs of the Plan; or (3) is an employer maintaining or contributing to such Plan, except
as is otherwise permissible under ERISA and Section 4975 of the Code. A party that is described in clause (1) or (2) of the preceding
sentence is a fiduciary under ERISA and the Code with respect to the Plan, and any such purchase might result in a &ldquo;prohibited
transaction&rdquo; under ERISA and the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Except as otherwise set forth, the foregoing
statements regarding the consequences under ERISA and the Code of an investment in the Trust are based on the provisions of the
Code and ERISA as currently in effect, and the existing administrative and judicial interpretations thereunder. No assurance can
be given that administrative, judicial or legislative changes will not occur that may make the foregoing statements incorrect or
incomplete.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Acceptance of subscriptions on behalf
of plans is in no respect a representation by the Trust, the Managing Owner, any Selling Agent or any other party related to the
Trust that this investment meets the relevant legal requirements with respect to investments by any particular plan or that this
investment is appropriate for any particular plan. The person with investment discretion should consult with his or her financial
and legal advisors as to the propriety of an investment in the Trust in light of the circumstances of the particular plan and current
tax law.</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Plan
Of Distribution</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Subscription Procedure</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Series 1, Series 2 and Series 3 Units
are offered on a &ldquo;best efforts&rdquo; basis without any firm underwriting commitment through Selling Agents including, but
not limited to, LPL Financial, Stephens Inc. and RBC Capital Markets Corporation, although not all Series are offered through
all Selling Agents. You may purchase Units at Net Asset Value of the applicable Series as of the first business day of each calendar
month. The Managing Owner may from time to time cause the Trust to issue Units at intra-month closings. The minimum initial investment
is $5,000; $2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units are sold
in fractions calculated up to three decimal places.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In order to purchase Units, you must complete,
sign and deliver to a Selling Agent an original of the Subscription Agreement Signature Page which accompanies this Prospectus,
together with a check for the amount of your subscription. Checks should be made payable to <B>&ldquo;Global Macro Trust.&rdquo;</B>
Subscription proceeds will be deposited in the Trust&rsquo;s bank account at First Republic Bank, San Francisco, California, and
then transferred to a U.S. government instrument-only money market account pending investment in the Trust&rsquo;s trading accounts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Clients of certain Selling Agents may make
subscription payments by authorizing the Selling Agents to debit their customer securities account for the amount of the subscription.
When a subscriber authorizes such a debit, the subscriber will be required to have the amount of his or her subscription payment
on deposit in his or her account on a settlement date specified by such Selling Agent. The Selling Agent will debit the account
and transmit the debited funds directly to the Trust&rsquo;s bank account via check or wire transfer made payable to <B>&ldquo;Global
Macro Trust.&rdquo;</B> The settlement date specified by such Selling Agents will be no later than the termination of the relevant
monthly offering period.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will determine, in its
sole discretion, whether to accept or reject a subscription in whole or in part. The Managing Owner will make its determination
within five (5) business days of the submission of a subscription to the Managing Owner, except with respect to plan asset investors,
including IRAs, in which case the Managing Owner will make its determination no later than five (5) business days before the end
of a month (other than for subscriptions submitted after that date).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will make every reasonable
effort to determine the suitability of prospective Unitholders in the Trust through information received on the Subscription Agreement.
Generally, the Managing Owner must receive subscription documents at least five (5) calendar days before the end of a month for
them to be accepted as of the first day of the immediately following month.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will receive any interest earned
on subscriptions held in its accounts pending investment in the Trust&rsquo;s trading account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There are no fees applicable to subscriptions
held pending investment in the Trust&rsquo;s trading account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Subscriptions, if rejected, will be returned
to investors promptly following the end of the month in which the subscription was rejected or sooner if practicable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Subscriptions are final and binding on a
subscriber as of the close of business on the fifth business day following the submission of the subscriber&rsquo;s Subscription
Agreement to subscriber&rsquo;s Selling Agent.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>The Selling Agents</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Neither the Trust nor the Unitholders pay
selling commissions in connection with the sale of the Units. The Managing Owner pays the Selling Agents, from its own funds, upfront
selling commissions of up to 4% of the gross offering proceeds of all Series 1 Units sold by each Selling Agent. In addition to
upfront selling commissions, the Managing Owner will also pay installment selling commissions to the Selling Agents by paying up
to 0.3333 of 1% (a 4% annual rate) of the month-end Net Asset Value of all Series 1 Units sold by them which remain outstanding
more than twelve months after such Series 1 Units were first issued (not the date that the related subscription was received or
accepted by the Trust); provided, however that cumulative selling commissions per Series 1 Unit will not exceed 9.5% of the gross
offering proceeds for such Series 1 Unit sold pursuant to this Prospectus, as described in the compensation grid below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">As illustrated in the table below, The Managing
Owner pays the Selling Agents reduced selling commissions of up to 3.5%, 3% and 2.5% of the subscription amount and ongoing compensation
at an annual rate of up to 3.5%, 3%, and 2.5% in respect of Series 1 Units purchased by investors investing $100,000, $500,000
or $1,000,000 or more, respectively, in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Reduced Selling Commission/Ongoing Compensation Table</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 39%; padding-right: 0.05in; padding-left: 0.05in; font-weight: bold; text-align: center">Selling&nbsp;Commission/<BR> Ongoing&nbsp;Compensation</TD>
    <TD STYLE="width: 61%; padding-right: 0.05in; padding-left: 0.05in; font-weight: bold; text-align: center">Aggregate&nbsp;Investment per&nbsp;Investor</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center">3.5%</TD>
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center"><U>&gt;</U> $100,000 &le; $499,999</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center">3%</TD>
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center"><U>&gt;</U> $500,000 &le; $999,999</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center">2.5%</TD>
    <TD STYLE="padding-right: 0.05in; padding-left: 0.05in; text-align: center"><U>&gt;</U> $1,000,000</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Investors paying reduced or no selling commissions
will pay Brokerage Fees reduced to reflect the reduction or absence of selling commissions. See &ldquo;Charges &mdash; Brokerage
Fee Differentials.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">For Series 1 Units on which the Managing
Owner pays an upfront selling commission of 4% of the gross offering proceeds of such Units, the Managing Owner will pay a maximum
of 5.5% of the gross offering proceeds of such Units in ongoing compensation, as described above. Likewise, for Series 1 Units
on which the Managing Owner pays an upfront selling commission of 3.5%, 3% or 2.5% of the gross offering proceeds of such Units,
the Managing Owner will pay a maximum of 6%, 6.5% or 7%, respectively, of the gross offering proceeds of such Units in ongoing
compensation, as described above and in the compensation grid below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may engage one or more
registered broker-dealers to solicit other broker-dealers to become Selling Agents and to assist those Selling Agents with the
offering and sale of the Series 1 Units, that is, to act as wholesalers. As compensation for its services, any such wholesaler
will receive a portion of the selling commissions and may receive a portion of the ongoing compensation that would otherwise be
paid to the Selling Agents.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may also engage one or
more registered broker-dealers, as wholesalers, to assist Selling Agents with the offer and sale of the Units. The Managing Owner,
not the Trust, will compensate such broker-dealers from its own funds subject to the limitations of FINRA Rule 2310(b)(4)(B)(i)
pertaining to maximum allowable selling commissions. The maximum compensation payable to wholesalers is illustrated on the compensation
grid below.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 2 Units and Series 3 Units are available
for purchase only by investors participating in a registered investment adviser&rsquo;s asset-based or fixed fee advisory program
through which an investment adviser recommends a portfolio allocation to the Trust. The Managing Owner may engage one or more registered
broker-dealers, as introducing brokers or wholesalers, to assist Selling Agents acting as executing brokers with the offer and
sale of the Series 2 Units and Series 3 Units. The Managing Owner will pay, from its own funds, all compensation due to such broker-dealers,
wholesalers and Selling Agents. Compensation to broker-dealers, wholesalers and Selling Agents due in connection with the sale
of Series 2 Units or Series 3 Units will be paid up to 6.3333% and 9.5%, respectively, of the gross offering proceeds of the Series
2 Units and Series 3 Units in monthly installments beginning with the first month following the sale of a Series 2 Unit or Series
3 Unit in an aggregate amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2
Units and Series 3 Units sold by them which remain outstanding.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Series 2 Units are subject to a custodial
fee equal to 0.0208 of 1% of the month-end Net Asset Value of all Series 2 Units (a 0.25% annual rate) before accruals for unpaid
management fees, custodial fees or Series 2/3 Profit Shares. The maximum amount of custodial fees paid is 3.1667% of the gross
offering proceeds of the Series 2 Units. The Managing Owner will pay the custodial fee on to broker-dealers that act as custodian
for Series 2 Units for the benefit of investors in Series 2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Selling Agents and brokers will determine
the suitability of prospective Unitholders in the Trust, pursuant to FINRA Rule 2310, based upon information contained in the Subscription
Agreement and documents furnished to the Selling Agents or brokers by their customers in opening accounts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">No Selling Agent will make an investment
in the Trust on behalf of a client for which it has discretionary trading authority without prior written approval of the investment
by the client.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">As illustrated on the Items of Compensation
chart beginning on page 74, under no circumstances will the maximum compensation paid to the Selling Agents,
broker-dealers assisting selling agents and wholesalers, including initial selling commissions, installment selling commissions
to selling agents, selling commissions to wholesalers, installment selling commissions to wholesalers, expense reimbursements and
custodial fees, exceed 10% of the gross offering proceeds of the sale of the Units, which is the maximum permitted by FINRA in
connection with this offering of the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-weight: normal"><U>Selling
Agent Compensation Table</U></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="width: 29%; vertical-align: bottom; font-weight: bold">Nature of Payment</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 23%; vertical-align: bottom; font-weight: bold">Recipient</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 44%; vertical-align: bottom; font-weight: bold">Amount of Payment</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Selling Commissions &mdash; Series 1 Units</TD>
    <TD>&nbsp;</TD>
    <TD>Selling Agents</TD>
    <TD>&nbsp;</TD>
    <TD>Selling Agents will receive from the Managing Owner, in conjunction with the sale of Series 1 Units, initial selling commissions of up to 4% of the gross offering proceeds of Series 1 Units sold by the Selling Agents.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Installment Selling Commissions &mdash; Series 1 Units</TD>
    <TD>&nbsp;</TD>
    <TD>Selling Agents</TD>
    <TD>&nbsp;</TD>
    <TD>Selling Agents will also receive from the Managing Owner installment selling commissions by paying up to 0.3333 of 1% of the month-end Net Asset Value of all Series 1 Units sold which remain outstanding more than twelve months (a 4% annual rate), provided that installment selling commissions plus initial selling commissions in respect of a Series 1 Unit will not exceed 9.5% of the gross offering proceeds of such Series 1 Unit.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Wholesaling Fees &mdash; Series 1 Units</TD>
    <TD>&nbsp;</TD>
    <TD>Wholesalers</TD>
    <TD>&nbsp;</TD>
    <TD>Wholesalers wholesaling the Series 1 Units to Selling Agents will receive a portion of the selling commission described above (not to exceed 1% of the gross offering proceeds of the Series 1 Units sold by the Selling Agents solicited by the wholesalers), and may receive a portion of the installment selling commissions described above (not to exceed 0.0833 of 1% of the month-end Net Asset Value of the Series 1 Units sold by the Selling Agents solicited by the wholesalers &ndash; a 1% annual rate).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Wholesaling Fees &mdash; Series 2 Units and Series 3 Units</TD>
    <TD>&nbsp;</TD>
    <TD>Wholesalers</TD>
    <TD>&nbsp;</TD>
    <TD>Wholesalers wholesaling the Series 2 and Series 3 Units to Selling Agents or otherwise assisting with the placement of Series 2 Units and Series 3 Units may receive from the Managing Owner installment selling commissions of up to 6.333% and 9.5%, respectively, of the gross offering proceeds of the Series 2 Units and Series 3 Units by paying an amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2 Units and Series 3 Units sold by a Selling Agent selling Series 2 or Series 3 Units which remain outstanding,<I> </I>provided that the Selling Agent does not receive installment selling commissions in connection with the sale of the Series 2 or Series 3 Units.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Custodial Fees &mdash; Series 2 Units</TD>
    <TD>&nbsp;</TD>
    <TD>Managing Owner/Custodians</TD>
    <TD>&nbsp;</TD>
    <TD>The Managing Owner will receive a custodial fee by receiving a payment from the Trust, to be borne solely by the Series 2 Units, equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end Net Asset Value of all Series 2 Units which remain outstanding before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares.&nbsp; The Managing Owner will then pay the custodial fees on to broker-dealers serving as custodians of the Series 2 Units.&nbsp; The maximum amount of custodial fees paid depends upon the level of installment selling commissions paid, as discussed on the grid below.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="width: 29%; vertical-align: bottom; font-weight: bold">Nature of Payment</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 23%; vertical-align: bottom; font-weight: bold">Recipient</TD>
    <TD STYLE="width: 2%; vertical-align: top; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 44%; vertical-align: bottom; font-weight: bold">Amount of Payment</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Expense Reimbursement</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P></TD>
    <TD>&nbsp;</TD>
    <TD>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Managing Owner</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P></TD>
    <TD>&nbsp;</TD>
    <TD>The Managing Owner may, but is not obligated to, reimburse Selling Agents or otherwise pay for reasonable out of pocket expenses incurred in connection with the performance of their duties including, for example, Selling Agents&rsquo; legal fees, broker/client seminars or other deemed underwriting expenses. The amount of such reimbursements will not exceed 0.50% of the gross offering proceeds of all Units sold and the amount of such reimbursements, when aggregated with selling commissions, and installment selling commissions will not exceed 10% of the gross offering proceeds of all Units sold.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">There are no other items of compensation
paid in respect of the sale of the Trust&rsquo;s Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>



<P STYLE="margin: 0"></P>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><U>Items of Compensation Pursuant to FINRA Rule 2310</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following table sets forth the items
of compensation, and the maximum amounts thereof in respect of the offering of the Units, paid to members of FINRA pursuant to
FINRA Rule 2310 on a Series-by-Series basis, with distinctions made for investment amount and the involvement of wholesalers, where
appropriate. These items of compensation are set forth in detail below and are more fully described above:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;1&nbsp;Investors&nbsp;with&nbsp;no&nbsp;Wholesalers</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999</TD>
    <TD>&nbsp;</TD>
    <TD>4% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $100,000 - $499,999</TD>
    <TD>&nbsp;</TD>
    <TD>3.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $500,000 - $999,999</TD>
    <TD>&nbsp;</TD>
    <TD>3% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $1,000,000 or more</TD>
    <TD>&nbsp;</TD>
    <TD>2.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;1&nbsp;Investors&nbsp;whose&nbsp;Selling&nbsp;Agents&nbsp;were&nbsp;introduced&nbsp;by&nbsp;Wholesalers&nbsp;(additional&nbsp;services&nbsp;to&nbsp;Selling&nbsp;Agents)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999</TD>
    <TD>&nbsp;</TD>
    <TD>3% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.125% of the gross offering proceeds of the Units sold</TD>
    <TD>&nbsp;</TD>
    <TD>1% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.375% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $100,000 - $499,999</TD>
    <TD>&nbsp;</TD>
    <TD>2.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.2857% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>1% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.7143% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $500,000 - $999,999</TD>
    <TD>&nbsp;</TD>
    <TD>2.25% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.1875% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.875% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.75% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.625% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $1,000,000 or more</TD>
    <TD>&nbsp;</TD>
    <TD>1.75% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.1458% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.90% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.75% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 2.10% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;1&nbsp;Investors&nbsp;whose&nbsp;Selling&nbsp;Agents&nbsp;were&nbsp;introduced&nbsp;by&nbsp;Wholesalers&nbsp;(no&nbsp;additional&nbsp;services&nbsp;to&nbsp;Selling&nbsp;Agents)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; font-style: italic; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999</TD>
    <TD>&nbsp;</TD>
    <TD>3.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $100,000 - $499,999</TD>
    <TD>&nbsp;</TD>
    <TD>3.0% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $500,000 - $999,999</TD>
    <TD>&nbsp;</TD>
    <TD>2.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Investing $1,000,000 or more</TD>
    <TD>&nbsp;</TD>
    <TD>2.0% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;2&nbsp;Investors&nbsp;whose&nbsp;Wholesalers&nbsp;Receive&nbsp;Installment&nbsp;Selling&nbsp;Commissions&nbsp;of&nbsp;0.50%&nbsp;per&nbsp;annum</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>All</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.3333% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold"><B>Series&nbsp;2&nbsp;Investors&nbsp;whose&nbsp;Wholesalers&nbsp;Receive&nbsp;No&nbsp;Installment&nbsp;Selling&nbsp;Commissions</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>All</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 3.6667% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;3&nbsp;Investors&nbsp;whose&nbsp;Wholesalers&nbsp;Receive&nbsp;Installment&nbsp;Selling&nbsp;Commissions&nbsp;of&nbsp;0.50%&nbsp;per&nbsp;annum</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>All</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of&nbsp; 9.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 10% of the gross offering proceeds of the Units sold.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold"><B>Series&nbsp;3&nbsp;Investors&nbsp;whose&nbsp;Wholesalers&nbsp;Receive&nbsp;No&nbsp;Installment&nbsp;Selling&nbsp;Commissions</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 11%; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="width: 1%; padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 12%; font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>All</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>Up to 0.5% of the gross offering proceeds of the Units sold.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">Series&nbsp;4&nbsp;Investors</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="15" STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Investment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Amount</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to&nbsp;Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Agents</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Installment</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Selling</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Commissions</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>to</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Wholesalers</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Expense</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Reimbursement</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Custodial</I></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Fees</I></P></TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt; text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD NOWRAP STYLE="font-style: italic; border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom">TOTAL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="font-style: italic">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>All</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD>
    <TD>&nbsp;</TD>
    <TD>This item of compensation not paid by these Units.</TD></TR>
</TABLE>
<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Legal
Matters</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Sidley Austin LLP, Chicago, Illinois, served
as legal counsel to the Managing Owner in connection with the preparation of this Prospectus. Sidley Austin LLP may continue to
serve in such capacity in the future, but has not assumed any obligation to update this Prospectus. Sidley Austin LLP may advise
the Managing Owner in matters relating to the operation of the Trust on an ongoing basis. Sidley Austin LLP does not represent
and has not represented the prospective investors or the Trust in negotiation of its business terms, the offering of the Units
or in respect of its ongoing operations. <I>Prospective investors must recognize that, as they have had no representation in the
organization process, the terms of the Trust relating to themselves and the Units have not been negotiated at arm&rsquo;s length.
</I>More specifically, Sidley Austin LLP does not undertake to monitor the compliance of the Managing Owner and its affiliates
with the investment program, valuation procedures and other guidelines set forth herein or in the exhibits hereto, nor does it
monitor compliance with applicable laws. In preparing this Prospectus, Sidley Austin LLP relied upon information furnished by the
Managing Owner and did not investigate or verify the accuracy and completeness of the information set forth herein concerning the
Managing Owner, the Trust&rsquo;s service providers and their affiliates and personnel.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Sidley Austin LLP&rsquo;s engagement by
the Managing Owner in respect of the Trust is limited to the specific matters as to which it is consulted by the Managing Owner
and, therefore, there may exist facts or circumstances which could have a bearing on the Trust&rsquo;s (or the Managing Owner&rsquo;s)
financial condition or operations with respect to which Sidley Austin LLP has not been consulted and for which Sidley Austin LLP
expressly disclaims any responsibility.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Richards, Layton &amp; Finger, P.A. acted
as special Delaware counsel to the Trust in connection with assessing the legality of its securities but does not otherwise represent
the Trust or the Unitholders.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Experts</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Millburn Ridgefield Corporation Statement
of Financial Condition as of December 31, 2011, included in this Prospectus, has been included herein in reliance on the report
of Arthur F. Bell, Jr. &amp; Associates, L.L.C., an independent registered public accounting firm, given on the authority of that
firm as experts in accounting and auditing.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The financial statements of Global Macro
Trust included in this Prospectus have been audited by Deloitte &amp; Touche LLP, an independent registered public accounting firm,
as stated in their report appearing herein. Such financial statements are included in reliance upon the report of such firm given
upon their authority as experts in accounting and auditing.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><B>REPORTS </B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">CFTC Rules require that this Prospectus
be accompanied by summary financial information, which may be a recent Monthly Report of the Trust, current within 60 calendar
days.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-indent: 0in"><B>Privacy
Policy</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Under CFTC Rules, financial institutions
like the Managing Owner are required to provide privacy notices to their clients. As required by such CFTC Rules, we are providing
you with the following information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">We collect nonpublic personal information
about you from the following sources:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.5in">(i)</TD><TD>Information the Managing Owner receives from you on Subscription Agreements and related forms (for example, name, address,
Social Security number, birth date, assets, income, and investment experience); and</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -0.5in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.5in"></TD><TD STYLE="width: 0.5in">(ii)</TD><TD>Information about your transactions with the Managing Owner (for example, account activity and balances).</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In order to service your account and process
your transactions, the Managing Owner may provide your personal information to its affiliates and to firms that assist the Managing
Owner in servicing your account and have a need for such information such as account or fund administrators. The Managing Owner
requires third-party service providers to protect the confidentiality of your information and to use the information only for the
purposes for which the Managing Owner discloses the information to them.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner does not disclose any
nonpublic information about its customers or former customers to anyone other than in connection with the administration, processing
and servicing of customer accounts as described above or to its accountants, attorneys and auditors or as otherwise permitted or
required by law.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner restricts access to nonpublic
personal information about you to its personnel who need to know that information in order to provide products or services to you.
The Managing Owner maintains physical, electronic and procedural controls in keeping with federal standards to safeguard your nonpublic
personal information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>This Prospectus is in two parts: a Disclosure
Document and a Statement of Additional Information. These parts are bound together and may not be distributed separately.</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><B>PART TWO</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><B>STATEMENT OF ADDITIONAL
INFORMATION</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-align: center; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-align: center; text-indent: 0in"><B>The
Futures And Forward Markets</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Futures and Forward Contracts</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Futures contracts in the U.S. are generally
traded on exchanges and call for the future delivery of various commodities. These contractual obligations may be satisfied either
by taking or making physical delivery or by making an offsetting sale or purchase of a futures contract on the same exchange.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Forward currency contracts are agreements
to make or accept delivery of a currency and are traded off-exchange through banks or dealers. In such instances, the bank or dealer
generally acts as principal in the transaction and charges &ldquo;bid-ask&rdquo; spreads. These contractual obligations are generally
satisfied by making an offsetting agreement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Swap contracts are agreements to exchange
cash flows or periodic payments based on price changes of an underlying commodity, instrument or index and contain terms and conditions
specially negotiated by the parties to the agreement. These agreements are settled in cash, and may be terminated at the expiration
of a specific period of time or by making an offsetting agreement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Unlike an investment in bonds where one
expects some consistency of yield or in stocks where one expects to participate in economic growth, futures, forward and swap trading
is a &ldquo;zero-sum,&rdquo; risk transfer economic activity. For every gain realized by one futures, forward or swap trader, there
is an equal and offsetting loss suffered by another.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Hedgers and Speculators</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The two broad classifications of persons
who trade futures are &ldquo;hedgers&rdquo; and &ldquo;speculators.&rdquo; Hedging is designed to minimize the losses that may
occur because of price changes, for example, between the time a merchandiser contracts to sell a commodity and the time of delivery.
The futures and forward markets enable the hedger to shift the risk of price changes to the speculator. The speculator risks capital
with the hope of making profits from such changes. Speculators, such as the Trust, rarely take delivery of the physical commodity
but rather close out their futures positions through offsetting futures contracts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Exchanges; Position and Daily Limits; Margins</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Commodity exchanges in the U.S. generally
have an associated &ldquo;clearinghouse.&rdquo; Once trades made between members of an exchange have been cleared, each clearing
broker looks only to the clearinghouse for all payments in respect of such broker&rsquo;s open positions. The clearinghouse &ldquo;guarantee&rdquo;
of performance on open positions does not run to customers. If a member firm goes bankrupt, customers could lose money.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Reform Act mandates that a substantial
portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses.
The mandates imposed by the Reform Act may result in the Fund bearing higher upfront and mark-to-market margin, less favorable
trade pricing, and the possible imposition of new or increased fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner will trade for the Trust
on a number of foreign commodity exchanges. Foreign commodity exchanges differ in certain respects from their U.S. counterparts
and are not regulated by any U.S. agency.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The CFTC and the U.S. exchanges have established
&ldquo;speculative position limits&rdquo; on the maximum positions that the Managing Owner may hold or control in futures contracts
on some, but not all, commodities. For example, the CFTC limits the number of contracts the Managing Owner can control in corn
to 13,500 in a single delivery month, whereas the Chicago Mercantile Exchange limits the number of S&amp;P 500 Index contracts
the Managing Owner can control to 20,000 and U.S. Treasury bonds traded on the Chicago Board of Trade are not subject to position
limits. In October 2011, the CFTC adopted position limits for 28 so-called &ldquo;exempt&rdquo; (<I>e.g</I>., metal and energy
contracts) and agricultural commodity derivatives, futures and option contracts and their economically equivalent swaps. All accounts
controlled by the Managing Owner, including the account of the Trust, are combined for speculative position limit purposes. These
position limits are not yet effective and there is considerable uncertainty surrounding their application. If position limits are
exceeded by the Managing Owner in the opinion of the CFTC or any other regulatory body, exchange or board, the Managing Owner will
liquidate positions to the extent necessary to comply with applicable position limits. To date, position limits have not been a
material imposition on the ability of the Managing Owner to effect its trading method. In the event the Managing Owner controls
contracts in excess of the applicable limits, the Managing Owner will equitably reduce the position it controls across affected
accounts managed by the Managing Owner, including the Trust, giving due consideration to such factors as account size, position
size, account risk/reward parameters and trading portfolio composition.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">U.S. exchanges limit the maximum change
in some, but not all, futures prices during any single trading day. Once the &ldquo;daily limit&rdquo; has been reached, it becomes
very difficult to execute trades in the same direction the market has moved. That is, if a market is &ldquo;limit up,&rdquo; it
is difficult, or impossible, to buy, but very easy to sell. Because these limits apply on a day-to-day basis, they do not limit
ultimate losses, but may reduce or temporarily eliminate liquidity. For example, the Chicago Board of Trade imposes daily limits
of 30&cent; on corn futures and no daily limits on U.S. Treasury bond futures. The Chicago Mercantile Exchange coordinates trading
halts in the S&amp;P 500 Index futures with halts in the trading of the stocks underlying the Index and imposes trading pauses
or halts at moves of 5%, 10%, 15% and 20% in the value of the Index.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">When a position is established, &ldquo;initial
margin&rdquo; is deposited. On most exchanges, at the close of each trading day &ldquo;variation margin,&rdquo; representing the
unrealized gain or loss on the open positions, is either credited to or debited from a trader&rsquo;s account. If &ldquo;variation
margin&rdquo; payments cause a trader&rsquo;s &ldquo;initial margin&rdquo; to fall below &ldquo;maintenance margin&rdquo; levels,
a &ldquo;margin call&rdquo; is made, requiring the trader to deposit additional margin or have his position closed out.</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-align: center; text-indent: 0in"><B>&nbsp;</B></P>

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<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-align: center; text-indent: 0in"><B>&nbsp;</B></P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase; text-align: center; text-indent: 0in"><B>Supplemental
Performance Information</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust trades the Millburn Diversified
Portfolio (&ldquo;MDP&rdquo;). MDP is the composite performance of all fully-funded accounts which have traded the portfolio since
its inception in 1977 through December 2003 and, thereafter, of all accounts (fully-funded and notional), adjusted to reflect the
charges applicable to the Trust. The Trust is separate from MDP and the performance of MDP is not the performance of the Trust.
Moreover, the past performance of MDP is not necessarily indicative of the future performance of the Trust. The Trust is one account
which has traded MDP since July 1, 2002.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The analyses set forth on pages 83-85 are
derived from the over 30-year history of MDP and reflect the characteristics of the portfolio and strategy traded by the Trust
over an extended period which includes rising and falling stock prices, interest rates, dollar exchange rates and inflation plus
numerous shocks to global economic and financial systems.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The analyses set forth on pages 86-89 are
derived from the performance of the Trust since the commencement of its trading operations in July 2002.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The S&amp;P 500 Index, NASDAQ Composite
Index, Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE) and Barclays Long-Term Treasury Index
are unmanaged indices commonly used as market benchmarks. The performance of the indices does not reflect any fees or transaction
costs as these expenses do not apply to market indices. These indices are compared to MDP and the Trust because they represent
asset classes often included in investor portfolios, and are useful in illustrating the potential diversification benefits of the
Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust is not a complete investment program,
and investment in the Trust should be viewed as a diversification opportunity only, not as a substitute for a well diversified
portfolio.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Please see &ldquo;Note to Supplemental
Performance Information&rdquo; on page 92.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="text-transform: uppercase"><B>Past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>SUPPLEMENTAL TABLE NO. 1</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)<BR>
FEBRUARY 1977&mdash;JUNE 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><FONT STYLE="font-size: 10pt">The pro forma
adjustments to MDP&rsquo;s performance</FONT><SUP>1</SUP><FONT STYLE="font-size: 10pt"> reflect the cost/fee structure of the
Trust applicable to investors who purchase Series 1 Units.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 92%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.5in">
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD NOWRAP STYLE="width: 25%; text-align: left"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 10pt"><B>MDP</B></FONT><B><SUP>2</SUP></B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 12%; text-align: center"><B>S&amp;P&nbsp;500<SUP>3</SUP></B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 10pt"><B>NASDAQ</B></FONT><B><SUP>4</SUP></B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 10pt"><B>EAFE</B></FONT><B><SUP>5</SUP></B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD>
    <TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD><TD NOWRAP STYLE="width: 12%; text-align: center"><FONT STYLE="font-size: 10pt"><B>BONDS</B></FONT><B><SUP>6</SUP></B></TD><TD NOWRAP STYLE="width: 1%; text-align: center"><B>&nbsp;</B></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2012 (6 months)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2010</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2009</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">44</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-13</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2008</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-37</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-41</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2007</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2006</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2005</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2004</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2003</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2002</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2001</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">86</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1998</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1997</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1996</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1995</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1994</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1993</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1992</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1991</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1990</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">49</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-18</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1989</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1988</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1987</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1986</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1985</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1984</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1983</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1982</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">35</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1981</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1980</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1979</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">63</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1978</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1977 (11 months)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD COLSPAN="17" STYLE="text-align: center"><B>Compound Annual Return</B></TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1977-2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.<BR>
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP<BR>
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS<BR>
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<!-- Field: Rule-Page --><DIV STYLE="text-align: left; margin-top: 0; margin-bottom: 0; margin-right: 0"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><SUP>1</SUP></FONT></TD><TD><FONT STYLE="font-size: 10pt">MDP, pursuant to which the Trust is traded, has a pro forma compound rate of return of 12.7% for
over 30 years. MDP has tended to be profitable during periods of stress in equity and bond markets. The benefit of including MDP
in a portfolio of stocks and/or bonds is observable in the table for the years 2008, 2002, 2000, 1994, 1990, 1987 and 1981 when
MDP performed well in difficult years for other asset classes. <I>There can, of course, be no assurance that this pattern will
continue or that MDP or the Trust will not incur losses, as MDP did in the full years 2011, 2009, 2004, 2003, 2001, 1999, 1989,
1986 and 1983.</I> The largest monthly loss during the period shown was 15.3% (9/86).</FONT></TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT></TD><TD>MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December
2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the highest cost/fee structure applicable
to the Series 1 Units. There are material limitations inherent in pro forma comparisons.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT></TD><TD>S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT></TD><TD>NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>5</SUP></FONT></TD><TD>Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>6</SUP></FONT></TD><TD>Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;&nbsp;</P>

<!-- Field: Page; Sequence: 84; Value: 2 -->
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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>SUPPLEMENTAL TABLE NO. 2</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)<BR>
FEBRUARY 1977&mdash;JUNE 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following table is similar to the Annual
Returns table on the previous page. The pro forma adjustments to MDP&rsquo;s performance, however, reflect the cost/fee structure
of the Trust applicable to investors who purchase Series 2 Units.</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 92%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.5in">
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD NOWRAP STYLE="width: 25%; font-weight: bold; text-align: left">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>MDP<SUP>1</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center">&nbsp;S&amp;P&nbsp;500<SUP>2</SUP></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center"></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>NASDAQ<SUP>3</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>EAFE<SUP>4</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>BONDS<SUP>5</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2012 (6 months)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2010</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2009</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">44</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-13</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2008</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-37</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-41</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2007</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2006</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2005</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2004</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2003</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2002</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2001</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">86</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1998</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1997</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1996</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1995</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1994</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1993</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1992</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1991</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1990</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">53</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-18</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1989</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1988</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1987</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1986</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1985</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1984</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1983</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1982</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1981</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">51</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1980</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">76</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1979</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">69</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1978</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">1977 (11 months)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">14</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">-3</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">10</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">20</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD COLSPAN="17" STYLE="text-align: center"><B>Compound Annual Return</B></TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1977-2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.<BR>
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP<BR>
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS<BR>
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"></P>

<!-- Field: Rule-Page --><DIV STYLE="text-align: left; margin-top: 0; margin-bottom: 0"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT></TD><TD>MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December
2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of the Trust applicable
to investors who purchase Series 2 Units. There are material limitations inherent in pro forma comparisons.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT></TD><TD>S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT></TD><TD>NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT></TD><TD>Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>5</SUP></FONT></TD><TD>Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;&nbsp;</P>

<!-- Field: Page; Sequence: 85; Value: 2 -->
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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>SUPPLEMENTAL TABLE NO. 3</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)<BR>
FEBRUARY 1977&mdash;JUNE 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following table is similar to the Annual
Returns tables on the previous pages. The pro forma adjustments to MDP&rsquo;s performance, however, reflect the cost/fee structure
of the Trust applicable to investors who purchase Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 92%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.5in">
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD NOWRAP STYLE="width: 25%; font-weight: bold; text-align: left">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>MDP<SUP>1</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center">&nbsp;S&amp;P&nbsp;500<SUP>2</SUP></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center"></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>NASDAQ<SUP>3</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>EAFE<SUP>4</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="width: 12%; font-weight: bold; text-align: center"><B>BONDS<SUP>5</SUP></B></TD><TD NOWRAP STYLE="width: 1%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2012 (6 months)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2010</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2009</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">44</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-13</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2008</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-37</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-41</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2007</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2006</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2005</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2004</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2003</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2002</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2001</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-39</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-14</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">86</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1998</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1997</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1996</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1995</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1994</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1993</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1992</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1991</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1990</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">54</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-18</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1989</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1988</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1987</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1986</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">70</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1985</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1984</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1983</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">23</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1982</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1981</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">51</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1980</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">76</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-3</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1979</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">69</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">1978</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">1977 (11 months)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">14</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">-3</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">10</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">20</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">4</TD><TD STYLE="text-align: left; padding-bottom: 1pt">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD COLSPAN="17" STYLE="text-align: center"><B>Compound Annual Return</B></TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">1977-2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.<BR>
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP<BR>
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS<BR>
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<!-- Field: Rule-Page --><DIV STYLE="text-align: left; margin-top: 0; margin-bottom: 0"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT></TD><TD>MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through
                                                                                                                                    December 2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of
                                                                                                                                    the Trust applicable to investors who purchase Series 3  Units. There are material limitations inherent in pro forma
                                                                                                                                    comparisons.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT></TD><TD>S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT></TD><TD>NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT></TD><TD>Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>5</SUP></FONT></TD><TD>Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>VALUE OF $1,000
Series 1</B></FONT><B><SUP>1</SUP><FONT STYLE="text-transform: uppercase"> INVESTMENT vs. S&amp;p 500</FONT><SUP>2</SUP><FONT STYLE="text-transform: uppercase">,
NASDAQ</FONT><SUP>3</SUP><FONT STYLE="text-transform: uppercase"> and EAFE</FONT><SUP>4</SUP><FONT STYLE="text-transform: uppercase">
</FONT></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>July 2002
&ndash; JUNE 2012 </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><img src="pg88.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust began trading on July 1, 2002. From inception through
June 30, 2012, a $1,000 investment in the Trust would have appreciated to over $1,076.52, a 0.74% compound annual rate of return.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B></B></FONT></P>

<!-- Field: Rule-Page --><DIV STYLE="text-align: left; margin-top: 0; margin-bottom: 0"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT>
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT>
S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT>
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT>
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>ANNUAL SERIES 1 RETURNS
</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>July 2002 &ndash;
JUNE 2012</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The accompanying table shows annual returns for the Series 1
Units from inception on July 1, 2002 and the corresponding returns for the S&amp;P 500, NASDAQ and EAFE (foreign equities). It
is important to note that while the Trust has the potential to be profitable in a poor year for stocks, it also has the potential
to outperform a portfolio of stocks in other years. <I>There can, of course, be no assurance that the Trust will, in fact, be profitable
during poor years for stocks or outperform stocks in other years or that the Trust will not incur losses.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>&nbsp;</I></P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 75%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="text-align: left">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Trust&nbsp;Series&nbsp;1<SUP>1</SUP></TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">S&amp;P<SUP>2</SUP></TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">NASDAQ<SUP>3</SUP></TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">EAFE<SUP>4</SUP></TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">(net&nbsp;of&nbsp;fees)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 32%; text-align: left"><B>2012 </B>(JAN-JUN])</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">-8.39</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">9.49</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">12.66</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">3.38</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-10.58</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.11</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-1.80</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11.73</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2010</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15.06</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16.91</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.21</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2009</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-11.60</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26.46</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">43.89</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32.46</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2008</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18.48</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-37.00</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-40.54</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-43.06</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2007</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11.26</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.49</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9.81</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11.63</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2006</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.34</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15.79</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9.52</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26.86</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2005</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.91</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.37</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14.02</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2004</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-5.33</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10.88</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.59</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20.70</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">2003</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-2.10</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28.68</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50.01</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39.17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><B>2002 </B>(JUL-DEC)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.02</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-10.30</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-8.73</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-14.48</TD><TD STYLE="text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B></B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT>
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT>
S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT>
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT>
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>SERIES 1 COMPARATIVE
RETURNS </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>July 2002
&ndash; JUNE 2012 </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Over the first 120 months of operations, the Trust generated
returns which had low correlation to U.S. and non-U.S. equity markets. While the Trust may not be a core portfolio holding, its
diverse portfolio and objective long/short trading strategies make it a potentially powerful diversification tool for a traditional
portfolio of stocks and bonds. The Trust returns also showed low correlation to the returns from hedge fund investments during
the same period. <I>There can, of course, be no assurance that this pattern will continue or that the Trust will not incur losses.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 75%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Trust&nbsp;Series&nbsp;1<SUP>1</SUP></TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">S&amp;P<SUP>2</SUP></TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">NASDAQ<SUP>3</SUP></TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">EAFE<SUP>4</SUP></TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">(net&nbsp;of&nbsp;fees)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 32%; font-weight: bold; text-align: left">COMPOUND ANNUAL ROR</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">0.74</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">5.33</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">7.21</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 14%; text-align: right">5.62</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">ANNUAL STDEV<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15.15</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15.84</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19.69</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19.18</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>SHARPE RATIO</B></FONT><B><SUP>6</SUP><FONT STYLE="font: 10pt Times New Roman, Times, Serif"> </FONT></B><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><BR>
(2% Risk Free Return)</FONT></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-0.08</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.21</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.26</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.19</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">BEST ROLLING 12-MO</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29.62</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">53.62</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">62.45</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58.15</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">WORST ROLLING 12-MO</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-27.70</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-43.32</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42.29</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-49.94</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><B>CORRELATION TO TRUST SERIES 1</B><SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.06</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.03</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1
</SUP></FONT>Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions,
administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect
reinvestment of profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT>
S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT>
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT>
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><SUP>5</SUP></FONT>
<FONT STYLE="font-size: 10pt">Annual STDEV means monthly annualized standard deviation. Standard deviation is the measure of the
variability of return earned by an investment portfolio. Generally, the larger the degree of dispersion, the greater the risk taken
to achieve the return.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><SUP>6</SUP></FONT>
<FONT STYLE="font-size: 10pt">Sharpe ratio is a measure of risk adjusted return, calculated by dividing the annual compound rate
of return minus the risk-free rate noted by monthly standard deviation annualized.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B></B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>SERIES 1</B></FONT><B><SUP>1
</SUP><FONT STYLE="text-transform: uppercase">QUARTERLY RETURNS VS. S&amp;P 500</FONT><SUP>2</SUP><FONT STYLE="text-transform: uppercase">
</FONT></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>July 2002 &ndash;
JUNE 2012 </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Since its inception, the Trust outperformed the S&amp;P 500
in 20 out of 40 quarters. Over those 40 quarters, the S&amp;P 500 was down 14 quarters with an average loss of 7.9%. Over those
same 14 quarters, the Trust on average was flat. <I>There can, of course, be no assurance that the Trust will perform profitably
over any particular period of time or that the Trust will not incur losses.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><img src="pg91.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT>
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT>
S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>WHY MANAGED FUTURES?
</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>THE BENEFITS OF MANAGED
FUTURES </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 27pt; text-indent: -0.25in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.13in"></TD><TD STYLE="width: 0.25in">&bull;</TD><TD>The compound annual return of Managed Futures, represented by the Barclay BTOP50 Index, over the January 1990-June 2012 period
compared favorably with the returns of the other asset classes presented below.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.13in"></TD><TD STYLE="width: 0.25in">&bull;</TD><TD>Managed Futures returns had very low correlation to the returns of the other asset classes during this time period.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.13in"></TD><TD STYLE="width: 0.25in">&bull;</TD><TD>Managed Futures frequently performed well during environments that were difficult for other asset classes. For example, in
1990, during 2000-2002 and in 2008.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.13in"></TD><TD STYLE="width: 0.25in">&bull;</TD><TD>Additionally, Managed Futures performed well during environments that were very profitable for equities such as the period
from 1995-1999 when the S&amp;P 500 compounded at 28.56%<SUP>2</SUP>. During this period Managed Futures compounded at 10.48%<SUP>1</SUP>.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>COMPARATIVE PERFORMANCE
OF ASSET CLASSES RANKED BY ANNUAL RETURN </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>January 1990 &ndash;
JUNE 2012 </B></FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MANAGED</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>FUTURES&nbsp;INDEX<SUP>1</SUP></B></FONT></P></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">S&amp;P<SUP>2</SUP></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">NASDAQ<SUP>3</SUP></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>INT&rsquo;L</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>STOCKS<SUP>4</SUP></B></FONT></P></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>U.S.</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>BONDS<SUP>5</SUP></B></FONT></P></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>HEDGE</B></P> <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>FUNDS<SUP>6</SUP></B></FONT></P></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 28%; font-weight: bold; text-align: left">COMPOUND ANNUAL RETURN</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">7.18</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">8.47</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">8.64</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">3.86</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">9.03</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">11.06</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">CORRELATION OF MONTHLY RETURNS TO MANAGED FUTURES INDEX</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.00</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.12</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.19</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.05</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.22</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.02</TD><TD STYLE="text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><img src="pg92.jpg">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>1</SUP></FONT>
Managed Futures Index refers to Barclay BTOP50 Index, an investable index that seeks to replicate the overall composition of the
managed futures industry. The largest investable trading advisor programs, as measured by assets under management, are selected
for inclusion in the BTOP50. In each calendar year the selected trading advisor programs represent, in aggregate, no less than
50% of the investable assets of the Barclay CTA Universe. For 2012 there are 23 funds in the Barclay BTOP50 Index. Source: PERTRAC
Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>2</SUP></FONT>
S&amp;P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>3</SUP></FONT>
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>4</SUP></FONT>
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>5</SUP></FONT>
Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>6</SUP></FONT>
HFRI Fund Weighted Composite Index (since 1990). Source: Hedge Fund Research, Inc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;&nbsp;</B></FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>ENHANCING A TRADITIONAL
PORTFOLIO WITH MANAGED FUTURES </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-transform: uppercase"><B>January 1990 &ndash;
JUNE 2012 </B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 31.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><img src="pg93.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 31.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The charts above show the result of adding 5% increments of
managed futures, represented by the Barclay BTOP50 Index, to U.S. and international portfolios of stocks and bonds, represented
by the MSCI World Index, Citi World Government Bond Index, S&amp;P 500 Index and Barclays Long Term Treasury Index, respectively.
Over the past 22 years, a portfolio comprised of managed futures plus international stocks and bonds, rebalanced annually, would
have had greater returns and lower volatility, and a portfolio of managed futures plus U.S. stocks and bonds, rebalanced annually,
would have had lower volatility, than a 60%/40% portfolio comprised of just stocks and bonds. However, for a portfolio consisting
of managed futures plus stocks and bonds to outperform a portfolio consisting of stocks and bonds only, managed futures must outperform
stocks and bonds over the period being measured. There can be no assurance that will, in fact, occur. Prospective investors should
note that the Managing Owner did not manage any account represented by the allocations shown here, and that this chart is presented
for illustrative purposes only. An investment in managed futures is speculative and may not be suitable for all investors. The
illustrations in the charts above are not meant to be, and must not be construed as, a recommendation that any investor should
allocate more than 5% of his portfolio to managed futures.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Combining actively managed futures investments, represented
by the Barclay BTOP50 Index, with passive investment indices such as the S&amp;P 500 Index, Barclays Long Term Treasury Index,
MSCI World Index and Citi World Government Bond Index has material inherent limitations. Passive indices are unmanaged and do not
incur management fees, transaction costs or other expenses associated with a managed futures portfolio.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">THE FOREGOING PRESENTATION DOES NOT REPRESENT ANY ACTUAL PORTFOLIO
COMPOSITION BUT ONLY THE POSSIBLE RESULTS WHICH MIGHT HAVE OCCURRED HAD MANAGED FUTURES BEEN INCLUDED IN A TRADITIONAL PORTFOLIO
DURING THE PERIOD SHOWN. THE RISK OF A MANAGED FUTURES PORTFOLIO INCURRING SUDDEN, MAJOR LOSSES IS NOT REFLECTED IN THE FOREGOING
CHART, WHICH IS BASED ON STATISTICAL AVERAGES OVER TIME.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>&nbsp;</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="text-transform: uppercase"><B>past
performance is not necessarily indicative of future results.</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Note to Supplemental Performance Information</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The performance shown on pages 83-85 represents
the pro forma composite performance of all fully-funded accounts prior to January 2004 and of all accounts beginning with January
2004 traded pursuant to the Managing Owner&rsquo;s Diversified Portfolio during the period presented. The historical performance
of the Diversified Portfolio composite has been retroactively adjusted on a pro forma basis approximately to reflect the highest
cost/fee structure applicable to the Series 1 Units (Table 1) and the cost/fee structures applicable to Series 2 Units and Series
3 Units (Tables 2 and 3, respectively). The purpose of this pro forma presentation is to provide an approximation of the rates
of return such composite accounts would have achieved had they been traded pursuant to the Trust&rsquo;s cost/fee structure.<I>
However, there are material limitations inherent in pro forma comparisons. It is not feasible to make all the pro forma adjustments
necessary to reflect the effect of all the business terms of the Trust on the actual performance of the accounts in the composite.
The pro forma performance of the composite accounts should not be considered to be indicative of how any one account in the composite
would have performed had it been subject to the cost/fee structure of the relevant Series of Units.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The pro forma calculations were made on
a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following
month for making similar pro forma calculations. <I>Accordingly, the pro forma performance does not reflect on a cumulative basis
the effect of the differences between the fees to be charged and interest to be earned by the Trust and the fees charged and interest
earned by the accounts in the composite.</I> The following assumptions were made in calculating the pro forma rates of return:
a Brokerage Fee of 7% per annum of month-end Net Assets (Supplemental Table No. 1); a management fee of 2%, clearing and execution
costs of 0.25% and custodial fees of 0.25% (Supplemental Table No. 2); a management fee of 2% and clearing and execution costs
of 0.25% (Supplemental Table No. 3); an annual Profit Share of 20% of New Trading Profit; operating and ongoing offering and administrative
expenses of 0.35% per annum of average annual Net Assets; and actual interest income earned by the accounts in the Diversified
Portfolio composite.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"><FONT STYLE="font-weight: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in; text-align: left"><FONT STYLE="font-weight: normal">The
performance shown on pages 86-89 are derived from the performance of Series 1 since the commencement of its trading operations in
July 2002.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Millburn Diversified Portfolio is an
actively managed portfolio of futures and forward contracts and related options. The Managing Owner will trade its Diversified
Portfolio on behalf of the Trust and the Trust will pay the fees and expenses and will be subject to the Profit Share as described
in this Prospectus. The S&amp;P 500 Index, NASDAQ Composite Index, Morgan Stanley Capital International EAFE Index, Morgan Stanley
Capital International World Index, Barclay BTOP50 Index, Citi World Government Bond Index and Barclays Long-Term Treasury Index
are unmanaged indices commonly used as market benchmarks. The performance of these indices does not reflect any fees or transaction
costs as these expenses do not apply to most market indices (Barclay BTOP50 Index is compiled net of CTA fees). The HFRI Fund Weighted
Composite Index is an unmanaged index of actively managed hedge funds and is an internationally recognized benchmark of hedge fund
performance. The performance of the index reflects the fees and transaction costs borne by its underlying hedge fund components
but not of the index itself as none apply to the index.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">INDEX TO FINANCIAL STATEMENTS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><B>&nbsp;</B></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 92%; text-align: right; text-decoration: none">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 8%; border-bottom: windowtext 1pt solid; text-align: center; text-decoration: none"><B>Page</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top"><B>GLOBAL MACRO TRUST</B></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Financial Statements for the three months ended March 31, 2012 (unaudited)</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-1</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Notes to Financial Statements (unaudited)</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-11</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Report of Independent Registered Public Accounting Firm</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-19</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statements of Financial Condition as of December 31, 2011 and 2010</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-20</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Condensed Schedule of Investments as of December 31, 2011</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-21</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Condensed Schedule of Investments as of December 31, 2010</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-23</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statements of Operations for the years ended December 31, 2011, 2010 and 2009</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-25</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statements of Changes in Trust Capital for the years ended December 31, 2011, 2010 and 2009</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-26</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statements of Financial Highlights for the years ended December 31, 2011, 2010 and 2009 &ndash; Series 1</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-27</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: -0.12in; padding-left: 0.24in">Statements of Financial Highlights for the year ended December 31, 2011 and the period ended December 31, 2010 &ndash; Series 2</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-28</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: -0.12in; padding-left: 0.24in">Statements of Financial Highlights for the years ended December 31, 2011 and 2010 and the period ended December 31, 2009 &ndash; Series 3</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-29</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: -0.12in; padding-left: 0.24in">Statements of Financial Highlights for the year ended December 31, 2011 and the period ended December 31, 2010 &ndash; Series 4</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-30</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Notes to Financial Statements</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-31</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top"><B>MILLBURN RIDGEFIELD CORPORATION:</B></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statement of Financial Condition at March 31, 2012 (unaudited)</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-42</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Notes to Statement of Financial Condition (unaudited)</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-43</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Independent Auditor&rsquo;s Report</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-53</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Statement of Financial Condition at December 31, 2011</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-54</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top; text-indent: 0in">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top; text-indent: 0in; padding-left: 0.12in">Notes to Statement of Financial Condition</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-indent: 0in; text-align: right">F-55</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0"></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;Schedules are omitted for the reason
that they are not required or are not applicable or that equivalent information has been included in the financial statements
or notes thereto.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Statements of Financial Condition (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">March&nbsp;31</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">December&nbsp;31</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2012</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">ASSETS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">EQUITY IN TRADING ACCOUNTS:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 70%; text-align: left; padding-left: 18pt; text-indent: -9pt">Investments in U.S. Treasury notes &ndash; at fair value (amortized cost $93,937,594 and $81,041,000)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">93,917,668</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">81,045,824</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Net unrealized appreciation on open futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,333,313</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,894,380</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Due from brokers</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,517,676</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,913,738</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Cash denominated in foreign currencies (cost $6,054,147 and $1,754,566)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,052,559</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,719,017</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.25in">Total equity in trading accounts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">113,821,216</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">102,572,959</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">INVESTMENTS IN U.S. TREASURY NOTES &ndash; at fair value (amortized cost $561,445,026 and $634,052,301)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">561,300,682</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">634,082,662</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">CASH AND CASH EQUIVALENTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,283,270</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,348,737</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">ACCRUED INTEREST RECEIVABLE</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">281,895</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,339,577</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">692,687,063</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">782,343,935</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">LIABILITIES AND TRUST CAPITAL</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>LIABILITIES:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Subscriptions by Unitholders received in advance</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3,118,444</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3,164,450</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Net unrealized depreciation on open futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,595,700</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">917,275</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Due to Managing Owner</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">177,157</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">137,996</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Due to Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,973</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Accrued brokerage and commission fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,449,414</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,005,466</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Accrued management fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">52,672</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57,276</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions payable to Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">25,739,982</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,618,625</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemption payable to Managing Owner</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Accrued expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">187,702</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">180,897</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Cash denominated in foreign currencies (cost $0 and -$2,107,152)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,122,063</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Due to brokers</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">290,305</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">951,234</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">42,626,349</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">29,156,541</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">TRUST CAPITAL</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Managing Owner interest (8,347.266 and 8,207.970 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,062,062</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,644,943</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 1 Unitholders (560,312.763 and 603,996.596 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">608,271,847</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">709,737,394</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 2 Unitholders (183.146 and 190.737 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">215,932</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">240,698</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 3 Unitholders (26,145.377 and 25,863.120 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30,971,393</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32,771,232</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Series 4 Unitholders (1,253.547 and 606.787 units outstanding)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,539,480</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">793,127</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total trust capital</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">650,060,714</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">753,187,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL:</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">692,687,063</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">782,343,935</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NET ASSET VALUE PER UNIT OUTSTANDING:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 1 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,085.59</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,175.07</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 2 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,179.02</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,261.94</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 3 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,184.58</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,267.10</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 4 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,228.10</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,307.09</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Condensed Schedule of Investments (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>March 31, 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid">FUTURES&nbsp;AND&nbsp;FORWARD&nbsp;CURRENCY&nbsp;CONTRACTS</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Net&nbsp;Unrealized<BR> Appreciation/<BR> (Depreciation)<BR> as&nbsp;a&nbsp;%&nbsp;of<BR> Trust&nbsp;Capital</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Net&nbsp;Unrealized<BR> Appreciation/<BR> (Depreciation)</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FUTURES CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Long futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 70%; padding-left: 9pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">(0.44</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">(2,873,507</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.01</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">56,250</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">2 Year U.S. Treasury Note (683 contracts, settlement date June 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(49,859</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.25in">5 Year U.S. Treasury Note (871 contracts, settlement date June 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.02</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(123,562</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">10 Year U.S. Treasury Note (339 contracts, settlement date June 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(80,969</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.25in">30 Year U.S. Treasury Bond (187 contracts, settlement date June 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(67,750</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Other interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.24</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,580,081</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Total interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.19</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,257,941</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.31</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,999,642</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.04</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250,667</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.06</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(407,240</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total long futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.57</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,715,531</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Short futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.46</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,969,190</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.07</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(432,584</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.02</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(129,921</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.01</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,090</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.34</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,236,219</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.28</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,818,638</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.08</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">515,212</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total short futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.08</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,048,844</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.51</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,333,313</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">Total long forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.30</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,993,234</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total short forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.17</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(7,602,466</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in">TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.47</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(0.96</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,262,387</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;&nbsp;</P>

<!-- Field: Page; Sequence: 96; Value: 1 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Condensed Schedule of Investments (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>March 31, 2012</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>U.S. Treasury Notes</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid">Face&nbsp;Amount</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid">Description</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">Fair&nbsp;Value<BR> as&nbsp;a&nbsp;%&nbsp;of<BR> Trust&nbsp;Capital</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Fair&nbsp;Value</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">206,390,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 55%; text-align: left">U.S. Treasury notes, 0.375%, 08/31/2012</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">31.78</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">206,587,522</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">197,140,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 4.250%, 09/30/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30.94</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">201,136,705</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,710,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 0.500%, 11/30/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.82</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,816,966</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">195,950,000</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">U.S. Treasury notes, 0.625%, 02/28/2013</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">30.25</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">196,677,157</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">Total investments in U.S. Treasury notes</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2.5pt; text-indent: 12pt">(amortized cost $655,382,620)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">100.79</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">655,218,350</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 55%">See notes to financial statements</TD>
    <TD STYLE="width: 45%; text-align: right">(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Condensed Schedule of Investments (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>December 31, 2011</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid">FUTURES&nbsp;AND&nbsp;FORWARD&nbsp;CURRENCY&nbsp;CONTRACTS</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Net&nbsp;Unrealized<BR> Appreciation/<BR> (Depreciation)<BR> as&nbsp;a&nbsp;%&nbsp;of<BR> Trust&nbsp;Capital</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Net&nbsp;Unrealized<BR> Appreciation/<BR> (Depreciation)</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FUTURES CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Long futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 70%; padding-left: 9pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">(0.04</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">(317,941</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.10</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">740,413</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">2 Year U.S. Treasury Note (2,581 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">416,798</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.25in">5 Year U.S. Treasury Note (2,385 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.09</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">647,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">10 Year U.S. Treasury Note (1,128 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.09</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">679,344</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.25in">30 Year U.S. Treasury Bond (279 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">213,719</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Other interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.86</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,494,508</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Total interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.12</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,451,369</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.15</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,082,372</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.05</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(406,302</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(36,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total long futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.98</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,348,602</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Short futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.21</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,577,490</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.31</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,352,297</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(76,759</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.00</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">377,431</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,407,123</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.09</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(648,340</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total short futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.03</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">259,938</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.01</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,608,540</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.25in">Total long forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.14</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,033,705</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Total short forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.72</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,402,270</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in">TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.58</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1.59</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

<!-- Field: Page; Sequence: 98; Value: 1 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Condensed Schedule of Investments (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>December 31, 2011</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>U.S. Treasury Notes</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid">Face Amount</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; border-bottom: Black 1pt solid; padding-left: 0; text-indent: 0">Description</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: right; border-bottom: Black 1pt solid">Fair Value<BR> as a % of<BR> Trust Capital</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Fair Value</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; padding-left: 0; text-indent: 0">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">215,950,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 55%; text-align: left; padding-left: 0; text-indent: 0">U.S. Treasury notes, 0.875%, 02/29/2012</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">28.71</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 12%; text-align: right">216,236,809</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">218,390,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; padding-left: 0; text-indent: 0">U.S. Treasury notes, 0.375%, 08/31/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">218,782,420</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">222,440,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left; padding-left: 0; text-indent: 0">U.S. Treasury notes, 4.250%, 09/30/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30.44</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">229,234,847</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">50,710,000</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0; text-indent: 0">U.S. Treasury notes, 0.500%, 11/30/2012</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6.75</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">50,874,410</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-left: 0; text-indent: 0">Total investments in U.S. Treasury notes</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 2.5pt; text-indent: 0; padding-left: 0.12in">(amortized cost $715,093,301)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">94.95</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">715,128,486</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 5.4pt; text-align: right">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 88%">See notes to financial statements</TD>
    <TD STYLE="width: 12%; text-align: right">(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"></P>
<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Statements of Operations (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">For the three months ended</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">March 31</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">March 31</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2012</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">INVESTMENT INCOME:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 76%; text-align: left; padding-bottom: 1pt; text-indent: 12pt; padding-left: 5.4pt">Interest income</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="width: 9%; border-bottom: Black 1pt solid; text-align: right">266,834</TD><TD STYLE="width: 1%; padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="width: 9%; border-bottom: Black 1pt solid; text-align: right">692,240</TD><TD STYLE="width: 1%; padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>EXPENSES:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Brokerage and custodial fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,277,869</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,517,228</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Administrative expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">532,057</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">562,115</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Custody fees and other expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38,616</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">41,296</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12pt; padding-left: 5.4pt">Management fees</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">160,448</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">100,769</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.5in; padding-left: 5.4pt">Total expenses</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">12,008,990</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">15,221,408</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">NET INVESTMENT LOSS</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(11,742,156</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(14,529,168</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NET REALIZED AND UNREALIZED GAINS (LOSSES):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 5.4pt">Net realized gains (losses) on closed positions:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(25,667,890</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">18,004,570</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Foreign exchange translation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">85,659</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,982</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 5.4pt">Net change in unrealized:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(18,239,492</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,453,022</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Foreign exchange translation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,872</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(88,871</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 5.4pt">Net gains (losses) from U.S. Treasury notes:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 12pt; padding-left: 5.4pt">Realized</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,513</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38,951</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 12pt; padding-left: 5.4pt">Net change in unrealized</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(199,455</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(109,457</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">TOTAL NET REALIZED AND UNREALIZED LOSSES</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(43,996,819</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,601,847</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NET LOSS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(55,738,975</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(21,131,015</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">LESS PROFIT SHARE TO MANAGING OWNER</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">353</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">NET LOSS AFTER PROFIT SHARE TO MANAGING OWNER</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(55,738,975</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(21,131,368</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NET LOSS AFTER PROFIT SHARE TO MANAGING OWNER</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 12pt; padding-left: 5.4pt">PER UNIT OUTSTANDING</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Series 1 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(89.48</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(32.33</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Series 2 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(82.92</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(18.80</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Series 3 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(82.52</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(18.05</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 12pt; padding-left: 5.4pt">Series 4 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(78.99</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(10.91</TD><TD STYLE="text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Statements of Changes in Trust Capital
(UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>For the three months ended March 31, 2012:</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 6pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">New Profit</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Series 1 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Series 2 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Series 3 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Series 4 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Memo Account</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Managing Owner</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Total</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt; width: 15%">Trust capital at&nbsp;January 1, 2012</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 4%; text-align: right; font-size: 6pt">709,737,394</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">603,996.596</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">240,698</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">190.737</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">32,771,232</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">25,863.120</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">793,127</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">606.787</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">9,644,943</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">8,207.970</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">753,187,394</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">638,865.210</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="font-size: 6pt">Subscriptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">8,629,420</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">7,536.487</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,755,733</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,416.471</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">835,559</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">646.760</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">11,220,712</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">9,599.718</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt">Redemptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(57,212,948</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(51,623.401</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(9,347</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(7.591</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,386,122</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,134.214</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(58,608,417</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(52,765.206</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; font-size: 6pt">Addt&rsquo;l units allocated *</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">403.081</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">139.296</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">542.377</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">Net loss</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(52,882,019</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(15,419</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(2,169,450</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(89,206</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(582,881</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">(55,738,975</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">)</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">March 31, 2012</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">608,271,847</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">560,312.763</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">215,932</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">183.146</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">30,971,393</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">26,145.377</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">1,539,480</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">1,253.547</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">9,062,062</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">8,347.266</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">650,060,714</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 2.5pt double">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 2.5pt double">596,242.099</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 2.5pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 0">Net asset value per unit outstanding&nbsp;at March 31, 2012:</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">1,085.59</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">1,179.02</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">1,184.58</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">$</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">1,228.10</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt"></TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 91%; padding-left: 0">* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and the Managing Owner</TD>
    <TD STYLE="width: 9%; padding-left: 5.4pt; text-align: right">(Continued)&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

<!-- Field: Page; Sequence: 101; Value: 1 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Statements of Changes in Trust Capital
(UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;<B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>For the three months ended March 31, 2011:</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 6pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">New Profit</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 1 Unitholders</TD><TD NOWRAP STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 2 Unitholders</TD><TD NOWRAP STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 3 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 4 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Memo Account</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Managing Owner</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Total</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt; width: 15%">Trust capital at&nbsp;January 1, 2011</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 4%; text-align: right; font-size: 6pt">867,646,692</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">660,222.516</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">101,957</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">75.492</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">14,178,784</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">10,481.102</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">75,449</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">55.233</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">10,922,729</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">8,311.477</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">892,925,611</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">679,145.820</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="font-size: 6pt">Subscriptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">9,969,224</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">7,613.533</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">30,000</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">22.213</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">8,818,235</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">6,522.761</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">629,822</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">462.463</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">19,447,281</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">14,620.970</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt">Redemptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(19,969,148</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(15,375.657</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(148,351</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(109.168</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(20,117,499</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(15,484.825</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; font-size: 6pt">Addt&rsquo;l units allocated *</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">436.564</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">0.001</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">141.644</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">578.209</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; font-size: 6pt">Net loss</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(20,740,155</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,837</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(298,413</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(3,739</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(9</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(87,215</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(21,131,368</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; font-size: 6pt">Managing Owner&rsquo;s allocation:</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt; padding-bottom: 1pt">New Profit-Accrued</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">353</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">0.267</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">-</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">353</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD STYLE="font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt; border-bottom: Black 1pt solid">0.267</TD><TD STYLE="text-align: left; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">Trust capital at&nbsp;March 31, 2011</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">836,906,613</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">652,896.956</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">130,120</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">97.705</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">22,550,255</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">16,894.695</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">701,532</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">517.696</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">344</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">0.268</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">10,835,514</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">8,453.121</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">871,124,378</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">678,860.411</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="font-weight: bold; padding-bottom: 0; font-size: 6pt">Net asset value per unit outstanding&nbsp;at March 31, 2011:</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1,281.84</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1,331.76</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1,334.75</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1,355.10</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt"></TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">* Additional units are issued to Series 1 Unitholders who are
charged less than a 7% brokerage fee and the Managing Owner</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 78%">See notes to financial statements</TD>
    <TD STYLE="width: 22%; text-align: right">(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Global Macro Trust</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Statements of Financial Highlights (UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt"><B>For the three months ended March 31</B>&nbsp;&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2012</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2011</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    1</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    2</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    3</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    4</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    1</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    2</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    3</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    4</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Net loss from operations:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 28%; text-align: left; text-indent: 0; padding-left: 9pt"><FONT STYLE="font-size: 8pt">Net investment loss</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(19.32</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(7.33</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(7.36</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(1.36</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(21.83</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(8.27</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(7.46</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-size: 8pt">(0.72</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Net realized and unrealized
    losses on trading of futures and forward currency contracts</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(69.81</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(75.22</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(74.78</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(77.19</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.40</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.42</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.43</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.04</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net losses from U.S.
    Treasury obligations</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.35</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.37</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.38</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.44</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.10</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.11</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.14</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.15</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Profit
    share allocated to Managing Owner</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">(0.02</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt"><FONT STYLE="font-size: 8pt">Net loss per unit</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(89.48</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(82.92</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(82.52</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(78.99</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(32.33</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(18.80</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(18.05</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(10.91</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Net asset value per
    unit, beginning of period</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,175.07</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,261.94</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,267.10</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,307.09</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,314.17</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,350.56</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,352.80</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">1,366.01</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt; text-indent: -0.1in; padding-left: 0.1in"><FONT STYLE="font-size: 8pt">Net asset value per
    unit, end of period</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,085.59</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,179.02</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,184.58</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,228.10</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,281.84</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,331.76</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,334.75</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">$</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">1,355.10</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>



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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">Total return and ratios for the three&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2012</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="14" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2011</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt"><B>months ended March 31:</B>&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    1</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    2</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    3</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    4</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    1</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    2</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    3</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">Series
    4</FONT></TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">RATIOS TO AVERAGE CAPITAL:</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 28%; text-align: left; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;Net investment
    loss (a)</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(6.92</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(2.68</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(2.43</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(0.43</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(6.72</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(2.46</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(2.22</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="width: 6%; border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(0.21</FONT></TD><TD STYLE="width: 1%; padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;Total expenses (a)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.07</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2.83</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2.58</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">0.58</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">7.03</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2.77</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2.52</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">0.52</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;&nbsp;&nbsp;Profit share allocation (b)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; padding-left: 9pt"><FONT STYLE="font-size: 8pt">TOTAL EXPENSES AND PROFIT
    SHARE&nbsp;ALLOCATION</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">7.07</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">2.83</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">2.58</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">0.58</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">7.03</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">2.77</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">2.52</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">0.52</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Total return before profit share allocation (b)</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(7.61</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(6.57</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(6.51</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(6.04</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(2.46</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(1.39</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(1.29</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(0.80</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">Profit share allocation (b)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">(0.04</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">)</FONT></TD><TD STYLE="padding-bottom: 1pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT STYLE="font-size: 8pt">0.00</FONT></TD><TD STYLE="padding-bottom: 1pt; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">TOTAL RETURN AFTER PROFIT SHARE ALLOCATION</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(7.61</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(6.57</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(6.51</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(6.04</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(2.46</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(1.39</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(1.33</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD><TD STYLE="padding-bottom: 2.5pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right"><FONT STYLE="font-size: 8pt">(0.80</FONT></TD><TD STYLE="padding-bottom: 2.5pt; text-align: left"><FONT STYLE="font-size: 8pt">)%</FONT></TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) annualized</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(b) not annualized</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">NOTES TO FINANCIAL STATEMENTS (UNAUDITED)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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&rsquo;s (the &ldquo;Trust&rdquo;) financial condition at March 31, 2012 and December 31, 2011 and the results of its
operations for the three months ended March 31, 2012 and 2011 (unaudited). 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&rsquo;s annual report on
Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011. The December 31, 2011 information
has been derived from the audited financial statements as of December 31, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">With the effectiveness of the Trust&rsquo;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 were
the Series 1 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The preparation of financial statements in conformity with accounting
principles generally accepted (&ldquo;U.S. GAAP&rdquo;) in the United States of America (the &ldquo;U.S.&rdquo;) 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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust enters into contracts that contain a variety of indemnification
provisions. The Trust&rsquo;s maximum exposure under these arrangements is unknown. The Trust does not anticipate recognizing any
loss related to these arrangements.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Income Taxes topic of the Financial Accounting Standards
Board (&ldquo;FASB&rdquo;) Accounting Standards Codification (the &ldquo;Codification&rdquo;) clarifies the accounting for uncertainty
in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions.
Based on a review of the Trust&rsquo;s open tax years, 2008 to 2011, for the U.S. Federal jurisdiction, the New York, Connecticut
and Delaware state jurisdictions and the New York City jurisdiction, there are no uncertain tax positions that would 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 in the trust (&ldquo;Unitholders&rdquo;) are responsible for the payment of taxes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">There have been no material changes with respect to the Trust&rsquo;s
critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust&rsquo;s
Annual Report on Form 10-K for fiscal year 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">2. RECENT ACCOUNTING STANDARDS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">In December 2011, FASB issued ASU 2011-11, &ldquo;Disclosures
about Offsetting Assets and Liabilities&rdquo; which creates a new disclosure requirement about the nature of an entity&rsquo;s
rights of setoff and the related arrangement associated with its financial instruments and derivative instruments. Entities are
required to disclose both gross information and net information about both instruments and transactions eligible for offset in
the Statements of Financial Condition and instruments and transactions subject to an agreement similar to a master netting arrangement.
The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on
the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting
Standards. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim
periods within those annual periods. The Trust should also provide the disclosures retrospectively for all comparative periods
presented. Millburn Ridgefield Corporation (the &ldquo;Managing Owner&rdquo;) is currently evaluating the impact that the standard
would have on the financial statements.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">3. FAIR VALUE</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Level 1: Unadjusted quoted prices in active markets that are
accessible at the measurement date for identical, unrestricted assets or liabilities;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Level 2: Quoted prices in markets that are not active or financial
instruments for which all significant inputs are observable, either directly or indirectly;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Level 3: Prices or valuations that require inputs that are both
significant to the fair value measurement and unobservable.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In determining fair value, the Trust separates
its investments into two categories: cash instruments and derivative contracts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Cash Instruments &ndash; The Trust&rsquo;s cash instruments
are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices.
The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment
in a quoted short-term U.S. Government 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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Derivative Contracts &ndash; Derivative contracts can be exchange-traded
or over-the-counter (&ldquo;OTC&rdquo;). Exchange-traded futures contracts are valued based on quoted closing settlement prices
and typically fall within Level 1 of the fair value hierarchy.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">OTC derivatives, or forward currency contracts, are valued based
on pricing models that consider the current market prices (&ldquo;spot prices&rdquo;) plus the time value of money (&ldquo;forward
points&rdquo;) 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&rsquo;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.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">During the&nbsp;three months ended March 31, 2012 and 2011,
there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Trust&rsquo;s
investments by hierarchial level as of March 31, 2012 and December 31, 2011 in valuing the Trust&rsquo;s investments at fair value.
At March 31, 2012 and December 31, 2011, the Trust held no assets or liabilities classified in Level 3.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 5.4pt"><B><U>Financial Assets at Fair Value as of March 31,
2012</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Level 1</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Level 2</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Total</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 64%; text-align: left">U.S. Treasury notes (1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">655,218,350</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 1%; font-weight: bold; text-align: left">$</TD><TD STYLE="width: 9%; font-weight: bold; text-align: right">-</TD><TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">655,218,350</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Short-term money market fund*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,839,455</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,839,455</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">95,683</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">95,683</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(376,334</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(376,334</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,128,020</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,128,020</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,090</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">236,577</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">236,577</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,069,305</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,069,305</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">107,972</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">107,972</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,333,313</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,333,313</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Over-the-counter forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Total futures and forward currency contracts (2)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,333,313</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,262,387</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total financial assets at fair value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">675,391,118</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">665,795,418</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Per line item in the Statements of Financial Condition (1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Investments in U.S. Treasury notes held in brokers&rsquo; trading accounts as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">93,917,668</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Investments in U.S. Treasury notes held in custody</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">561,300,682</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total investments in U.S. Treasury notes (2)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">655,218,350</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Net unrealized appreciation on futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3,333,313</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Net unrealized depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total unrealized depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,262,387</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 5.4pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">*The short-term money market fund is included
in Cash and Cash Equivalents on the Statements of Financial Condition.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Financial Assets at Fair Value as of December&nbsp;31,
2011</U> &nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 1</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 2</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Total</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 64%; text-align: left">U.S. Treasury notes (1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">715,128,486</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 1%; font-weight: bold; text-align: left">$</TD><TD STYLE="width: 9%; font-weight: bold; text-align: right">-</TD><TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">715,128,486</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Short-term money market fund*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,244,442</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,244,442</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259,549</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259,549</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Over-the-counter forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Total futures and forward currency contracts (2)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,608,540</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total financial assets at fair value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">764,981,468</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">769,350,033</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Per line item in the Statements of Financial Condition (1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Investments in U.S. Treasury notes held in brokers&rsquo; trading accounts as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">81,045,824</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Investments in U.S. Treasury notes held in custody</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">634,082,662</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total investments in U.S. Treasury notes (2)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">715,128,486</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 10pt">Net unrealized appreciation on futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">12,894,380</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Net unrealized depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(917,275</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total unrealized appreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 5.4pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 5.4pt">*The short-term money market fund is included in Cash
and Cash Equivalents on the Statements of Financial Condition.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">4. DERIVATIVE INSTRUMENTS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust&rsquo;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&rsquo;s open positions and the liquidity of the markets
in which it trades.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust engages in the speculative trading of futures and
forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were
the primary trading risk exposures of the Trust at March 31, 2012, by market sector:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Agricultural (grains, livestock and softs) &ndash; The Trust&rsquo;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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Currencies &ndash; Exchange rate risk is a principal market
exposure of the Trust. The Trust&rsquo;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&mdash;e.g.,
positions between two currencies other than the U.S. dollar.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Energies &ndash; The Trust&rsquo;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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Interest Rates &ndash; 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&rsquo;s profitability. The Trust&rsquo;s primary interest rate exposure is to interest rate fluctuations in countries or
regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Trust also
may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest rates
in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure
of the Trust for the foreseeable future.&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Metals &ndash; The Trust&rsquo;s metals market exposure is to
fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Stock Indices &ndash; The Trust&rsquo;s equity exposure through
stock index futures is to equity price risk in the major industrialized countries as well as other countries.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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 by counterparty are recorded in the Statements of Financial Condition
as &ldquo;Net unrealized appreciation on open futures and forward currency contracts.&rdquo; Fair values of futures and forward
currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as &ldquo;Net
unrealized depreciation on open futures and forward currency contracts.&rdquo; The Trust&rsquo;s policy regarding fair value measurement
is discussed in the Fair Value and Disclosures note, contained herein.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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&rsquo;s trading gains and losses in the Statements of
Operations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See &ldquo;Item 3. Quantitative and Qualitative Disclosures
About Market Risk&rdquo; for additional derivative-related information.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following tables present the fair value of open futures
and forward currency contracts, held long or sold short, at March 31, 2012 and December 31, 2011. 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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Fair Value of Futures and Forward Currency Contracts at
March 31, 2012</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net <BR>
Unrealized&nbsp;<BR>
Gain (Loss)<BR>
on</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value - Long Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value - Short Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"> Open</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center"> Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 40%; text-indent: 10pt; padding-left: 5.4pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">(2,873,507</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,969,190</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">95,683</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58,713</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,463</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(432,584</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(376,334</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt; padding-left: 5.4pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,041,772</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(783,831</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(129,921</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,128,020</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72,090</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">175,200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,174,842</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,248,850</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(12,631</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">236,577</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">250,667</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,818,638</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,069,305</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt; padding-left: 5.4pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">351,198</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(758,438</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">613,108</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(97,896</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">107,972</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,877,550</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,593,081</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,721,876</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(673,032</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,333,313</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,910,279</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(5,903,513</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,716,489</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(10,318,955</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,595,700</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">6,787,829</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(12,496,594</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">10,438,365</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(10,991,987</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,262,387</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Fair Value of Futures and Forward Currency Contracts at
December 31, 2011</U></B> &nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net <BR> Unrealized<BR> Gain (Loss) <BR> on</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value - Long Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value - Short Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Open</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 40%; text-indent: 10pt; padding-left: 5.4pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">20,943</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">(338,884</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,602,200</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">(24,710</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">1,259,549</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">740,413</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,352,297</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt; padding-left: 5.4pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,941,748</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(490,379</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,566</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(92,325</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">43,060</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(67,770</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">184,553</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,266,925</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,913,004</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,535,573</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,843</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(413,145</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,560,188</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(153,065</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt; padding-left: 5.4pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(36,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">968,194</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1,616,534</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,894,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,545,898</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,102,212</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,842,274</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,688,904</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,722,609</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,706,240</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,303,970</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">12,583,404</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,268,507</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">14,808,452</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(9,146,244</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The effect of trading futures and forward currency contracts
is represented on the Statements of Operations for the three months ended March 31, 2012 and 2011 as &ldquo;Net realized gains
(losses) on closed positions: Futures and forward currency contracts&rdquo; and &ldquo;Net change in unrealized: Futures and forward
currency contracts.&rdquo; These trading gains and losses are detailed below:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Trading gains (losses) of futures and forward currency contracts
for the three months ended March 31, 2012 and 2011</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Sector</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Three&nbsp;months<BR> ended:<BR> March&nbsp;31,&nbsp;2012</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Three&nbsp;months<BR> ended:<BR> March&nbsp;31,&nbsp;2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 76%; text-indent: 10pt; padding-left: 5.4pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">10,412,557</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">24,513,749</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4,433,664</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3,282,910</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt; padding-left: 5.4pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(15,579,211</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(10,735,414</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(132,070</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">957,680</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(7,292,286</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,162,126</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,119,527</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,003,567</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt; padding-left: 5.4pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,224,678</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(19,679,883</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,129,825</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3,061,085</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(19,777,557</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,387,367</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(43,907,382</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,448,452</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following table presents average notional value by sector
in U.S. dollars of open futures and forward currency contracts for the&nbsp;three months ended March 31, 2012 and 2011. The Trust&rsquo;s
average net asset value for the three months ended March 31, 2012 and 2011 was approximately $710,000,000 and $890,000,000, respectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Average notional value by sector of futures and forward currency
contracts for the three months ended March 31, 2012 and 2011</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2012</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Sector</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Long Positions</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Short Positions</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Long Positions</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Short Positions</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 52%; text-indent: 10pt; padding-left: 5.4pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">85,112,356</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">40,304,045</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">196,497,504</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">52,630,815</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">19,541,825</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">36,306,884</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">96,528,751</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,872,313</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt; padding-left: 5.4pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,332,618,330</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,095,856</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">559,104,430</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">107,053,103</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,579,130</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,819,860</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,547,150</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,574,777</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">62,655,627</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">153,567,972</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,030,188</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt; padding-left: 5.4pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,157,640</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,786,050</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32,902,037</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,742,029</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt; padding-left: 5.4pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">91,978,360</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">125,441,692</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">479,240,805</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">18,928,946</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,562,983,288</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">321,169,284</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,532,661,359</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">224,804,544</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">269,906,364</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">452,221,381</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,061,180,437</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">189,693,768</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 5.4pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">Total average notional</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,832,889,652</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">773,390,665</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">2,593,841,796</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">414,498,312</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;Notional values in the interest rate sector were calculated
by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to
10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2012 and 2011. 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&rsquo;s open interest rate positions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">CONCENTRATION OF CREDIT RISK</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Managing Owner seeks to minimize credit risk primarily by
depositing and maintaining the Trust&rsquo;s assets at financial institutions and trading counterparties which the Managing Owner
believes to be creditworthy. In addition, for OTC 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.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">A significant portion of the Trust&rsquo;s forward currency
trading activities are cleared by Barclays Bank PLC (&ldquo;BB&rdquo;), Deutsche Bank AG (&ldquo;DB&rdquo;) and Morgan Stanley
&amp; Co. LLC (&ldquo;MS&rdquo;). The Trust began trading at BB on June 2, 2011. The Trust&rsquo;s concentration of credit risk
associated with BB, 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 BB, DB and MS. The amount of such credit risk was $41,967,726
and $32,236,730 at March 31, 2012 and December 31, 2011, respectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">5. PROFIT SHARE</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The following table indicates the total profit share earned
and accrued during the three months ended March 31, 2012 and 2011. Profit share earned (from Unitholders&rsquo; redemptions) is
credited to the New Profit Memo Account as defined in the Trust&rsquo;s Declaration of Trust and Trust Agreement (the &ldquo;Trust
Agreement&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="text-align: center">Three&nbsp;months&nbsp;ended:</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">March 31, 2012</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">March 31, 2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 76%">Profit share earned</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">353</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt">Profit share accrued</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Total profit share</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">353</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">6. RELATED PARTY TRANSACTIONS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The Trust pays all routine expenses, such as legal, accounting,
printing, postage and similar administrative expenses (including the Trustee&rsquo;s fees, the&nbsp;charges of an outside accounting
services agency and the expenses of updating the Trust&rsquo;s Prospectus), as well as extraordinary costs. At March 31, 2012 and
December 31, 2011, the&nbsp;Managing Owner is owed $170,595 and $137,195, respectively, from the&nbsp;Trust in connection with
such expenses it has paid on the Trust&rsquo;s behalf (and is included in &ldquo;Due to Managing Owner&rdquo; in the Statements
of Financial Condition).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Series 1 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&rsquo;
net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. At March 31, 2012 and
December 31, 2011, $6,562 and $801, respectively, was owed to the Managing Owner (and is included in &ldquo;Due to Managing Owner&rdquo;
in the Statements of Financial Condition).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">7. FINANCIAL HIGHLIGHTS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Per unit operating performance for Series 1, Series 2, Series
3 and Series 4 Units is calculated based on Unitholders&rsquo; Trust capital for each Series taken as a whole utilizing the beginning
and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for
each Series is detailed below:&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 80%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Three&nbsp;months&nbsp;ending&nbsp;March 31,</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">2012</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">2011</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Date&nbsp;of&nbsp;initial&nbsp;issuance</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%">Series 1</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">596,977.685</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 12%; text-align: right">660,245.605</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 27%; text-align: right">July 23, 2001</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Series 2</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">185.687</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">97.682</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">April 1, 2010</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Series 3</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,228.488</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,821.200</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">September 1, 2009</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Series 4</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,128.562</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">462.617</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">November 1, 2010</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">8. BROKERAGE AND CUSTODIAL FEES</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">For the three months ended March 31, 2012 and 2011, brokerage
and custodial fees were as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">March 31, 2012</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">March 31, 2011</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 76%; text-align: left">Brokerage fees</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">11,277,729</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">14,517,146</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Custodial fees</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">140</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">82</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,277,869</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">14,517,228</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">During the three months ended March 31, 2012, amounts paid to
selling agents exceed 9.5% of the gross offering proceeds of the Series 1 Units sold. As a result, the amounts that otherwise would
be paid to selling agents for that Series 1 Unit were instead rebated to the Trust for the benefit of all holders of Series 1 Units.
The total amount rebated to the Trust, $326, was included in &ldquo;Brokerage and custodial fees&rdquo; in the Statements of Operations.
No amount was rebated to the Trust during the three months ended March 31, 2011.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: normal 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><img src="pg113a.jpg"></P>



<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif">REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">To the Unitholders of Global Macro Trust:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We have audited the accompanying statements
of financial condition of Global Macro Trust (the &ldquo;Trust&rdquo;), including the condensed schedules of investments, as of
December&nbsp;31, 2011 and 2010, and the related statements of operations and changes in trust capital for the three years in the
period ended December 31, 2011, and the financial highlights for each of the periods presented. These financial statements and
financial highlights are the responsibility of the Trust&rsquo;s management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We conducted our audits in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform
the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material
misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial
reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust&rsquo;s
internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In our opinion, such financial statements
and financial highlights referred to above present fairly, in all material respects, the financial position of Global Macro Trust
as of December&nbsp;31, 2011 and 2010, and the results of its operations and changes in its trust capital for the three years in
the period ended December 31, 2011, and its financial highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">/s/ Deloitte &amp; Touche LLP</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">New York, New York</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">March 13, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right"><img src="pg113b.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">STATEMENTS OF FINANCIAL CONDITION</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">AS OF DECEMBER 31, 2011 AND 2010 &nbsp; &nbsp; &nbsp; &nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold">ASSETS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">EQUITY IN TRADING ACCOUNTS:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 76%; text-align: left; padding-left: 18pt; text-indent: -9pt">Investments in U.S. Treasury notes &mdash; at fair value (amortized cost &nbsp;$81,041,000 and $146,977,164)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">81,045,824</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">147,055,005</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Net unrealized appreciation on open futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,894,380</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">37,402,229</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Due from brokers</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,913,738</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,425,007</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 9pt">Cash denominated in foreign currencies (cost $1,754,566 and $8,260,299)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,719,017</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,404,398</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 9pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 27pt">Total equity in trading accounts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">102,572,959</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">207,286,639</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt; text-indent: -9pt">INVESTMENTS IN U.S. TREASURY NOTES &mdash; at fair value (amortized cost &nbsp;$634,052,301 and $654,167,743)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">634,082,662</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">654,498,603</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 9pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">CASH AND CASH EQUIVALENTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,348,737</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,954,734</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">ACCRUED INTEREST RECEIVABLE</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,339,577</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,421,896</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">782,343,935</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">911,161,872</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">LIABILITIES AND TRUST CAPITAL</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>LIABILITIES:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Subscriptions by Unitholders received in advance</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3,164,450</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">6,440,530</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Net unrealized depreciation on open futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">917,275</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Due to Managing Owner</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">137,996</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,276</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Accrued brokerage fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,005,466</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4,843,008</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Accrued management fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57,276</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,278</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Redemptions payable to Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,618,625</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,953,490</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Redemption payable to Managing Owner</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">262,829</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Accrued expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">180,897</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">239,340</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Cash denominated in foreign currencies (cost -$2,107,152 and -$469,938)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,122,063</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">471,510</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 9pt">Due to brokers</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">951,234</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 9pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 27pt">Total liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">29,156,541</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">18,236,261</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">TRUST CAPITAL:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Managing Owner interest (8,207.970 and 8,311.477 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,644,943</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,922,729</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 1 Unitholders (603,996.596 and 660,222.516 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">709,737,394</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">867,646,692</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 2 Unitholders (190.737 and 75.492 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">240,698</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">101,957</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 3 Unitholders (25,863.120 and 10,481.102 units outstanding)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">32,771,232</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,178,784</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 9pt">Series 4 Unitholders (606.787 and 55.233 units outstanding)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">793,127</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">75,449</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 9pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 27pt">Total trust capital</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">753,187,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">892,925,611</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">782,343,935</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">911,161,872</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">NET ASSET VALUE PER UNIT OUTSTANDING:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 1 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,175.07</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,314.17</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 2 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,261.94</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,350.56</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 3 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,267.10</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,352.80</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Series 4 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,307.09</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">1,366.01</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">CONDENSED SCHEDULE OF INVESTMENTS</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">AS OF DECEMBER 31, 2011 &nbsp; &nbsp; &nbsp; &nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">as a % of</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Trust Capital</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">FUTURES AND FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FUTURES CONTRACTS</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Long futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 76%; text-indent: 20pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">(0.04</TD><TD STYLE="width: 1%; text-align: left">)%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">(317,941</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.10</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">740,413</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 20pt">Interest rates:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">2 Year U.S. Treasury Note (2,581 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">416,798</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 30pt">5 Year U.S. Treasury Note (2,385 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.09</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">647,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">10 Year U.S. Treasury Note (1,128 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.09</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">679,344</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 30pt">30 Year U.S. Treasury Bond (279 contracts, settlement date March 2012)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">213,719</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 30pt">Other interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.86</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,494,508</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 30pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 40pt">Total interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.12</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,451,369</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.15</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,082,372</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 20pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.05</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(406,302</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(36,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 30pt">Total long futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.98</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,348,602</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 30pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Short futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 20pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.21</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,577,490</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.31</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,352,297</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 20pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(76,759</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.00</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 20pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">377,431</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,407,123</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.09</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(648,340</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 30pt">Total short futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.03</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">259,938</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 30pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">TOTAL INVESTMENTS IN FUTURES CONTRACTS &mdash; Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.01</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,608,540</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">Total long forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.14</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,033,705</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 30pt">Total short forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.72</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,402,270</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 30pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -9pt; padding-left: 18pt">TOTAL INVESTMENTS IN FORWARD CURRENCY&nbsp;CONTRACTS &mdash; Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.58</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1.59</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">CONDENSED SCHEDULE OF INVESTMENTS</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid"><B>AS OF DECEMBER 31, 2011 &nbsp; &nbsp; </B>&nbsp; &nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>U. S. TREASURY NOTES</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Face</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">as a % of</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Fair</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Amount</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Description</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Trust Capital</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Value</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">215,950,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left">U.S. Treasury notes, 0.875%, 02/29/2012</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">28.71</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">216,236,809</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">218,390,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 0.375%, 08/31/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29.05</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">218,782,420</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">222,440,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 4.250%, 09/30/2012</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">30.44</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">229,234,847</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">50,710,000</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">U.S. Treasury notes, 0.500%, 11/30/2012</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6.75</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">50,874,410</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">TOTAL INVESTMENTS IN U.S. TREASURY</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 9pt">NOTES (amortized cost $715,093,301)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">94.95</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">715,128,486</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 86%">See notes to financial statements</TD>
    <TD NOWRAP STYLE="width: 14%; text-align: right">&nbsp;(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">CONDENSED SCHEDULE OF INVESTMENTS</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">AS OF DECEMBER 31, 2010 &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">as a % of</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Trust Capital</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left">FUTURES AND FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FUTURES CONTRACTS</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Long futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 76%; text-indent: 0.25in">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">0.33</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,974,672</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.72</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,435,870</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 0.25in">Interest rates:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 27pt">2 Year U.S. Treasury Note (1,725 contracts, settlement date March 2011)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.04</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(332,016</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 27pt">Other interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.20</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,791,919</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 27pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.5in">Total interest rates</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.16</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,459,903</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 0.25in">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.07</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">578,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.18</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,487,557</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 0.25in">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.32</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,892,994</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.25in">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.57</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,040,779</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 27pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.5in">Total long futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3.35</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">29,870,315</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 27pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Short futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 0.25in">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.15</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,326,800</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.08</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(707,463</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 0.25in">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.01</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(132,113</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.03</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(295,000</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 0.25in">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.13</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,179,968</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.03</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(262,312</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.25in">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.05</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">498,176</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 0.25in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 0.5in">Total short futures contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.38</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,405,480</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 27pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">TOTAL INVESTMENTS IN FUTURES CONTRACTS &mdash; Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2.97</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">26,464,835</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 27pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">FORWARD CURRENCY CONTRACTS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 9pt">Total long forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.60</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,278,410</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 9pt">Total short forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.38</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,341,016</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left"></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt; text-indent: -9pt">TOTAL INVESTMENTS IN FORWARD CURRENCY&nbsp;CONTRACTS &mdash; Net</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1.22</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">4.19</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">37,402,229</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right; text-indent: 0.5in">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-weight: bold">CONDENSED SCHEDULE OF INVESTMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">AS OF DECEMBER 31, 2010</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>U. S. TREASURY NOTES</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Fair Value</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Face</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">as a % of</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Fair</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Amount</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Description</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Trust Capital</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Value</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">174,000,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 64%; text-align: left">U.S. Treasury notes, 0.875%, 03/31/2011</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">19.52</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">174,299,063</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">185,700,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 0.875%, 05/31/2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20.86</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">186,251,297</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">219,330,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">U.S. Treasury notes, 1.000%, 08/31/2011</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24.69</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">220,460,920</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; text-align: right">219,650,000</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 1pt">U.S. Treasury notes, 0.750%, 11/30/2011</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">24.70</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">220,542,328</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">TOTAL INVESTMENTS IN U.S. TREASURY</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: right">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 9pt">NOTES (amortized cost $801,144,907)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">89.77</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">801,553,608</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 86%">See notes to financial statements</TD>
    <TD NOWRAP STYLE="width: 14%; text-align: right">&nbsp;(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold"><B>GLOBAL MACRO TRUST</B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold"><B>STATEMENTS OF OPERATIONS</B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold"><B>YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009 <FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp; &nbsp; &nbsp; &nbsp; &nbsp;</FONT></B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 64%; text-align: left; padding-bottom: 1pt">INVESTMENT INCOME &mdash; Interest income</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="width: 9%; border-bottom: Black 1pt solid; text-align: right">2,072,015</TD><TD STYLE="width: 1%; padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="width: 9%; border-bottom: Black 1pt solid; text-align: right">3,235,502</TD><TD STYLE="width: 1%; padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt solid; text-align: left">$</TD><TD STYLE="width: 9%; border-bottom: Black 1pt solid; text-align: right">9,966,151</TD><TD STYLE="width: 1%; padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>EXPENSES:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Brokerage fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">54,834,929</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57,320,175</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">63,566,376</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Administrative expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,158,133</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,233,354</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,670,335</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Custody fees</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">165,650</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">160,011</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">193,127</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Management fees</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">571,739</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">143,533</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,864</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 27pt">Total expenses</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">57,730,451</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">59,857,073</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">66,440,702</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">NET INVESTMENT LOSS</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(55,658,436</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(56,621,571</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(56,474,551</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">NET REALIZED AND UNREALIZED GAINS (LOSSES):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Net realized gains (losses) on closed positions:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.25in">Futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(8,224,392</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">87,904,542</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(49,280,152</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 0.25in">Foreign exchange translation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(52,568</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">352,202</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">126,508</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Net change in unrealized:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 0.25in">Futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(25,425,124</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,259,414</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(9,457,839</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.25in">Foreign exchange translation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(192,987</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(302,673</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">352,661</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Net gains (losses) from U.S. Treasury notes:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.25in">Realized</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,504</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,976</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">526,749</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.25in">Net change in unrealized</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(373,516</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(203,035</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,705,006</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 27pt">Total net realized and unrealized gains (losses)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(34,240,083</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">130,027,426</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(64,437,079</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">NET INCOME (LOSS)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(89,898,519</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">73,405,855</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(120,911,630</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">LESS PROFIT SHARE TO MANAGING OWNER</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,385</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">262,695</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">43,187</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(89,899,904</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">73,143,160</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(120,954,817</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in">NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING (see Note 7):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 1 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(139.10</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">102.20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(159.03</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 2 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(88.62</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">72.46</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 3 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(85.70</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">131.36</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">40.53</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Series 4 Unitholders</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">(58.92</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">50.68</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold"><B>GLOBAL MACRO TRUST</B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold"><B>STATEMENTS OF CHANGES IN TRUST CAPITAL </B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold"><B>YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009 <FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;</FONT></B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 6pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">New Profit Memo</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 1 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 2 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 3 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Series 4 Unitholders</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Account</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Managing Owner</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt; border-bottom: Black 1pt solid">Total</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Amount</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center; font-size: 6pt">Units</TD><TD NOWRAP STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 6pt">
    <TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="width: 16%; text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">TRUST CAPITAL &mdash; January 1, 2009</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">1,018,820,851</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">743,122.758</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">-</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">11,560,510</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">8,432.177</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">$</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">1,030,381,361</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 1%; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="width: 3%; text-align: right; font-size: 6pt">751,554.935</TD><TD STYLE="width: 1%; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Subscriptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">78,304,008</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">59,130.010</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,727,114</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,444.668</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">80,031,122</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">60,574.678</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(110,305,815</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(89,327.054</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(40,426</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(33.356</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(110,346,241</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(89,360.410</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Transfers</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(461,258</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(388.822</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">461,258</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">386.624</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(2.198</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Additional units allocated*</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,983.082</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1.214</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">592.416</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">2,576.712</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Net income (loss) after profit share to Managing Owner</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(120,377,559</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">48,439</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(2,761</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(622,936</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(120,954,817</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Managing Owner&rsquo;s profit share</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">43,187</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">32.142</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">43,187</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">32.142</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Transfer of New Profit Memo Account to Managing Owner</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(40,426</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(33.356</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">40,426</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">33.356</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">TRUST CAPITAL &mdash; December 31, 2009</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">865,980,227</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">714,519.974</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">2,236,811</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,831.292</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">10,937,574</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">9,024.593</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">879,154,612</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">725,375.859</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Subscriptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">31,438,164</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">25,234.721</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">95,530</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">75.492</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">11,260,170</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">8,961.540</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">71,041</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">55.233</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">42,864,905</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">34,326.986</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(100,149,285</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(81,345.253</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(387,647</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(311.730</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,962,829</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,528.360</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(102,499,761</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(83,185.343</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Additional units allocated*</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,813.074</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">0.022</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">615.248</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">2,428.344</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Net income after profit share to Managing Owner</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">70,377,586</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">6,427</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,069,450</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">4,408</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">134</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,685,155</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">73,143,160</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Managing Owner&rsquo;s profit share</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">262,695</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">199.974</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">262,695</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">199.974</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Transfer of New Profit Memo Account to Managing Owner</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(262,829</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(199.996</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">262,829</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">199.996</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">TRUST CAPITAL &mdash; December 31, 2010</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">867,646,692</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">660,222.516</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">101,957</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">75.492</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">14,178,784</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">10,481.102</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">75,449</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">55.233</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">10,922,729</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">8,311.477</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">892,925,611</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">679,145.820</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Subscriptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">46,027,878</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">36,354.165</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">184,000</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">136.584</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">22,838,898</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">17,047.103</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">748,874</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">551.554</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">69,799,650</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">54,089.406</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(116,664,030</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(94,309.154</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(28,299</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(21.339</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(2,145,759</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(1,665.085</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(801,260</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(679.866</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(119,639,348</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(96,675.444</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Additional units allocated*</TD><TD STYLE="font-weight: bold; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right; font-size: 6pt">-</TD><TD STYLE="font-weight: bold; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,729.069</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">0.050</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">575.288</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">2,304.407</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Net loss after profit share to Managing Owner</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(87,273,146</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(16,960</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(2,100,691</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(31,196</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(126</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(477,785</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">(89,899,904</TD><TD STYLE="text-align: left; font-size: 6pt">)</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Managing Owner&rsquo;s profit share</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,385</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1.021</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">-</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1,385</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">1.021</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="text-align: left; text-indent: -9pt; padding-left: 18pt; font-size: 6pt">Transfer of New Profit Memo Account to Managing Owner</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(1,259</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">(1.071</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">)</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1,259</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">1.071</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White; font-size: 6pt">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="font-size: 6pt">&nbsp;</TD>
    <TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: right; font-size: 6pt">&nbsp;</TD><TD STYLE="text-align: left; font-size: 6pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204); font-size: 6pt">
    <TD STYLE="padding-bottom: 2.5pt; text-indent: -0.1in; padding-left: 0.1in; font-size: 6pt">TRUST CAPITAL &mdash; December 31, 2011</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">709,737,394</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">603,996.596</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">240,698</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">190.737</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">32,771,232</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">25,863.120</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">793,127</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">606.787</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">-</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">9,644,943</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">8,207.970</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">753,187,394</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt; font-size: 6pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left; font-size: 6pt">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right; font-size: 6pt">638,865.210</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left; font-size: 6pt">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">* Additional units are issued to Series 1 Unitholders who are
charged less than a 7.0% brokerage fee and the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">See notes to financial statements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="margin: 0">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-size: 10pt; font-weight: bold">STATEMENTS OF FINANCIAL HIGHLIGHTS &#8213; SERIES 1</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-size: 10pt; font-weight: bold">YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">PER UNIT OPERATING PERFORMANCE (FOR A UNIT</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 10pt">OUTSTANDING THROUGHOUT THE YEAR):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Net income (loss) from operations:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 67%; text-align: left; text-indent: 20pt">Net investment loss (a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(85.22</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(82.06</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(75.05</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 20pt">Net realized and unrealized gains (losses) on trading</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">of futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(53.38</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">184.52</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(75.84</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Net losses from U.S. Treasury notes (a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.50</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.26</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(8.10</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) from operations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(139.10</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">102.20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(158.99</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Less profit share allocated to Managing Owner</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.04</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) after profit allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(139.10</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">102.20</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(159.03</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">NET ASSET VALUE &mdash; Beginning of year</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,314.17</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,211.97</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,371.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">NET ASSET VALUE &mdash; End of year</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,175.07</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,314.17</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,211.97</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>RETURNS:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total return before profit share allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(10.58</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8.43</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(11.60</TD><TD STYLE="text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL RETURN AFTER PROFIT SHARE ALLOCATION</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(10.58</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">8.43</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(11.60</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">RATIOS TO AVERAGE TRUST CAPITAL:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Net investment loss</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6.78</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6.66</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6.00</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.03</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.05</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total expenses and profit share allocation</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">7.03</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">7.03</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">7.05</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) Calculated based on the weighted average number of units
during the year, see Note 7.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-size: 10pt; font-weight: bold">STATEMENT OF FINANCIAL HIGHLIGHTS &#8213; SERIES 2</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-size: 10pt; font-weight: bold">YEAR ENDED DECEMBER 31, 2011 AND THE PERIOD ENDED DECEMBER 31, 2010*</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">PER UNIT OPERATING PERFORMANCE (FOR A UNIT</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 10pt">OUTSTANDING THROUGHOUT THE YEAR/PERIOD):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Net income (loss) from operations:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 78%; text-align: left; text-indent: 20pt">Net investment loss (a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(32.99</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(23.37</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 20pt">Net realized and unrealized gains (losses) on trading</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">of futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(54.87</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">124.78</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Net losses from U.S. Treasury notes (a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.76</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.10</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) from operations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(88.62</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">101.31</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Less profit share allocated to Managing Owner</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">28.85</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) after profit allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(88.62</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">72.46</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt">NET ASSET VALUE &mdash; Beginning of year/period</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,350.56</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,278.10</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">NET ASSET VALUE &mdash; End of year/period</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,261.94</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,350.56</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>RETURNS:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total return before profit share allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.56</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7.20</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1.53</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL RETURN AFTER PROFIT SHARE ALLOCATION</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6.56</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">5.67</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">RATIOS TO AVERAGE TRUST CAPITAL:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Net investment loss</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(2.52</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(2.45</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.75</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.80</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.00</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2.27</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total expenses and profit share allocation</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">2.75</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">5.07</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 2%">*</TD>
    <TD STYLE="width: 97%">Series 2 units were first issued on April 1, 2010. Net investment loss and total expense ratios for the
period ended December 31, 2010 have been annualized.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">STATEMENTS OF FINANCIAL HIGHLIGHTS &#8213; SERIES 3</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">YEARS ENDED DECEMBER 31, 2011, 2010 AND THE PERIOD ENDED DECEMBER 31, 2009*</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">PER UNIT OPERATING PERFORMANCE (FOR A UNIT</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 10pt">OUTSTANDING THROUGHOUT THE YEAR/PERIOD):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Net income (loss) from operations:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 67%; text-align: left; text-indent: 20pt">Net investment loss (a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(29.80</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(27.90</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(8.71</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 20pt">Net realized and unrealized gains (losses) on trading</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">of futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(55.16</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">206.79</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Net losses from U.S. Treasury notes (a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.68</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.41</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.59</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) from operations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(85.64</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">178.48</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">49.20</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Less profit share allocated to Managing Owner</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.06</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">47.12</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8.67</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) after profit allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(85.70</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">131.36</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40.53</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt">NET ASSET VALUE &mdash; Beginning of year/period</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,352.80</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,221.44</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,180.91</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">NET ASSET VALUE &mdash; End of year/period</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,267.10</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,352.80</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,221.44</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>RETURNS:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total return before profit share allocation</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6.33</TD><TD STYLE="text-align: left">)%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13.71</TD><TD STYLE="text-align: left">%</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.17</TD><TD STYLE="text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.01</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(2.96</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.74</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">TOTAL RETURN AFTER PROFIT SHARE ALLOCATION</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6.34</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">10.75</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">3.43</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">RATIOS TO AVERAGE TRUST CAPITAL:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Net investment loss</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(2.27</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(2.19</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(2.14</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Total expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.50</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.55</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.61</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt; text-indent: 10pt">Profit share allocation</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.01</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3.70</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0.71</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total expenses and profit share allocation</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">2.51</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">6.25</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">3.32</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 2%">*</TD>
    <TD STYLE="width: 97%">Series 3 units were first issued on September 1, 2009. Net investment loss and total expense ratios
    for the period ended December 31, 2009 have been annualized.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">(Continued)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="width: 100%; font-size: 12pt; font-weight: bold">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">STATEMENTS OF FINANCIAL HIGHLIGHTS &#8213; SERIES 4</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">YEAR ENDED DECEMBER 31, 2011 AND THE PERIOD ENDED DECEMBER 31, 2010*</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">PER UNIT OPERATING PERFORMANCE (FOR A UNIT</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 10pt">OUTSTANDING THROUGHOUT THE YEAR/PERIOD):</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Net income (loss) from operations:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 78%; text-align: left; text-indent: 20pt">Net investment loss (a)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(3.46</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(0.38</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 20pt">Net realized and unrealized gains (losses) on trading</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 30pt">of futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(54.83</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">51.13</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 20pt">Net losses from U.S. Treasury notes (a)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.63</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(0.07</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: 40pt">Net income (loss) from operations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(58.92</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50.68</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 20pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 1pt">NET ASSET VALUE &mdash; Beginning of year/period</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,366.01</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">1,315.33</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">NET ASSET VALUE &mdash; End of year/period</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,307.09</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,366.01</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">TOTAL RETURN</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(4.31</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">3.85</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">RATIOS TO AVERAGE TRUST CAPITAL:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Net investment loss</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(0.26</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(0.17</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: 10pt">Total expenses</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0.49</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0.47</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0%"></TD><TD STYLE="width: 2%">*</TD><TD>Series 4 units were first issued on November 1, 2010. Net investment loss and total expense ratios for the period ended December 31, 2010 have been annualized.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 77%">See notes to financial statements</TD>
    <TD STYLE="width: 23%; text-align: right">(Concluded)</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase"><FONT STYLE="font-size: 12pt">Global
Macro Trust</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-transform: uppercase">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0">NOTES TO FINANCIAL STATEMENTS</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; border-bottom: Black 0.75pt solid">YEARS ENDED DECEMBER&nbsp;31, 2011, 2010, and 2009</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ORGANIZATION</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Global
Macro Trust (the &ldquo;Trust&rdquo;) was organized on July&nbsp;23, 2001, under the Delaware Statutory Trust Act. At such time,
original capital of $400 by Millburn Ridgefield Corporation (the &ldquo;Managing Owner&rdquo;) and $1,600 by the Initial Unitholder,
an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July&nbsp;1, 2002. The Trust engages
in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile
and involve a high degree of market risk.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Managing Owner manages the business of the Trust and makes all trading decisions.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Managing Owner has agreed to make additional capital contributions, subject to certain possible exceptions, in order to maintain
its capital account at not less than 1% of the total outstanding capital contributions in the Trust (including the Managing Owner&rsquo;s
contributions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the &ldquo;Unitholders&rdquo;)
of the Units of Beneficial Interest (&ldquo;Units&rdquo;) issued by the Trust will share in any profits and losses of the Trust
in proportion to the percentage interest owned by each before brokerage commissions, management fees and profit share allocations.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust will dissolve on December&nbsp;31, 2031 or at an earlier date if certain conditions occur set forth in the Fourth Amended
and Restated Declaration of Trust and the Trust Agreement (the &ldquo;Agreement&rdquo;).</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Basis
of Presentation<FONT STYLE="font-weight: normal"> &mdash; The financial statements have been prepared in conformity with accounting
principles generally accepted in the United States (&ldquo;U.S. GAAP&rdquo;) as detailed in the Financial Accounting Standards
Board (&ldquo;FASB&rdquo;) Accounting Standards Codification (&ldquo;Codification&rdquo;).</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Investments<FONT STYLE="font-weight: normal">&nbsp;&mdash;
The Trust records its transactions in futures and forward currency contracts and United States (&ldquo;U.S.&rdquo;) Treasury notes
including related income and expenses on a trade date basis.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Open
futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on
pricing models that consider the time value of money and the current market and contractual prices of the underlying financial
instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes
in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the
contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains
(losses) in the Statements of Operations.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Investments
in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3&nbsp;pm EST by
Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit
with financial institutions (see Note&nbsp;6) as collateral for performance of the Trust&rsquo;s trading obligations with respect
to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA,&nbsp;N.A.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Cash
and Cash Equivalents<FONT STYLE="font-weight: normal">&nbsp;&mdash; Cash and cash equivalents includes cash and investments in
Dreyfus Treasury Prime Cash Management, a short term U.S. government securities and related instruments money market fund.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">Foreign
Currency Translation<FONT STYLE="font-weight: normal">&nbsp;&mdash; Assets and liabilities denominated in foreign currencies are
translated to U.S. Dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to
U.S. Dollars at the exchange rate prevailing when such transactions occurred.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Income
Taxes<FONT STYLE="font-weight: normal">&nbsp;&mdash; 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 any uncertain tax positions.&nbsp;Based
on a review of the Trust&rsquo;s open tax years, 2008 to 2011, for the U.S. Federal jurisdiction, the New York and Delaware State
jurisdictions and the New York City jurisdiction, there are no uncertain tax positions. The Trust is treated as a limited partnership
for federal and state income tax reporting purposes and therefore the Unitholders are responsible for the payment of taxes.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Estimates<FONT STYLE="font-weight: normal">&nbsp;&mdash;
The preparation of financial statements in conformity with U.S. GAAP 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.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Right
of Offset<FONT STYLE="font-weight: normal">&nbsp;&mdash; The customer agreements between the Trust and each of its brokers give
the Trust the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting
transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Fair
Value of Financial Instruments<FONT STYLE="font-weight: normal">&nbsp;&mdash; The fair value of the Trust&rsquo;s assets and liabilities
which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates
the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework
for measurement of fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy
are described below:</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal">Level&nbsp;1<FONT STYLE="font-style: normal">&nbsp;&mdash;
Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal">Level&nbsp;2<FONT STYLE="font-style: normal">&nbsp;&mdash;
Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable either directly
or indirectly;</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal">Level&nbsp;3<FONT STYLE="font-style: normal">&nbsp;&mdash;
Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">In
determining fair value, the Trust separates its investments into two categories: cash instruments and derivative contracts.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Cash
Instruments<FONT STYLE="font-weight: normal">&nbsp;&mdash; The Trust&rsquo;s cash instruments are generally classified within Level&nbsp;1
of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based
on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government
securities and related instruments money market fund. The Managing Owner of the Trust does not adjust the quoted price for such
instruments even in situations where the Trust holds a large position and a sale could reasonably impact the quoted price.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Derivative
Contracts<FONT STYLE="font-weight: normal"> &mdash; Derivative contracts can be exchange-traded or over-the-counter (&ldquo;OTC&rdquo;).
Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level&nbsp;1 of
the fair value hierarchy.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">OTC
derivatives or forward currency contracts are valued based on pricing models that consider the current market prices (&ldquo;spot
prices&rdquo;) plus the time value of money (&ldquo;forward points&rdquo;) 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&rsquo;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&nbsp;2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">During
the years ended December&nbsp;31, 2011 and 2010, there were no transfers of assets or liabilities between Level 1 and Level 2.
The following table represents the Trust&rsquo;s investments by hierarchical level as of December 31, 2011 and 2010 in valuing
the Trust&rsquo;s investments at fair value. At December&nbsp;31, 2011 and 2010, the Trust held no assets or liabilities classified
in Level 3.</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Financial Assets at Fair Value as of December&nbsp;31,
2011</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 1</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 2</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Total</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 67%; text-align: left">U.S. Treasury notes (1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">715,128,486</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 1%; font-weight: bold; text-align: left">$</TD><TD STYLE="width: 8%; font-weight: bold; text-align: right">-</TD><TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">715,128,486</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Short-term money market fund*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,244,442</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">42,244,442</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259,549</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,259,549</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Over-the-counter forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Total futures and forward currency contracts (2)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,608,540</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total financial assets at fair value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">764,981,468</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">769,350,033</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Per line item in the Statements of Financial Condition</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 89%; text-align: left">(1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Investments in U.S. Treasury notes held in brokers' trading accounts as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">81,045,824</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Investments in U.S. Treasury notes held in custody</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">634,082,662</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total investments in U.S. Treasury notes</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">715,128,486</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">(2)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Net unrealized appreciation on futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">12,894,380</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Net unrealized depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(917,275</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total unrealized appreciation and depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-underline-style: double">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">*The short-term money market fund is included in Cash and Cash
Equivalents on the Statements of Financial Condition.</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Financial Assets at Fair Value as of December&nbsp;31,
2010</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 1</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Level 2</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Total</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 67%; text-align: left">U.S. Treasury notes (1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">801,553,608</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%; font-weight: bold">&nbsp;</TD>
    <TD STYLE="width: 1%; font-weight: bold; text-align: left">$</TD><TD STYLE="width: 8%; font-weight: bold; text-align: right">-</TD><TD STYLE="width: 1%; font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">801,553,608</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Short-term money market fund*</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,651,151</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,651,151</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,647,872</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,647,872</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,728,407</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,728,407</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,327,790</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,327,790</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">283,540</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">283,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,307,589</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,307,589</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,630,682</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,630,682</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,538,955</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,538,955</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total exchange-traded futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,464,835</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">-</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,464,835</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Over-the-counter forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Total futures and forward currency contracts (2)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">26,464,835</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">37,402,229</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total financial assets at fair value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">875,669,594</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">886,606,988</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Per line item in the Statements of Financial Condition</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 89%; text-align: left">(1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">&nbsp;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Investments in U.S. Treasury notes held in brokers' trading accounts as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">147,055,005</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Investments in U.S. Treasury notes held in custody</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">654,498,603</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total investments in U.S. Treasury notes</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">801,553,608</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">(2)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Net unrealized appreciation on futures and forward currency contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">37,402,229</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Net unrealized depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total unrealized appreciation and depreciation on futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">37,402,229</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">*The short-term money market fund is included in Cash and Cash
Equivalents on the Statements of Financial Condition.</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Recent
Accounting Standards<FONT STYLE="font-weight: normal"> &mdash;In December 2011, FASB issued ASU 2011-11, &ldquo;Disclosures about
Offsetting Assets and Liabilities&rdquo; which creates a new disclosure requirement about the nature of an entity&rsquo;s rights
of setoff and the related arrangement associated with its financial instruments and derivative instruments. Entities are required
to disclose both gross information and net information about both instruments and transactions eligible for offset in the Statements
of Financial Condition and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective
of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S.
GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The
disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within
those annual periods. The Trust should also provide the disclosures retrospectively for all comparative periods presented. The
Managing Owner is currently evaluating the impact that the standard would have on the financial statements.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TRUST
AGREEMENT</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">With
the effectiveness of the Trust&rsquo;s Registration Statement on August&nbsp;12, 2009, the Trust began to offer Series 2, Series
3 and Series 4 units. The only units offered prior to such date were Series 1 units. Series 2, Series 3 and Series 4 units were
first issued April&nbsp;1, 2010, September&nbsp;1, 2009 and November&nbsp;1, 2010, respectively.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Series
1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value
(prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who make net capital investments into
Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged
less than the annual brokerage rate of 7.0% as follows:</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Net&nbsp;Capital&nbsp;Investments</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Brokerage&nbsp;Fees</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 89%">$100,000&ndash;$499,999</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">6.50</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>$500,000&ndash;$999,999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Greater than $1,000,000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.50</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Asset-based or fixed fee investment programs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.00</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Brokerage
fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo
Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset
Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust&rsquo;s
futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing
Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust pays the Managing Owner a management fee of 2% per year of the Trust&rsquo;s Net Asset Value (before management fee and profit
share calculations) attributable to Series 2 and 3 Units. In addition, Series 2 Unitholders pay an annual custodial fee of 0.25%
of their attributable Net Asset Value before management fee and profit share calculations. Series&nbsp;2, 3 and 4 Units are also
charged for their pro rata share of the Trust&rsquo;s actual trade execution and clearing costs including electronic platform trading
costs. Series 4 Unitholders are not charged a management fee.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Agreement provides that the Managing Owner&rsquo;s profit share, equal to 20% of New Trading Profits in excess of the highest cumulative
level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders&rsquo; capital accounts. The highest
cumulative level of Trading Profit is maintained separately for Series 1 and Series 2 and 3 Unitholders in the aggregate. Series
4 Unitholders are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage
fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders&rsquo;
redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit
share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes
called New Profit Memo Account. Any profit share charged is added to the Managing Owner&rsquo;s capital account to the extent that
net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New
Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the
end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year&rsquo;s profit share, a
corresponding amount is transferred from the New Profit Memo Account to the Managing Owner&rsquo;s capital account.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees&rsquo;
fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner,
at its discretion, may reimburse certain expenses paid by the Trust.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Units
may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on
the last business day of any calendar month on ten business days written notice to the Managing Owner. Series 1 Unitholders who
redeem Units at or prior to the end of the first consecutive six-month and five-month periods after such Units are sold shall be
assessed redemption charges calculated based on their redeemed Units&rsquo; Net Asset Value as of the date of redemption as follows:</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Redemption&nbsp;Charges</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">Subscriptions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">First&nbsp;6&nbsp;Months</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Second&nbsp;5&nbsp;Months</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 78%; text-align: left">Less than $100,000</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">4.0</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">3.0</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>$100,000&ndash;$499,999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.5</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.5</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>$500,000&ndash;$999,999</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.0</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.0</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Greater than $1,000,000</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.5</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.5</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.25in">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">All
redemption charges will be paid to the Managing Owner. At December&nbsp;31, 2011 and 2010, $801 and $1,276, respectively, of redemption
charges were owed to the Managing Owner and are included in &ldquo;Due to Managing Owner&rdquo; in the Statements of Financial
Condition. The aggregate amount of redemption charges paid to the Managing Owner for the years ended December&nbsp;31, 2011, 2010,
and 2009, were $18,650, $17,207, and $266,979, respectively.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DUE
FROM/TO BROKERS</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">At
December&nbsp;31, 2011 and 2010, due from and due to brokers balances in the Statements of Financial Condition include net cash
receivable from each broker and net cash payable to each broker, respectively.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TRADING
ACTIVITIES</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust conducts its futures trading with various futures commission merchants (&ldquo;FCMs&rdquo;) on futures exchanges and its
forward currency trading with various banks or dealers (&ldquo;Dealers&rdquo;) in the interbank markets. Substantially all assets
included in the Trust&rsquo;s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral
by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured
accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission&rsquo;s
regulations or held as collateral by the Dealers.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Liabilities
in the Statements of Financial Condition that are components of &ldquo;Total equity in trading accounts&rdquo; include net unrealized
depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust enters into contracts with various institutions that contain a variety of indemnifications. The Trust&rsquo;s maximum exposure
under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects
the risk of loss to be remote.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">6.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DERIVATIVE
INSTRUMENTS</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures
and forward currency contracts which may be traded on an exchange or OTC contracts.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust records its derivative activities on a mark-to-market basis as described in Note&nbsp;2. For OTC contracts, the Trust enters
into master netting agreements with its counterparties. Therefore, assets represent the Trust&rsquo;s unrealized gains less unrealized
losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to
counterparties on OTC contracts.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Futures
contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are
made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued
on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received
or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The
Trust bears the market risk that arises from changes in the value of these financial instruments.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Forward
currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value
and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the
value of the contract at the onset and the value of the contract at settlement date.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Each
of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including
market risk, credit risk and sovereign risk.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Market
risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign
exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and
liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain
varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and
the Trust&rsquo;s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the
Statements of Financial Condition.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Credit
risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract.
Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions
since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts
of the forward and futures contracts do not represent the Trust&rsquo;s risk of loss due to counterparty nonperformance. The Trust&rsquo;s
exposure to credit risk associated with counterparty nonperformance of these contracts includes unrealized gains inherent in such
contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by the counterparty.
The amount of such credit risk was $32,236,730 and $90,603,180 at December&nbsp;31, 2011 and 2010, respectively.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Managing Owner has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance
that it will in fact succeed in doing so. The Managing Owner&rsquo;s market risk control procedures include diversification of
the Trust&rsquo;s portfolio and continuously monitoring the portfolio&rsquo;s open positions, historical volatility and maximum
historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust&rsquo;s assets
at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust&rsquo;s trading activities
are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions
of the Trust are cleared by major securities firms, pursuant to customer agreements, including Barclays Capital Inc., Deutsche
Bank Securities&nbsp;Inc. (a wholly owned subsidiary of Deutsche Bank AG), J.P. Morgan Securities LLC., Merrill Lynch, Pierce,
Fenner&nbsp;&amp; Smith Incorporated and Newedge USA,&nbsp;LLC (a wholly owned subsidiary of Newedge Group which is owned by Soci&eacute;t&eacute;
G&eacute;n&eacute;rale (50%) and Calyon (50%)). For all forward currency transactions, the Trust utilizes three prime brokers,
Barclays Bank PLC, Deutsche Bank AG and Morgan Stanley&nbsp;&amp; Co.,&nbsp;LLC.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of
cash and the effect of political or economic <FONT STYLE="text-underline-style: none; color: windowtext">uncertainties. Net</FONT></FONT>
unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S.
Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then
translated to U.S. Dollars.</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Net
unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S.
Dollars, is detailed below:</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 70%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="14" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December&nbsp;31,</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">2010</TD><TD NOWRAP STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Total&nbsp;Net</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Total&nbsp;Net</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Percent</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Appreciation</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Percent</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold">Currency&nbsp;Type</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">of&nbsp;Total</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">(Depreciation)</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">of&nbsp;Total</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 56%; text-align: left">Australian dollar</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">1,181,145</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">9.86</TD><TD STYLE="width: 1%; text-align: left">%</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">1,643,420</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">4.39</TD><TD STYLE="width: 1%; text-align: left">%</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">British pound</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">268,046</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.24</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">954,935</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.55</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Canadian dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">793,734</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6.63</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,325,243</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3.54</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Czech koruna</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">148,481</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.24</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(35,527</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.09</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Euro</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,382,866</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28.24</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">675,680</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.81</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Hong Kong dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(29,417</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.25</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">301,679</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.81</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Hungarian forint</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">115,728</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.97</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(47,422</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.13</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Japanese yen</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,674,868</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22.33</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,118,237</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.99</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Korean won</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(187,989</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.57</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,926,819</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.15</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Mexican peso</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(537</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.00</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,949</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.13</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">New Zealand dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">551,053</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.60</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(479,061</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.28</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Norwegian krone</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(878,248</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(7.33</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,572,029</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">4.20</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Polish zloty</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(29,114</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.24</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">181,184</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.49</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Romanian leu</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">28,100</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.23</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,336</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.02</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Singapore dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">84,101</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.70</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">173,541</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.46</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">South African rand</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(9,218</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.08</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">384,474</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.03</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Swedish krona</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(328,241</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2.74</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">776,341</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2.08</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Swiss franc</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">607,933</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5.08</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(533,492</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.43</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Taiwan dollar</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(148,333</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1.24</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">685,814</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1.83</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Thai baht</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,878</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.06</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,258</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">0.04</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Turkish lira</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(55,283</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(0.46</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,344,384</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3.59</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">U.S. dollar</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,800,552</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">31.73</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">30,288,650</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">80.98</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">100.00</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">37,402,229</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">100.00</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">%</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">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.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust&rsquo;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&rsquo;s
open positions and the liquidity of the markets in which it trades.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Trust engages in the speculative trading of futures and forward contracts on agricultural commodities, currencies, energies, interest
rates, metals and stock indices. The following were the primary trading risk exposures of the Trust at December&nbsp;31, 2011 and
2010 by market sector:</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">Agricultural<FONT STYLE="font-weight: normal">
(grains, livestock and softs) &ndash; The Trust&rsquo;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.</FONT></FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">Currencies<FONT STYLE="font-weight: normal">
&ndash; Exchange rate risk is a principal market exposure of the Trust. The Trust&rsquo;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&mdash;e.g., positions between two currencies other than the U.S. dollar.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.7pt; text-indent: 0in"><FONT STYLE="font-style: normal">Energies<FONT STYLE="font-weight: normal">
&ndash; The Trust&rsquo;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.</FONT></FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Interest
Rates<FONT STYLE="font-weight: normal"> &ndash; 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&rsquo;s profitability. The
Trust&rsquo;s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada,
Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Trust also may take positions in futures contracts
on the government debt of other nations. The Managing Owner anticipates that interest rates in these industrialized countries or
areas, both long-term and short-term, will remain the primary interest rate market exposure of the Trust for the foreseeable future.</FONT></FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in">&nbsp;</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Metals<FONT STYLE="font-weight: normal">
&ndash; The Trust&rsquo;s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium,
platinum, silver, tin and zinc.</FONT></FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-style: normal">Stock
Indices<FONT STYLE="font-weight: normal"> &ndash; The Trust&rsquo;s equity exposure through stock index futures is to equity price
risk in the major industrialized countries as well as other countries.</FONT></FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">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 a net asset position are recorded in
the Statements of Financial Condition as &ldquo;Net unrealized appreciation on open futures and forward currency contracts.&rdquo;
Fair value of futures and forward currency contracts in a liability position are recorded in the Statements of Financial Condition
as &ldquo;Net unrealized depreciation on open futures and forward currency contracts.&rdquo; The Trust&rsquo;s policy regarding
fair value measurement is discussed in Note&nbsp;2.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Since
the derivatives held or sold by the Trust are for speculative trading purposes, 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&rsquo;s
trading gains and losses in the Statements of Operations.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
following tables present the fair value of open futures and forward currency contracts, held long or sold short, at December&nbsp;31,
2011 and 2010. 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.</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Fair Value of Futures and Forward Currency Contracts at
December 31, 2011</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net&nbsp;Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair&nbsp;Value&nbsp;-&nbsp;Long&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair&nbsp;Value&nbsp;-&nbsp;Short&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gain&nbsp;(Loss)&nbsp;on</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Open&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 45%; text-indent: 10pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">20,943</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(338,884</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">1,602,200</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(24,710</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">1,259,549</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">740,413</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,352,297</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,611,884</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,941,748</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(490,379</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">15,566</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(92,325</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,374,610</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">43,060</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(67,770</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(24,710</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">184,553</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,266,925</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,913,004</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,535,573</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(704,941</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,843</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(413,145</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,560,188</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(153,065</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,000,821</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">-</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(36,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">968,194</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1,616,534</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(684,905</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,894,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,545,898</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,102,212</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(5,842,274</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,608,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,688,904</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,722,609</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,706,240</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(3,303,970</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,368,565</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and &nbsp;forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">12,583,404</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(6,268,507</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">14,808,452</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(9,146,244</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">11,977,105</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

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<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><U>Fair Value of Futures and Forward Currency Contracts at
December 31, 2010</U></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Net&nbsp;Unrealized</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair&nbsp;Value&nbsp;-&nbsp;Long&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" NOWRAP STYLE="font-weight: bold; text-align: center">Fair&nbsp;Value&nbsp;-&nbsp;Short&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gain&nbsp;on</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="font-weight: bold; text-align: center">Sector</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Gains</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Losses</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="font-weight: bold; text-align: center">Open&nbsp;Positions</TD><TD NOWRAP STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: right">&nbsp;</TD><TD STYLE="font-weight: bold; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 45%; text-indent: 10pt">Energies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">3,578,697</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(604,025</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">(1,326,800</TD><TD STYLE="width: 1%; text-align: left">)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">1,647,872</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,435,870</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(707,463</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,728,407</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: 10pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,906,539</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(446,636</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">93,822</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(225,935</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,327,790</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">578,540</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(295,000</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">283,540</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,487,557</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,179,968</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,307,589</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,899,490</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,496</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,158</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(279,470</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,630,682</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: 10pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,102,368</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(1,061,589</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">504,746</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(6,570</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,538,955</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: 10pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,989,061</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,118,746</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">615,726</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(4,021,206</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,464,835</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">17,229,470</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(2,951,060</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">4,884,986</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(8,226,002</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">10,937,394</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and &nbsp;forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">49,218,531</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(5,069,806</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">5,500,712</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(12,247,208</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">37,402,229</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended December&nbsp;31,
2011, 2010 and 2009 as &ldquo;Net realized gains (losses) on closed positions: Futures and forward currency contracts&rdquo; and
&ldquo;Net change in unrealized: Futures and forward currency contracts.&rdquo; These trading gains and losses are detailed below:</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 86%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Sector</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 67%; padding-left: 9pt">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">12,863</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,688,026</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,296,617</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(20,943,376</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(10,817,032</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">14,680,492</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(6,699,369</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">74,456,429</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">78,525,936</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(19,513,721</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(2,910,290</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(531,000</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,065,620</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(974,007</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">12,922,817</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(11,958,920</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(1,791,425</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,618,692</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(218,950</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(66,244,167</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(2,020,460</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">7,916,951</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(592,466</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">104,899,860</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(49,338,902</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(33,057,050</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">25,264,096</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">(9,399,089</TD><TD STYLE="padding-bottom: 1pt; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt">Total futures and forward currency contracts</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(33,649,516</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">130,163,956</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">(58,737,991</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">)</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
following table presents average notional value by sector in U.S. Dollars of open futures and forward currency contracts for the
years ended December&nbsp;31, 2011, 2010 and 2009. The Trust&rsquo;s average Net Asset Value during 2011, 2010 and 2009 was approximately
and $851,000,000, $866,000,000 and $931,000,000, respectively.</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="6" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">Sector</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Long&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Short&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Long&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Short&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Long&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">Short&nbsp;Positions</TD><TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in">Futures contracts:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt; width: 34%">Currencies</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">-</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">3,320,750</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Energies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">127,381,359</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">48,647,953</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">183,992,274</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">116,768,010</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">109,535,870</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">113,200,422</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Grains</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">53,980,643</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40,497,833</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">57,678,838</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40,281,856</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,378,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">53,157,025</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Interest rates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,079,809,596</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">61,557,330</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,274,911,920</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">47,891,170</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">936,859,841</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">38,825,820</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Livestock</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,927,944</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,597,444</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">16,433,746</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,323,786</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">-</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,230,698</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Metals</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">81,393,624</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">40,499,934</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">115,309,169</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">11,071,090</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">52,829,526</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">39,335,538</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Softs</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">17,865,981</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,367,157</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">29,206,211</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,135,608</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">20,257,081</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">13,534,675</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Stock indices</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">244,479,325</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">70,839,469</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">478,292,206</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">14,482,348</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">344,334,006</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">85,714,579</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 0.1in">Total futures contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,610,838,472</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">280,007,120</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,155,824,364</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">242,953,868</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,486,194,414</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">373,319,507</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 0.1in">Forward currency contracts</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">714,484,864</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">292,797,211</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">876,153,841</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">358,871,897</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">473,904,261</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">200,256,650</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: 10pt; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt; text-indent: -0.1in; padding-left: 0.1in">Total average notional</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">2,325,323,336</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">572,804,331</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">3,031,978,205</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">601,825,765</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,960,098,675</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">573,576,157</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Notional
values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate
futures positions to 10-year equivalent fixed income instruments, translated to U.S. Dollars at each quarter-end during 2011, 2010,
and 2009. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes
it is a more meaningful representation of notional values of the Trust&rsquo;s open interest rate positions.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">7.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FINANCIAL
HIGHLIGHTS</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Per
Unit operating performance for Series&nbsp;1, 2, 3 and 4 Units is calculated based on Unitholders&rsquo; trust capital for each
Series taken as a whole utilizing the beginning and ending Net Asset Value per unit and weighted average number of units during
the period/year. Weighted average number of units for each Series is detailed below:</FONT></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="10" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Years&nbsp;ended&nbsp;December&nbsp;31,</TD><TD STYLE="padding-bottom: 1pt; font-weight: bold">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2011</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2010</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">2009</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">Date&nbsp;of&nbsp;issuance</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD><TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 36%">Series 1</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">645,173.947</TD><TD STYLE="width: 1%; text-align: left">(1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">687,898.790</TD><TD STYLE="width: 1%; text-align: left">(1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 8%; text-align: right">753,054.008</TD><TD STYLE="width: 1%; text-align: left">(1)</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 30%">July 23, 2001</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Series 2</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">156.318</TD><TD STYLE="text-align: left">(1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">64.584</TD><TD STYLE="text-align: left">(2)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;n/a</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>April 1, 2010</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>Series 3</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">21,549.160</TD><TD STYLE="text-align: left">(1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,536.921</TD><TD STYLE="text-align: left">(1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,322.314</TD><TD STYLE="text-align: left">(3)</TD><TD>&nbsp;</TD>
    <TD>September 1, 2009</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>Series 4</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">532.525</TD><TD STYLE="text-align: left">(1)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">34.462</TD><TD STYLE="text-align: left">(4)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;n/a</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD>November 1, 2010</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(1) January 1 - December 31</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(2) April 1 - December 31</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(3) September 1 - December 31</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">(4) November 1 - December 31</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">Returns
and ratios are calculated for each Series taken as a whole. An individual Unitholder&rsquo;s per unit operating performance may
vary based on the timing of capital transactions and differences in individual Unitholder&rsquo;s brokerage fee (for Series 1),
management fee (for Series 2 and 3) and profit share allocation arrangements. Net investment loss and total expense ratios have
been annualized for reporting periods consisting of less than twelve months.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 23.75pt; text-transform: uppercase; text-indent: -23.75pt">8.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;REDEMPTION
PAYABLE TO MANAGING OWNER</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">At
December&nbsp;31, 2011 and 2010, redemptions payable of $1,259 and $262,829, respectively, was related to profit share allocated
to the Managing Owner at each year-end and redeemed.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>STATEMENT OF FINANCIAL CONDITION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">March 31, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">(UNAUDITED)</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><FONT STYLE="font-weight: normal">_______________</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-indent: -0.1in; padding-left: 0.1in">ASSETS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 89%; text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Cash and cash equivalents</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 8%; text-align: right">2,370,498</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Commissions and fees receivable</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">6,662,807</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Loan receivable from stockholders and affiliates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">697,387</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Investments in sponsored funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">26,755,821</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Investments in other funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">58,886</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Redemptions receivable from other funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">228,758</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt; padding-bottom: 1pt">Furniture and equipment, net of accumulated &nbsp;depreciation of $ 517,086</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD><TD STYLE="text-align: right; border-bottom: Black 1pt solid">170,119</TD><TD STYLE="text-align: left; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: -0.1in; padding-left: 34.2pt">Total assets</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">36,944,276</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-indent: -0.1in; padding-left: 0.1in">LIABILITIES</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Accounts payable and accrued expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">3,017,686</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Due to affiliated companies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">3,308,475</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 16.2pt">Due to First Republic Bank</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,166,339</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 34.2pt">Total liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,492,500</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-indent: -0.1in; padding-left: 0.1in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: left; text-indent: -0.1in; padding-left: 0.1in">STOCKHOLDER'S EQUITY</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Common stock - $.005 par value, 300,000 shares authorized, 210,849 shares issued and outstanding</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,054</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Additional paid-in capital</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,386,406</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 16.2pt">Retained earnings</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">18,064,316</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 16.2pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 34.2pt">Total stockholder's equity</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">28,451,776</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-indent: -0.1in; padding-left: 34.2pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; text-indent: -0.1in; padding-left: 34.2pt">Total liabilities and stockholder's equity</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">36,944,276</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal"></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in"></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in">&nbsp;</P>

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<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NOTES TO FINANCIAL STATEMENTS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>(UNAUDITED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">_______________</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Note 1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<U>ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">A.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Millburn Ridgefield Corporation (the Corporation) was incorporated in the state of Delaware on May 19, 1982. The Corporation
earns commissions and fees as a Commodity Trading Advisor and Commodity Pool Operator and is registered with, and subject to, the
regulations of the Commodity Futures Trading Commission (CFTC), an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry. It is also subject to the rules of the National Futures Association (NFA), an industry
self-regulatory organization. In addition, the Corporation is registered with the United States Securities and Exchange Commission
as an Investment Adviser.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>The Corporation&rsquo;s financial statements are presented in accordance with accounting principles generally accepted in the
United States of America (U.S. GAAP). The Financial Accounting Standards Board (FASB) Accounting Standards Codification (the Codification)
is the single source of U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to
make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amount of revenues and expenses during the period. Actual
results could differ from those estimates, and those differences may be material to the financial statements.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">B.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash
and Cash Equivalents</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Cash and cash equivalents includes cash and investments in money market mutual funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">C.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments
in Sponsored Funds and Other Funds</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>The Corporation is the general partner, managing owner or managing member of various commodity pools and investment funds (collectively,
&ldquo;sponsored funds&rdquo;) formed as limited partnerships, limited liability companies or trusts. As the sponsor, the Corporation
has a fiduciary responsibility to the sponsored funds and potential liability beyond amounts recognized as an asset in the statement
of financial condition. The Corporation has not consolidated the assets, liabilities and operating results of its sponsored funds
and other funds under the voting interest consolidation model due to the unaffiliated equity investors of the sponsored funds and
other funds holding kick-out rights.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Investments in sponsored funds and other funds (collectively, &ldquo;funds&rdquo;) are reported in the Corporation&rsquo;s
statement of financial condition at fair value. Fair value ordinarily represents the Corporation&rsquo;s proportionate share of
each fund&rsquo;s net asset value determined for each fund in accordance with such fund&rsquo;s valuation policies and reported
at the time of the fund&rsquo;s valuation, which represents a market approach. Generally, the fair value of the Corporation&rsquo;s
investment in another fund represents the amount that the Corporation could reasonably expect to receive from such fund if the
Corporation&rsquo;s investment was redeemed at the date of the statement of financial condition, based on information reasonably
available at the time the valuation is made and that the Corporation believes to be reliable.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in"><B><I>&nbsp;</I></B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NOTES TO FINANCIAL STATEMENTS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>(UNAUDITED) (CONTINUED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">_______________</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Note 1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<U>ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">D.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign
Currency Translation</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>The Corporation&rsquo;s functional currency is the U.S. dollar; however, it transacts business in currencies other than the
U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at quoted prices of such
currencies at the date of the statement of financial condition.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">E.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Revenue
Recognition</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Commission income is recognized when earned, in accordance with the related limited partnership agreement or other governing
agreement. Commission income from sponsored funds is based on a fixed percentage of the sponsored funds&rsquo; net asset value.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Incentive, management and other fees accrue based on the terms of the respective advisory agreement or other governing agreement.
Incentive fees are based on a percentage of the net profits experienced by the account. Management fees are based on a fixed percentage
of the assets under management.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">F.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Income
Taxes</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -13.5pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD><FONT STYLE="font-weight: normal; font-style: normal">The Corporation has elected S corporation status under the Internal Revenue
Code, pursuant to which the Corporation does not pay U.S. Corporate or state income tax on its taxable income. Instead, the stockholders
are liable for individual income tax on their share of the Corporation&rsquo;s taxable income.</FONT></TD></TR></TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -13.5pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD><FONT STYLE="font-weight: normal; font-style: normal">The Corporation files U.S. federal and state tax returns. The 2008 through
2011 tax years generally remain subject to examination by U.S. federal and most state tax authorities.</FONT></TD></TR></TABLE>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -13.5pt"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Corporation applies the provisions of Codification Topic 740, Income Taxes; which prescribes the minimum recognition threshold
a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken
by an entity before being measured and recognized in the financial statements. This accounting standard requires the evaluation
of tax positions taken or expected to be taken in the course of preparing the Corporation&rsquo;s statement of financial condition
to determine whether the tax positions are &ldquo;more-likely-than-not&rdquo; of being sustained by the applicable tax authority.
Tax positions with respect to tax at the Corporation level not deemed to meet the &ldquo;more-likely-than-not&rdquo; threshold
would be recorded as a liability in the current year. The Corporation has concluded there are no liabilities related to uncertainties
in income tax positions at March 31, 2012.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NOTES TO FINANCIAL STATEMENTS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>(UNAUDITED) (CONTINUED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">_______________</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Note 1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<U>ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">G.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Furniture,
Equipment and Leasehold Improvements</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Furniture and equipment are stated at cost, net of accumulated depreciation. Depreciation is charged to operations over the
estimated lives of the furniture and equipment, primarily five or seven years, utilizing accelerated methods.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Leasehold improvements are stated at cost, net of accumulated amortization. The amortization of the leasehold improvements
is charged to operations on a straight-line basis over the remaining term of the lease.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">H.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net
Income Allocation</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Net income is allocated and distributed to each stockholder on a pro rata basis.</TD></TR></TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 45pt">I.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Recently
Issued Accounting Pronouncement</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">The
Corporation has adopted Accounting Standards Update No. 2011-04 (ASU 2011-04) entitled Fair Value Measurement (Topic 820) &ndash;
Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. ASU 2011-04 was issued
to converge fair value measurement and disclosure guidance in U.S. GAAP with the guidance in the International Accounting Standards
Board&rsquo;s currently issued International Financial Reporting Standards 13, Fair Value Measurement. The amendments in ASU 2011-04
generally represent clarification to the Fair Value Measurements and Disclosures Topic of the Codification, but also include some
instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements
has changed. The adoption of ASU 2011-04 did not have a material impact on the Corporation&rsquo;s statement of financial condition
or the related disclosures.</FONT></P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B><I>&nbsp;</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>MILLBURN RIDGEFIELD CORPORATION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NOTES TO FINANCIAL STATEMENTS</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>(UNAUDITED) (CONTINUED)</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">_______________</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Note 2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<U>INVESTMENTS
IN SPONSORED FUNDS AND OTHER FUNDS</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0%"></TD><TD STYLE="width: 45.35pt"></TD><TD><FONT STYLE="font-size: 10pt">The Corporation has general partner interests, managing owner interests or managing member interests
in sponsored funds. Summarized activity related to the Corporation&rsquo;s investments in such sponsored funds as of and for the
period ended March 31, 2012, is as follows:</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-indent: -45.35pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 92%; border-collapse: collapse; margin-left: 45.35pt">
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="width: 25%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 1%; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 10%; text-align: center">Value at</TD>
    <TD NOWRAP STYLE="width: 1%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 36%; text-align: center"></TD>
    <TD NOWRAP STYLE="width: 1%">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 25%; text-align: center">Redemption</TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: left; padding-bottom: 1pt; vertical-align: top">&nbsp;</TD>
    <TD NOWRAP STYLE="text-decoration: none; text-align: center; border-bottom: Black 1pt solid">March 31, 2012</TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="text-decoration: none; text-align: center; border-bottom: Black 1pt solid">Investment Strategy</TD>
    <TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD NOWRAP STYLE="text-decoration: none; text-align: center; border-bottom: Black 1pt solid">Provisions</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Global Macro Trust</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">$</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top"> 9,062,062</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Monthly with 10 days prior written notice<SUP>(1)</SUP></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD>Millburn Multi-Markets Fund L.P.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: top">3,222,557</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation through  investments in Millburn Multi-Markets Trading L.P. which engages in the speculative trading of futures and forward currency contracts to achieve capital appreciation.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Monthly with 15 days prior written notice </TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Nestor Partners</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top">2,960,370</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Monthly with 15 days prior written notice</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Apollo Fund</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top">2,074,512</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation through the speculative trading of futures and forwards contracts directly and indirectly through investments in other funds.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Monthly with 15 days prior written notice</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Millburn MCo Partners L.P.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top">2,365,668</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation by allocating its capital among a number of independent investment advisors acting through investment funds and/or managed accounts.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Quarterly with 75 days prior written notice<SUP>(2)</SUP></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Millburn Hedge Fund L.P.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top">1,948,436</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation by investing in publicly traded equity securities, exchange-traded funds and futures and forwards contracts.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Quarterly with 30 days prior written notice</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt">Other investments in managed</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right; vertical-align: top">2,754,499</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">To achieve capital appreciation through the speculative trading of futures and futures
    funds forwards contracts.</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">Monthly </TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-right: -10.45pt; padding-bottom: 1pt">Other investments in fund of funds</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-decoration: none; text-align: right; vertical-align: top; border-bottom: Black 1pt solid">2,367,717</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 1pt">To achieve capital appreciation through investments in alternative funds, managed accounts and registered investment companies.</TD>
    <TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center; padding-bottom: 1pt">Quarterly</TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-right: -10.45pt">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: left; vertical-align: top">&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="padding-right: -10.45pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt">Total</TD>
    <TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-underline-style: double; text-align: left; vertical-align: top; border-bottom: Black 2.5pt double">$</TD>
    <TD STYLE="text-decoration: none; text-underline-style: double; text-align: right; vertical-align: top; border-bottom: Black 2.5pt double"> 26,755,821</TD>
    <TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-underline-style: double; padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="text-underline-style: double; padding-bottom: 2.5pt; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 92%; border-collapse: collapse; margin-left: 45.35pt">
<TR>
    <TD STYLE="width: 3%; text-align: left; vertical-align: top">(1)</TD>
    <TD STYLE="width: 97%; vertical-align: top">The Corporation has currently agreed to maintain its investment at not less than 1% of the total outstanding capital contributions in Global Macro Trust but in no event shall the Corporation&rsquo;s investment be less than $500,000.</TD></TR>
<TR>
    <TD STYLE="text-align: left; vertical-align: top">(2)</TD>
    <TD STYLE="vertical-align: top">Approximately $71,000 of the Corporation&rsquo;s investment is restricted from redemption due to Millburn MCo Partners L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.</TD></TR>
<TR>
    <TD STYLE="text-align: left; vertical-align: top">(3)</TD>
    <TD STYLE="vertical-align: top">Approximately $38,400 of the Corporation&rsquo;s investment is restricted from redemption due to Millburn Select Strategies L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-indent: -63pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-indent: -63pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION</P>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: 0in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-indent: -63pt">&nbsp;</P>

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<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-size: 10pt; font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-size: 10pt; font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-size: 10pt; font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-size: 10pt; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-size: 10pt; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-size: 10pt; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt">Note 2.</TD><TD><U>INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS
(CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45.35pt"></TD><TD>Summarized financial information for the more significant sponsored funds as of March 31, 2012, is as follows:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-indent: -45.35pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif; margin-left: 45pt">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Millburn</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Millburn</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Nestor</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Millburn&nbsp;MCo</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Global</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Multi-Markets</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Multi-Markets</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Partners</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Partners&nbsp;L.P.</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Macro&nbsp;Trust</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Fund&nbsp;L.P.</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Trading&nbsp;L.P.</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%">Assets</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">156,974,073</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">141,460,309</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">692,687,063</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">233,957,819</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">394,383,974</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt">Liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">6,612,515</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">307,612</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">42,626,349</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,646,037</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">20,753,073</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt; padding-left: 0.25in">Net asset value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">150,361,558</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">141,152,697</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">650,060,714</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">228,311,782</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">373,630,901</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The combined net asset value of other sponsored funds as of March&nbsp;31, 2012, is $371,354,848.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>As the sponsor, the Corporation conducts and manages the respective businesses of the sponsored funds. The governing documents
of the sponsored funds typically require the Corporation, as sponsor, to maintain a specified investment in the respective fund.
Such minimum investments generally are 1% of either net assets, total assets or total net contributions or a minimum dollar amount
(if greater). In addition, the governing documents for one of the sponsored funds require the Corporation to maintain a minimum
net worth equal to an amount determined by the total net contributions made to the entity that the Corporation serves as the sponsor,
not to exceed one million dollars. These requirements are defined in each of the respective governing documents of the sponsored
funds and the Corporation is in compliance with all such requirements.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>For managing the businesses of the sponsored funds, the Corporation earns commissions and fees based on the terms of the respective
governing documents of the sponsored funds. As of March 31, 2012, the Corporation had a receivable of $5,072,000 from the sponsored
funds for such commissions and fees. The Corporation earns an incentive allocation from certain sponsored funds, which are based
on 20% of the sponsored fund&rsquo;s trading profits, as specified in the governing documents of the sponsored funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">The Corporation also receives administrative fees and
reimbursements of certain costs from several of the sponsored funds according to the governing documents of the sponsored funds
for direct and indirect expenses paid on their behalf by the Corporation. The Corporation records an expense when such amounts
are incurred and records a receivable from the funds as income when the amounts are due from the sponsored funds. As of March 31,
2012 the Corporation had a receivable of $964,000 from the sponsored funds for such administrative expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 2.</TD><TD STYLE="text-align: justify"><U>INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>During the first quarter of 2012, the Corporation invested in various other funds. At March 31, 2012 the value of such investments
is $58,886.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD><FONT STYLE="color: black">The Corporation has an investment in a fund for which it serves as the investment adviser. </FONT>As
of March 31, 2012, the Corporation had management fees receivable of $47,400 from the fund.<FONT STYLE="color: black"> The Corporation
receives reimbursements from the fund for certain direct expenses paid on its behalf. </FONT>As of March 31, 2012 the Corporation
had a receivable of $28,200 from the fund for such administrative expenses. <FONT STYLE="color: black">The Corporation earns an
incentive allocation from this fund, which is based on 20% of the fund&rsquo;s trading profits, as specified in the governing documents
of the fund.</FONT></TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>Generally, all investments in other funds can be redeemed from the other funds on a monthly basis. In addition, these funds
generally attempt to achieve capital appreciation through investing in stocks, futures contracts, forward currency contracts and
interest rate instruments.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>At March 31, 2012, the Corporation has no explicit unfunded commitments related to its investments in sponsored funds and other
funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 3.</TD><TD STYLE="text-align: justify"><U>FAIR VALUE</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>Fair value, as defined in the<I> Fair Value Measurements and Disclosures</I> Topic of the Codification, is the price that would
be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date. The fair value hierarchy, as set forth in the <I>Fair Value Measurements and Disclosures </I>Topic of the Codification, prioritizes
the inputs to valuation techniques used to measure fair value into three broad levels: quoted market prices in active markets for
identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable for the asset or liability,
either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3). If the inputs used to measure
a financial instrument fall within different levels of the fair value hierarchy, the categorization is based on the lowest level
input that is significant to the measurement of that financial instrument. The Corporation recognizes transfers between fair value
hierarchy levels at the beginning of the reporting period. For the three months ended March 31, 2012, there were no transfers between
fair value hierarchy levels.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">The <I>Fair Value Measurements and Disclosures</I>
Topic of the Codification provides that if the reporting entity has the ability to redeem its investment in another fund at net
asset value at the measurement date, the investment shall be categorized as a Level 2 fair value measurement, and if the reporting
entity cannot redeem its investment in another fund at net asset value at the measurement date but the investment may be redeemable
at a future date, the reporting entity shall consider the length of time until the investment will be redeemable in determining
whether it will be categorized as a Level 2 or Level 3 fair value measurement. Accordingly, at March 31, 2012, the Corporation&rsquo;s
investments in other funds are categorized as Level 2 fair value measurements.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 3.</TD><TD STYLE="text-align: justify"><U>FAIR VALUE (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD></TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The following summarizes the Corporation&rsquo;s assets accounted for at fair value at March 31, 2012 using the fair value
hierarchy:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif; margin-left: 45pt">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="14" STYLE="text-align: center; border-bottom: Black 1pt solid">March&nbsp;31,&nbsp;2012</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;1</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;2</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;3</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">Total</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-decoration: underline">Assets</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 52%; text-align: left; padding-left: 0.12in">Investments in sponsored funds<SUP>(1)</SUP></TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">0</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">26,755,821</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">0</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">26,755,821</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.12in">Investments in other funds<SUP>(1)</SUP></TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">58,886</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">58,886</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.12in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt; padding-left: 0.25in">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">26,814,707</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">26,814,707</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&#9;</P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-left: 0.85in; margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.85in; text-indent: 0"><SUP>(1)</SUP>&#9;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;See Note
2. for the fair value of the more significant funds within this category.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 4.</TD><TD STYLE="text-align: justify"><U>RELATED PARTY TRANSACTIONS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">The Corporation has extensive transactions and relationships
with affiliated companies. The Millburn Corporation (TMC) provides administrative, accounting, research and other services to the
Corporation and the Corporation pays TMC a consulting fee for these services. Additionally, CommInVest Research Limited Partnership
(CIVR) owns the trading algorithms used by the Corporation in managing client assets. The Corporation pays CIVR a licensing fee
to use the trading algorithms. The Corporation also pays fees to Millburn International (Europe) LLP and Millburn International,
LLC for providing prospective investors and interested parties with information about the Corporation and its investment and trading
strategy. The Corporation owes $2,564,551 to TMC for consulting fees and $743,924 to CIVR for license fees at March 31, 2012.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

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    <!-- Field: /Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 4.</TD><TD STYLE="text-align: justify"><U>RELATED PARTY TRANSACTIONS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation has loaned funds to TMC in connection with construction and furnishing costs incurred by TMC for its offices
located in New York City. The loan is due on demand with interest accruing at an annualized rate of 2.0% above the three-month
U.S. Treasury Bill rate. The outstanding balance of the loan is $<FONT STYLE="color: black">601,237</FONT> at March 31, 2012.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 5.</TD><TD STYLE="text-align: justify"><U>DUE TO FIRST REPUBLIC BANK</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt">The Corporation has a $5 million revolving credit
facility (loan agreement) with First Republic Bank (the Bank). Borrowings under the loan are limited to the lesser of $5 million
or Total Anticipated Commissions, as defined in the loan agreement. The loan bears interest at the prime rate, as published in
the Western Edition of The Wall Street Journal as the U.S. prime rate. During the period ended March 31, 2012, the interest rates
on this loan agreement ranged from 3.25% to 4.50%. The loan matures July 31, 2012. Repayment of the loan has been guaranteed by
CIVR and certain stockholders of the Corporation. The Corporation is required to remain in compliance with certain financial and
other covenants throughout the term of the loan. The amount due to the Bank under this loan agreement at March 31, 2012 is $<FONT STYLE="color: black">2,166,339</FONT>.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 6.</TD><TD STYLE="text-align: justify"><U>INVESTING ACTIVITIES AND RELATED RISKS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation&rsquo;s investments in sponsored funds and other funds are subject to the market and credit risks of futures
contracts, options on futures contracts, forward currency contracts and other financial instruments (collectively, &ldquo;derivatives&rdquo;).
Additionally, the sponsored funds and other funds invest in stocks and United States government securities. As such, the Corporation
is exposed, to the extent of its investments in sponsored funds and other funds, to both market risk, the risk arising from changes
in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of
a contract. The Corporation is subject to the risk of loss to the extent of the fair value of its investments in sponsored funds
and other funds and, in certain specific circumstances, distributions, dividends and redemptions received.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">For derivatives, risks arise from changes in the fair
value of the contracts. Theoretically, the Corporation is exposed, to the extent of its investments, to a market risk equal to
the notional contract value of futures, forward currency and other derivative contracts purchased and liability on such contracts
sold short. As both a buyer and seller of options, the sponsored funds and other funds receive a premium at the outset and then
bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Corporation,
to the extent of its investments in sponsored funds and other funds, to potential liability, and purchased options expose the Corporation,
to the extent of its investments in sponsored funds and other funds, to a risk of loss of the premiums paid. In addition, since
forward currency contracts are traded in unregulated markets between principals, the Corporation, to the extent of its investments
in sponsored funds and other funds, also assumes the risk of loss from counterparty non performance.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 6.</TD><TD STYLE="text-align: justify"><U>INVESTING ACTIVITIES AND RELATED RISKS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>In addition, the Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments,
to various trading activities including investments in stocks that are typically traded on an exchange or in the over-the-counter
market. The sponsored funds and other funds also sell stock not owned at the time of sale (a &ldquo;short sale&rdquo;). Risks arise
from short sales due to the possible illiquidity of the securities markets and from potential adverse movements in stock values.
Theoretically, short sales expose the sponsored funds and other funds to potentially unlimited liability as the sponsored funds&rsquo;
and other funds&rsquo; ultimate obligation to purchase a stock sold short may exceed the amount recorded.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments, to
U.S. government securities. Risks arise from investments in U.S. government securities due to possible illiquidity and the potential
for default by the issuer. U.S. government securities are also particularly sensitive to changes in interest rates, economic conditions
and conditions specific to the issuer.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>Lastly, the Corporation, through its investments in sponsored funds and other funds, invests in fund of funds. The Corporation&rsquo;s
investments in fund of funds are subject to the market and credit risk of securities and financial instruments held or sold short
by these entities.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation has established procedures to actively monitor market risk and minimize credit risk of the sponsored funds
and other funds, although there can be no assurance that it will, in fact, succeed in doing so.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation maintains its cash and cash equivalents at financial institutions. Balances on deposit at such financial institutions
are frequently in excess of available federal deposit insurance. In the event of a financial institution&rsquo;s insolvency, recovery
of the Corporation&rsquo;s assets on deposit may be limited to available federal deposit insurance or other protection afforded
such deposits.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>Additionally, the Corporation, in its capacity as general partner, managing owner or managing member of the sponsored funds,
is subject to certain additional risks of loss and liability for the activities of the sponsored funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 7.</TD><TD STYLE="text-align: justify"><U>LEASE COMMITMENT</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The Corporation has a noncancelable lease for office space in Greenwich, Connecticut. The term of the lease is five years and
expires on June 30, 2012; however, the Corporation amended the lease in April 2012 to extend terms to December 31, 2017. The future
minimum lease payments under this noncancelable lease are as follows:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 50%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 88%; text-align: left">2012</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">144,740</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2013</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">264,131</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2014</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">269,162</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2015</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">274,190</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2016</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">279,221</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">2017</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">284,249</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,515,693</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="text-underline-style: double">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO FINANCIAL STATEMENTS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">(UNAUDITED) (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 8.</TD><TD STYLE="text-align: justify"><U>INDEMNIFICATIONS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&#9;In the normal course of business, the Corporation
enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.
The Corporation&rsquo;s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made
against the Corporation that have not yet occurred. The Corporation expects the risk of any future obligation under these indemnifications
to be remote.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><img src="pg147.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><U>INDEPENDENT AUDITOR&rsquo;S REPORT</U></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">To the Stockholders and Board of Directors</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Millburn Ridgefield Corporation</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We have audited the accompanying statement
of financial condition of Millburn Ridgefield Corporation (the Corporation) as of December 31, 2011. The statement of financial
condition is the responsibility of the Corporation&rsquo;s management. Our responsibility is to express an opinion on the statement
of financial condition based on our audit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">We conducted our audit in accordance with
auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes
consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Corporation&rsquo;s internal control
over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">In our opinion, the statement of financial
condition referred to above presents fairly, in all material respects, the financial position of Millburn Ridgefield Corporation
as of December 31, 2011 in conformity with accounting principles generally accepted in the United States of America.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"><img src="pg147b.jpg"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">Hunt Valley, Maryland</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">April 16, 2012</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">STATEMENT OF FINANCIAL CONDITION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="text-align: center">December 31, 2011</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-align: justify">ASSETS</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 88%; text-align: left; padding-left: 9pt">Cash and cash equivalents</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">2,558,530</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Commissions and fees receivable</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">7,679,617</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Prepaid license fee to affiliated company</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">31,691</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Loans receivable from stockholders and affiliates</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">641,913</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Investments in sponsored funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">27,974,038</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Investments in other funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">59,527</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions receivable from sponsored funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">117,839</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Redemptions receivable from other funds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">228,758</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; text-indent: -0.1in; padding-left: 16.2pt">Furniture, equipment and leasehold improvements net of accumulated depreciation of $496,136</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">191,069</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; padding-left: 27pt">Total assets</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">39,482,982</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold">LIABILITIES</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Accounts payable and accrued expenses</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">4,660,990</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Stockholder distributions payable</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">525,105</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 9pt">Due to affiliated companies</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">5,371,156</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Due to First Republic Bank</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,530,370</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 27pt">Total liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">13,087,621</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="font-weight: bold; text-align: left">STOCKHOLDERS&rsquo; EQUITY</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; text-indent: -0.1in; padding-left: 16.2pt">Common stock - $.005 par value, 300,000 shares authorized, 210,849 shares issued and outstanding</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,054</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 9pt">Additional paid-in capital</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,736,406</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 9pt">Retained earnings</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">17,657,901</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 27pt">Total stockholders&rsquo; equity</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">26,395,361</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 2.5pt; padding-left: 27pt">Total liabilities and stockholders&rsquo; equity</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">39,482,982</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">See accompanying notes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 1.</TD><TD STYLE="text-align: justify"><U>ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">A.</TD><TD>General</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Millburn Ridgefield Corporation (the Corporation) was incorporated in the state of Delaware on
May 19, 1982. The Corporation earns commissions and fees as a Commodity Trading Advisor and Commodity Pool Operator and is registered
with, and subject to, the regulations of the Commodity Futures Trading Commission (CFTC), an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry. It is also subject to the rules of the National Futures
Association (NFA), an industry self-regulatory organization. In addition, the Corporation is registered with the United States
Securities and Exchange Commission as an Investment Adviser.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">The Corporation&rsquo;s statement of financial condition is presented in accordance with accounting
principles generally accepted in the United States of America (U.S. GAAP). The Financial Accounting Standards Board (FASB) Accounting
Standards Codification (the Codification) is the single source of U.S. GAAP. The preparation of the statement of financial condition
in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results
could differ from those estimates, and those differences may be material to the statement of financial condition.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">B.</TD><TD>Cash and Cash Equivalents</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Cash and cash equivalents includes cash and investments in money market mutual funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">C.</TD><TD>Investments in Sponsored Funds and Other Funds</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">The Corporation is the general partner, managing owner or managing member of various commodity
pools and investment funds (collectively, &ldquo;sponsored funds&rdquo;) formed as limited partnerships, limited liability companies
or trusts. As the sponsor, the Corporation has a fiduciary responsibility to the sponsored funds and potential liability beyond
amounts recognized as an asset in the statement of financial condition. The Corporation has not consolidated the assets and liabilities
of its sponsored funds and other funds under the voting interest consolidation model due to the unaffiliated equity investors of
the sponsored funds and other funds holding kick-out rights.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Investments in sponsored funds and other funds (collectively, &ldquo;funds&rdquo;) are reported
in the Corporation&rsquo;s statement of financial condition at fair value. Fair value ordinarily represents the Corporation&rsquo;s
proportionate share of each fund&rsquo;s net asset value determined for each fund in accordance with such fund&rsquo;s valuation
policies and reported at the time of the fund&rsquo;s valuation, which represents a market approach. Generally, the fair value
of the Corporation&rsquo;s investment in another fund represents the amount that the Corporation could reasonably expect to receive
from such fund if the Corporation&rsquo;s investment was redeemed at the date of the statement of financial condition, based on
information reasonably available at the time the valuation is made and that the Corporation believes to be reliable.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 1.</TD><TD STYLE="text-align: justify"><U>ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">D.</TD><TD>Foreign Currency Translation</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">The Corporation&rsquo;s functional currency is the U.S. dollar; however, it transacts business
in currencies other than the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars
at quoted prices of such currencies at the date of the statement of financial condition.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">E.</TD><TD>Revenue Recognition</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Commission income is recognized when earned, in accordance with the related limited partnership
agreement or other governing agreement. Commission income from sponsored funds is based on a fixed percentage of the sponsored
funds&rsquo; net asset value.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Incentive, management and other fees accrue based on the terms of the respective advisory agreement
or other governing agreement. Incentive fees are based on a percentage of the net profits experienced by the account. Management
fees are based on a fixed percentage of the assets under management.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">F.</TD><TD>Income Taxes</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 1in"></TD><TD STYLE="width: 0"></TD><TD STYLE="text-align: justify"><FONT STYLE="font-weight: normal; font-style: normal">The Corporation has elected S corporation
status under the Internal Revenue Code, pursuant to which the Corporation does not pay U.S. Corporate or state income tax on its
taxable income. Instead, the stockholders are liable for individual income tax on their share of the Corporation&rsquo;s taxable
income. The Corporation files U.S. federal and state tax returns. The 2008 through 2011 tax years generally remain subject to examination
by U.S. federal and most state tax authorities.</FONT></TD></TR></TABLE>

<P STYLE="font: italic 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -13.5pt"><FONT STYLE="font-weight: normal; font-style: normal">&nbsp;</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">The Corporation applies the provisions of Codification Topic 740, Income Taxes, which prescribe
the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions
taken or expected to be taken by an entity before being measured and recognized in the financial statements. This accounting standard
requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Corporation&rsquo;s statement
of financial condition to determine whether the tax positions are &ldquo;more-likely-than-not&rdquo; of being sustained by the
applicable tax authority. Tax positions with respect to tax at the Corporation level not deemed to meet the &ldquo;more-likely-than-not&rdquo;
threshold would be recorded as a liability in the current year. The Corporation has concluded there are no liabilities related
to uncertainties in income tax positions at December 31, 2011.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 1.</TD><TD STYLE="text-align: justify"><U>ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">G.</TD><TD>Furniture, Equipment and Leasehold Improvements</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Furniture and equipment are stated at cost, net of accumulated depreciation. Depreciation is charged
to operations over the estimated lives of the furniture and equipment, primarily five or seven years, utilizing accelerated methods.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">Leasehold improvements are stated at cost, net of accumulated amortization. The amortization of
the leasehold improvements is charged to operations on a straight-line basis over the remaining term of the lease.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">H.</TD><TD>Net Income Allocation</TD></TR></TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD>Net income is allocated and distributed to each stockholder on a pro rata basis.</TD></TR></TABLE>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 45.35pt"></TD><TD STYLE="width: 27.35pt">I.</TD><TD>Recently Issued Accounting Pronouncement</TD></TR></TABLE>



<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt"></P>

<P STYLE="font: italic bold 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 13.5pt; text-indent: -13.5pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 1in"></TD><TD STYLE="text-align: justify">In May 2011, the FASB issued Accounting Standards Update No. 2011-04 (ASU 2011-04) entitled <I>Fair
Value Measurement (Topic 820) &ndash; Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP
and IFRSs</I>. ASU 2011-04 was issued to converge fair value measurement and disclosure guidance in U.S. GAAP with the guidance
in the International Accounting Standards Board&rsquo;s currently issued International Financial Reporting Standards 13, <I>Fair
Value Measurement</I>. The amendments in ASU 2011-04 generally represent clarification to the <I>Fair Value Measurements and Disclosures</I>
Topic of the Codification, but also include some instances where a particular principle or requirement for measuring fair value
or disclosing information about fair value measurements has changed. For non-public entities, ASU 2011-04 is effective for annual
reporting periods beginning after December 15, 2011. The Corporation is currently evaluating the impact that ASU 2011-04 will have
on its fair value measurements and disclosures, however, no material impact on the Corporation&rsquo;s statement of financial condition
is anticipated.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

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<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 1in; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 2.</TD><TD STYLE="text-align: justify"><U>INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45.35pt"></TD><TD STYLE="text-align: justify">The Corporation has general partner interests, managing owner interests or managing member interests
in sponsored funds. The Corporation&rsquo;s investments in such sponsored funds as of December 31, 2011, is as follows:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-indent: -45.35pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-indent: -45.35pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.63in">
<TR STYLE="vertical-align: top">
    <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Value&nbsp;at</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT> </TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Redemption</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">December&nbsp;31,&nbsp;2011</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">Investment&nbsp;Strategy</FONT></TD>
    <TD NOWRAP STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">Provisions</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD NOWRAP>&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="width: 17%; padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Global Macro Trust</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 9%; text-align: right"><FONT STYLE="font-size: 8pt">9,644,943</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 50%"><FONT STYLE="font-size: 8pt">To achieve capital appreciation through trading a diversified portfolio
    of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 20%; text-align: center"><FONT STYLE="font-size: 8pt">Monthly with 10 days prior written notice<SUP>(1)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Millburn Multi-Markets Fund L.P.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,463,814</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation through Investments in Millburn Multi-Markets Trading L.P.
    which engages in the speculative trading of futures and forward currency contracts to achieve capital appreciation.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Monthly with 15 days prior written notice</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Nestor Partners</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,150,231</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation through trading a diversified portfolio of futures and forwards
    contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Monthly with 15 days prior written notice</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Apollo Fund</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2,250,446</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation through the speculative trading of futures and forwards contracts
    directly and indirectly through investments in other funds.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Monthly with 15 days prior written notice</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Millburn MCo Partners L.P.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">2,236,320</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation by allocating its capital among a number of independent investment
    advisors acting through investment funds and/or managed accounts.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Quarterly with 75 days prior written notice<SUP>(2)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Millburn Hedge Fund L.P.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">1,883,808</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation by investing in publicly traded equity securities, exchange-traded
    funds and futures and forwards contracts.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Quarterly with 30 days prior written notice</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Other investments in managed</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">3,036,920</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation through futures funds forwards contracts.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Monthly the speculative trading of futures and</FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in"><FONT STYLE="font-size: 8pt">Other investments in fund of funds</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 8pt">2,307,556</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">To achieve capital appreciation through investments in alternative funds, managed accounts
    and registered investment companies.</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Quarterly with 75 days prior written notice<SUP>(3)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: top; background-color: White">
    <TD STYLE="padding-left: 0.12in; text-indent: -0.12in">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.12in"><FONT STYLE="font-size: 8pt">Total</FONT></TD>
    <TD STYLE="text-underline-style: double"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt double"><FONT STYLE="font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 2pt double"><FONT STYLE="font-size: 8pt">27,974,038</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

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<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.63in"></TD><TD STYLE="width: 0.25in"><SUP>(1)</SUP></TD><TD>The Corporation has currently agreed to maintain its investment at not less than 1% of the total outstanding capital contributions
in Global Macro Trust but in no event shall the Corporation&rsquo;s investment be less than $500,000.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.63in"></TD><TD STYLE="width: 0.25in"><SUP>(2)</SUP></TD><TD>Approximately $75,000 of the Corporation&rsquo;s investment is restricted from redemption due to Millburn MCo Partners L.P.
holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when
the restrictions on redemption of these investments will be relieved.</TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0.63in"></TD><TD STYLE="width: 0.25in"><SUP>(3)</SUP></TD><TD>Approximately $40,500 of the Corporation&rsquo;s investment is restricted from redemption due to Millburn Select Strategies
L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate
when the restrictions on redemption of these investments will be relieved.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0">&nbsp;</P>

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<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
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<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 2.</TD><TD STYLE="text-align: justify"><U>INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45.35pt"></TD><TD STYLE="text-align: justify">Summarized financial information for the more significant sponsored funds as of December 31, 2011,
is as follows:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-indent: -45.35pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.63in">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Millburn</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Nestor</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Millburn MCo</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Global</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">Multi-Markets</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Partners</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Partners L.P.</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Macro Trust</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Apollo Fund</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Trading L.P.</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 40%">Assets</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">161,640,222</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">142,148,208</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">782,343,935</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">80,745,819</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">418,986,624</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 1pt">Liabilities</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">5,021,926</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">8,567,932</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">29,156,541</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">3,393,103</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">9,485,267</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD>&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt; padding-left: 0.25in">Net asset value</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">156,618,296</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">133,580,276</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">753,187,394</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">77,352,716</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">409,501,357</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD>The combined net asset value of other sponsored funds as of December&nbsp;31, 2011 is $487,902,163.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">As the sponsor, the Corporation conducts and manages the respective businesses of the sponsored
funds. The governing documents of the sponsored funds typically require the Corporation, as sponsor, to maintain a specified investment
in the respective fund. Such minimum investments generally are 1% of either net assets, total assets or total net contributions
or a minimum dollar amount (if greater). In addition, the governing documents for one of the sponsored funds require the Corporation
to maintain a minimum net worth equal to an amount determined by the total net contributions made to the entity that the Corporation
serves as the sponsor, not to exceed one million dollars. These requirements are defined in each of the respective governing documents
of the sponsored funds and the Corporation is in compliance with all such requirements.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">For managing the businesses of the sponsored funds, the Corporation earns commissions and fees
based on the terms of the respective governing documents of the sponsored funds. As of December 31, 2011, the Corporation had a
receivable of $5,588,000 from the sponsored funds for such commissions and fees. The Corporation earns an incentive allocation
from certain sponsored funds, which are based on 20% of the sponsored fund&rsquo;s trading profits, as specified in the governing
documents of the sponsored funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation also receives administrative fees and reimbursements of certain costs from several
of the sponsored funds according to the governing documents of the sponsored funds for direct and indirect expenses paid on their
behalf by the Corporation. The Corporation records an expense when such amounts are incurred and records a receivable from the
funds as income when the amounts are due from the sponsored funds. As of December 31, 2011, the Corporation had a receivable of
$1,403,000 from the sponsored funds for such administrative expenses.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 63pt; text-align: justify; text-indent: -1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 2.</TD><TD STYLE="text-align: justify"><U>INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">During 2011, the Corporation also invested in various other funds. At December 31, 2011, the value
of such investments is $59,527.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45.35pt; text-align: justify; text-indent: -45.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify">The Corporation has an investment
in a fund for which it serves as the investment adviser. Management fees from the fund of approximately $42,000 were outstanding
at year end. The Corporation receives reimbursements from the fund for certain direct expenses paid on its behalf. Revenue related
to reimbursements from the fund of approximately $45,000 was outstanding at year end. The Corporation earns an incentive allocation
from this fund, which is based on 20% of the fund&rsquo;s trading profits, as specified in the governing documents of the fund.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">Generally, all investments in other funds can be redeemed from the other funds on a monthly basis.
In addition, these funds generally attempt to achieve capital appreciation through investing in stocks, futures contracts, forward
currency contracts and interest rate instruments.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">At December 31, 2011, the Corporation has no explicit unfunded commitments related to its investments
in sponsored funds and other funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 3.</TD><TD STYLE="text-align: justify"><U>FAIR VALUE</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">Fair value, as defined in the<I> Fair Value Measurements and Disclosures</I> Topic of the Codification,
is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants
at the measurement date. The fair value hierarchy, as set forth in the <I>Fair Value Measurements and Disclosures </I>Topic of
the Codification, prioritizes the inputs to valuation techniques used to measure fair value into three broad levels: quoted market
prices in active markets for identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable
for the asset or liability, either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3).
If the inputs used to measure a financial instrument fall within different levels of the fair value hierarchy, the categorization
is based on the lowest level input that is significant to the measurement of that financial instrument. The Corporation recognizes
transfers between fair value hierarchy levels at the beginning of the reporting period. During the year ended December 31, 2011,
there were no transfers between fair value hierarchy levels.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 3.</TD><TD STYLE="text-align: justify"><U>FAIR VALUE (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The <I>Fair Value Measurements and Disclosures</I> Topic of the Codification provides that if the
reporting entity has the ability to redeem its investment in another fund at net asset value at the measurement date, the investment
shall be categorized as a Level 2 fair value measurement, and if the reporting entity cannot redeem its investment in another fund
at net asset value at the measurement date but the investment may be redeemable at a future date, the reporting entity shall consider
the length of time until the investment will be redeemable in determining whether it will be categorized as a Level 2 or Level
3 fair value measurement. Accordingly, at December 31, 2011, the Corporation&rsquo;s investments in other funds are categorized
as Level 2 fair value measurements.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The following summarizes the Corporation&rsquo;s assets accounted for at fair value at December
31, 2011 using the fair value hierarchy:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 90%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.63in">
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="14" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">December&nbsp;31,&nbsp;2011</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;1</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;2</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Level&nbsp;3</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center; border-bottom: Black 1pt solid">Total</TD><TD NOWRAP STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD><TD NOWRAP>&nbsp;</TD>
    <TD COLSPAN="2" NOWRAP STYLE="text-align: center">&nbsp;</TD><TD NOWRAP>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="font-weight: bold; text-decoration: underline">Assets</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 52%; text-align: left; padding-left: 0.12in">Investments in sponsored funds<SUP>(1)</SUP></TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">0</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">27,974,038</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">0</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">27,974,038</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.12in">Investments in other funds<SUP>(1)</SUP></TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">59,527</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">0</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">59,527</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.12in">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-bottom: 2.5pt; padding-left: 0.25in">Total</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">28,033,565</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">0</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">28,033,565</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 1in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.85in; text-indent: 0"></P>

<!-- Field: Rule-Page --><DIV ALIGN="LEFT" STYLE="margin-left: 0.85in; margin-top: 3pt; margin-bottom: 3pt"><DIV STYLE="font-size: 1pt; border-top: Black 1pt solid; width: 25%">&nbsp;</DIV></DIV><!-- Field: /Rule-Page -->

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.85in; text-indent: 0"><SUP>(1) </SUP>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;See Note 2.
for the fair value of the more significant funds within this category.</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 1in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 1in">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 4.</TD><TD STYLE="text-align: justify"><U>RELATED PARTY TRANSACTIONS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation has extensive transactions and relationships with affiliated companies. The Millburn
Corporation (TMC) provides administrative, accounting, research and other services to the Corporation and the Corporation pays
TMC a consulting fee for these services. Additionally, CommInVest Research Limited Partnership (CIVR) owns the trading algorithms
used by the Corporation in managing client assets. The Corporation pays CIVR a licensing fee to use the trading algorithms. The
Corporation also pays fees to Millburn International (Europe) LLP and Millburn International, LLC for providing prospective investors
and interested parties with information about the Corporation and its investment and trading strategy. The Corporation owes $<FONT STYLE="color: black">5,365,456</FONT>
to TMC at December 31, 2011 for consulting fees. The Corporation has prepaid license fees of $<FONT STYLE="color: black">31,691</FONT>
to CIVR as of December 31, 2011.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation has loaned funds to TMC in connection with construction and furnishing costs incurred
by TMC for its offices located in New York City. The loan is due on demand with interest accruing at an annualized rate of 2.0%
above the three-month U.S. Treasury Bill rate. The outstanding balance of the loan is $<FONT STYLE="color: black">601,622</FONT>
at December 31, 2011.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 5.</TD><TD STYLE="text-align: justify"><U>DUE TO FIRST REPUBLIC BANK</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify">The Corporation has a $5 million
revolving credit facility (loan agreement) with First Republic Bank (the Bank). Borrowings under the loan are limited to the lesser
of $5 million or Total Anticipated Commissions, as defined in the loan agreement. The loan bears interest at the prime rate, as
announced by Bank of America, but was subject to a minimum interest rate of 4.50% for the period January 1, 2011 to September 15,
2011. During the year ended December 31, 2011, the interest rates on this loan agreement ranged from 3.25% to 4.50%. The loan matures
July 31, 2012. Repayment of the loan has been guaranteed by CIVR and certain stockholders of the Corporation. The Corporation is
required to remain in compliance with certain financial and other covenants throughout the term of the loan. The amount due to
the Bank under this loan agreement at December 31, 2011 is $<FONT STYLE="color: black">2,530,370</FONT>.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 6.</TD><TD STYLE="text-align: justify"><U>INVESTING ACTIVITIES AND RELATED RISKS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation&rsquo;s investments in sponsored funds and other funds are subject to the market
and credit risks of futures contracts, options on futures contracts, forward currency contracts and other financial instruments
(collectively, &ldquo;derivatives&rdquo;). Additionally, the sponsored funds and other funds invest in stocks and United States
government securities. As such, the Corporation is exposed, to the extent of its investments in sponsored funds and other funds,
to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract. The Corporation is subject to the risk of loss to the extent of
the fair value of its investments in sponsored funds and other funds and, in certain specific circumstances, distributions, dividends
and redemptions received.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the
Corporation is exposed, to the extent of its investments, to a market risk equal to the notional contract value of futures, forward
currency and other derivative contracts purchased and liability on such contracts sold short. As both a buyer and seller of options,
the sponsored funds and other funds receive a premium at the outset and then bear the risk of unfavorable changes in the price
of the contract underlying the option. Written options expose the Corporation, to the extent of its investments in sponsored funds
and other funds, to potential liability, and purchased options expose the Corporation, to the extent of its investments in sponsored
funds and other funds, to a risk of loss of the premiums paid. In addition, since forward currency contracts are traded in unregulated
markets between principals, the Corporation, to the extent of its investments in sponsored funds and other funds, also assumes
the risk of loss from counterparty non performance.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">In addition, the Corporation, through its investments in sponsored funds and other funds, is exposed
to the extent of its investments, to various trading activities including investments in stocks that are typically traded on an
exchange or in the over-the-counter market. The sponsored funds and other funds also sell stock not owned at the time of sale (a
&ldquo;short sale&rdquo;). Risks arise from short sales due to the possible illiquidity of the securities markets and from potential
adverse movements in stock values. Theoretically, short sales expose the sponsored funds and other funds to potentially unlimited
liability as the sponsored funds&rsquo; and other funds&rsquo; ultimate obligation to purchase a stock sold short may exceed the
amount recorded.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 6.</TD><TD STYLE="text-align: justify"><U>INVESTING ACTIVITIES AND RELATED RISKS (CONTINUED)</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation, through its investments in sponsored funds and other funds, is exposed to the
extent of its investments, to U.S. government securities. Risks arise from investments in U.S. government securities due to possible
illiquidity and the potential for default by the issuer. U.S. government securities are also particularly sensitive to changes
in interest rates, economic conditions and conditions specific to the issuer.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">Lastly, the Corporation, through its investments in sponsored funds and other funds, invests in
fund of funds. The Corporation&rsquo;s investments in fund of funds are subject to the market and credit risk of securities and
financial instruments held or sold short by these entities.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation has established procedures to actively monitor market risk and minimize credit
risk of the sponsored funds and other funds, although there can be no assurance that it will, in fact, succeed in doing so.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation maintains its cash and cash equivalents at financial institutions. Balances on
deposit at such financial institutions are frequently in excess of available federal deposit insurance. In the event of a financial
institution&rsquo;s insolvency, recovery of the Corporation&rsquo;s assets on deposit may be limited to available federal deposit
insurance or other protection afforded such deposits.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">Additionally, the Corporation, in its capacity as general partner, managing owner or managing member
of the sponsored funds, is subject to certain additional risks of loss and liability for the activities of the sponsored funds.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 7.</TD><TD STYLE="text-align: justify"><U>LEASE COMMITMENT</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation has a noncancelable lease for office space in Greenwich, Connecticut. The term
of the lease is five years and expires on June 30, 2012; however, the Corporation amended the lease in April 2012 to extend terms
to December 31, 2017. The future minimum lease payments under this noncancelable lease are as follows:</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" ALIGN="CENTER" STYLE="border-collapse: collapse; width: 50%; font: 10pt Times New Roman, Times, Serif">
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="width: 88%; text-align: left">2012</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 9%; text-align: right">202,276</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2013</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">264,131</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2014</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">269,162</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left">2015</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">274,190</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">2016</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">279,221</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt">2017</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">284,249</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD><TD STYLE="padding-bottom: 2.5pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2.5pt double; text-align: left">$</TD><TD STYLE="border-bottom: Black 2.5pt double; text-align: right">1,573,229</TD><TD STYLE="padding-bottom: 2.5pt; text-align: left">&nbsp;</TD></TR>
</TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">MILLBURN RIDGEFIELD CORPORATION</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center">NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 18%; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="width: 41%; font-weight: bold; text-align: center">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 8.</TD><TD STYLE="text-align: justify"><U>INDEMNIFICATIONS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">In the normal course of business, the Corporation enters into contracts and agreements that contain
a variety of representations and warranties and which provide general indemnifications. The Corporation&rsquo;s maximum exposure
under these arrangements is unknown, as this would involve future claims that may be made against the Corporation that have not
yet occurred. The Corporation expects the risk of any future obligation under these indemnifications to be remote.</TD></TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 9.</TD><TD STYLE="text-align: justify"><U>EMPLOYEE BENEFIT PLAN</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify">The Corporation sponsors a 401(k)
profit sharing and savings plan (the Plan) for the benefit of its employees. The Corporation is the Plan administrator of the Plan.
Under the terms of the Plan, employees may elect to defer a portion of their compensation and the Corporation may make discretionary
contributions to the Plan on behalf of its participants.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0"><TR STYLE="vertical-align: top; text-align: justify">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 45pt; text-align: left">Note 10.</TD><TD STYLE="text-align: justify"><U>SUBSEQUENT EVENTS</U></TD>
</TR></TABLE>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 45pt; text-align: justify; text-indent: -45pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" WIDTH="100%" STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">In January 2012, the Corporation received contributions of $1,650,000 from stockholders&rsquo;
as result of a capital call by the Corporation.</TD></TR></TABLE>

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<TD STYLE="width: 0"></TD><TD STYLE="width: 45pt"></TD><TD STYLE="text-align: justify">The Corporation has evaluated subsequent events through April 16, 2012, the date the statement
of financial condition was available to be issued, and determined there were no other subsequent events that require disclosure.</TD></TR></TABLE>



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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; text-align: center; margin-bottom: 0pt">PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN<BR>
RIDGEFIELD CORPORATION&nbsp;&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">EXHIBIT A</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">FOURTH AMENDED AND RESTATED</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">DECLARATION OF TRUST AND TRUST AGREEMENT</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Dated as of August 12, 2009</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">FOURTH AMENDED AND RESTATED<BR>
<BR>
DECLARATION OF TRUST AND TRUST AGREEMENT<BR>
<BR>
TABLE OF CONTENTS</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; text-align: right; font-weight: bold; text-decoration: none">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; text-align: right; font-weight: bold; text-decoration: none">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; vertical-align: bottom; text-align: right; font-weight: bold; text-decoration: none">Page</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">1.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Declaration of Trust</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-1</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">2.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">The Trustee</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-1</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="width: 6%; vertical-align: top">&nbsp;</TD>
    <TD STYLE="width: 6%; vertical-align: top">(a)</TD>
    <TD STYLE="width: 83%; vertical-align: top"><I>Term; Resignation</I></TD>
    <TD NOWRAP STYLE="width: 5%; vertical-align: bottom; text-align: right">TA-1</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Powers</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-2</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Compensation and Expenses of the Trustee</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-2</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Indemnification</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-2</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(e)</TD>
    <TD STYLE="vertical-align: top"><I>Successor Trustee</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-2</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(f)</TD>
    <TD STYLE="vertical-align: top"><I>Liability of the Trustee</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-3</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(g)</TD>
    <TD STYLE="vertical-align: top"><I>Reliance by the Trustee and the Managing Owner; Advice of Counsel</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-4</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(h)</TD>
    <TD STYLE="vertical-align: top"><I>Not Part of Trust Estate</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-4</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">3.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Principal Office</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-4</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">4.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Business</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-4</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">5.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Term, Dissolution, Fiscal Year, Series of Units and Net Asset Value</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-5</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Term</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-5</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Dissolution</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-5</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Fiscal Year</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-5</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Series of Units</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-5</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(e)</TD>
    <TD STYLE="vertical-align: top"><I>Net Asset Value</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-5</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">6.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Net Worth of Managing Owner</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-6</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">7.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Capital Contributions; Units; Managing Owner&rsquo;s Liability</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Types of Beneficial Interests</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Managing Owner&rsquo;s Liability</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>No Certificates</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Unitholder Consent</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">8.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Allocation of Profits and Losses</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Capital Accounts and Allocations</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-7</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Allocation of Profit and Loss for Federal Income Tax Purposes</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-10</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Profit Share; New Profits Memo Account</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-12</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Expenses; Interest Income</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-12</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(e)</TD>
    <TD STYLE="vertical-align: top"><I>Limited Liability of Unitholders</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-13</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(f)</TD>
    <TD STYLE="vertical-align: top"><I>Return of Capital Contributions</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-14</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">9.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Management of the Trust</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-14</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Authority of the Managing Owner</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-14</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Notification of Basic Changes</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-14</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Certain Agreements</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-15</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Fiduciary Duties</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-15</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(e)</TD>
    <TD STYLE="vertical-align: top"><I>Brokerage Arrangements</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-15</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(f)</TD>
    <TD STYLE="vertical-align: top"><I>Prohibited Activities</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-15</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(g)</TD>
    <TD STYLE="vertical-align: top"><I>Freedom of Action</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-16</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">10.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Audits and Reports to Unitholders</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-16</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">11.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Assignability of Units</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-17</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">12.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Redemptions</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-18</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">13.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Offering of Units</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-19</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">14.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Special Power of Attorney</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-20</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">15.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Withdrawal of a Unitholder</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-20</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">16.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Benefit Plan Investors</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-21</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">17.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Standard of Liability; Indemnification</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">TA-21</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="width: 6%; vertical-align: top">&nbsp;</TD>
    <TD STYLE="width: 6%; vertical-align: top">(a)</TD>
    <TD STYLE="width: 78%; vertical-align: top"><I>Standard of Liability for the Managing Owner</I></TD>
    <TD NOWRAP STYLE="width: 10%; vertical-align: bottom; text-align: right">TA-21</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Indemnification of the Managing Owner by the Trust</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-21</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Indemnification by the Unitholders</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-22</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">18.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Amendments; Meetings</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-23</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Amendments with Consent of the Managing Owner</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-23</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Amendments and Actions without Consent of the Managing Owner</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-23</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Meetings; Other</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-23</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(d)</TD>
    <TD STYLE="vertical-align: top"><I>Consent by Trustee</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">19.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Governing Law</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">20.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Miscellaneous</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(a)</TD>
    <TD STYLE="vertical-align: top"><I>Notices</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(b)</TD>
    <TD STYLE="vertical-align: top"><I>Binding Effect</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top">(c)</TD>
    <TD STYLE="vertical-align: top"><I>Captions</I></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">21.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Certain Definitions</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-24</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">22.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">No Legal Title to Trust Estate</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-26</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">23.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Legal Title</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-26</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">24.</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Creditors</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-26</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Testimonium</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Signatures</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-27</TD></TR>
<TR STYLE="background-color: White">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Schedule A&mdash;Certificate of Trust</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;TA-28</TD></TR>
<TR STYLE="background-color: rgb(204,255,204)">
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top">Annex&mdash;Request for Redemption</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; text-align: right">&nbsp;RR-1</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">FOURTH AMENDED AND RESTATED<BR>
DECLARATION OF TRUST AND TRUST AGREEMENT</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">This FOURTH AMENDED AND RESTATED DECLARATION
OF TRUST AND TRUST AGREEMENT (&ldquo;Declaration of Trust&rdquo;) of <B>Global Macro Trust</B> (the &ldquo;Trust&rdquo;) is made
and entered into as of this 12th day of August, 2009 by and among <B>Millburn Ridgefield Corporation</B>, a Delaware corporation,
as managing owner (the &ldquo;Managing Owner&rdquo;), <B>Wilmington Trust Company</B>, a Delaware banking corporation, as trustee
(the &ldquo;Trustee&rdquo;), and each other party who shall execute a counterpart of this Declaration of Trust as an owner of a
unit (&ldquo;Unit&rdquo;) of beneficial interest of the Trust or who becomes a party to this Declaration of Trust as a Unitholder
by execution of a Subscription Agreement and Power of Attorney Signature Page or otherwise and who is shown in the books and records
of the Trust as a Unitholder (individually, a &ldquo;Unitholder&rdquo; and, collectively, the &ldquo;Unitholders&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">WITNESSETH:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">WHEREAS, the parties hereto desire to continue
the Trust for the business and purpose of issuing Units, the capital of which shall be used to engage in speculative trading, buying,
selling or otherwise acquiring, holding or disposing of futures and forward contracts on currencies, interest rate, energy and
agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon
or on physical commodities, with the objective of capital appreciation through speculative trading, and to amend and restate the
original Declaration of Trust and Trust Agreement of the Trust in its entirety.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">NOW THEREFORE, the parties hereto agree
as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>1.</B> <I>Declaration of Trust.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trustee hereby declares the investments
in the Trust shall be held in trust upon and subject to the conditions set forth herein for the use and benefit of the Unitholders.
It is the intention of the parties hereto that the Trust shall be a statutory trust under the Act, and that this Declaration of
Trust shall constitute the governing instrument of the Trust. The Trustee has filed the Certificate of Trust required by Section
3810 of the Delaware Statutory Trust Act, 12 <I>Del. C.</I> <I>&sect;</I> 3801,<I> et seq</I>., as amended from time to time (the
&ldquo;Act&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Nothing in this Declaration of Trust shall
be construed to make the Unitholders partners or members of a joint stock association except to the extent that such Unitholders,
as constituted from time to time, are deemed to be partners under the Internal Revenue Code of 1986, as amended (the &ldquo;Code&rdquo;),
and applicable state and local tax laws. Notwithstanding the foregoing, it is the intention of the parties hereto that the Trust
be treated as a partnership for purposes of taxation under the Code and applicable state and local tax laws. Effective as of the
date hereof, the Trustee shall have all of the rights, powers and duties set forth herein and in the Act with respect to accomplishing
the purposes of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>2.</B> <I>The Trustee.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Term; Resignation.</I> (i) Wilmington
Trust Company has been appointed and has agreed to serve as the Trustee of the Trust. The Trust shall have only one trustee unless
otherwise determined by the Managing Owner. The Trustee shall serve until such time as the Managing Owner removes the Trustee or
the Trustee resigns and a successor Trustee is appointed by the Managing Owner in accordance with the terms of Section 2(e) hereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Trustee may resign at any time upon the giving of at least sixty (60) days&rsquo; advance written notice to the Managing Owner;
provided, that such resignation shall not become effective unless and until a successor Trustee shall have been appointed by the
Managing Owner in accordance with Section 2(e) hereof. If the Managing Owner does not act within such sixty (60) day period, the
Trustee may apply to the Court of Chancery of the State of Delaware for the appointment of a successor Trustee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Powers</I>. Except to the extent
expressly set forth in this Section 2, the duty and authority of the Trustee to manage the business and affairs of the Trust are
hereby delegated to the Managing Owner. The Trustee shall have only the rights, obligations or liabilities specifically provided
for herein and in the Act and shall have no implied rights, obligations or liabilities with respect to the business or affairs
of the Trust. The Trustee shall have the power and authority to execute, deliver, acknowledge and file all necessary documents,
including any amendments to or cancellation of the Certificate of Trust, and to maintain all necessary records of the Trust as
required by the Act. The Trustee shall provide prompt notice to the Managing Owner of its performance of any of the foregoing.
The Managing Owner shall keep the Trustee informed of any actions taken by the Managing Owner with respect to the Trust that affect
the rights, obligations or liabilities of the Trustee hereunder or under the Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Compensation and Expenses of the
Trustee.</I> The Trustee shall be entitled to receive from the Trust or, if the assets of the Trust are insufficient, from the
Managing Owner reasonable compensation for its services hereunder in accordance with a separate fee agreement between the Managing
Owner and the Trustee, and shall be entitled to be reimbursed by the Trust or, if the assets of the Trust are insufficient, by
the Managing Owner for reasonable out-of-pocket expenses incurred by the Trustee in the performance of its duties hereunder, including
without limitation, the reasonable compensation, out-of-pocket expenses and disbursements of counsel and such other agents as the
Trustee may employ in connection with the exercise and performance of its rights and duties hereunder, to the extent attributable
to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I> Indemnification.</I> The Managing
Owner agrees, whether or not any of the transactions contemplated hereby shall be consummated, to assume liability for, and does
hereby indemnify, protect, save and keep harmless the Trustee and its successors, assigns, legal representatives, officers, directors,
agents, employees and servants (the &ldquo;Indemnified Parties&rdquo;) from and against any and all liabilities, obligations, losses,
damages, penalties, taxes (excluding any taxes payable by the Trustee on or measured by any compensation received by the Trustee
for its services hereunder or as indemnity payments pursuant to this Section 2(d)), claims, actions, suits, costs, expenses or
disbursements (including legal fees and expenses) of any kind and nature whatsoever (collectively, &ldquo;Expenses&rdquo;), which
may be imposed on, incurred by or asserted against the Indemnified Parties in any way relating to or arising out of the formation,
operation or termination of the Trust, the execution, delivery and performance of any other agreements to which the Trust is a
party or the action or inaction of the Trustee hereunder or thereunder, except for Expenses resulting from the gross negligence
or willful misconduct of the Indemnified Parties. The indemnities contained in this Section 2(d) shall survive the termination
of this Declaration of Trust or the removal or resignation of the Trustee. In addition, the Indemnified Parties shall be entitled
to indemnification from any cash, net equity in any commodity futures, forward and option contracts, all funds on deposit in the
accounts of the Trust, any other property held by the Trust, and all proceeds therefrom, including any rights of the Trust pursuant
to any agreements to which the Trust is a party (the &ldquo;Trust Estate&rdquo;) to the extent such expenses are attributable to
the formation, operation or termination of the Trust as set forth above, and to secure the same the Trustee shall have a lien against
the Trust Estate which shall be prior to the rights of the Managing Owner and the Unitholders to receive distributions from the
Trust Estate. The Trustee nevertheless agrees that it will, at its own cost and expense, promptly take all action as may be necessary
to discharge any liens on any part of the Trust Estate which result from claims against the Trustee personally that are not related
to the ownership or the administration of the Trust Estate or the transactions contemplated by any documents to which the Trust
is a party.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(e) <I>Successor Trustee.</I> Upon the resignation
or removal of the Trustee, the Managing Owner shall appoint a successor Trustee by delivering a written instrument to the outgoing
Trustee. Any successor Trustee must satisfy the requirements of Section 3807 of the Act. Any resignation or removal of the Trustee
and appointment of a successor Trustee shall not become effective until a written acceptance of appointment is delivered by the
successor Trustee to the outgoing Trustee and the Managing Owner and any fees and expenses due to the outgoing Trustee are paid.
Following compliance with the preceding sentence, the successor Trustee shall become fully vested with all of the rights, powers,
duties and obligations of the outgoing Trustee under this Declaration of Trust, with like effect as if originally named as Trustee,
and the outgoing Trustee shall be discharged of its duties and obligations under this Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(f) <I>Liability of the Trustee.</I> Except
as otherwise provided in this Section 2, in accepting the trust created hereby, Wilmington Trust Company acts solely as Trustee
hereunder and not in its individual capacity, and all persons having any claim against the Trustee by reason of the transactions
contemplated by this Declaration of Trust and any other agreement to which the Trust is a party shall look only to the Trust Estate
for payment or satisfaction thereof. The Trustee shall not be liable or accountable hereunder or under any other agreement to which
the Trust is a party, except for the Trustee&rsquo;s own gross negligence or willful misconduct. In particular, but not by way
of limitation:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;the
Trustee shall have no liability or responsibility for the validity or sufficiency of this Declaration of Trust or for the form,
character, genuineness, sufficiency, value or validity of the Trust Estate;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;the
Trustee shall not be liable for any actions taken or omitted to be taken by it in accordance with the instructions of the Managing
Owner;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(iii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;the
Trustee shall not have any liability for the acts or omissions of the Managing Owner;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(iv)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;the
Trustee shall not be liable for its failure to supervise the performance of any obligations of the Managing Owner, any commodity
broker or any selling agent;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(v)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;no
provision of this Declaration of Trust shall require the Trustee to expend or risk funds or otherwise incur any financial liability
in the performance of any of its rights or powers hereunder if the Trustee shall have reasonable grounds for believing that repayment
of such funds or adequate indemnity against such risk or liability is not reasonably assured or provided to it;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(vi)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;under
no circumstances shall the Trustee be liable for indebtedness evidenced by or other obligations of the Trust arising under this
Declaration of Trust or any other agreements to which the Trust is a party;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(vii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;the
Trustee shall be under no obligation to exercise any of the rights or powers vested in it by this Declaration of Trust, or to institute,
conduct or defend any litigation under this Declaration of Trust or any other agreements to which the Trust is a party, at the
request, order or direction of the Managing Owner or any Unitholders unless the Managing Owner or such Unitholders have offered
to the Trustee security or indemnity satisfactory to it against the costs, expenses and liabilities that may be incurred by the
Trustee (including, without limitation, the reasonable fees and expenses of its counsel) therein or thereby; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(viii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;notwithstanding
anything contained herein to the contrary, the Trustee shall not be required to take any action in any jurisdiction other than
in the State of Delaware if the taking of such action will (a) require the consent or approval or authorization or order of or
the giving of notice to, or the registration with or taking of any action in respect of, any state or other governmental authority
or agency of any jurisdiction other than the State of Delaware, (b) result in any fee, tax or other governmental charge under the
laws of any jurisdiction or any political subdivision thereof in existence as of the date hereof other than the State of Delaware
becoming payable by the Trustee or (c) subject the Trustee to personal jurisdiction other than in the State of Delaware for causes
of action arising from personal acts unrelated to the consummation by the Trustee of the transactions contemplated hereby.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(g) <I>Reliance by the Trustee and the Managing
Owner; Advice of Counsel.</I> (i) In the absence of negligence or misconduct on the part of the Managing Owner or bad faith on
the part of the Trustee, the Trustee and the Managing Owner may conclusively rely upon certificates or opinions furnished to the
Trustee or the Managing Owner and conforming to the requirements of this Declaration of Trust in determining the truth of the statements
and the correctness of the opinions contained therein, and shall incur no liability to anyone in acting on any signature, instrument,
notice, resolution, request, consent, order, certificate, report, opinion, bond or other document or paper which is believed to
be genuine and believed to be signed by the proper party or parties, and need not investigate any fact or matter pertaining to
or in any such document; provided, however, that the Trustee or the Managing Owner shall have examined any certificates or opinions
so as to determine compliance of the same with the requirements of this Declaration of Trust. The Trustee or the Managing Owner
may accept a certified copy of a resolution of the board of directors or other governing body of any corporate party as conclusive
evidence that such resolution has been duly adopted by such body and that the same is in full force and effect. As to any fact
or matter the method of the determination of which is not specifically prescribed herein, the Trustee or the Managing Owner may
for all purposes hereof rely on a certificate, signed by the president or any vice-president or by the treasurer or other authorized
officers of the relevant party, as to such fact or matter, and such certificate shall constitute full protection to the Trustee
or the Managing Owner for any action taken or omitted to be taken by either of them in good faith in reliance thereon.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In
the exercise or administration of the trust hereunder and in the performance of its duties and obligations under this Declaration
of Trust, the Trustee, at the expense of the Trust, (i) may act directly or through its agents, attorneys, custodians or nominees
pursuant to agreements entered into with any of them, and the Trustee shall not be liable for the conduct or misconduct of such
agents, attorneys, custodians or nominees if such agents, attorneys, custodians or nominees shall have been selected by the Trustee
with reasonable care and (ii) may consult with counsel, accountants and other skilled professionals to be selected with reasonable
care by the Trustee; provided that the Trustee shall not allocate any of its internal expenses or overhead to the account of the
Trust. The Trustee shall not be liable for anything done, suffered or omitted in good faith by it in accordance with the opinion
or advice of any such counsel, accountant or other such persons.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(h) <I>Not Part of Trust Estate.</I> Amounts
paid to the Trustee from the Trust Estate, if any, pursuant to this Section 2 shall not be deemed to be part of the Trust Estate
immediately after such payment.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>3.</B> <I>Principal Office.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The address of the principal office of the
Trust is c/o the Managing Owner, 411 West Putnam Avenue, Greenwich, Connecticut 06830; telephone: (203) 625-8211. The Trustee is
located at Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration.
The Trustee shall receive service of process on the Trust in the State of Delaware at the foregoing address. In the event Wilmington
Trust Company resigns or is removed as the Trustee, the Trustee of the Trust in the State of Delaware shall be the successor Trustee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>4.</B> <I>Business.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s business and purpose is
to engage in speculative trading, buying, selling or otherwise acquiring, holding or disposing of futures and forward contracts
on currencies, interest rate, energy and agricultural products, metals, stock and stock indices, hybrid instruments, swaps, any
rights pertaining thereto and any options thereon or on physical commodities, and to engage in all activities necessary, convenient
or incidental thereto. The objective of the Trust&rsquo;s business is appreciation of its assets through speculative trading. The
Trust shall have the power to engage in all activities which are necessary, suitable, desirable, convenient or incidental to the
accomplishment to the foregoing business and purposes. The Trust shall do so under the direction of the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>5.</B> <I>Term, Dissolution, Fiscal Year,
Series of Units and Net Asset Value.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Term.</I> The term of the Trust commenced
on the day on which the Certificate of Trust was filed with the Secretary of State of the State of Delaware pursuant to the provisions
of the Act. The Trust shall dissolve upon the first to occur of the following: (1) December 31, 2031; (2) receipt by the Managing
Owner of an approval to dissolve the Trust at a specified time by Unitholders owning Units representing more than fifty percent
(50%) of the total number of outstanding Units then owned by Unitholders, notice of which is sent by certified mail return receipt
requested to the Managing Owner not less than 90 days prior to the effective date of such dissolution; (3) death, insanity, bankruptcy,
retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner or any other event that causes
the Managing Owner to cease to be a managing owner unless, (i) at the time of such event there is at least one remaining managing
owner of the Trust who carries on the business of the Trust (and each remaining managing owner of the Trust is hereby authorized
to carry on the business of the Trust in such an event), or (ii) within 90 days after such event Unitholders owning at least fifty
percent (50%) of the total number of outstanding Units then owned by Unitholders agree in writing to continue the business of the
Trust and to the appointment, effective as of the date of such event, of one or more managing owners of the Trust pursuant to the
terms of Sections 18(b) and 18(c); (4) a decline in the aggregate Net Assets of the Trust to less than $250,000; (5) a decline
in the Net Asset Value per Unit to $250 or less; or (6) any other event which shall make it unlawful for the existence of the Trust
to be continued or shall require dissolution of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Dissolution.</I> Upon the occurrence
of an event causing the dissolution of the Trust, the Trust shall be dissolved and its affairs wound up. Upon dissolution, the
New Profits Memo Account will be added to the Managing Owner&rsquo;s capital account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Upon the dissolution of the Trust, the Managing
Owner (or, if the Managing Owner has withdrawn, such person as the Unitholders may, by majority vote of the Units, select) shall
wind up the Trust&rsquo;s affairs and, in connection therewith, shall distribute the Trust&rsquo;s assets in the following manner
and order:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FIRST
TO pay or make reasonable provision to pay (all claims of the Trustee and then all other claims and obligations, including all
contingent, conditional or unmatured claims and obligations, for which the Managing Owner (or its successor) may create a reserve,
known to the Trust (including claims of Unitholders) and all claims and obligations which are known to the Trust but for which
the identity of the claimant is unknown; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.5in">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SECOND
TO distribution in cash of the remaining assets to the Unitholders in proportion to their capital accounts, after giving effect
to the allocations pursuant to Section 8 hereof as if the date of distribution were the end of a calendar year.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust shall terminate when (i) all assets
of the Trust shall have been distributed in the manner provided for in this Agreement and (ii) the Certificate of Trust shall have
been canceled in the manner required by the Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Fiscal Year.</I> The fiscal year
of the Trust shall begin on January 1 of each year and end on the following December 31.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I>Series of Units</I>.<I> </I> The
Units may be issued in series (each, a &ldquo;Series&rdquo;). The only difference between Units of each Series shall be the applicable
fees and expenses described herein. Otherwise, the Units of each Series shall be identical to the Units of the other Series and
shall share <I>pro rata</I> in the profits and losses of the Trust. &ldquo;Series of Units&rdquo; shall include outstanding Units
issued prior to the date hereof (unless the context dictates otherwise). The Series are not of a type contemplated by the last
sentence of Section 3804(a) of the Act.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(e) <I>Net Asset Value.</I> The Net Assets
of the Trust are its assets less its liabilities determined in accordance with generally accepted accounting principles. A Series&rsquo;
Net Assets in aggregate are the Trust&rsquo;s assets attributable to that Series minus its liabilities attributable to that Series.
If a futures, forward or other contract cannot be liquidated on the day with respect to which Net Assets are being determined,
the settlement price on the first subsequent day on which the contract can be liquidated shall be the basis for determining the
liquidating value of such contract for such day, or such other value as the Managing Owner may deem fair and reasonable. The liquidating
value of a commodity futures or option contract not traded on a United States commodity exchange shall mean its liquidating value
as determined by the Managing Owner on a basis consistently applied for each different variety of contract.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Brokerage Fee shall be charged to Series
1 Units at the basic rate of 7.0% per annum of the average month-end Net Assets of the Trust attributable to Series 1 Units (prior
to reduction for accrued but unpaid fees), and additional Series 1 Units shall be allocated to Series 1 Unitholders subject to
reduced Brokerage Fees as described in Section 8(a)(3) hereof. Brokerage Fees, accrued as well as paid, shall reduce Net Asset
Value of Series 1 Units. The Managing Owner compensates selling agents in connection with the sale of Series 1 Units out of the
Brokerage Fee in an amount up to 4% per annum of the Net Asset Value of Series 1 Units but not to exceed 9.5% of the purchase price
paid by purchasers of the Series 1 Units. Once the 9.5% threshold is reached with respect to a Series 1 Unit issued on or after
the date hereof, amounts that would otherwise be paid to the selling agent for that Series 1 Unit shall instead be rebated to the
Trust and shall be allocated equally among all Series 1 Units (inclusive of outstanding Units issued prior to the date hereof).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Management Fee shall be charged to Series
2 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior
to reduction for accrued but unpaid fees). The Custodial Fee shall also be charged to Series 2 Units at the basic rate of 0.25%
per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior to reduction for accrued but unpaid
fees). The Custodial Fee shall be paid to brokers acting as custodian of Series 2 Units for the benefit of Series 2 Unitholders.
The maximum amount of Custodial Fees paid to brokers that act as custodian of Series 2 Units shall not exceed 3.1667% of the purchase
price paid by purchasers of Series 2 Units (or such lower amount as described in the Prospectus). Once the maximum threshold is
reached with respect to a Series 2 Unit, Custodial Fees that would otherwise be paid to the custodian for such Series 2 Unit shall
instead be rebated to the Trust and shall be allocated equally among all Series 2 Units. Series 2 Units shall also be subject to
their <I>pro rata</I> share of the Trust&rsquo;s routine charges incidental to trading (including, without limitation, brokerage
commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and
&ldquo;give-up&rdquo; fees). Management Fees, Custodial Fees and trading costs, accrued as well as paid, shall reduce Net Asset
Value of Series 2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Management Fee shall be charged to Series
3 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 3 Units (prior
to reduction for accrued but unpaid fees). Series 3 Units shall also be subject to their <I>pro rata</I> share of the Trust&rsquo;s
routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse,
regulatory, floor brokerage, electronic platform trading costs and &ldquo;give-up&rdquo; fees). Management Fees and trading costs,
accrued as well as paid, shall reduce Net Asset Value of Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Series 4 Units shall be subject to their
<I>pro rata</I> share of the Trust&rsquo;s routine charges incidental to trading (including, without limitation, brokerage commissions,
prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and &ldquo;give-up&rdquo;
fees). Trading costs, accrued as well as paid, shall reduce Net Asset Value of Series 4 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Accrued Profit Shares (as described in Section
8 hereof) shall reduce Net Asset Value, even though such Profit Shares may never, in fact, be paid. Accrued Profit Shares shall
be calculated on a basis which reflects any aggregate New Trading Profit (as defined in Section 8(c)), accrued equally in respect
of each Series 1 Unit (except as necessary to reflect the difference in the Brokerage Fees charged certain Unitholders) and accrued
equally in respect of the Series 2 and 3 Units in the aggregate (except as necessary to reflect the Custodial Fee charged to the
Series 2 Unitholders) but not in respect of the Series 4 Units, the Managing Owner&rsquo;s capital account or the New Profits Memo
Account (see Section 8(a)). &nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>6.</B> <I>Net Worth of Managing Owner.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner agrees that at all times
so long as it remains managing owner of the Trust, it will maintain its Net Worth at an amount not less than the greater of $50,000
or 5% of the total contributions to the Trust and to all other entities of which it is managing owner or general partner. In no
event shall the Managing Owner be required to maintain a net worth in excess of $1,000,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>7.</B> <I>Capital Contributions; Units;
Managing Owner&rsquo;s Liability.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Types of Beneficial Interests.</I>
The beneficial interests in the Trust shall consist of two types: a general liability interest and limited liability Units. The
Managing Owner shall acquire the general liability interest, and investors shall all acquire limited liability Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Managing Owner&rsquo;s Liability.</I>
Upon the initial contribution by the Managing Owner to the Trust, the Managing Owner became the holder of the general liability
interest of the Trust. The Managing Owner&rsquo;s general liability interest shall be accounted for on a Unit-equivalent basis,
but may receive allocations on an aggregate basis so as to simplify the Trust&rsquo;s accounting. The Managing Owner&rsquo;s general
liability interest will not be subject to full Brokerage Fees, but rather only to actual execution costs, nor shall it be subject
to Management Fees, Custodial Fees or Profit Shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>No Certificates.</I> No certificates
or other evidences of beneficial ownership of the Units will be issued.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I>Unitholder Consent.</I> Every Unitholder,
by virtue of having purchased or otherwise acquired Units, shall be deemed to have expressly consented and agreed to be bound by
the terms of this Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Unitholders&rsquo; respective capital
contributions to the Trust shall be as shown on the books and records of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall have unlimited
liability for the repayment, satisfaction and discharge of all debts, liabilities and obligations of the Trust to the full extent,
and only to the extent, of the Managing Owner&rsquo;s assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall be liable for the
acts, omissions, obligations and expenses of the Trust, to the extent not paid out of the assets of the Trust, to the same extent
that the Managing Owner would be so liable if the Trust were a partnership under the Delaware Revised Uniform Limited Partnership
Act and the Managing Owner were a general partner of such partnership. The obligations of the Managing Owner under this paragraph
shall be evidenced by its ownership of the general liability interest.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner, so long as it is generally
liable for the obligations of the Trust, shall invest in the Trust, as a general liability interest, no less than 1% of the net
capital contributions to the Trust (including the Managing Owner&rsquo;s contributions) but in no event shall the Managing Owner
invest less than $500,000 of the total capital contributions to the Trust. The Managing Owner may withdraw any interest it may
have in excess of such requirement as of any month-end on the same terms as any Unitholder, provided the Managing Owner&rsquo;s
interest in the Trust remains equal to or greater than the greater of (i) 1% of the Trust&rsquo;s then current Net Assets or (ii)
$500,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Any Units acquired by the Managing Owner
or any of its principals or their respective affiliates will be non-voting, and will not be considered outstanding for purposes
of determining whether the majority approval of the outstanding Units has been obtained.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The general liability interest in the Trust
held by the Managing Owner will be non-voting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>8.</B> <I>Allocation of Profits and Losses.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Capital Accounts and Allocations.</I>
A capital account shall be established for each Unit of each Series and for the Managing Owner. In addition, a New Profits Memo
Account shall be established on the books of the Trust for bookkeeping purposes only. The initial balance of each capital account
shall be the amount contributed to the Trust in respect of a Unit or by the Managing Owner. As of the close of business (as determined
by the Managing Owner) on the last day of each month, the following determinations and allocations shall be made:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(1)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Net Assets of the Trust will be determined without regard to Brokerage Fees, Management Fees, Custodial Fees, the Trust&rsquo;s
actual trade execution and clearing costs or Profit Shares.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(2)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Any
increase or decrease in the Trust&rsquo;s Net Assets (as determined pursuant to Paragraph 1 above), as compared to the last such
determination of Net Assets, shall then be credited or charged <I>pro rata</I> to the capital account of each Unit, to the capital
account of the Managing Owner and to the New Profits Memo Account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(3)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brokerage
Fees shall be charged equally to all Series 1 Units at the rate of 0.5833 of 1% of the month-end Trust assets (prior to reduction
for any accrued but unpaid fees or Profit Shares) allocable to such Series 1 Units (a 7.0% annual rate). Such Brokerage Fees shall
be paid out to the Managing Owner; provided that in respect of Series 1 Units which are subject to per annum Brokerage Fees of
6.5%, 6.0%, or 5.5% (or as otherwise reduced to reflect reduced sales commissions) of the average month-end Trust assets allocable
to such Series 1 Units, the difference between the 0.5833 of 1% Brokerage Fees charged and the reduced Brokerage Fee due as of
the end of each month shall not be paid out to the Managing Owner but shall instead be credited to a Suspense Account which shall
not be included in the Net Asset Value of the Series 1 Units, and shall be used solely as a means of efficiently accounting for
the reduction in the Brokerage Fee payable by such Series 1 Unitholders while maintaining a uniform Net Asset Value per Series
1 Unit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">Management Fees shall be charged
equally to all Series 2 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but
unpaid fees or Profit Shares) allocable to such Series 2 Units (a 2.0% annual rate) and Custodial Fees shall be charged equally
to all Series 2 Units at the rate of 0.0208 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid
fees or Profit Shares) allocable to such Series 2 units (a 0.25% annual rate). Actual costs of executing and clearing the Trust&rsquo;s
futures trades attributable to Series 2 Units, including prime brokerage fees in respect of currency forward contracts attributable
to Series 2 Units, shall also be charged equally to all Series 2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">Management Fees shall be charged
equally to all Series 3 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but
unpaid fees or Profit Shares) allocable to such Series 3 Units (a 2% annual rate). Actual costs of executing and clearing the Trust&rsquo;s
futures trades attributable to Series 3 Units, including prime brokerage fees in respect of currency forward contracts attributable
to Series 3 Units, shall also be charged equally to all Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">Actual costs of executing and
clearing the Trust&rsquo;s futures trades attributable to Series 4 Units, including prime brokerage fees in respect of currency
forward contracts attributable to Series 4 Units, shall also be charged equally to all Series 4 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">Brokerage Fees, Management Fees
and Custodial Fees will not be charged to (or calculated on a basis of average month-end Trust assets which include) capital accounts
of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates or the New Profits Memo Account. The
capital accounts of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates and the New Profits
Memo Account shall be charged for their respective <I>pro rata</I> shares of the costs of executing and clearing the Trust&rsquo;s
futures trades as well as for prime brokerage fees in respect of currency forward contracts, but not for any Brokerage Fees, Management
Fees or Custodial Fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(4)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Managing Owner&rsquo;s Series 1 Profit Share will equal 20% of any Series 1 New Trading Profit (as defined in Section 8(c)). The
Managing Owner&rsquo;s Series 2/3 Profit Share will equal 20% of any aggregate Series 2 and Series 3 New Trading Profit (as defined
in Section 8(c)). As of the end of each month, the amount of any such Series 1 Profit Share or Series 2/3 Profit Share, as applicable,
shall be calculated and shall reduce the Net Asset Value per Unit of Series 1 or Series 2 and Series 3, as applicable, <I>pro rata</I>.
The Series 4 Units shall not be subject to a Profit Share. The amount of any such Profit Share shall be deducted from each Unit&rsquo;s
capital account (other than the Series 4 Units, as described above) and credited to the New Profits Memo Account, as a bookkeeping
entry only, as of the end of each calendar year. The capital accounts of the Managing Owner, its principals, their respective affiliates
and the New Profits Memo Account will not be subject to the Profit Share. (For the avoidance of doubt, the amount of any Series
1 Profit Share accrual reversal shall be credited to the Series 1 Units only and the amount of any Series 2/3 Profit Share accrual
reversal shall be credited, <I>pro rata</I>, to Series 2 and Series 3 Units only.)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(5)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
amounts credited to the Suspense Account as provided in Paragraph 3 above as of the end of any month shall be reduced by the 20%
Series 1 Profit Share if there is an accrued Profit Share in respect of the Series 1 Units as of the month-end that such amounts
are so credited. If such month-end is also a year-end, the amount of such Series 1 Profit Share shall be credited to the New Profits
Memo Account, as a bookkeeping entry only, and the remainder of the Suspense Account shall be reinvested in Series 1 Units as of
such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders. If such month-end is not also a year-end,
the Series 1 Profit Share accrual, as well as the remainder of the Suspense Account, shall be reinvested in Series 1 Units as of
such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(6)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Managing Owner&rsquo;s Series 1 Profit Share or Series 2/3 Profit Share with respect to Units redeemed as of a month-end which
is not the end of a calendar year shall be computed as though such month-end were the end of a calendar year, and the amount of
the Series 1 Profit Share or Series 2/3 Profit Share so computed (if any) shall be deducted from the redeemed Units&rsquo; capital
accounts and credited to the New Profits Memo Account, as a bookkeeping entry only.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(7)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;When
Series 1 Units subject to reduced per annum Brokerage Fees are redeemed: (i) if a Series 1 Profit Share is then accrued, the difference
between the 7.0% per annum and reduced per annum Brokerage Fee attributable to such Series 1 Units for the month-end of redemption
shall be assessed a 20% Series 1 Profit Share which shall be credited to the New Profits Memo Account, as a bookkeeping entry only;
and (ii) the Series 1 Profit Share, if any, due in respect of such Series 1 Units shall be calculated on the same basis as in respect
of all other Series 1 Units, as set forth in Paragraph 4 above, and credited to the New Profits Memo Account, as a bookkeeping
entry only.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">If no Series 1 Profit Share is
accrued as of the date of redemption, then no New Profits Memo Account credits shall be made in respect of any portion of the Series
1 Units redeemed.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(8)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
amount of any distributions made in respect of a Unit as of the end of such month and any amount (not reduced by any early redemption
charges) paid upon partial redemption of Units or upon withdrawal of the Managing Owner&rsquo;s interest as of the end of such
month shall be charged against the capital account of such Unit or of the Managing Owner. The capital account of any Unit fully
redeemed shall be eliminated.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(9)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brokerage
Fees, Management Fees and Custodial Fees shall be treated as if paid or payable to a third party and shall not be credited to the
capital account of the general liability interest held by the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(10)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Persons
who make a net capital investment in the Series 1 Units, including both initial and subsequent investments and without regard to
profits or losses, of $100,000, $500,000, $1,000,000 or more or who acquired Series 1 Units through asset-based fee or fixed-fee
investment programs (such as broker or trust company &ldquo;wrap accounts&rdquo;) shall be entitled to pay Brokerage Fees of 6.5%,
6.0%, 5.5% or 4% per annum, respectively, of the average month-end assets of their respective capital accounts; provided that,
if after any redemption of Series 1 Units, the aggregate net capital contributions for Series 1 Units (subscriptions less redemptions,
but assuming redemptions to be made first from accumulated net profits, not capital contributions) of an investor is less than
$100,000, $500,000 or $1,000,000, such Series 1 Unitholder will no longer be eligible for the level of per annum Brokerage Fee
such investor was paying but rather shall be subject to the higher Brokerage Fee applicable to the aggregate Net Asset Value of
such investor&rsquo;s Series 1 Units as if that amount were such investor&rsquo;s initial investment in the Series 1 Units. Should
such person subsequently make an additional subscription, if the amount of such subsequent subscription plus such Series 1 Unitholder&rsquo;s
remaining net capital contributions (subscriptions less redemptions, but assuming redemptions to be made first from accumulated
net profits, not capital contributions) equals $100,000, $500,000 or $1,000,000 or more, such person will pay the Brokerage Fee
applicable to such person&rsquo;s net capital investment in the Series 1 Units described in this Paragraph 10. Redemptions of Series
1 Units shall not cause investors who invest through asset-based fee or fixed-fee investment programs to pay increased Brokerage
Fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">Reduced Brokerage Fees apply
to a Series 1 Unitholder&rsquo;s entire capital account attributable to Series 1 Units, not just that part of such capital account
corresponding to capital contributions of $100,000, $500,000 and $1,000,000 or more.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Allocation of Profit and Loss for
Federal Income Tax Purposes.</I> Each of the parties hereto, by entering into this Declaration of Trust, (i) expresses its intention
that the Units will qualify under applicable tax law as though the Units were interests in a partnership which holds the Trust
Estate for their benefit, (ii) agrees that it will file its own federal, state and local income, franchise and other tax returns
in a manner that is consistent with the treatment of the Trust as though it were a partnership in which each of the Unitholders
is a partner and (iii) agrees to use reasonable efforts to notify the Managing Owner promptly upon a receipt of any notice from
any taxing authority having jurisdiction over such Unitholder with respect to the treatment of the Units as anything other than
interests in a partnership. As of the end of each fiscal year, income and expense and capital gain or loss of the Trust shall be
allocated among the Unitholders pursuant to the following provisions of this Section 8(b) for federal income tax purposes. Such
allocations shall be <I>pro rata</I> from short-term capital gain or loss and long-term capital gain or loss. For purposes of this
Section 8(b), capital gain and capital loss shall be allocated separately and not netted.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(1)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Items
of ordinary income and expenses attributable to the Trust (other than Brokerage Fees, Management Fees, Custodial Fees, and allocable
execution and clearing costs (including prime brokerage fees), which shall be allocated as set forth in Section 8(b)(2)), shall
be allocated <I>pro rata</I> among all Units of the Trust (based on Net Asset Value per Unit) outstanding as of the end of each
calendar month (including Units being then redeemed), and <I>pro rata</I> to the capital account of the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(2)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deductions
attributable to Brokerage Fees, Management Fees, Custodial Fees and allocable execution and clearing costs (including prime brokerage
fees) shall be allocated to each Unitholder and the Managing Owner in the same manner as such Brokerage Fees, Management Fees,
Custodial Fees and allocable execution and clearing costs are allocated for financial purposes pursuant to Section 8(a).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(3)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital
Gain or Loss (as defined in Section 8(b)(3)(H)) shall be allocated as follows:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(A)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;There
shall be established a tax account with respect to each outstanding Unit and with respect to the Managing Owner. The initial balance
of each tax account shall be the net amount paid to the Trust for each Unit and the amount contributed to the Trust by the Managing
Owner. Amounts reinvested in Series 1 Units from the Suspense Account, as described in Section 8(a) hereof, shall not increase
the aggregate tax basis of the affected Series 1 Unitholders in their Series 1 Units; rather the Series 1 Units acquired upon reinvestment
will have an initial tax basis of $0. As of the end of each fiscal year:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 81pt; text-indent: 27pt">(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
tax account for the Units and the Managing Owner shall be increased by the amount of income or gain allocated to such tax account
pursuant to Sections 8(b)(1), 8(b)(3)(B) and 8(b)(3)(D).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 81pt; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 81pt; text-indent: 27pt">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
tax account for the Units shall be decreased by the amount of expense or loss allocated to each Unit pursuant to Sections 8(b)(1),
8(b)(2) and 8(b)(3)(F) and by the amount of any distributions paid out with respect to such Units other than upon redemption.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 81pt; text-indent: 27pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 81pt; text-indent: 27pt">(iii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;When
a Unit is redeemed, the tax account attributable to such Unit (determined after making all allocations described in this Section
8(b)) shall be eliminated.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(B)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
Managing Owner shall be allocated Capital Gain, if any, up to the amount of any bookkeeping credit to the New Profits Memo Account,
including any credits made as of the end of the fiscal year of allocation. To the extent any such tax allocation is made, the balance
in the New Profits Memo Account shall be reduced, and the balance in the Managing Owner&rsquo;s capital account, for financial
purposes, correspondingly increased.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(C)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year)
shall be allocated Capital Gain, if any, up to the amount of the excess, if any, of the amount received in respect of the Units
so redeemed over the sum of the tax accounts (determined after making the allocation described in Sections 8(b)(1) and 8(b)(2),
but prior to making the allocations described in this Section 8(b)(3)(C)) allocable to such Units (an &ldquo;Excess&rdquo;). In
the event that the aggregate amount of Capital Gain available to be allocated pursuant to this Section 8(b)(3)(C) is less than
the aggregate amount of Capital Gain required to be so allocated, the aggregate amount of available Capital Gain shall be allocated
among all such Unitholders in the ratio which each such Unitholder&rsquo;s Excess bears to the aggregate Excess of all such Unitholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(D)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital
Gain remaining after the allocation described in Section 8(b)(3)(C) shall be allocated among all Unitholders who hold Units outstanding
as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose
capital accounts with respect to such Units are in excess of the related tax accounts (determined after making the allocations
described in Sections 8(b)(1) and 8(b)(2)) allocable to such Units, in the ratio that each such Unitholder&rsquo;s Excess bears
to the aggregate Excess of all such Unitholders. Capital Gain remaining after the allocation described in the preceding sentence
shall be allocated among all Unitholders described in said sentence in proportion to their holdings of such Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(E)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year)
shall be allocated Capital Loss, if any, up to the amount of the sum of the excess of the tax accounts (determined after making
the allocations described in Sections 8(b)(1) and 8(b)(2), but prior to making the allocations described in this Section 8(b)(3)(E))
allocable to the Units so redeemed over the amount received in respect of such Units (a &ldquo;Negative Excess&rdquo;). In the
event that the aggregate amount of available Capital Loss required to be allocated pursuant to this Section 8(b)(3)(E) is less
than the aggregate amount required to be so allocated, the aggregate amount of available Capital Loss shall be allocated among
all such Unitholders in the ratio that each such Unitholder&rsquo;s Negative Excess bears to the aggregate Negative Excess of all
such Unitholders.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(F)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital
Loss remaining after the allocation described in Section 8(b)(3)(E) shall be allocated among all Unitholders who hold Units outstanding
as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose
tax accounts with respect to such Units are in excess of their capital accounts (determined after making the allocations described
in Sections 8(b)(1) and 8(b)(2) with respect to such Units, in the ratio that each such Unitholder&rsquo;s Negative Excess bears
to the aggregate Negative Excess of all such Unitholders. Capital Loss remaining after the allocation described in the preceding
sentence shall be allocated among all Unitholders described in such sentence in proportion to their holdings of such Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(G)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For
purposes of this Section 8(b), the Managing Owner&rsquo;s interest in the Trust will be treated as if it were a single Unit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27pt">(H)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For
purposes of this Section 8(b), &ldquo;Capital Gain&rdquo; or &ldquo;Capital Loss&rdquo; shall mean gain or loss characterized as
gain or loss from the sale or exchange of a capital asset by the Code, including, but not limited to, gain or loss required to
be taken into account pursuant to Section 1256 thereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(4)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
allocation of profit and loss for federal income tax purposes set forth herein allocates taxable profit and loss among the Unitholders
in the ratio and to the extent that financial profit and loss are allocated to such Unitholders and so as to eliminate, to the
maximum practicable extent, any disparity between a Unit&rsquo;s capital account and its tax account, consistent with principles
set forth in Section 704 of the Code, including without limitation a &ldquo;Qualified Income Offset.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">(5)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
allocations of profit and loss to the Unitholders in respect of their Units shall not exceed the allocations permitted under Subchapter
K of the Code, as determined by the Managing Owner, whose determination shall be binding.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Profit Share; New Profits Memo Account.</I>
The Managing Owner&rsquo;s Profit Share will equal 20% of any cumulative trading profits (&ldquo;New Trading Profit&rdquo;), not
including interest income, after deduction of all accrued but unpaid fees and expenses other than the Profit Share itself (&ldquo;Trading
Profit&rdquo;), over the highest level of such cumulative Trading Profit as of any previous calendar year-end, or $0, if higher
(the &ldquo;Profit Share High Water Mark&rdquo;). Profit Shares shall be determined separately (i) in respect of Series 1 Units
(&ldquo;Series 1 Profit Share&rdquo;) and (ii) in respect of Series 2 and 3 Units in the aggregate (&ldquo;Series 2/3 Profit Share&rdquo;).
Trading Profit does not include profits allocable to the Managing Owner&rsquo;s capital account or to the New Profits Memo Account.
(For the avoidance of doubt, Series 1 Profit Shares will be calculated on Series 1 Units subject to reduced per annum as well as
on those subject to a 7.0% per annum Brokerage Fee in the manner described in Section 8(a) hereof.)</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">New Trading Profit is reduced by routine
administrative expenses.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If Series 1 Units are redeemed when there
is a loss carryforward for Series 1 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for
Series 1 is below the Profit Share High Water Mark for Series 1), such loss carryforward will be reduced in proportion to the proportion
of the total outstanding Series 1 Units. If Series 2 Units or Series 3 Units are redeemed when there is a loss carryforward for
Series 2/3 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for Series 2 and Series 3 is
below the Profit Share High Water Mark for Series 2 and Series 3), such loss carryforward will be reduced in proportion to the
proportion of the total Net Assets of Series 2 and Series 3 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Neither any Unitholder nor the Managing
Owner shall have any interest in the New Profits Memo Account, except as described in Section 5(b) hereof. However, as described
in Section 8(b)(3)(B), bookkeeping entries in the New Profits Memo Account shall be reduced, and the Managing Owner&rsquo;s capital
account correspondingly increased to the extent that priority allocations of Capital Gain are made to the Managing Owner pursuant
to said Section 8(b)(3)(B).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the event that the Net Asset Value per
Unit of any Series is less than $400 as of any calendar month-end, the balance of any bookkeeping entries to the New Profits Memo
Account then outstanding will be cancelled, and an amount equal to such balance shall be allocated <I>pro rata </I>among all outstanding
Units (based on Net Asset Value per Unit), but not to the Managing Owner&rsquo;s capital account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I> Expenses; Interest Income.</I> The
Trust shall bear all of any taxes applicable to it. The Series 1 Units shall pay the Managing Owner a Brokerage Fee equal to 0.5833
of 1% (a 7.0% annual rate) of the month-end assets of the Trust (prior to reduction for any accrued but unpaid Brokerage Fees and
Series 1 Profit Shares) attributable to the Series 1 Units; provided that in the case of subscribers who invest $100,000, $500,000
or $1,000,000 or more in the Series 1 Units, such Brokerage Fee shall be reduced to 0.5417 of 1% (a 6.5% annual rate), 0.50 of
1% (a 6% annual rate) or 0.4583 of 1% (a 5.5% annual rate), respectively, of such month-end assets of the Trust attributable to
each such Series 1 Unitholder&rsquo;s capital account, as contemplated by Section 8(a)(10) above.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Series 2 Units and Series 3 Units shall
pay the Managing owner a Management Fee equal to 0.166 of 1% (a 2.0% annual rate) of the month-end assets of the Trust (prior to
any accrued but unpaid Custodial Fee, Management Fees and Profit Shares) attributable to the Series 2 Units and Series 3 Units,
respectively.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Series 2 Units shall pay the Managing
Owner a Custodial Fee equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end assets of the Trust attributable to the Series
2 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall pay all routine
charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse,
regulatory, floor brokerage, electronic platform trading costs and &ldquo;give-up&rdquo; fees) attributable to the Series 1 Units.
The Series 2 Units, Series 3 Units and Series 4 Units shall pay all routine charges incidental to trading (including, without limitation,
brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading
costs and &ldquo;give-up&rdquo; fees) attributable to the Series 2 Units, Series 3 Units and Series 4 Units, respectively. Any
extraordinary charges incidental to trading (for example, insurance or delivery charges) will be paid by the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s organizational and offering
expenses, including redemption fees, are limited to 15% of the capital contributions to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will pay its ongoing administrative
expenses, including the fees of the Trustee. All of the expenses which are for the account of the Trust shall be billed directly
to the Trust. The Trust shall bear all of its own legal, accounting and administrative expenses, but none of the Managing Owner&rsquo;s
&ldquo;overhead&rdquo; expenses incurred in connection with the administration of the Trust (including, but not limited to, salaries
and rent) shall be charged to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Appropriate reserves may be created, accrued
and charged against the Net Assets for contingent liabilities, if any, as of the date any such contingent liability becomes known
to the Managing Owner. Such reserves shall reduce Net Asset Value for all purposes.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Any goods and services provided to the Trust
by the Managing Owner shall be provided at rates and terms at least as favorable as those which may be obtained from third parties
in arm&rsquo;s-length negotiations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the event that the Trust shall be subject
to taxation by any state or local or by any foreign taxing authority, the Trust shall be obligated to pay such taxes to such jurisdiction.
In the event that the Trust shall be required to make payments to any federal, state or local or any foreign taxing authority in
respect of any Unitholder&rsquo;s allocable share of the Trust&rsquo;s income, the amount of such taxes shall be considered a loan
by the Trust to such Unitholder, and such Unitholder shall be liable for, and shall pay to the Trust, any taxes so required to
be withheld and paid over by the Trust within ten (10) days after the Managing Owner&rsquo;s request therefor. Such Unitholder
shall also be liable for (and the Managing Owner shall be entitled to redeem Units of such Unitholder as necessary to satisfy)
interest on the amount of taxes paid over by the Trust to the Internal Revenue Service (&ldquo;IRS&rdquo;) or other taxing authority,
from the date of the Managing Owner&rsquo;s request for payment to the date of payment or redemption, as the case may be, at the
rate of two percent (2%) per annum over the prime rate charged from time to time by FBR National Bank &amp; Trust, Bethesda, Maryland.
Any amount payable by the Trust to such Unitholder shall be reduced by any obligations owed to the Trust by the Unitholder, including,
without limitation, the amount of any taxes required to be paid over by the Trust to the IRS or other taxing authority and interest
thereon as aforesaid. Amounts, if any, deducted by the Trust from any actual distribution or redemption payment to such Unitholder
shall be treated as an actual distribution to such Unitholder for all purposes of this Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will receive all interest income
earned on its assets.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(e) <I>Limited Liability of Unitholders.</I>
Each Unit, when purchased in accordance with this Declaration of Trust, shall, except as otherwise provided by law, be fully-paid
and nonassessable. Any provisions of this Declaration of Trust to the contrary notwithstanding, Unitholders (including the Managing
Owner, except to the extent otherwise provided herein) shall be entitled to the same limitation on personal liability extended
to stockholders of private corporations for profit organized under the General Corporation Law of the State of Delaware.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust will indemnify, to the full extent
permitted by law, each Unitholder (other than the Managing Owner in the event that the Managing Owner acquires Units) against any
claims of liability asserted against such Unitholder solely because such Unitholder is a beneficial owner of the Trust (other than
in respect of taxes due from such Unitholder as such a beneficial owner).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Every written note, bond, contract, instrument,
certificate or undertaking made or issued by the Managing Owner shall give notice to the effect that the same was executed or made
by or on behalf of the Trust and that the obligations of any of the foregoing are not binding upon the Unitholders individually
but are binding only upon the assets and property of the Trust, and that no resort shall be had to the Unitholders&rsquo; personal
property for the satisfaction of any obligation or claim thereunder, and appropriate references may be made to this Declaration
of Trust and may contain any further recital which the Managing Owner deems appropriate, but the omission thereof shall not operate
to bind the Unitholders individually or otherwise invalidate any such note, bond, contract, instrument, certificate or undertaking.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(f) <I>Return of Capital Contributions.</I>
No Unitholder or subsequent assignee shall have any right to demand the return of his or her capital contribution or any profits
added thereto, except through redeeming Units or upon dissolution of the Trust, in each case as provided herein. In no event shall
a Unitholder or subsequent assignee be entitled to demand or receive property other than cash.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>9.</B> <I>Management of the Trust.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Authority of the Managing Owner.</I>
Pursuant to Section 3806 of the Act, the Trust shall be managed by the Managing Owner, and the conduct of the Trust&rsquo;s business
(including the maintenance of accounts and allocations) shall be controlled and conducted solely by the Managing Owner in accordance
with this Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner, to the exclusion of
all other Unitholders, shall control, conduct and manage the business of the Trust. The Managing Owner shall have sole discretion
in determining what distributions of profits and income, if any, shall be made to the Unitholders (subject to the allocation provisions
hereof), shall execute various documents on behalf of the Trust and the Unitholders pursuant to powers of attorney and shall supervise
the liquidation of the Trust if an event causing dissolution of the Trust occurs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may, in furtherance of
the business of the Trust, cause the Trust to buy, sell, hold or otherwise acquire or dispose of commodities, futures contracts,
forward contracts on currencies and options traded on exchanges or otherwise, swaps, hybrid instruments, arbitrage positions, repurchase
agreements, interest-bearing securities, deposit accounts and similar instruments and other assets, and cause the trading of the
Trust to be limited to only certain of the foregoing instruments.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may take such other actions
on behalf of the Trust as the Managing Owner deems necessary or desirable to manage the business of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner is hereby authorized
to perform all duties imposed by Sections 6221 through 6232 of the Code on the Managing Owner as the &ldquo;tax matters partner&rdquo;
of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Notification of Basic Changes.</I>
The Managing Owner shall send to all Unitholders and assignees prior notice of any change in the basic investment approach of the
Trust and of any increase in its charges. Such notifications shall contain a ballot and a description of Unitholder&rsquo;s voting
and redemption rights and a description of any material effect of such change or increase. The Managing Owner is hereby specifically
authorized to enter into, on behalf of the Trust, the Customer Agreements, the Selling Agreements and the Additional Selling Agent
Agreements as described in the Prospectus. For the avoidance of doubt, the business terms applicable to Units issued prior to the
date hereof including, but not limited to fee terms and redemption terms, shall continue with respect to such Units while such
Units remain outstanding.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Certain Agreements.</I> In addition
to any specific contract or agreements described herein, the Trust, and the Managing Owner on behalf of the Trust, may enter into
any other contracts or agreements specifically described in or contemplated by the Prospectus without any further act, approval
or vote of any Unitholder other than the Managing Owner, notwithstanding any other provisions of this Declaration of Trust, the
Act or any applicable law, rule or regulations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I>Fiduciary Duties.</I> The Managing
Owner shall be under a fiduciary duty to conduct the affairs of the Trust in the best interests of the Trust, provided that the
Managing Owner shall not be obligated to engage in any conduct on behalf of the Trust to the detriment of any other commodity pool
to which the Managing Owner owes similar fiduciary duties. The Unitholders will under no circumstances be deemed to have contracted
away the fiduciary obligations owed them by the Managing Owner under the common law. The Managing Owner&rsquo;s fiduciary duty
includes, among other things, the safekeeping of all funds and assets of the Trust and the use thereof for the benefit of the Trust.
The Managing Owner shall at all times act with integrity and good faith and exercise due diligence in all activities relating to
the conduct of the business of the Trust and in resolving conflicts of interest. The Managing Owner will take no actions with respect
to the property of the Trust which do not benefit the Trust, and the Managing Owner will not use the assets of the Trust as compensating
balances for the Managing Owner&rsquo;s exclusive benefit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(e) <I>Brokerage Arrangements.</I> The Trust&rsquo;s
brokerage arrangements shall be non-exclusive, and the brokerage commissions paid by the Trust shall be competitive. Such brokerage
commissions may not exceed 14% annually of the average net assets of the Trust, excluding Trust assets not directly related to
trading activity. The Trust shall seek the best price and services available for its commodity transactions.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Brokerage Fees (in respect of Series
1 Units) and Management Fees (in respect of Series 2 Units and Series 3 Units) paid by the Trust may not exceed the amount permitted
under applicable North American Securities Administrators Association, Inc. Guidelines for the Registration of Commodity Pool Programs
(&ldquo;Blue Sky Guidelines&rdquo;) in effect as of the date hereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(f) <I>Prohibited Activities.</I> The Trust
shall make no loans to any party, and the funds of the Trust will not be commingled with the funds of any other person or entity
(deposit of funds with a commodity broker, clearinghouse or forward dealer or entering into joint ventures or partnerships shall
not be deemed to constitute &ldquo;commingling&rdquo; for these purposes). The Managing Owner shall make no loans to the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust shall not employ the trading technique
commonly known as &ldquo;pyramiding.&rdquo; The Managing Owner taking into account the Trust&rsquo;s open trade equity on existing
positions in determining generally whether to acquire additional commodity positions on behalf of the Trust will not be considered
to be engaging in &ldquo;pyramiding.&rdquo;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">No person or entity may receive, directly
or indirectly, any advisory, management or incentive fees, or any profit-sharing allocation from joint ventures, partnerships or
similar arrangements in which the Trust participates, for investment advice or management who shares or participates in any per-trade
commodity brokerage commissions paid by the Trust; no broker may pay, directly or indirectly, rebates or give-ups to any trading
advisor or manager or to the Managing Owner or any of their respective affiliates; and such prohibitions may not be circumvented
by any reciprocal business arrangements.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The maximum period covered by any contract
entered into by the Trust, except for the various provisions of the Selling Agreement which survive, shall not exceed one year.
Any material change in the basic investment policies or structure of the Trust shall require the approval of Unitholders owning
Units representing more than fifty percent (50%) of the total outstanding Units owned by Unitholders as of a record date established
for a vote thereon. Any agreements between the Trust and the Managing Owner or any affiliate of the Managing Owner shall be terminable
by the Trust upon no more than 60 days&rsquo; written notice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(g) <I>Freedom of Action.</I> The Managing
Owner is engaged, and may in the future engage, other business activities and shall not be required to refrain from any other activity
nor forego any profits from any such activity, whether or not in competition with the Trust. The Trustee and the Unitholders may
similarly engage in any such other business activities. The Managing Owner shall devote to the Trust such time as the Managing
Owner may deem advisable to the conduct of the Trust&rsquo;s business and affairs.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>10.</B> <I>Audits and Reports to Unitholders.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust&rsquo;s books shall be audited
annually by an independent certified public accountant. The Trust will use its best efforts to cause each Unitholder to receive
(i) within 90, but in no event later than 120 days, after the close of each fiscal year certified financial statements for the
fiscal year then ended, (ii) within 90 days of the end of each fiscal year (but in no event later than March 15 of each year) such
tax information as is necessary for a Unitholder to complete his or her federal income tax return and (iii) such other annual and
monthly information as the Commodity Futures Trading Commission may by regulation require. Unitholders or their duly authorized
representatives may inspect the books and records of the Trust during normal business hours upon reasonable written notice to the
Managing Owner and obtain copies of such records upon payment of reasonable reproduction costs; provided, however, that upon request
by the Managing Owner, the requesting Unitholder shall represent that the inspection and/or copies of such records will not be
used for commercial purposes unrelated to such Unitholder&rsquo;s interest as an investor in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall calculate the Net
Asset Value per Unit of each Series on a monthly basis and sell and redeem Units of each Series at such Net Asset Value.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Brokerage Fees, Management Fees, Custodial
Fees and Profit Share may not be increased without prior written notice to any affected Unitholders within sufficient time for
the exercise of their redemption rights prior to any such increase becoming effective. The Brokerage Fees and the Profit Share
may not be increased during any period when a redemption charge is in effect with respect to any Series 1 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall notify the Unitholders
of (i) changes to the trading method of the Managing Owner which the Managing Owner believes to be material, (ii) changes in Brokerage
Fees, Management Fee, Custodial Fees, Profit Share or other fees paid by the Trust or (iii) material changes in the basic investment
policies or structure of the Trust. The Managing Owner shall so notify Unitholders, by certified mail or other means of notification
providing for evidence of delivery, prior to any such change. Such notification shall set forth the Unitholders&rsquo; voting and
redemption rights. The Managing Owner will send written notice to each Unitholder of a Series within seven days of any decline
in the Net Asset Value per Unit of such Series to 50% or less of such value as of the previous month-end. Any such notice shall
contain a description of the Unitholders&rsquo; voting and redemption rights. The Managing Owner, not the Trust, shall pay the
cost of any notification delivered pursuant to this paragraph.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall prepare or cause
to be prepared and shall file on or before the due date (or any extension thereof) any federal, state or local tax returns required
to be filed by the Trust. The Managing Owner shall cause the Trust to pay any taxes payable by the Trust; provided, however, that
such taxes need not be paid if the Managing Owner or the Trust are in good faith and by appropriate legal proceedings contesting
the validity, applicability or amount thereof, and such contest does not materially endanger any right or interest of the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall maintain and preserve
all required records relating to the Trust for a period of not less than six (6) years from the receipt of such records.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In particular, and not by way of limitation,
the Managing Owner will retain all Subscription Agreement and Power of Attorney Signature Pages submitted by persons admitted as
Unitholders, and all other records necessary to substantiate that Units are sold only to purchasers for whom the Units are a suitable
investment, for at least six (6) years after Units are sold to such persons.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall seek the best price
and services for the Trust&rsquo;s trading, and will, with the assistance of the Trust&rsquo;s commodity broker(s), make an annual
review of the commodity brokerage arrangements applicable to the Trust. Not by way of qualifying the Managing Owner&rsquo;s obligations
to ensure that the Trust&rsquo;s brokerage arrangements are competitive, but rather as a means of providing additional information
to the Unitholders, in connection with such review, the Managing Owner will ascertain, to the extent practicable, the commodity
brokerage rates charged to other major commodity pools whose trading and operations are, in the opinion of the Managing Owner,
comparable to those of the Trust, in order to assess whether the rates charged the Trust are reasonable in light of the services
it receives and the terms upon which the Trust was promoted to subscribers. If, as a result of such review, the Managing Owner
determines that such rates are unreasonable in light of the services provided to the Trust and the terms upon which the Trust was
promoted, the Managing Owner will notify the Unitholders, setting forth the rates charged to the Trust and several funds which
are, in the Managing Owner&rsquo;s opinion, comparable to the Trust. The Managing Owner shall also make an annual review of the
forward trading arrangements for the Trust in an attempt to determine whether such arrangements are competitive with those of other
comparable pools in light of the circumstances.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In addition to the undertakings in the preceding
paragraph, the Trust will seek the best price and services available on its commodity brokerage transactions. All brokerage transactions
will be effected at competitive rates. Brokerage commissions may not exceed the cap set forth in Section 9(e). The Managing Owner
will annually review the brokerage rates paid by the Trust to guarantee that the criteria set forth in this paragraph are followed.
The Managing Owner may not rely solely on the rates charged by other major commodity pools in complying with this paragraph.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>11.</B> <I>Assignability of Units.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Unitholder expressly agrees that he
or she will not assign, transfer or dispose of, by gift or otherwise, any of his or her Units or any part or all of his or her
right, title and interest in the capital or profits of the Trust in violation of any applicable federal or state securities laws
or without giving written notice to the Managing Owner. No assignment, transfer or disposition by an assignee of Units or of any
part of his or her right, title and interest in the capital or profits of the Trust shall be effective against the Trust, the Trustee
or the Managing Owner until the Managing Owner receives the written notice of the assignment; the Managing Owner shall not be required
to give any assignee any rights hereunder prior to receipt of such notice. The Managing Owner may, in its sole discretion, waive
any such notice. No such assignee, except with the consent of the Managing Owner (such consent to be withheld only in the event
that such assignment could give rise to negative legal or tax consequences), may become a substituted Unitholder, nor will the
estate or any beneficiary of a deceased Unitholder or assignee have any right to redeem Units from the Trust except by redemption
as provided in Section 12 hereof. Each Unitholder agrees that with the consent of the Managing Owner any assignee may become a
substituted Unitholder without need of the further act or approval of any Unitholder. If the Managing Owner withholds consent,
an assignee shall not become a substituted Unitholder, and shall not have any of the rights of a Unitholder, except that the assignee
shall be entitled to receive that share of capital and profits and shall have that right of redemption to which his or her assignor
would otherwise have been entitled. No assignment, transfer or disposition of Units shall be effective against the Trust, the Trustee
or the Managing Owner until the first business day of the calendar month following the month in which the Managing Owner receives
notice of such assignment, transfer or disposition. The Managing Owner will send written confirmation to both the transferors and
transferees of Units that the transfers in question have been duly recorded on the Trust&rsquo;s books and records. The Managing
Owner will not permit the assignment, transfer or disposition of Units where, after the assignment, transfer or disposition, either
the Unitholder or the assignee would hold less than the minimum number of Units equivalent to an initial minimum purchase (as stated
in the then-current prospectus in respect of the Units), except for assignments, transfers or dispositions by gift, inheritance,
intrafamily transfers, family dissolutions or transfers to Affiliates of the Unitholder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>12.</B> <I>Redemptions.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A Unitholder (including the Managing Owner
except to the extent that its power to redeem is limited by any other provision of this Declaration of Trust) or any assignee of
Units of whom the Managing Owner has received written notice, may redeem all or any of his or her Units, effective as of the close
of business (as determined by the Managing Owner) on the last business day of any calendar month, provided that (i) all liabilities,
contingent or otherwise, of the Trust (including the Trust&rsquo;s allocable share of the liabilities, contingent or otherwise,
of any entities in which the Trust invests), except any liability to Unitholders on account of their capital contributions, have
been paid or there remains property of the Trust sufficient to pay them and (ii) the Managing Owner shall have received a redemption
request at least ten business days prior to the date of redemption, or such later time as shall be acceptable to the Managing Owner.
Series 1 Unitholders who redeem Series 1 Units on or prior to the end of the first successive six-month and five-month periods
after such Series 1 Units are sold will be assessed redemption charges of 4% and 3%, respectively (3.5% and 2.5%, 3% and 2% and
2.5% and 1.5%, respectively, in the case of Series 1 Unitholders who have invested $100,000, $500,000 or $1,000,000 or more, respectively,
in the Trust), of their Series 1 Units&rsquo; Net Asset Value as of the date of redemption. Series 1 Units purchased by the same
Series 1 Unitholder on different closing dates will be treated on a &ldquo;first-in, first-out&rdquo; basis for purposes of calculating
the foregoing six-month periods. Additional Series 1 Units issued to Series 1 Unitholders subject to a reduced rather than a 7.0%
annual Brokerage Fee will be deemed all to have been issued as of the date of the longest outstanding Series 1 Units held by a
particular Series 1 Unitholder. All redemption charges will be paid to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption charges shall not apply to Series
2 Units, Series 3 Units or Series 4 Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Any number of whole Units may be redeemed.
Fractional Units may only be redeemed upon redemption of a Unitholder&rsquo;s entire interest in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption requests must be in writing unless
the Managing Owner determines otherwise.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may declare additional
redemption dates upon notice to the Unitholders as well as to those assignees of whom the Managing Owner has received notice as
described above.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption payments will be made (by mailing
a check or crediting a customer securities account) within 15 business days after the date of redemption, except that under special
circumstances, including, but not limited to, inability to liquidate commodity positions or default or delay in payments due from
commodity brokers, banks or other persons or entities, the Trust may in turn delay payment to Unitholders or assignees requesting
redemption of their Units of the proportionate part of the Net Asset Value of such Units equal to that proportionate part of the
aggregate Net Asset Value of the Trust represented by the sums which are the subject of such default or delay.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">All redemptions will be made at Net Asset
Value as of the effective date of the redemption (the &ldquo;Valuation Date&rdquo;).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may require a Unitholder
to redeem all or a portion of such Unitholder&rsquo;s Units if the Managing Owner considers doing so to be desirable for the protection
of the Trust, and will use its best efforts to do so to the extent necessary to prevent the Trust from being deemed to hold &ldquo;plan
assets&rdquo; under the provisions of the Employee Retirement Income Security Act of 1974, as amended (&ldquo;ERISA&rdquo;), or
Section 4975 of the Code with respect to any &ldquo;employee benefit plan&rdquo; as defined in and subject to ERISA or with respect
to any &ldquo;plan&rdquo; as defined in Section 4975 of the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If at the close of business (as determined
by the Managing Owner) on any business day, the Net Asset Value per Unit of a Series has decreased to (i) $500 or less or (ii)
less than 50% of the Net Asset Value per Unit of such Series on the most recent Valuation Date, after adding back all distributions,
whichever is greater, the Trust will liquidate all open positions as expeditiously as possible and suspend trading. Within 7 business
days after any such suspension of trading, the Managing Owner shall declare a &ldquo;Special Redemption Date.&rdquo; Such Special
Redemption Date shall be a business day within 30 business days from the date of suspension of trading by the Trust, and the Managing
Owner shall mail notice of such date to each Unitholder and assignee of Units of whom it has received written notice, by first
class mail, postage prepaid, not later than 7 business days of the date of the decline of the Net Asset Value of the applicable
Series precipitating such Special Redemption Date, together with instructions as to the procedure such Unitholder or assignee must
follow to have such Unitholder&rsquo;s or assignee&rsquo;s interest (only entire, not partial, interests may be so redeemed unless
otherwise determined by the Managing Owner) in the Trust redeemed on such date. Upon redemption pursuant to a Special Redemption
Date, a Unitholder or any other assignee of whom the Managing Owner has received written notice, shall receive from the Trust an
amount equal to the Net Asset Value of such Unitholder&rsquo;s interest, determined as of the close of business (as determined
by the Managing Owner) on such Special Redemption Date. No redemption charges shall be assessed on any such Special Redemption
Date. As in the case of a regular redemption, an assignee shall not be entitled to redemption on any Special Redemption Date until
the Managing Owner has received written notice (see Section 11) of the assignment, transfer or disposition under which the assignee
claims an interest in the Units to be redeemed. If, after such Special Redemption Date, the Net Assets of the Trust are at least
$250,000 and the Net Asset Value per Unit of each Series is in excess of $250, the Trust may, in the discretion of the Managing
Owner, resume trading. If the preceding conditions are not met or the Managing Owner determines not to resume trading, the Trust
will be dissolved and terminated.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may declare additional
Special Redemption Dates upon notice to the Unitholders and assignees of whom the Managing Owner has received notice. In the event
the Managing Owner does, in its discretion, declare a Special Redemption Date, the Managing Owner may, in its notice of such Special
Redemption Date modify the circumstances under which the Managing Owner is again required to declare a Special Redemption Date,
as set forth in the preceding paragraph.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>13.</B> <I> Offering of Units.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner on behalf of the Trust
shall (i) cause to be filed from time to time a Registration Statement or Registration Statements, and such amendments thereto
as the Managing Owner may deem advisable, with the Securities and Exchange Commission for the registration and ongoing public offering
of Units, (ii) use its best efforts to qualify Units for sale from time to time under the securities laws of such states of the
United States or other jurisdictions as the Managing Owner shall deem advisable and (iii) take such action with respect to the
matters described in (i) and (ii) as the Managing Owner shall deem advisable or necessary.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner shall not accept any
subscriptions for Units if doing so would cause the Trust to be considered to hold &ldquo;plan assets&rdquo; for any purpose of
ERISA or Section 4975 of the Code with respect to any &ldquo;employee benefit plan&rdquo; as defined in and subject to ERISA or
with respect to any &ldquo;plan&rdquo; as defined in and subject to Section 4975 of the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">All Units subscribed for upon transfer of
funds from a subscriber&rsquo;s account (or receipt of a check in the subscription amount) are issued subject to the collection
of the funds represented by such transfer (or check). In the event that a transfer (or check) of a subscriber is not honored, the
Trust shall cancel the Units issued to such subscriber in consideration of such dishonored transfer (or check); provided that the
Managing Owner may waive such cancellation upon receipt of what it believes to be reasonable assurances that such transfer (or
check) will be honored or replaced by another transfer (or check) which will be honored within 10 business days of original dishonor.
Any losses or profits sustained by the Trust in connection with its trading allocable to cancelled Units shall be deemed an increase
or decrease in the Net Assets of the Trust and allocated as described above in Section 8, not a liability of the Managing Owner.
Each subscriber agrees to reimburse the Trust for any expense or losses incurred in connection with any such cancellation of Units
issued to him or her.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Units will be sold as of the first day of
each calendar month subject to the Managing Owner&rsquo;s discretion to hold intra-month closings and to suspend or terminate the
offering of Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Unitholder consents, by the act of
purchasing Units, to the Trust issuing to such Unitholder additional Units of the same Series purchased (in fractions calculated
up to three decimal places) in lieu of all interest earned on such Unitholder&rsquo;s subscription while held pending investment
in the Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>14.</B> <I>Special Power of Attorney.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Unitholder by virtue of having purchased
or otherwise acquired Units does hereby irrevocably constitute and appoint the Managing Owner and each officer of the Managing
Owner, with full power of substitution, as his or her true and lawful attorney-in-fact, in his or her name, place and stead, to
execute, acknowledge, swear to (and deliver as may be appropriate) on his or her behalf and file and record in the appropriate
public offices and publish (as may in the reasonable judgment of the Managing Owner be required by law): (i) this Declaration of
Trust, including any amendments and/or restatements hereto duly adopted as provided herein; (ii) certificates in various jurisdictions,
and amendments and/or restatements thereto; (iii) all conveyances and other instruments which the Managing Owner deems appropriate
to qualify or continue the Trust in the State of Delaware and the jurisdictions in which the Trust may conduct business, or which
may be required to be filed by the Trust or the Unitholders under the laws of any jurisdiction or under any amendments or successor
statutes to the Act, to reflect the dissolution or termination of the Trust or the Trust being governed by any amendments or successor
statutes to the Act or to reorganize or refile the Trust in a different jurisdiction; and (iv) to file, prosecute, defend, settle
or compromise litigation, claims or arbitrations on behalf of the Trust. The Power of Attorney granted herein shall be irrevocable
and deemed to be a power coupled with an interest (including, without limitation, the interest of the other Unitholders in the
Managing Owner being able to rely on the Managing Owner&rsquo;s authority to act as contemplated by this Section 14) and shall
survive and shall not be affected by the subsequent incapacity, disability or death of a Unitholder.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>15.</B> <I>Withdrawal of a Unitholder.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust shall be dissolved upon the death,
insanity, bankruptcy, retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner, or any other
event that causes the Managing Owner to cease to be the managing owner of the Trust, unless the Trust is continued pursuant to
the terms of Section 5(a)(3). In addition, the Managing Owner may withdraw from the Trust, without any breach of this Declaration
of Trust, at any time upon 120 days&rsquo; written notice by first class mail, postage prepaid, to the Trustee, each Unitholder
and each assignee of whom the Managing Owner has notice. In the event of the Managing Owner&rsquo;s removal or withdrawal from
the Trust, the Managing Owner shall be entitled to a redemption of its interest in the Trust at its Net Asset Value as of the close
of business on the last business day of the month following the date of removal or withdrawal. If the Managing Owner withdraws
from the Trust and the Trust&rsquo;s business is continued, the withdrawing Managing Owner shall pay all expenses incurred as a
result of its withdrawal.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may not assign its general
liability interest or its obligation to direct the trading of the Trust without the consent of each Unitholder. The Managing Owner
will notify all Unitholders of any change in the principals of the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The death, incompetency, withdrawal, insolvency
or dissolution of a Unitholder or any other event that causes a Unitholder to cease to be a beneficial owner (within the meaning
of the Act) in the Trust shall not terminate or dissolve the Trust, and a Unitholder, his or her estate, custodian or personal
representative shall have no right to redeem or value such Unitholder&rsquo;s interest except as provided in Section 12 hereof.
Each Unitholder expressly agrees that in the event of his or her death, he or she waives on behalf of himself or herself and his
or her estate, and directs the legal representatives of his or her estate and any person interested therein to waive, the furnishing
of any inventory, accounting or appraisal of the assets of the Trust and any right to an audit or examination of the books of the
Trust. Nothing in this Section 15 shall, however, waive any right given elsewhere in this Declaration of Trust for a Unitholder
to be informed of the Net Asset Value of his or her Units, to receive periodic reports, audited financial statements and other
information from the Managing Owner or the Trust or to redeem or transfer Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>16. </B> <I>Benefit Plan Investors.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Each Unitholder that is an &ldquo;employee
benefit plan&rdquo; as defined in, and subject to the fiduciary responsibility provisions of, ERISA or a &ldquo;plan&rdquo; as
defined in and subject to Section 4975 of the Code (each such employee benefit plan and plan, a &ldquo;Plan&rdquo;), and each fiduciary
thereof who has caused the Plan to become a Unitholder (a &ldquo;Plan Fiduciary&rdquo;), represents and warrants that: (a) the
Plan Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; (b) the Plan Fiduciary
has determined that, in view of such considerations, the investment in the Trust by such Plan is consistent with such Plan Fiduciary&rsquo;s
responsibilities under ERISA; (c) the investment in the Trust by the Plan does not violate and is not otherwise inconsistent with
the terms of any legal document constituting the Plan or any trust agreement entered into thereunder; (d) the Plan&rsquo;s investment
in the Trust has been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any selling agent,
Morgan Stanley &amp; Co. Inc., Deutsche Bank AG, any wholesaler, any clearing broker, the Trustee, any of their respective affiliates
or any of their respective agents or employees: (i) has investment discretion with respect to the investment of the assets of the
Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with respect to the assets
of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary
basis for investment decisions with respect to the Plan and that such advice will be based on the particular investment needs of
the Plan; or (iii) is an employer maintaining or contributing to the Plan<FONT STYLE="color: black">, except in the case of a Plan
where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived and the purchase and
holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code</FONT>; and (f) the Plan
Fiduciary: (i) is authorized to make, and is responsible for, the decision for the Plan to invest in the Trust, including the determination
that such investment is consistent with the requirement imposed by Section 404 of ERISA that Plan investments be diversified so
as to minimize the risks of large losses; (ii) is independent of the Managing Owner, each selling agent, Morgan Stanley &amp; Co.
Inc., Deutsche Bank AG, each wholesaler, each clearing broker, the Trustee, and each of their respective affiliates<FONT STYLE="color: black">,
except in the case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of
Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code</FONT>; and (iii) is qualified to make
such investment decision.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>17.</B> <I>Standard of Liability; Indemnification.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Standard of Liability for the Managing
Owner</I>. The Managing Owner and its Affiliates, as defined below, shall have no liability to the Trust or to any Unitholder for
any loss suffered by the Trust which arises out of any action or inaction of the Managing Owner or its Affiliates, if the Managing
Owner, in good faith, determined that such course of conduct was in the best interests of the Trust, and such course of conduct
did not constitute negligence or misconduct of the Managing Owner or its Affiliates.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Indemnification of the Managing Owner
by the Trust.</I> To the fullest extent permitted by law, subject to this Section 17, the Managing Owner and its Affiliates shall
be indemnified by the Trust, solely from the assets of the Trust, against any losses, judgments, liabilities, expenses and amounts
paid in settlement of any claims sustained by them in connection with the Trust; provided that such claims were not the result
of negligence or misconduct on the part of the Managing Owner or its Affiliates, and the Managing Owner, in good faith, determined
that such conduct was in the best interests of the Trust; and provided further that Affiliates of the Managing Owner shall be entitled
to indemnification only for losses incurred by such Affiliates in performing the duties of the Managing Owner and acting wholly
within the scope of the authority of the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Notwithstanding anything to the contrary
contained in the preceding two paragraphs, the Managing Owner and its Affiliates and any persons acting as selling agent for the
Units shall not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of federal or
state securities laws unless (1) there has been a successful adjudication on the merits of each count involving alleged securities
law violations as to the particular indemnitee and the court approves indemnification of the litigation costs, or (2) such claims
have been dismissed with prejudice on the merits by a court of competent jurisdiction as to the particular indemnitee and the court
approves indemnification of the litigation costs, or (3) a court of competent jurisdiction approves a settlement of the claims
against a particular indemnitee and finds that indemnification of the settlement and related costs should be made.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In any claim for indemnification for federal
or state securities law violations, the party seeking indemnification shall place before the court the position of the Securities
and Exchange Commission, the California Department of Corporations, the Massachusetts Securities Division, the Pennsylvania Securities
Commission, the Tennessee Securities Division, the Texas Securities Board and any other state or applicable regulatory authority
with respect to the issue of indemnification for securities law violations.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Trust shall not bear the cost of that
portion of any insurance which insures any party against any liability the indemnification of which is herein prohibited.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">For the purposes of this Section 17, the
term &ldquo;Affiliates&rdquo; shall mean any person acting on behalf of or performing services on behalf of the Trust who: (1)
directly or indirectly controls, is controlled by, or is under common control with the Managing Owner; or (2) owns or controls
10% or more of the outstanding voting securities of the Managing Owner; or (3) is an officer or director of the Managing Owner;
or (4) if the Managing Owner is an officer, director, partner or trustee, is any entity for which the Managing Owner acts in any
such capacity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Advances from the funds of the Trust to
the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of any legal action initiated against
the Managing Owner by a Unitholder are prohibited.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Advances from the funds of the Trust to
the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of a legal action will be made only
if the following three conditions are satisfied: (1) the legal action relates to the performance of duties or services by the Managing
Owner or its Affiliates on behalf of the Trust; (2) the legal action is initiated by a third party who is not a Unitholder; and
(3) the Managing Owner or its Affiliates undertake to repay the advanced funds, with interest from the initial date of such advance,
to the Trust in cases in which they would not be entitled to indemnification under the standard of liability set forth in Section
17(a).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In no event shall any indemnity or exculpation
provided for herein be more favorable to the Managing Owner or any Affiliate than that contemplated by the Blue Sky Guidelines
as in effect on the date of this Declaration of Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In no event shall any indemnification permitted
by this subsection (b) of Section 17 be made by the Trust unless all provisions of this Section for the payment of indemnification
have been complied with in all respects. Furthermore, it shall be a precondition of any such indemnification that the Trust receive
a determination of qualified independent legal counsel in a written opinion that the party which seeks to be indemnified hereunder
has met the applicable standard of conduct set forth herein. Receipt of any such opinion shall not, however, in itself, entitle
any such party to indemnification unless indemnification is otherwise proper hereunder. Any indemnification payable by the Trust
hereunder shall be made only as provided in the specific case.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In no event shall any indemnification obligations
of the Trust under this subsection (b) of Section 17 subject a Unitholder to any liability in excess of that contemplated by subsection
(e) of Section 8 hereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Indemnification by the Unitholders.</I>
In the event that the Trust is made a party to any claim, dispute or litigation or otherwise incurs any loss or expense as a result
of or in connection with any activities of a Unitholder, obligations or liabilities unrelated to the business of the Trust or as
a result of or in connection with a transfer, assignment or other disposition or an attempted transfer, assignment or other disposition
by a Unitholder or an assignee of its Units or of any part of its right, title and interest in the capital or profits of the Trust
in violation of this Declaration of Trust, such Unitholder shall indemnify and reimburse the Trust for all loss and expense incurred,
including reasonable attorneys&rsquo; fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>18.</B> <I>Amendments; Meetings.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Amendments with Consent of the Managing
Owner.</I> If at any time during the term of the Trust the Managing Owner shall deem it necessary or desirable to amend this Declaration
of Trust, the Managing Owner may proceed to do so, provided that such amendment shall be effective only if embodied in an instrument
approved by the Managing Owner and, pursuant to a vote called by the Managing Owner, by the holders of Units representing a majority
of the outstanding Units. Such vote shall be taken at least 30 but not more than 60 days after delivery by the Managing Owner to
each Unitholder of record by certified mail of notice of the proposed amendment and voting procedures. Notwithstanding the foregoing,
the Managing Owner may amend this Declaration of Trust without the consent of the Unitholders in order (i) to clarify any clerical
inaccuracy or ambiguity or reconcile any inconsistency (including any inconsistency between this Declaration of Trust and the Prospectus),
(ii) to effect the intent of the allocations proposed herein to the maximum extent possible in the event of a change in the Code
or the interpretations thereof affecting such allocations, (iii) to attempt to ensure that the Trust is not treated as an association
taxable as a corporation for federal income tax purposes, (iv) to qualify or maintain the qualification of the Trust as a trust
in any jurisdiction, (v) to delete or add any provision of or to this Declaration of Trust required to be deleted or added by the
Staff of the Securities and Exchange Commission or any other federal agency or any state &ldquo;Blue Sky&rdquo; or similar official
or in order to opt to be governed by any amendment or successor statute to the Act, (vi) to make any amendment to this Declaration
of Trust which the Managing Owner deems advisable, provided that such amendment is for the benefit of and not adverse to the Unitholders
or the Trustee, or that is required by law, (vii) to make any amendment that is appropriate or necessary, in the opinion of the
Managing Owner, to prevent the Trust or the Managing Owner or its directors, officers or controlling persons from in any manner
being subjected to the provisions of the Investment Company Act of 1940, as amended, and (viii) to make any amendment that is appropriate
or necessary, in the opinion of the Managing Owner, to avoid causing the assets of the Trust from being considered for any purpose
of ERISA or Section 4975 of the Code to constitute assets of any Plan, or to avoid the Trust&rsquo;s engaging in a prohibited transaction
as defined in Section 406 of ERISA or Section 4975(c) of the Code.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Amendments and Actions without Consent
of the Managing Owner.</I> In any vote called by the Managing Owner or pursuant to subsection (c) of this Section 18, upon the
affirmative vote (which may be in person or by proxy) of more than fifty percent (50%) of the Units then owned by Unitholders,
the following actions may be taken with respect to the Trust, irrespective of whether the Managing Owner concurs: (i) this Declaration
of Trust may be amended, provided, however, that approval of all Unitholders shall be required in the case of amendments changing
or altering this Section 18, extending the term of the Trust, or materially changing the Trust&rsquo;s basic investment policies
or structure; in addition, reduction of the capital account of any Unitholder or assignee or modification of the percentage of
profits, losses or distributions to which a Unitholder or an assignee is entitled hereunder shall not be effected by any amendment
or supplement to this Declaration of Trust without such Unitholder&rsquo;s or assignee&rsquo;s written consent; (ii) the Trust
may be dissolved; (iii) the Managing Owner may be removed and replaced; (iv) a new managing owner or managing owners may be elected
if the Managing Owner withdraws from the Trust; (v) the sale of all or substantially all of the assets of the Trust may be approved;
and (vi) any contract with the Managing Owner or any affiliate thereof may be disapproved and, as a result, terminated upon 60
days&rsquo; notice.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Meetings; Other.</I> Any Unitholder
upon request addressed to the Managing Owner shall be entitled to obtain from the Managing Owner, upon payment in advance of reasonable
reproduction and mailing costs, a list of the names and addresses of record of all Unitholders and the number of Units held by
each (which shall be mailed by the Managing Owner to the Unitholder within ten days of the receipt of the request); provided, that
the Managing Owner may require any Unitholder requesting such information to submit written confirmation that such information
will not be used for commercial purposes. Upon receipt of a written proposal, signed by Unitholders owning Units representing at
least 10% of all Units then owned by Unitholders, that a meeting of the Trust be called to vote upon any matter upon which the
Unitholders may vote pursuant to this Declaration of Trust, the Managing Owner shall, by written notice to each Unitholder of record
sent by certified mail within 15 days after such receipt, call a meeting of the Trust. Such meeting shall be held at least 30 but
not more than 60 days after the mailing of such notice, and such notice shall specify the date of, a reasonable place and time
for, and the purpose of such meeting. Such notice shall establish a record date for Units entitled to vote at the meeting, which
shall be not more than 15 days prior to the date established for such meeting.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Managing Owner may not restrict the
voting rights of Unitholders as set forth herein.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the event that the Managing Owner or
the Unitholders vote to amend this Declaration of Trust in any material respect, the amendment will not become effective prior
to all Unitholders having an opportunity to redeem their Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(d) <I>Consent by Trustee.</I> The Trustee&rsquo;s
written consent to any amendment of this Declaration of Trust shall be required, such consent not to be unreasonably withheld;
provided, however, that the Trustee may, in its sole discretion, withhold its consent to any such amendment that would adversely
affect any right, duty or liability of, or immunity or indemnity in favor of, the Trustee under this Declaration of Trust or any
of the documents contemplated hereby to which the Trustee is a party, or would cause or result in any conflict with or breach of
any terms, conditions or provisions of, or default under, the charter documents or by-laws of the Trustee or any document contemplated
hereby to which the Trustee is a party; provided further, that the Trustee may not withhold consent for any action listed in subsections
18(b)(ii)-(vi). Notwithstanding anything to the contrary contained in this Declaration of Trust, the Trustee may immediately resign
if, in its sole discretion, the Trustee determines that the Unitholders&rsquo; actions pursuant to subsections 18(b)(i)-(vi) would
adversely affect the Trustee in any manner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>19.</B> <I>Governing Law.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The validity and construction of this Declaration
of Trust shall be determined and governed by the laws of the State of Delaware without regard to principles of conflicts of law;
provided, that the foregoing choice of law shall not restrict the application of any state&rsquo;s securities laws to the sale
of Units to its residents or within such state.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>20.</B> <I>Miscellaneous.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a) <I>Notices.</I> All notices under this
Declaration of Trust shall be in writing and shall be effective upon personal delivery, or if sent by first class mail, postage
prepaid, addressed to the last known address of the party to whom such notice is to be given, upon the deposit of such notice in
the United States mails.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(b) <I>Binding Effect.</I> This Declaration
of Trust shall inure to and be binding upon all of the parties, their successors and assigns, custodians, estates, heirs and personal
representatives. For purposes of determining the rights of any Unitholder or assignee hereunder, the Trust and the Managing Owner
may rely upon the Trust records as to who are Unitholders and assignees, and all Unitholders and assignees agree that their rights
shall be determined and they shall be bound thereby.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(c) <I>Captions.</I> Captions in no way
define, limit, extend or describe the scope of this Declaration of Trust nor the effect of any of its provisions. Any reference
to &ldquo;persons&rdquo; in this Declaration of Trust shall also be deemed to include entities, unless the context otherwise requires.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>21. </B><I>Certain Definitions.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">This Declaration of Trust contains certain
provisions required by the Blue Sky Guidelines. The terms used in such provisions are defined as follows (the following definitions
are included <I>verbatim</I> from such Guidelines and, accordingly, may not in all cases be relevant to this Declaration of Trust):</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Administrator.</I> The official
or agency administering the securities laws of a state.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Advisor.</I> Any Person who
for any consideration engages in the business of advising others, either directly or indirectly, as to the value, purchase, or
sale of Commodity Contracts or commodity options.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Affiliate.</I> An Affiliate
of a Person means: (a) any Person directly or indirectly owning, controlling or holding with power to vote 10% or more of the outstanding
voting securities of such Person; (b) any Person 10% or more of whose outstanding voting securities are directly or indirectly
owned, controlled or held with power to vote, by such Person; (c) any Person, directly or indirectly, controlling, controlled by,
or under common control of such Person; (d) any officer, director or partner of such Person; or (e) if such Person is an officer,
director or partner, any Person for which such Person acts in any such capacity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Capital Contributions.</I>
The total investment in a Program by a Participant or by all Participants, as the case may be.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Commodity Broker.</I> Any
Person who engages in the business of effecting transactions in Commodity Contracts for the account of others or for his or her
own account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Commodity Contract.</I> A
contract or option thereon providing for the delivery or receipt at a future date of a specified amount and grade of a traded commodity
at a specified price and delivery point.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Cross Reference Sheet.</I>
A compilation of the Guidelines sections, referenced to the page of the prospectus, Program agreement, or other exhibits, and justification
of any deviation from the Guidelines.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Net Assets.</I> The total
assets, less total liabilities, of the Program determined on the basis of generally accepted accounting principles. Net Assets
shall include any unrealized profits or losses on open positions, and any fee or expense including Net Asset fees accruing to the
Program.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Net Asset Value Per Program
Interest.</I> The Net Assets divided by the number of Program Interests outstanding.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Net Worth.</I> The excess
of total assets over total liabilities as determined by generally accepted accounting principles. Net Worth shall be determined
exclusive of home, home furnishings and automobiles.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>New Trading Profits.</I> The
excess, if any, of Net Assets at the end of the period over Net Assets at the end of the highest previous period or Net Assets
at the date trading commences, whichever is higher, and as further adjusted to eliminate the effect on Net Assets resulting from
new Capital Contributions, redemptions, or capital distributions, if any, made during the period decreased by interest or other
income, not directly related to trading activity, earned on Program assets during the period, whether the assets are held separately
or in a margin account.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Organizational and Offering
Expenses.</I> All expenses incurred by the Program in connection with and in preparing a Program for registration and subsequently
offering and distributing it to the public, including, but not limited to, total underwriting and brokerage discounts and commissions
(including fees of the underwriters&rsquo; attorneys), expenses for printing, engraving, mailing, salaries of employees while engaged
in sales activity, charges of transfer agents, registrars, trustees, escrow holders, depositories, experts, expenses of qualification
of the sale of its Program Interest under federal and state law including taxes and fees, accountants&rsquo; and attorneys&rsquo;
fees. (Organizational and Offering Expenses as used in this Declaration of Trust does not include selling commissions).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Participant.</I> The holder
of a Program Interest.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Person.</I> Any natural Person,
partnership, corporation, association or other legal entity.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Pit Brokerage Fee.</I> Pit
Brokerage Fee shall include floor brokerage, clearing fees, National Futures Association fees, and exchange fees.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Program.</I> A limited partnership,
joint venture, corporation, trust or other entity formed and operated for the purpose of investing in Commodity Contracts.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Program Broker.</I> A Commodity
Broker that effects trades in Commodity Contracts for the account of a Program.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Program Interest.</I> A limited
partnership interest or other security representing ownership in a Program.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Pyramiding.</I> A method of
using all or a part of an unrealized profit in a Commodity Contract position to provide margin for any additional Commodity Contracts
of the same or related commodities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Sponsor.</I> Any Person directly
or indirectly instrumental in organizing a Program or any Person who will manage or participate in the management of a Program,
including a Commodity Broker who pays any portion of the Organizational and Offering Expenses of the Program, and the general partner(s)
and any other Person who regularly performs or selects the Persons who perform services for the Program. Sponsor does not include
wholly independent third parties such as attorneys, accountants and underwriters whose only compensation is for professional services
rendered in connection with the offering of the units. The term &ldquo;Sponsor&rdquo; shall be deemed to include its Affiliates.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Valuation Date.</I> The date
as of which the Net Assets of the Program are determined.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: 0.25in"><I>Valuation Period.</I> A regular
period of time between Valuation Dates.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Certain terms not defined herein are used
with the respective meanings set forth in the Prospectus.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>22.</B> <I>No Legal Title to Trust Estate.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The Unitholders shall not have legal title
to any part of the Trust Estate.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>23.</B> <I>Legal Title.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Legal title to all the Trust Estate shall
be vested in the Trust as a separate legal entity; except where applicable law in any jurisdiction requires any part of the Trust
Estate to be vested otherwise, the Managing Owner (or the Trustee, if required by law) may cause legal title to the Trust Estate
of any portion thereof to be held by or in the name of the Managing Owner or any other person as nominee.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>24.</B> <I>Creditors.</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">No creditors of any Unitholders shall have
any right to obtain possession of, or otherwise exercise legal or equitable remedies with respect to, the Trust Estate.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">*********</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">IN WITNESS WHEREOF, the undersigned have
duly executed this Fourth Amended and Restated Declaration of Trust and Trust Agreement as of the day and year first above written.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">WILMINGTON TRUST COMPANY, not in its</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">individual capacity but solely as Trustee</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 21%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 6%">By:</TD>
    <TD STYLE="width: 57%; border-bottom: windowtext 1pt solid">/s/ JOSEPH B. FEIL</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Name: Joseph B. Feil</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Title: Vice President</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">MILLBURN RIDGEFIELD CORPORATION as</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">Managing Owner</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>By:</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">/s/ HARVEY BEKER</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Harvey Beker</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Co-Chief Executive Officer and Co-Chairman</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">All Unitholders admitted as Unitholders</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">of the Trust, pursuant to powers of attorney</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">executed in favor of, and granted and delivered to,</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">the Managing Owner.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">MILLBURN RIDGEFIELD CORPORATION as</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">Attorney-in-Fact</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>By:</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">/s/ GEORGE E. CRAPPLE</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>George E. Crapple</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Co-Chief Executive Officer and Co-Chairman</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>Schedule A</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">CERTIFICATE OF TRUST<BR>
OF<BR>
GLOBAL MACRO TRUST<BR STYLE="mso-special-character: line-break">
</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">THIS Certificate of Trust of GLOBAL MACRO
TRUST (the &ldquo;Trust&rdquo;), dated July 23, 2001, is being duly executed and filed by Wilmington Trust Company, a Delaware
banking corporation, as trustee, to form a business trust under the Delaware Business Trust Act (12 <I>Del.C</I>. &sect; 3801<I>
et seq</I>.).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">1. <I> Name.</I> The name of the business
trust formed hereby is GLOBAL MACRO TRUST.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">2. <I>Delaware Trustee.</I> The name and
business address of the trustee of the Trust in the State of Delaware is Wilmington Trust Company, Rodney Square North, 1100 North
Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">IN WITNESS WHEREOF, the undersigned, being
the sole trustee of the Trust, has executed this Certificate of Trust as of the date first above written.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">WILMINGTON TRUST COMPANY, as Trustee</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 19%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 6%">By:</TD>
    <TD STYLE="width: 59%; border-bottom: windowtext 1pt solid">/s/ PATRICIA A. EVANS</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Patricia A. Evans</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Senior Financial Services Officer</TD></TR>
</TABLE>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">ANNEX</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>GLOBAL MACRO TRUST<BR>
REQUEST FOR REDEMPTION</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><B>GLOBAL MACRO TRUST</B></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 5%"><B>c/o</B></TD>
    <TD STYLE="width: 57%"><B>Millburn Ridgefield Corporation</B></TD>
    <TD STYLE="width: 38%; text-align: center"><B>Date</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><B>&nbsp;</B></TD>
    <TD><B>Managing Owner</B></TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><B>411 West Putnam Avenue</B></TD>
    <TD><B>&nbsp;</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><B>Greenwich, Connecticut 06830</B></TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;Dear Sirs:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The undersigned (trust account number GM-______)
hereby requests redemption subject to all the terms and conditions of the Declaration of Trust and Trust Agreement (the &ldquo;Declaration
of Trust&rdquo;) of GLOBAL MACRO TRUST (the &ldquo;Trust&rdquo;) of ______ Series ______ Units of Beneficial Interest (&ldquo;Units&rdquo;)
in the Trust. <I>(Insert number of whole Units to be redeemed and the Series of Units to be redeemed; subscribers may redeem any
number of whole Units, they need not redeem all or any minimum number of their Units in order to redeem certain of their Units;
however, if no number is indicated, all Units held of record by the undersigned will be redeemed; fractional Units may only be
redeemed upon complete redemption of the undersigned&rsquo;s interest in the Trust.)</I> Units of a Series are redeemed at the
Net Asset Value per Unit of such Series, as defined in the Declaration of Trust, less any applicable redemption charge (see below).
Redemption shall be effective as of the end of the current calendar month; provided that this Request for Redemption is received
at least ten (10) days prior to the end of such month. Payment of the redemption price of Units will generally be made within fifteen
(15) business days of the date of redemption.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The undersigned hereby represents and warrants
that the undersigned is the true, lawful and beneficial owner of the Units to which this Request for Redemption relates, with full
power and authority to request redemption of such Units. Such Units are not subject to any pledge or otherwise encumbered in any
fashion.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Redemption charges of 4% and 3% (3.5% and
2.5%, 3% and 2%, and 2.5% and 1.5% in the case of subscriptions for $100,000, $500,000 or $1,000,000 or more, respectively) of
the Net Asset Value of Series 1 Units redeemed on or before the end of the 6th and after the end of the 6th but on or before the
end of the 11th full calendar months, respectively, after the undersigned has purchased the Series 1 Units being redeemed will
be deducted from the redemption price of all such Series 1 Units and paid to the Managing Owner. If the undersigned has purchased
Units at more than one closing, such Series 1 Units will be treated on a first-in/first-out basis for purposes of determining whether
redemption charges continue to be applicable to such Series 1 Units. Redemption charges do not apply to Series 2 Units, Series
3 Units or Series 4 Units.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">Signatures must be identical to name(s)
in which units are registered</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="text-align: center">Credit my customer securities account</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: center">Send to the address below</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2">Name</TD>
    <TD>Street</TD>
    <TD>&nbsp;</TD>
    <TD>City, State and Zip Code</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">Entity Unitholder</TD>
    <TD>&nbsp;</TD>
    <TD>Individual Unitholder(s)</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">(or assignee)</TD>
    <TD>&nbsp;</TD>
    <TD>(or assignee(s))</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">(Name of Entity)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>By:</TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">(Authorized corporate officer, partner or trustee)</TD>
    <TD>&nbsp;</TD>
    <TD>(Signature(s) of all Unitholder(s) or assignee(s))</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">Social Security or Taxpayer ID Number________</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 25%">&nbsp;</TD>
    <TD STYLE="width: 20%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 49%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">EXHIBIT B</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">SUBSCRIPTION REQUIREMENTS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">By executing a Subscription Agreement Signature
Page for <B>Global Macro Trust (the &ldquo;Trust&rdquo;)</B>, each <B>purchaser (&ldquo;Purchaser&rdquo;)</B> of <B>units of beneficial
interest (&ldquo;Units&rdquo;)</B> of a <B>series (a &ldquo;Series&rdquo;)</B> in the Trust irrevocably subscribes for Units of
the applicable Series at the Net Asset Value per Unit of such Series, as described in the Trust&rsquo;s <B>Prospectus dated [ ]
(the &ldquo;Prospectus&rdquo;)</B>. The minimum initial subscription is $5,000; $2,000 for trustees or custodians of employee benefit
plans. Units are sold in fractions calculated to three decimal places.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Purchaser is herewith delivering to Purchaser&rsquo;s
Selling Agent (hereinafter, &ldquo;Selling Agent&rdquo;) an executed Subscription Agreement Signature Page and either (i) delivering
a check in the full amount of the Purchaser&rsquo;s subscription or (ii) hereby authorizing such Selling Agent to debit Purchaser&rsquo;s
customer securities account maintained with such Selling Agent for the full amount of Purchaser&rsquo;s subscription in accordance
with the procedures described under &ldquo;Plan of Distribution &mdash; Subscription Procedure&rdquo; in the Prospectus. If Purchaser&rsquo;s
Subscription Agreement is accepted, Purchaser agrees to contribute Purchaser&rsquo;s subscription to the Trust and to be bound
by the terms of the Trust&rsquo;s Fourth Amended and Restated Declaration of Trust and Trust Agreement (Exhibit A to the Prospectus).
Purchaser agrees to reimburse the Trust and <B>Millburn Ridgefield Corporation (the &ldquo;Managing Owner&rdquo;)</B> for any expense
or loss incurred by either as a result of the cancellation of Purchaser&rsquo;s Units due to a failure of the Purchaser to deliver
good funds in the amount of the subscription price of any or all of such Units.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">If Purchaser is, or is acting on behalf
of, an &ldquo;employee benefit plan,&rdquo; as defined in, and subject to the fiduciary responsibility provisions of, the Employee
Retirement Income Security Act of 1974, as amended (&ldquo;ERISA&rdquo;), or a &ldquo;plan,&rdquo; as defined in and subject to
Section 4975 of the Internal Revenue Code of 1986, as amended (the &ldquo;Code&rdquo;) (such an &ldquo;employee benefit plan&rdquo;
or a &ldquo;plan&rdquo; being hereinafter referred to as the &ldquo;Plan&rdquo;) or an entity (&ldquo;Plan Assets Entity&rdquo;)
deemed for any purpose of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following must be
true with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing the Subscription Agreement
on behalf of the Purchaser hereby represents and warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing
Units (the &ldquo;Plan Fiduciary&rdquo;) that: the Plan Fiduciary has considered an investment in the Trust for such Plan in light
of the risks relating thereto; the Plan Fiduciary has determined that, in view of such considerations, the Plan&rsquo;s investment
in the Trust is consistent with the Plan Fiduciary&rsquo;s responsibilities under ERISA; the Plan&rsquo;s investment in the Trust
does not violate and is not otherwise inconsistent with the terms of any legal document constituting the Plan or any trust agreement
thereunder; the Plan&rsquo;s investment in the Trust has been duly authorized and approved by all necessary parties; none of the
Managing Owner, any clearing broker, Wilmington Trust Company, Morgan Stanley &amp; Co., LLC, Deutsche Bank AG, Barclays Bank
PLC, any selling agent, any wholesaler, any of their respective affiliates or any of their respective agents or employees: (a)
has investment discretion with respect to the investment of the assets of the Plan used to purchase Units; (b) has authority or
responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase Units for a fee
and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect
to the Plan and that such advice will be based on the particular investment needs of the Plan; or (c) is an employer maintaining
or contributing to the Plan<FONT STYLE="color: black">, except in the case of a Plan where the Managing Owner is described in clause
(a), (b) or (c), the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a
prohibited transaction under ERISA and Section 4975 of the Code</FONT>, and the Plan Fiduciary (i) is authorized to make, and responsible
for, the decision to invest in the Trust, including the determination that such investment is consistent with the requirement imposed
by Section 404 of ERISA that Plan investments be diversified so as to minimize the risks of large losses, (ii) is independent of
the Managing Owner, Wilmington Trust Company, each clearing broker, Morgan Stanley &amp; Co., LLC, Deutsche Bank AG, Barclays
Bank PLC, each selling agent, each wholesaler and each of their respective affiliates<FONT STYLE="color: black">, except in the
case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of Units would
not result in a prohibited transaction under ERISA and Section 4975 of the Code</FONT>, and (iii) is qualified to make such investment
decision. The Purchaser understands that it must, at the request of the Managing Owner, furnish the Managing Owner with such information
as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does not violate any provision
of ERISA or the Code including, without limitation, those provisions relating to &ldquo;prohibited transactions&rdquo; by &ldquo;parties
in interest&rdquo; or &ldquo;disqualified persons,&rdquo; as defined therein.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><I>Prevention of Money Laundering</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">By submitting an executed Subscription Agreement
Signature Page, Purchaser represents and warrants to the Trust, the Managing Owner, Purchaser&rsquo;s Selling Agent and their respective
affiliates as follows: Purchaser&rsquo;s subscription funds were not derived from activities that may contravene United States
(federal or state) or international anti-money laundering laws and regulations. Purchaser is not (i) an individual, entity or organization
named on a United States Office or Foreign Assets Control (&ldquo;OFAC&rdquo;) &ldquo;watch list&rdquo; and does not have any affiliation
with any kind of such individual, (ii) a foreign shell bank, (iii) a person or entity resident in or whose subscription funds are
transferred from or through a jurisdiction identified as non-cooperative by the U.S. Financial Action Task Force, or (iv) a senior
foreign political figure, an immediate family member or close associate of a senior foreign political figure. Purchaser agrees
to promptly notify the Managing Owner should the Purchaser become aware of any change in the information set forth in this representation.
Purchaser acknowledges that, by law, the Managing Owner may be obligated to &ldquo;freeze&rdquo; Purchaser&rsquo;s account, either
by prohibiting additional subscriptions, declining any redemption requests and/or segregating the assets in the account in compliance
with governmental regulations, and the Managing Owner may also be required to report such action and to disclose Purchaser&rsquo;s
identity to OFAC. Purchaser represents and warrants that all of the information which Purchaser has provided to the Trust in connection
with the Subscription Agreement is true and correct, and Purchaser agrees to provide any information the Managing Owner or its
agents, including the Selling Agents, deem necessary to comply with their anti-money laundering and related responsibilities from
time to time. If Purchaser has indicated in the Subscription Agreement that Purchaser is an intermediary subscribing in the Trust
as a record owner in the Purchaser&rsquo;s capacity as agent, representative or nominee on behalf of one or more underlying investors
(&ldquo;Underlying Investors&rdquo;), Purchaser agrees that the representations, warranties and covenants are made by the Purchaser
on behalf of Purchaser and the Underlying Investors.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">For purposes of the preceding paragraph,
the following definitions shall apply:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A &ldquo;senior foreign political figure&rdquo;
means a senior official in the executive, legislative, administrative, military or judicial branches of a non-U.S. government (whether
elected or not), a senior official of a major non-U.S. political party, or a senior executive of a non-U.S. government-owned corporation.
In addition, a &ldquo;senior foreign political figure&rdquo; includes any corporation, business or other entity that has been formed
by, or for the benefit of, a senior foreign political figure.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&ldquo;Immediate family&rdquo; of a senior
foreign political figure includes the figure&rsquo;s parents, siblings, spouse, children and in-laws.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">A &ldquo;close associate&rdquo; of a senior
foreign political figure is a person who is widely and publicly known to maintain an unusually close relationship with the senior
foreign political figure, and includes a person who is in a position to conduct substantial domestic and international financial
transactions on behalf of the senior foreign political figure.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>&nbsp;</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><I>Investor Suitability</I></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Purchaser understands that the purchase
of Units may be made only by persons who, at a minimum have (i) a net worth of at least $250,000 (exclusive of home, furnishings
and automobiles) or (ii) an annual gross income of at least $70,000 and a net worth of at least $70,000 (similarly calculated).
</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Residents of the following states must
meet the specific requirements set forth below (net worth, is in all cases, to be calculated exclusive of home, furnishings and
automobiles). No Purchaser should invest more than 10% of his or net worth (exclusive of home, furnishings and automobiles) in
the Units. No entity, including ERISA plans, should invest more than 10% of its liquid net worth (readily marketable securities)
in the Units.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Iowa
&mdash; Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kansas
&mdash; The Office of the Kansas Securities Commissioner recommends that you should limit your aggregate investment in the Trust
and other managed futures investments to not more than 10% of your liquid net worth. &ldquo;Liquid net worth&rdquo; is that portion
of your total net worth (total assets minus liabilities) that is comprised of cash, cash equivalents and readily marketable securities.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify; text-indent: 0.5in">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kentucky
&mdash; Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000. Kentucky investors
should limit their investment in any commodity pool program to not more than 10% of their liquid net worth (cash, cash equivalents
and readily marketable securities).&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Minnesota
&mdash; Minnesota investors are deemed not to (i) represent that they are legally competent to execute the Subscription Agreement
and (ii) make the representation in respect of risk tolerance in Section 2 on page SA-1.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;New
Hampshire &mdash; Net worth of at least $250,000 or a net worth of at least $125,000 and an annual taxable income of at least $70,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">6.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pennsylvania
&mdash; Net worth of at least $250,000 or a net worth of at least $100,000 and an annual income of at least $70,000.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">7.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;South
Carolina &mdash; Net worth of at least $250,000 or a net income in the preceding year some portion of which was subject to maximum
federal and state income tax.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">In the case of IRA and SEP plans, the foregoing
suitability standards are applicable to the beneficiary of the plan for whose account the Units are being acquired.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>The foregoing suitability standards are
regulatory minimums only. Merely because Purchaser meets such requirements does not necessarily mean that a high risk, speculative
and illiquid investment such as the Units is, in fact, suitable for the Purchaser.</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">EXHIBIT C</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>&nbsp;</I></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><I>The execution copy of the Subscription
Agreement accompanies this Prospectus as a separate document.<BR>
<BR>
</I>GLOBAL MACRO TRUST<BR>
UNITS OF BENEFICIAL INTEREST<BR>
<BR>
By executing this Subscription Agreement,<BR>
subscribers are not waiving any rights under the<BR>
federal securities laws.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">SUBSCRIPTION AGREEMENT</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%; padding-right: 5.4pt; padding-left: 0"><B>GLOBAL MACRO TRUST</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><B>c/o Millburn Ridgefield Corporation</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Managing Owner</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 West Putnam Avenue, Suite 305</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><B>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Greenwich, Connecticut 06830</B></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">Dear Sirs:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">1. <I>Subscription for Units.</I> I hereby
subscribe for the dollar amount of <B>units of beneficial interest (&ldquo;Units&rdquo;)</B> in such <B>series (&ldquo;Series&rdquo;)</B>
in <B>Global Macro Trust</B> <B>(the &ldquo;Trust&rdquo;)</B> set forth in the Subscription Agreement Signature Page attached hereto
(minimum $5,000; $2,000 for trustees or custodians of employee benefit plans), at a purchase price per Unit of Net Asset Value
of the relevant Series. Fractional Units will be issued to three decimal places. The terms of the offering of the Units are described
in the current Prospectus of the Trust (the &ldquo;Prospectus&rdquo;) dated [ ]. I have either (i) authorized my selling agent
to debit my customer securities account in the amount of my subscription or (ii) delivered a check to my selling agent made out
to <B>&ldquo;Global Macro Trust.&rdquo;</B> If I have chosen to subscribe by account debit, I acknowledge that I must have my subscription
payment in such account no later than such time as required by my selling agent. My registered representative (&ldquo;Registered
Representative&rdquo;) shall inform me of such settlement date, on which date my account will be debited and the amounts so debited
will be transmitted, in the form of a selling agent check or wire transfer made out to <B>&ldquo;Global Macro Trust&rdquo;</B>
directly to the Trust&rsquo;s account at First Republic Bank (for wire instructions, contact Eileen Grace at 203-625-8216). <B>Millburn
Ridgefield Corporation (the &ldquo;Managing Owner&rdquo;)</B> may, in its sole and absolute discretion, accept or reject this subscription
in whole or in part.<B> Subscriptions are revocable for five business days after submission. All Units are offered subject to prior
sale.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Subscriptions generally must be submitted
no later than five business days prior to the end of a month in order to be invested in the Units as of the beginning of the immediately
following month.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">2. <I>Representations and Warranties of
Subscriber.</I> I have received the current Prospectus together with a recent Monthly Report of the Trust. I am of legal age and
am legally competent to execute this Subscription Agreement. I understand that certain investor suitability standards must be met
as a condition of my investment in the Units. I acknowledge that I satisfy the applicable requirements relating to net worth and
annual income and, if applicable, indicated risk tolerance, as set forth in &ldquo;Exhibit B &mdash; Subscription Requirements&rdquo;
to the Prospectus. If the undersigned is, or is acting on behalf of, an &ldquo;employee benefit plan,&rdquo; as defined in, and
subject to the fiduciary responsibility provisions of, the Employee Retirement Income Security Act of 1974, as amended (&ldquo;ERISA&rdquo;),
or a &ldquo;plan,&rdquo; as defined in, and subject to, Section 4975 of the Internal Revenue Code of 1986, as amended (the &ldquo;Code&rdquo;)
(each employee benefit plan and plan, a &ldquo;Plan&rdquo;), or an entity (&ldquo;Plan Assets Entity&rdquo;) deemed for any purpose
of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following representations and warranties
are made with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing below represents and
warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing Units (the &ldquo;Plan Fiduciary&rdquo;) that:
(a) the Plan Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; (b) the
Plan Fiduciary has determined that, in view of such considerations, this investment in the Trust is consistent with the Plan Fiduciary&rsquo;s
responsibilities under ERISA; (c) the Plan&rsquo;s investment in the Trust neither violates nor is inconsistent with the terms
of any legal document constituting the Plan or any trust agreement thereunder; (d) the Plan&rsquo;s investment in the Trust has
been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any clearing broker, Wilmington Trust
Company, Morgan Stanley &amp; Co., LLC, Deutsche Bank AG, Barclays Bank PLC, any selling agent, any wholesaler, any of their
respective affiliates or any of their respective agents or employees (i) has investment discretion with respect to the investment
of assets of the Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with
respect to the assets of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice
will serve as a primary basis for investment decisions with respect to the Plan and that such advice will be based on the particular
investment needs of the Plan; or (iii) is an employer maintaining or contributing to the Plan<FONT STYLE="color: black">, except
in the case of a Plan where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived
and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code</FONT>;
and (f) the Plan&rsquo;s Fiduciary (i) is authorized and qualified to make, and is responsible for, the decision to invest in the
Trust including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that
Plan investments be diversified so as to minimize the risks of large losses, and (ii) is independent of the Managing Owner, each
clearing broker, Wilmington Trust Company, Morgan Stanley &amp; Co., LLC, Deutsche Bank AG, Barclays Bank PLC, each selling agent,
each wholesaler, and each of their respective affiliates<FONT STYLE="color: black">, except in the case of the Managing Owner where
the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction
under ERISA and Section 4975 of the Code</FONT>. The undersigned will, at the request of the Managing Owner, furnish the Managing
Owner with such information as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does
not violate any provision of ERISA or the Code, including, without limitation, those provisions relating to &ldquo;prohibited transactions&rdquo;
by &ldquo;parties in interest&rdquo; or &ldquo;disqualified persons,&rdquo; as defined therein. If subscriber is not an individual,
the person signing the Subscription Agreement Signature Page on behalf of subscriber is duly authorized to execute such Signature
Page and subscriber has full power and authority to purchase the Units. This subscription, if made as custodian for a minor, is
a gift I have made to such minor, or if not a gift, such minor satisfies the requirements relating to net worth and annual income
set forth in &ldquo;Exhibit B &mdash; Subscription Requirements.&rdquo; I am not required to be registered with the Commodity Futures
Trading Commission (&ldquo;CFTC&rdquo;) or to be a member of the National Futures Association (&ldquo;NFA&rdquo;) or, if required
to be so registered, I am duly registered with the CFTC and am a member in good standing of the NFA, and I agree to provide the
Managing Owner with such information as the Managing Owner may request to verify the foregoing statement. I understand that by
submitting this Subscription Agreement, I am making the representations and warranties set forth in Exhibit B, &ldquo;Subscription
Requirements,&rdquo; to the Prospectus with respect to the prevention of money laundering. I covenant that I will (i) provide any
form, certification or other information reasonably requested by and acceptable to the Trust that is necessary for the Trust to
(A) prevent withholding or qualify for a reduced rate of withholding or backup withholding in any jurisdiction from or through
which the Trust receives payments or (B) satisfy reporting or other obligations under the Code and the U.S. Treasury regulations,
(ii) update or replace such form, certification or other information in accordance with its terms or subsequent amendments or as
requested by the Trust, and (iii) otherwise comply with any reporting obligations imposed by the United States or any other jurisdiction,
including reporting obligations that may be imposed by future legislation.  The information set forth on the
Subscription Agreement Signature Page is correct and complete as of the date of such Subscription Agreement, and, should there
be any material change in such information prior to my admission to the Trust as a Unitholder, I will immediately furnish revised
or corrected information to the Managing Owner.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">3. <I>Acceptance of Trust Agreement.</I>
I hereby agree to each and every term of the Trust&rsquo;s Fourth Amended and Restated Declaration of Trust and Trust Agreement
dated August 12, 2009, as amended or supplemented from time to time (the &ldquo;Trust Agreement&rdquo;), a copy of which has been
provided to me together with the Trust&rsquo;s Prospectus. By execution of this Subscription Agreement, I agree that I shall be
deemed to have executed the Trust Agreement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">4. <I>Governing Law. </I> Subscriber hereby
acknowledges and agrees that this Subscription Agreement shall be governed by and be interpreted in accordance with the laws of
the State of Delaware, without regard to principles of conflicts of laws; provided, that the foregoing choice of law shall not
restrict the application of any state&rsquo;s securities laws to the sale of Units to its residents or within such state.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">5. <I>Risks.</I> (i) The Trust is speculative.
You may lose all or substantially all of your investment in the Trust; (ii) the Trust is leveraged. Leverage magnifies the impact
of both profit and loss; (iii) the performance of the Trust is expected to be volatile; (iv) you will sustain losses if the Trust
is unable to generate sufficient trading profits and interest income to offset its fees and expenses; and (v) the Units are not
liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. No investor should invest more
than 10% of his or her net worth (exclusive of home, furnishings and automobiles) in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">See the section titled &ldquo;The Risks
You Face&rdquo; in the Prospectus beginning at page 11.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0"><B></B></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"><B>Please complete the separate Subscription
Agreement Signature Page which accompanies this prospectus carefully, and ensure that your Registered Representative knows whether
you are subscribing by check or account debit.</B></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: right">Not For Use After [&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;]<BR>
(Unless the Prospectus has been Supplemented)</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">GLOBAL MACRO TRUST<BR>
Units of Beneficial Interest<BR>
Subscription Agreement<BR>
Specimen Signature Page (not to be completed)<BR>
<BR>
Please complete the separate Subscription Agreement Signature Page which<BR>
accompanies this prospectus.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The investor named below, by execution and delivery of this
Subscription Agreement Signature Page for purchase of Units in<B> </B><FONT STYLE="font-weight: normal">the Trust </FONT>&mdash;
and by either (i) enclosing a check payable to Global Macro Trust or (ii) authorizing the selling agent (&ldquo;Selling Agent&rdquo;)
to debit investor&rsquo;s securities account in the amount set forth below &mdash; hereby subscribes for the purchase of Units,
at the price of the Net Asset Value per Unit.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">The named investor further acknowledges receipt of the Prospectus
together with a recent Monthly Report of the Trust. The Prospectus includes the Trust&rsquo;s Fourth Amended and Restated Declaration
of Trust and Trust Agreement, the Subscription Requirements and the Subscription Agreement, the terms of which govern the investment
in the Units being subscribed for hereby.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">By my signature below, I represent that I satisfy the requirements
relating to net worth and annual income and, if applicable, indicated risk tolerance as set forth in Exhibit B to the Prospectus
and acknowledge that I am making the representations in Exhibit B regarding the prevention of money laundering.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 3%"><FONT STYLE="font-size: 8pt">1)</FONT></TD>
    <TD STYLE="width: 46%"><FONT STYLE="font-size: 8pt">Total $ Amount ___________________________ (minimum of</FONT></TD>
    <TD STYLE="width: 2%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 4%"><FONT STYLE="font-size: 8pt">2)</FONT></TD>
    <TD STYLE="width: 15%"><FONT STYLE="font-size: 8pt">Series of Units:</FONT></TD>
    <TD STYLE="width: 15%; font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml; <FONT STYLE="font-family: Times New Roman, Times, Serif">Series
    1</FONT></FONT></TD>
    <TD STYLE="width: 15%; font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml; <FONT STYLE="font-family: Times New Roman, Times, Serif">Series
    2</FONT></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">$5,000, except $2,000 minimum for IRAs and other qualified</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml; <FONT STYLE="font-family: Times New Roman, Times, Serif">Series
    3</FONT></FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml; <FONT STYLE="font-family: Times New Roman, Times, Serif">Series
    4</FONT></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">accounts)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">check here if this is an addition to an existing investment</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">3)</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Account # _____________________ (must be completed)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">if payment is to be made by debit from investor&rsquo;s securities account, check
    box</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">4)</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="14" STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">Taxable Investors</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" NOWRAP><FONT STYLE="font-size: 8pt">(check only one):</FONT></TD>
    <TD COLSPAN="2" STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="7"><FONT STYLE="font-size: 8pt">Individual Ownership/Sole Proprietor</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Trust other than a Grantor or Revocable Trust</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="7"><FONT STYLE="font-size: 8pt">Joint Tenants with Right of Survivorship</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Estate</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">UGMA/UTMA (Minor)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Tenants in Common</FONT></TD>
    <TD><FONT STYLE="font: 8pt Wingdings">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Community Property</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Partnership</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Grantor or Other Revocable Trust</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">C Corporation</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Limited Liability Company (Enter the tax classification (C=C Corporation, S=S
    Corporation, P=Partnership)&nbsp; ________))</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Other (specify)</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">S Corporation</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="14"><FONT STYLE="font-size: 8pt">Non-Taxable Investors (check only one)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">IRA</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Profit Sharing</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">Defined Benefit</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">Pension</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">SEP</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">Other (specify)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="14"><FONT STYLE="font-size: 8pt">Exempt payee (check this box if the investor is exempt from backup withholding)</FONT></TD></TR>
<TR>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6px; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 69px; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 26px; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 44px; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 65px; border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-size: 1pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">5)</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">Form PF Information Certification</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">(i)</FONT></TD>
    <TD COLSPAN="4" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">Individuals</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; vertical-align: top; text-align: justify"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: windowtext 1pt solid; vertical-align: bottom; border-bottom: windowtext 1pt solid"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-size: 8pt">_________</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-size: 8pt">initial</FONT></P></TD>
    <TD STYLE="border: windowtext 1pt solid; vertical-align: bottom"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-size: 8pt">_________</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><FONT STYLE="font-size: 8pt">initial</FONT></P></TD>
    <TD STYLE="border: windowtext 1pt solid; text-align: justify"><FONT STYLE="font-size: 8pt">The investor (or each investor
    if the subscription is by joint tenants or tenants in common) hereby certifies that he/she is a natural person resident in
    the United States.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">(ii)</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: left"><FONT STYLE="font-size: 8pt">Entities</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: justify"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Please check the type of organization of entity investor. (<I>If the investoris
    acting as trustee, agent, representative or nominee for a beneficial owner, please check the item that best describes the
    beneficial owner</I>). <B><I>Please check one</I></B>:</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Broker-dealer</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Insurance company</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Investment company registered with the Securities and Exchange Commission</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Private fund (the term &ldquo;private fund&rdquo; means any issuer that would
    be an investment company as defined in Section 3 of the Company Act but for Section 3(c)(1) or 3(c)(7) of the Company Act.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Non-profit</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Pension plan (other than a governmental pension plan)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Banking or thrift institution (proprietary)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">State or municipal government entity (for purposes of determining whether the
    subscriber is a state or municipal government entity, the term &ldquo;government entity&rdquo; means any state (including
    any U.S. state, the District of Columbia, Puerto Rico, the U.S. Virgin Islands or any other possession of the United States)
    or political subdivision of a state or political subdivision of a state, including: (i) any agency, authority, or instrumentality
    of the state or political subdivision; (ii) a plan or pool of assets controlled by the state or political subdivision or any
    agency, authority, or instrumentality thereof; and (iii) any officer, agent, or employee of the state or political subdivision
    or any agency, authority, or instrumentality thereof, acting in their official capacity.&nbsp; However, please note that if
    you are a governmental pension plan, you should check the box for &ldquo;State or municipal governmental pension plan&rdquo;
    and not &ldquo;State or municipal governmental entity.&rdquo; (other than a governmental pension plan)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">State or municipal governmental pension plan</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Trust of a natural person resident in the United States</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-family: Wingdings"><FONT STYLE="font-size: 8pt">&uml;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Other (please describe): ____________________________________</FONT></TD></TR>
<TR>
    <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 15%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 15%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 55%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">6)</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">Investor&rsquo;s Name</FONT></TD>
    <TD COLSPAN="20" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="7"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6"><FONT STYLE="font-size: 8pt">Telephone No.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">Social Security #</FONT></TD>
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">-</FONT></TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">-</FONT></TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">Taxpayer ID#</FONT></TD>
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">-</FONT></TD>
    <TD COLSPAN="3" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="8"><FONT STYLE="font-size: 8pt">Business Name /disregarded entity name, if different from above</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="8" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="8"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">7)</FONT></TD>
    <TD COLSPAN="21" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="21"><FONT STYLE="font-size: 8pt">Additional Information (for Estates, Partnerships, LLCs, Trusts and Corporations
    &mdash; name and title of authorized signatures, date of trust, etc.)</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">8)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Resident Address</FONT></TD>
    <TD COLSPAN="20" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">of Investor</FONT></TD>
    <TD COLSPAN="8"><FONT STYLE="font-size: 8pt">Street (P.O. Box not acceptable)</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">City</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="7"><FONT STYLE="font-size: 8pt">State</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Zip Code</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">9)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Mailing Address</FONT></TD>
    <TD COLSPAN="8" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="9" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">(if different)</FONT></TD>
    <TD COLSPAN="8"><FONT STYLE="font-size: 8pt">Street</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">City</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="7"><FONT STYLE="font-size: 8pt">State</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Zip Code</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">10)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Custodian Name</FONT></TD>
    <TD COLSPAN="20" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">and Mailing Address</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">Name</FONT></TD>
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">Street</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">City</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="7" STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">State</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">Zip Code</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">11)</FONT></TD>
    <TD COLSPAN="21"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font: 8pt Wingdings">o</FONT>
                     <FONT STYLE="font-size: 8pt">The Commodity Futures Trading Commission requires the Trust to provide you with
                     annual audited financial statements and unaudited interim account statements, and to provide other investor
                     notices as well. I hereby consent to have the required annual audited financial statements and unaudited
                     interim account statements (as well as such other required investor notices) made available to me via e-mail
                     (at the address provided below) or at the Managing Owner&rsquo;s secure website (at such time as secure website
                     access is available) rather than in hardcopy. I understand that my consent shall be effective until revoked
                     and that I may revoke this consent and receive such statements in hardcopy at any time by written notice
                     to the Managing Owner. My e-mail address is __________________________________________________.&nbsp;</FONT></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="21"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">12)</FONT></TD>
    <TD COLSPAN="21"><FONT STYLE="font-size: 8pt">If the investor is making an investment in the Trust as part of the investor&rsquo;s
    participation in a registered investment adviser&rsquo;s asset-based fee or fixed fee advisory program through which the investor&rsquo;s
    investment adviser recommended a portfolio allocation to the Trust, the investor must provide the name and address of the
    investor&rsquo;s investment adviser.&nbsp; The investor will accordingly be issued Series 2 or Series 3 Units.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">Adviser Name</FONT></TD>
    <TD COLSPAN="19" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">and Mailing Address</FONT></TD>
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Name</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Street</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">City</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6"><FONT STYLE="font-size: 8pt">State</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">Zip Code</FONT></TD></TR>
<TR>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 25px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 20px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 56px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 83px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 5px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 34px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 18px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 77px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 11px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 19px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 41px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 22px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6">
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">United States investors should cross out the language under
        the heading &ldquo;NON-UNITED STATES INVESTORS ONLY,&rdquo; below. Non-United States investors should cross out the language under
        the heading &ldquo;UNITED STATES INVESTORS ONLY,&rdquo; below.</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>UNITED STATES INVESTORS ONLY</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>Under penalties of perjury, I certify that: (1) The number
        shown on this form is my correct taxpayer identification number (or I am waiting for a number to be issued to me), and (2) I am
        not subject to backup withholding because: (a) I am exempt from backup withholding, or (b) I have not been notified by the Internal
        Revenue Service (&ldquo;IRS&rdquo;) that I am subject to backup withholding as a result of a failure to report all interest or
        dividends, or (c) the IRS has notified me that I am no longer subject to backup withholding, and (3) I am a U.S. citizen or other
        U.S. person (defined in the instructions).</I></B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.5in; text-indent: -0.5in"><B><I>&nbsp;</I></B></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>You must cross out item (2) above if you have been notified
        by the IRS that you are currently subject to backup withholding because you have failed to report all interest and dividends on
        your tax return.</I></B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><B>NON-UNITED STATES INVESTORS ONLY</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">I hereby certify that (i) (a) I am not a citizen or resident
        of the United States or (b) (in the case of an investor which is not an individual) the investor is not a United States corporation,
        partnership, estate or trust and (ii) I have herewith delivered my W-8 (if an individual) or delivered the investor&rsquo;s W-8
        (if not an individual).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">SIGNATURE(S) &mdash; Do not sign without familiarizing yourself
        with the information in the Prospectus, including: (i) the fundamental risks and financial hazards of this investment, including
        the risk of losing your entire investment; (ii) the Trust&rsquo;s substantial charges; (iii) the Trust&rsquo;s highly leveraged
        trading activities; (iv) the lack of liquidity of the Units; (v) the existence of actual and potential conflicts of interest in
        the structure and operation of the Trust; (vi) that unitholders may not take part in the management of the Trust; and (vii) the
        tax consequences of an investment in the Trust.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B><I>The Internal Revenue Service does not require your consent
        to any provision of this document other than the certifications required to avoid backup withholding.</I></B></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="text-align: center; font-size: 10pt; font-weight: bold">INVESTOR(S) MUST SIGN</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">13)</FONT></TD>
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">X</FONT></TD>
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">____________________________________________________</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">X</FONT></TD>
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">__________________________________________________________</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">Signature of Investor</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">Date</FONT></TD>
    <TD COLSPAN="2" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">Signature of Joint Investor (if any)</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">Date</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt"><B>Executing and delivering this Subscription Agreement shall in no respect be deemed
    to constitute a waiver of any rights under the Securities Act of 1933, as amended, or under the Securities Exchange Act of
    1934, as amended.</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="border-bottom: windowtext 1pt solid; font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="text-align: center; font-size: 10pt; font-weight: bold">REGISTERED REPRESENTATIVE MUST SIGN</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">14)</FONT></TD>
    <TD COLSPAN="5" STYLE="font-size: 10pt"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">I hereby certify that I have informed the investor of all pertinent facts relating
    to     the:&nbsp; risks; tax consequences; liquidity and marketability; management; and control of the Managing Owner with
    respect to an investment in the Units, as set forth in the Prospectus.&nbsp; I have also informed the investor of the
    unlikelihood of a public trading market developing for the Units.&nbsp; I do not have discretionary authority over the account of the investor.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="6" STYLE="font-size: 10pt">I have reasonable grounds to believe, based on information obtained from the
    investor     concerning his/her investment objectives, other investments, financial situation and needs and any other
    information known by me, that an investment in the Trust is suitable for such investor in light of his/her financial
    position, net worth and other suitability characteristics.</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 134px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 171px">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="14"><FONT STYLE="font-size: 8pt">The Registered Representative MUST sign below in order to substantiate compliance
    with FINRA Rule 2310.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="14"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">X</FONT></TD>
    <TD COLSPAN="4" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">X</FONT></TD>
    <TD COLSPAN="5" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Registered Representative Signature</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">Date</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">Office Manager Signature</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">Date</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">(if required by Selling Agent procedures)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">15)</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="5"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Selling Agent</FONT></TD>
    <TD COLSPAN="10" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Registered Representative</FONT></TD>
    <TD COLSPAN="10"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Name (please print)</FONT></TD>
    <TD COLSPAN="10" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">First</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">M.I.</FONT></TD>
    <TD COLSPAN="4" STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">Last</FONT></TD>
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">Reg. Rep. Number</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Registered Representative</FONT></TD>
    <TD COLSPAN="10"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Address</FONT></TD>
    <TD COLSPAN="10" STYLE="border-bottom: windowtext 1pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">(for confirmations)</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Street (P.O. Box not acceptable)</FONT></TD>
    <TD COLSPAN="4" STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">City</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">State</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">Zip Code</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Registered Representative</FONT></TD>
    <TD COLSPAN="10"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">Phone and E-Mail</FONT></TD>
    <TD COLSPAN="6" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="border-bottom: windowtext 1pt solid; text-align: center"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="4"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="6" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">Phone Number</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-size: 8pt">E-Mail Address</FONT></TD></TR>
<TR>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 81px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 115px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 57px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 51px"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;&nbsp;</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"></P>



<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">No dealer, salesman
or any other person has been authorized to give any information or to make any representation not contained in this Prospectus,
and, if given or made, such other information or representation must not be relied upon as having been authorized by Millburn Ridgefield
Corporation or any other person. This Prospectus does not constitute an offer to sell or a solicitation of an offer to buy the
securities offered hereby to any person or by anyone in any jurisdiction in which such offer or solicitation may not be lawfully
made. The delivery of this Prospectus at any time does not imply that the information contained herein is correct as of any time
subsequent to the date of its issue.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">All selling agents
must deliver to prospective investors any supplemented or amended Prospectus issued by Global Macro Trust during the ongoing offering
period.</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left; text-indent: 0.5in">&nbsp;</P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">PART II<BR>
<BR>
INFORMATION NOT REQUIRED IN PROSPECTUS</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Item 13. Other Expenses of Issuance and Distribution.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following is an estimate of the costs
incurred in connection with preparing and filing this Registration Statement. Such costs to be borne by the Issuer.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif; margin-left: 0.5in">
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid">Approximate<BR> Amount</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.55pt">Financial Industry Regulatory Authority Filing Fee</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">500*</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="width: 88%; text-align: left; padding-left: 0.55pt">Printing Expenses</TD><TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 9%; text-align: right">100,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="text-align: left; padding-left: 0.55pt">Fees of Certified Public Accountants</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">50,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-left: 0.55pt">Blue Sky Expenses (Excluding Legal Fees)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">75,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.55pt">Fees of Counsel</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">100,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="text-align: left; padding-bottom: 1pt; padding-left: 0.55pt">Miscellaneous Offering Costs</TD><TD STYLE="padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1pt solid; text-align: right">2,000</TD><TD STYLE="padding-bottom: 1pt; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: rgb(204,255,204)">
    <TD STYLE="padding-left: 0.55pt">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; background-color: White">
    <TD STYLE="padding-left: 0.24in">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">327,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
</TABLE>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left"></P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-align: left">*Actual, not estimated.</P>



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Item 14. Indemnification of Directors and Officers.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Section 17 of the Issuer&rsquo;s Fourth
Amended and Restated Declaration of Trust and Trust Agreement (a form of which is attached as Exhibit A to the Prospectus which
forms a part of this Registration Statement), as may be amended from time to time, provides for the indemnification of the Managing
Owner, certain of its affiliates and certain of its directors, officers and controlling persons by the registrant (the &ldquo;Registrant&rdquo;)
in certain circumstances. Such indemnification is limited to claims sustained by such persons in connection with the Registrant;
provided that such claims were not the result of negligence or misconduct on the part of a Managing Owner or its affiliates, directors,
officers and controlling persons. The Registrant is prohibited from incurring the cost of any insurance covering any indemnification
prohibited by the Fourth Amended and Restated Declaration of Trust and Trust Agreement. Advances of Registrant funds to cover legal
expenses and other costs incurred as a result of any legal action initiated against the Managing Owner by a Unitholder are prohibited.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Item 15. Recent Sales of Unregistered Securities.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">There have been no sales of unregistered
securities of the Registrant within the past three years.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Item 16. Exhibits and Financial Statement Schedules.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following documents (unless indicated)
are filed herewith and made a part of this Registration Statement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Exhibits.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; border-bottom: windowtext 1pt solid; text-align: center"><B>Exhibit Number</B></TD>
    <TD STYLE="width: 5%; text-align: center"><B>&nbsp;</B></TD>
    <TD STYLE="width: 88%; border-bottom: windowtext 1pt solid; text-align: center"><BR><B>Description of Document</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">3.01</TD>
    <TD>&nbsp;</TD>
    <TD>Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">3.03</TD>
    <TD>&nbsp;</TD>
    <TD>Fourth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included as Exhibit A to
    the     Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">5.01</TD>
    <TD>&nbsp;</TD>
    <TD>Opinion of Richards, Layton &amp; Finger, P.A. relating to the legality of the Units.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">8.01</TD>
    <TD>&nbsp;</TD>
    <TD>Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">10.01</TD>
    <TD>&nbsp;</TD>
    <TD>Form of Subscription Agreement (included as Exhibit C to the Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.01</TD>
    <TD>(a)</TD>
    <TD>Consent of Sidley Austin LLP (included in Exhibit 8.01).</TD></TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

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<P STYLE="margin: 0"></P>

<P STYLE="margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right; width: 7%">23.01</TD>
    <TD STYLE="width: 5%">(b)</TD>
    <TD STYLE="width: 88%">Consent of Richards, Layton &amp; Finger, P.A. (included in Exhibit 5.01).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.02</TD>
    <TD>&nbsp;</TD>
    <TD>Consent of Arthur F. Bell, Jr. &amp; Associates, L.L.C.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.03</TD>
    <TD>&nbsp;</TD>
    <TD>Consent of Deloitte &amp; Touche LLP.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">101.01</TD>
    <TD>&nbsp;</TD>
    <TD>Interactive Data File</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following exhibit is incorporated by
reference herein from the exhibit of the same description and number filed on November 25, 2008 with Registrant&rsquo;s Registration
Statement on Form S-1 (Reg. No. 333-155651).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; text-align: right">1.01</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 88%; padding-left: 0in">Form of Selling Agreement (Series 1 Units).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following exhibits are incorporated
by reference herein from the exhibits of the same description and number filed on June 4, 2009 with Registrant&rsquo;s Amendment
No.1 to Registration Statement on Form S-1 (Reg. No. 333-155651).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; text-align: right">1.02</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 88%">Form of Selling Agreement (Series 2 Units and Series 3 Units).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">10.02</TD>
    <TD>&nbsp;</TD>
    <TD>Form of Services Agreement.</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;<B>&nbsp;</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0"><B>Item 17. Undertakings.</B></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.75in">The undersigned registrant hereby undertakes:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.25in; text-indent: 0.5in">(a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&#9;(1)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;To
file, during any period in which offers or sales are being made, a post effective amendment to this registration statement;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;To
include any prospectus required by Section 10(a)(3) of the Securities Act of 1933;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;To
reflect in the prospectus any facts or events arising after the effective date of the registration statement (or the most recent
post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set
forth in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if
the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or high
and of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule
424(b) if, in the aggregate, the changes in volume and price represent no more than a 20 percent change in the maximum aggregate
offering price set forth in the &ldquo;Calculation of Registration Fee&rdquo; table in the effective registration statement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(iii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;To
include any material information with respect to the plan of distribution not previously disclosed in the registration statement
or any material change to such information in the registration statement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 0.75in">(A) Paragraphs (a)(1)(i) and
(a)(1)(ii) of this section do not apply if the registration statement is on Form S-8, and the information required to be included
in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant
pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934, as amended (&ldquo;Securities Exchange Act of 1934&rdquo;)
(15 U.S.C. 78m or 78o(d)) that are incorporated by reference in the registration statement; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 0.75in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 0.75in">(B) Paragraphs (a)(1)(i), (a)(1)(ii)
and (a)(1)(iii) of this section do not apply if the registration statement is on Form S-3 or Form F-3 and the information required
to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission
by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference
in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration
statement.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 50pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">(2)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;That,
for the purpose of determining any liability under the Securities Act of 1933, as amended (&ldquo;Securities Exchange Act of 1933&rdquo;)
each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein,
and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 50pt">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 50pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(3)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;To
remove from registration by means of a post-effective amendment any of the securities being registered which remain unsold at the
termination of the offering.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(4)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;That,
for the purpose of determining any liability under the Securities Act of 1933, each Prospectus filed pursuant to Rule 424(b) as
part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than
Prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the
date it is first used after effectiveness. <I>Provided, however,</I> that no statement made in a registration statement or Prospectus
that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration
statement or Prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior
to such first use, supersede or modify any statement that was made in the registration statement or Prospectus that was part of
the registration statement or made in any such document immediately prior to such date of first use.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(5)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;That,
for the purpose of determining liability under the Securities Act of 1933 to any purchaser:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;If
the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule 424(b) as part of a registration statement relating
to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A,
shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided,
however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in
a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration
statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that
was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately
prior to such date of first use.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(6)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;That,
for the purpose of determining liability of the registrant under the Securities Act of 1933 to any purchaser in the initial distribution
of the securities: The undersigned registrant undertakes that in a primary offering of securities of the undersigned registrant
pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if
the securities are offered or sold to such purchaser by means of any of the following communications, the undersigned registrant
will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Any
preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed pursuant to Rule
424;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Any
free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or used or referred to
by the undersigned registrant;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(iii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The
portion of any other free writing prospectus relating to the offering containing material information about the undersigned registrant
or its securities provided by or on behalf of the undersigned registrant; and</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 0.75in; text-indent: 27.35pt">(iv)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Any
other communication that is an offer in the offering made by the undersigned registrant to the purchaser.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">(b)&nbsp;&nbsp;&nbsp;The
undersigned registrant hereby undertakes that:</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(1)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For
purposes of determining any liability under the Securities Act of 1933, the information omitted from the form of prospectus filed
as part of this registration statement in reliance upon Rule 430A and contained in a form of prospectus filed by the registrant
pursuant to Rule 424(b)(1) or (4), or 497(h) under the Securities Act shall be deemed to be part of this registration statement
as of the time it was declared effective.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 1.23in">&#9;(2)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For
the purpose of determining any liability under the Securities Act of 1933, each post-effective amendment that contains a form of
prospectus shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such
securities at that time shall be deemed to be the initial bona fide offering thereof.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0 0pt 20pt; text-indent: 0.5in">(c)&nbsp;&nbsp;Insofar
as indemnification for liabilities under the Securities Act of 1933 may be permitted to directors, officers and controlling persons
of the Registrant pursuant to the provisions described in Item 14 above, or otherwise, the Registrant had been advised that in
the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Securities
Act of 1933 and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than
the payment by the Registrant of expenses incurred or paid by a director, officer or controlling person of the Registrant in the
successful defense of any such action, suit or proceeding) is asserted by such director, officer or controlling person in connection
with the securities being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by
controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against
public policy as expressed in the Securities Act of 1933 and will be governed by the final adjudication of such issue.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">SIGNATURES</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Pursuant to the requirements of the Securities
Act of 1933, the Managing Owner of the Registrant has duly caused this Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of Greenwich in the State of Connecticut on the 9th day of<B> </B>August, 2012.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.5in">
<TR STYLE="vertical-align: top">
    <TD COLSPAN="3">GLOBAL MACRO TRUST</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>By:</TD>
    <TD COLSPAN="2">Millburn Ridgefield Corporation</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 9pt">Managing Owner</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 5%; padding-bottom: 1pt">By</TD>
    <TD STYLE="width: 37%; border-bottom: Black 1pt solid; padding-left: 9pt">/s/ HARVEY BEKER</TD>
    <TD STYLE="width: 58%; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 9pt">Harvey Beker</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 9pt">Co-Chief Executive Officer</TD></TR>
</TABLE>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">Pursuant to the requirements of the Securities
Act of 1933, this Registration Statement has been signed below by the following persons on behalf of Millburn Ridgefield Corporation,
Managing Owner of the Registrant, in the capacities and on the date indicated.</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.5in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 40%; border-bottom: windowtext 1pt solid">/s/ GEORGE E. CRAPPLE</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 40%">Co-Chief Executive Officer</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 18%">August 9, 2012</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>George E. Crapple</TD>
    <TD>&nbsp;</TD>
    <TD>and Co-Chairman (Principal</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Executive Officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid">/s/ HARVEY BEKER</TD>
    <TD>&nbsp;</TD>
    <TD>Co-Chief Executive Officer</TD>
    <TD>&nbsp;</TD>
    <TD>August 9, 2012</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Harvey Beker</TD>
    <TD>&nbsp;</TD>
    <TD>and Co-Chairman (Principal</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>Executive Officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid">/s/ GREGG R. BUCKBINDER</TD>
    <TD>&nbsp;</TD>
    <TD>Senior Vice President</TD>
    <TD>&nbsp;</TD>
    <TD>August 9, 2012</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Gregg R. Buckbinder</TD>
    <TD>&nbsp;</TD>
    <TD>(Principal Financial Officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid">/s/ TOD A. TANIS</TD>
    <TD>&nbsp;</TD>
    <TD>Vice President (Principal</TD>
    <TD>&nbsp;</TD>
    <TD>August 9, 2012</TD></TR>
<TR STYLE="vertical-align: top">
    <TD>Tod A. Tanis</TD>
    <TD>&nbsp;</TD>
    <TD>Accounting Officer)</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>


<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in"></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">(Being the principal executive officers,
principal financial officer, principal accounting officer and a majority of the directors of Millburn Ridgefield Corporation.)</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center"><U>EXHIBIT INDEX</U></P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: center">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; border-bottom: windowtext 1pt solid; text-align: center"><B>Exhibit Number</B></TD>
    <TD STYLE="width: 5%; text-align: center"><B>&nbsp;</B></TD>
    <TD STYLE="width: 88%; border-bottom: windowtext 1pt solid; text-align: center"><BR><B>Description of Document</B></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">3.01</TD>
    <TD>&nbsp;</TD>
    <TD>Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">3.03</TD>
    <TD>&nbsp;</TD>
    <TD>Fourth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included as Exhibit A to
    the     Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">5.01</TD>
    <TD>&nbsp;</TD>
    <TD>Opinion of Richards, Layton &amp; Finger, P.A. relating to the legality of the Units.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">8.01</TD>
    <TD>&nbsp;</TD>
    <TD>Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">10.01</TD>
    <TD>&nbsp;</TD>
    <TD>Form of Subscription Agreement (included as Exhibit C to the Prospectus).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.01</TD>
    <TD>(a)</TD>
    <TD>Consent of Sidley Austin LLP (included in Exhibit 8.01).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.01</TD>
    <TD>(b)</TD>
    <TD>Consent of Richards, Layton &amp; Finger, P.A. (included in Exhibit 5.01).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.02</TD>
    <TD>&nbsp;</TD>
    <TD>Consent of Arthur F. Bell, Jr. &amp; Associates, L.L.C.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">23.03</TD>
    <TD>&nbsp;</TD>
    <TD>Consent of Deloitte &amp; Touche LLP.</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">101.01</TD>
    <TD>&nbsp;</TD>
    <TD>Interactive Data File</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following exhibit is incorporated by
reference herein from the exhibit of the same description and number filed on November 25, 2008 with Registrant&rsquo;s Registration
Statement on Form S-1 (Reg. No. 333-155651).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 90%; font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">1.01</TD>
    <TD STYLE="width: 5%; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="width: 88%; padding-right: 5.4pt; padding-left: 5.4pt">Form of Selling Agreement (Series 1 Units).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-indent: 0.5in">The following exhibits are incorporated
by reference herein from the exhibits of the same description and number filed on June 4, 2009 with Registrant&rsquo;s Pre-Effective
Amendment No.1 to Registration Statement on Form S-1 (Reg. No. 333-155651).</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Times New Roman, Times, Serif; width: 90%; border-collapse: collapse; margin-left: 0.6in">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 7%; text-align: right">1.02</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 88%">Form of Selling Agreement (Series 2 Units and Series 3 Units).</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="text-align: right">10.02</TD>
    <TD>&nbsp;</TD>
    <TD>Form of Services Agreement.</TD></TR>
</TABLE>
<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>

<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left"></P>

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<P STYLE="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: left">&nbsp;</P>



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{"company-data": {"conformed-name": "GLOBAL MACRO TRUST", "cik": "0001145765", "assigned-sic": "6221", "irs-number": "000000000", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "S-1", "act": "33", "file-number": "333-183197", "film-number": "121021402"}, "business-address": {"street1": "C/O MILLBURN CORP", "street2": "411 WEST PUTNAM AVENUE", "city": "GREENWICH", "state": "CT", "zip": "06830", "phone": "2036257554"}, "mail-address": {"street1": "C/O MILLBURN CORP", "street2": "411 WEST PUTNAM AVENUE", "city": "GREENWICH", "state": "CT", "zip": "06830"}}
As Filed with the Securities and Exchange
Commission on August 9, 2012
Registration No. 333-[          ]
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM S-1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
GLOBAL MACRO TRUST
(Exact name of registrant as specified in
its charter)
Delaware
(State or other jurisdiction of incorporation or organization)
6221
(Primary Standard Industrial
Classification Code Number)
36-7362830
(I.R.S. Employer
Identification Number)
c/o Millburn Ridgefield Corporation
411 West Putnam Avenue
Greenwich, Connecticut 06830
203/625-7554
(Address, including zip code, and telephone number, including
area code, of registrant's principal executive offices)
George E. Crapple
Millburn Ridgefield Corporation
411 West Putnam Avenue
Greenwich, Connecticut 06830
203/625-7554
(Name, address, including zip code, and telephone number,
including area code, of agent for service)
Copies to:
James B. Biery
Daniel F. Spies
Sidley Austin LLP
One South Dearborn Street
Chicago, Illinois 60603
Approximate date of commencement of proposed
sale to the public:
As soon as practicable after the effective
date of this Registration Statement.
If any of the securities being registered
on this form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933 check the
following box.
x
If this form is filed to register additional
securities for an offering pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities
Act registration statement number of the earlier effective registration statement for the same offering.
o
If this form is a post-effective amendment
filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering.
o
If this form is a post-effective amendment
filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement
number of the earlier effective registration statement for the same offering.
o
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 definitions
of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2
of the Exchange Act.
Large accelerated filer
o
Accelerated filer
o
Non-accelerated filer
x
(Do
    not check if a smaller reporting company)
Smaller reporting company
o
CALCULATION OF REGISTRATION FEE
Title of each class of
securities being registered
Proposed Maximum
aggregate
offering price(1)
Amount of additional
registration fee(2)
Units of Beneficial Interest
$
58,140,389
$
0
(1) To be allocated between Series on the basis of
subscriber demand.
(2) Pursuant to Rule 457(o). As of the date
hereof, Registrant registers pursuant to this Registration Statement on Form S-1 (Registration No.
333-[          ]) $58,140,389 of Units.  Upon the filing of this
Registration Statement on Form S-1, Registrant carries forward and registers, pursuant to Rule 415(a)(6), $58,140,389 of
registered but unsold Units from Registrant's previous Registration Statement on Form S-1 (Registration No. 333-155651)
for which Registrant has paid $3,244.23 in registration fees to the
Securities and Exchange Commission.
The Registrant hereby amends
this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall file
a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance
with Section 8(a) of the Securities Act or until this Registration Statement shall become effective on such date as the
Commission, acting pursuant to said Section 8(a), may determine.
GLOBAL
MACRO TRUST
$58,140,389
Units of Beneficial Interest
The Trust
Global Macro Trust
is a Delaware
statutory trust organized to seek profit opportunities in global fixed-income instruments, currencies, stock indices and commodities.
The primary objective of the Trust is substantial
appreciation of its assets over time.
An investment in the Trust may provide valuable
diversification to a traditional portfolio of stocks and bonds.
The Managing Owner
Millburn Ridgefield Corporation
,
a professional futures trading advisor, is the Managing Owner and trading advisor of the Trust.
The Units
The Selling Agents are now offering the
Trust's Units in four Series. The Units are offered at their Net Asset Value as of the beginning of each month. As of June
30, 2012, the Net Asset Value of a Series 1 Unit that sold for $1,000 as of July 1, 2002, when the Trust began trading, was $1,076.52.
As of June 30, 2012, the Net Asset Value of a Series 2 Unit that sold for $1,278.10 as of April 1, 2010, when Series 2 Units were
first issued, was $1,182.21. As of June 30, 2012, the Net Asset Value of a Series 3 Unit that sold for $1,180.91 as of September
1, 2009, when Series 3 Units were first issued, was $1,188.54. As of June 30, 2012, the Net Asset Value of a Series 4 Unit that
sold for $1,315.33 as of November 1, 2010, when Series 4 Units were first issued, was $1,238.38.
Series 2 Units and Series 3 Units are available
to investors participating in a registered investment adviser's asset-based fee or fixed fee advisory program through which
an investment adviser recommends a portfolio allocation to the Trust. Series 4 Units are available to employees and former employees
of the Managing Owner.
The Selling Agents and brokers will use
their best efforts to sell the Units but are not required to sell any specific number or dollar amount of Units of any Series.
If the total amount of Units offered pursuant
to this Prospectus is sold, the proceeds to the Trust will be $58,140,389.
There is no scheduled termination date for
the offering of Units. No escrow account will be used in connection with this offering.
The minimum initial investment is $5,000;
$2,000 for employee benefit plans and IRAs.
The Risks
These are speculative securities. Read
this Prospectus before you decide to invest. See "The Risks You Face" beginning on page 11.
·
The Trust is speculative. You may lose all or substantially all of your investment in the Trust. Past performance is not necessarily
indicative of future results.
·
The Trust is leveraged. The Trust acquires positions with an aggregate face amount of as much as eight to ten times or more
of its total equity. Leverage magnifies the impact of both profit and loss.
·
The performance of the Trust is expected to be volatile. In the last five years, monthly returns for the Series 1 Units, which
are the highest fee paying Units, ranged from up 8.52% to down 10.33%.
·
The Trust charges high fees. You will sustain losses if the Trust is unable to generate sufficient trading profits and interest
income to offset its fees and expenses.
·
The Units are not liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. Additionally,
there are restrictions on transferring Units in the Trust.
·
A lack of liquidity in the markets in which the Trust trades could make it impossible for the Trust to realize profits or limit
losses.
·
A substantial portion of the trades executed for the Trust takes place on foreign exchanges. No United States ("U.S.")
regulatory authority or exchange has the power to compel the enforcement of the rules of a foreign board of trade or any applicable
foreign laws.
·
Early redemption charges will be assessed if you redeem Series 1 Units during the first eleven months after they are issued
to you.
To purchase Units, you will be required
to represent and warrant, among other things, that you have received a copy of this Prospectus and that you satisfy the minimum
net worth and income standards for a resident of your state to invest in the Trust. You are encouraged to discuss your investment
decision with your financial, tax and legal advisors.
Neither the Securities and Exchange Commission
(the "SEC") nor any state securities commission has approved or disapproved of these securities or passed upon the
accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.
This Prospectus
is in two parts: a Disclosure Document and a Statement of Additional Information. These parts are bound together and may not be
distributed separately.
THE COMMODITY FUTURES TRADING COMMISSION
HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS
DISCLOSURE DOCUMENT.
The date of this Prospectus is [           ].
COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER
YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST
TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL
AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW
YOUR PARTICIPATION IN THE POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT
TO SUBSTANTIAL CHARGES FOR MANAGEMENT, ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE
CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS
A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 43 TO 47
AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT
PAGE 8.
THIS BRIEF STATEMENT CANNOT DISCLOSE
ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO
PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL
RISK FACTORS OF THIS INVESTMENT, AT PAGES 11 TO 16.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY
POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS
FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE
POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF
REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.
SWAPS TRANSACTIONS, LIKE OTHER FINANCIAL
TRANSACTIONS, INVOLVE A VARIETY OF SIGNIFICANT RISKS. THE SPECIFIC RISKS PRESENTED BY A PARTICULAR SWAP TRANSACTION NECESSARILY
DEPEND UPON THE TERMS OF THE TRANSACTION AND YOUR CIRCUMSTANCES. IN GENERAL, HOWEVER, ALL SWAPS TRANSACTIONS INVOLVE SOME COMBINATION
OF MARKET RISK, CREDIT RISK, COUNTERPARTY CREDIT RISK, FUNDING RISK, LIQUIDITY RISK, AND OPERATIONAL RISK.
HIGHLY CUSTOMIZED SWAPS TRANSACTIONS
IN PARTICULAR MAY INCREASE LIQUIDITY RISK, WHICH MAY RESULT IN A SUSPENSION OF REDEMPTIONS. HIGHLY LEVERAGED TRANSACTIONS MAY EXPERIENCE
SUBSTANTIAL GAINS OR LOSSES IN VALUE AS A RESULT OF RELATIVELY SMALL CHANGES IN THE VALUE OR LEVEL OF AN UNDERLYING OR RELATED
MARKET FACTOR.
IN EVALUATING THE RISKS AND CONTRACTUAL
OBLIGATIONS ASSOCIATED WITH A PARTICULAR SWAP TRANSACTION, IT IS IMPORTANT TO CONSIDER THAT A SWAP TRANSACTION MAY BE MODIFIED
OR TERMINATED ONLY BY MUTUAL CONSENT OF THE ORIGINAL PARTIES AND SUBJECT TO AGREEMENT ON INDIVIDUALLY NEGOTIATED TERMS. THEREFORE,
IT MAY NOT BE POSSIBLE FOR THE COMMODITY POOL OPERATOR TO MODIFY, TERMINATE, OR OFFSET THE POOL'S OBLIGATIONS OR THE POOL'S
EXPOSURE TO THE RISKS ASSOCIATED WITH A TRANSACTION PRIOR TO ITS SCHEDULED TERMINATION DATE.
Please see the important
Privacy Policy on page 79.
2
This Prospectus does not include all
of the information or exhibits in the Trust's Registration Statement. You can read and copy the entire Registration Statement
at the Public Reference Facilities maintained by the SEC in Washington, D.C.
The Trust files quarterly and annual
reports with the SEC. You can read and copy these reports at the SEC Public Reference Facilities in Washington, D.C. at 100 F Street,
N.E., Room 1580, Washington, D.C. 20549. Please call the SEC at 1-202-942-8090, or toll free at 1-800-SEC-0330, for further information.
The Trust's filings are posted
on the SEC website at http://www.sec.gov.
MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
(203) 625-7554
MANAGING OWNER
3
GLOBAL MACRO TRUST
TABLE OF CONTENTS
Page
Part One
Disclosure Document
Summary
5
The Risks You Face
11
You Could Lose Your Entire Investment in the Trust
11
Past Performance is not Necessarily Indicative of Future Results
11
The Trust is a Highly Leveraged Investment
11
The Performance of the Trust Will be Volatile
11
The Trust's Expenses Will Cause Losses Unless Offset by Profits and Interest Income
11
An Investment in the Trust is not Liquid
11
Series 1 Units Redeemed on or Before the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge
11
The Timing of Your Investment and Redemption Decisions Will Affect the Profitability of Your Investment
11
The Managing Owner Alone Directs the Trust's Trading
11
The Managing Owner is Primarily a Technical Trader and May not Always Analyze Economic Factors External to Market Price
12
Lack of Price Trends Will Cause Losses; There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects That There Will be Similar Periods in the Future
12
Lack of Market Liquidity Could Make it Impossible for the Trust to Realize Profits or Limit Losses
12
Speculative Position Limits May Alter Investment Decisions for the Trust
12
The Managing Owner's Trading Systems Have Been Developed Over Time and are Subject to Change
12
Trading on Foreign Exchanges Presents Greater Risk Than Trading on U.S. Exchanges
13
The Managing Owner Anticipates the Trust's Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated
13
The Trust May be Subject to Profit Shares Despite Certain Units Having Declined in Value
13
The Managing Owner's Increased Equity Under Management Could Lead to Lower Returns for Investors
13
Increased Competition Among Trend-Following Traders Could Reduce the Managing Owner's Profitability
13
The Trust is Subject to Conflicts of Interest
14
The Managing Owner has not Established Formal Procedures to Resolve Conflicts of Interest
14
You Will be Taxed Each Year on Your Share of Trust Profits
14
You Will be Taxed on the Trust's Interest Income Even if the Trust Suffers Trading Losses
14
Limitations on the Deductibility of "Investment Advisory Fees"
14
The IRS Could Audit Both the Trust and Individual Unitholders
15
Accounting for Uncertain Tax Positions
15
The Bankruptcy of a Clearing Broker or Currency Dealer Could Cause Losses
15
The Trust is Not Regulated as an Investment Company or Mutual Fund
15
Swap Trading is Unregulated and Involves Counterparty Risk
15
Forward Trading May Take Place in Unregulated Markets
15
Forwards, Swaps and Other Derivatives Are Subject to Varying CFTC Regulation
16
Trading in Options Requires an Assessment of Market Volatility as Well as Direction
16
The Failure of Computer Systems Could Result in Losses for the Trust
16
Investment Factors
16
Performance Of The Trust
20
Quantitative And Qualitative Disclosures About Market Risk
32
The Managing Owner
35
Use Of Proceeds
42
Charges
43
Redemptions; Net Asset Value
47
The Clearing Brokers
48
Conflicts Of Interest
62
The Trust And The Trustee
64
Federal Income Tax Aspects
66
Purchases By Employee Benefit Plans
68
Plan Of Distribution
70
Legal Matters
78
Experts
78
Reports
79
Privacy Policy
79
Part Two
Statement Of Additional Information
The Futures And Forward Markets
80
Supplemental Performance Information
82
Index to Financial Statements
F-1
Exhibit A—Fourth Amended and Restated
Declaration of Trust and Trust Agreement
TA-1
Exhibit B—Subscription Requirements
SR-1
Exhibit C—Subscription Agreement
SA-1
The execution copy of the Subscription Agreement accompanies
this Prospectus.
4
GLOBAL MACRO TRUST
Summary
General
Global Macro Trust seeks profit opportunities
in global fixed-income instruments, currencies, stock indices and various commodity products. Millburn Ridgefield Corporation,
a Delaware corporation, serves as the Trust's Managing Owner and trading advisor. The Managing Owner uses its proprietary
quantitative, systematic trading method to trade in futures and forward contracts, and may trade in swap and options contracts,
for the Trust. In addition, positions held by the Trust may be either long, that is, contracts to buy, or short, that is, contracts
to sell. The ability to take both long and short positions provides the Trust with the flexibility to capitalize on opportunities
in both rising and falling markets.
The Trust began trading July 1, 2002.
The date of this Prospectus is [          ].
Overview
The Managing Owner trades the Trust's
assets in the markets that make up the Managing Owner's Diversified Portfolio and uses the same trading strategies it uses
in trading the Diversified Portfolio. The Diversified Portfolio itself is not a distinct trading strategy. Rather, it is a grouping
of separate futures, forward and swap markets, featuring a variety of global fixed-income instruments, currencies, stock indices,
agricultural commodities, energy products and precious and industrial metals, to which the Managing Owner applies its trading method.
The Trust's primary objective is to
achieve substantial capital appreciation over time with controlled volatility. The Trust also offers investors the advantages of
limited liability in a leveraged trading vehicle and the convenience of professional management.
The performance of the Trust is not dependent
upon any single nation's economy or currency. On the contrary, periods of economic uncertainty can augment the profit potential
of the Trust by increasing the likelihood of significant movements in global interest and exchange rates, and stock and commodity
prices.
Additionally, because the Trust can take
short positions as easily as long positions, the Trust is as likely to be profitable or unprofitable in falling markets as in rising
markets.
If the Trust is successful, of which there
can be no assurance, it can provide valuable diversification to traditional portfolios of stocks and bonds due to the Trust's
performance being generally unrelated to the general stock and bond markets. The Trust may also incur losses.
Approximately 90% or more of the Trust's
assets are invested in U.S. Treasury securities and other highly rated and liquid instruments, some of which will be deposited
as collateral or margin in connection with the Trust's trading. Accordingly, in addition to its potential to profit from
its trading, the Trust earns interest on approximately 90% or more of its assets.
The principal office of the Trust is located
at the office of the Managing Owner: 411 West Putnam Avenue, Greenwich, Connecticut 06830 (telephone: (203) 625-7554).
The Offering — Series of Units
The selling agents ("Selling Agents")
are offering the Trust's Units in four Series. The only differences between the Units of each Series, referred to collectively
in this Prospectus as "Units," are the applicable fees and expenses described below. Otherwise, the Units of each Series
are identical to the Units of the other Series and share pro rata in the profits and losses of the Trust.
The Units are offered at Net Asset Value
per Unit of such Series as of the first business day of each calendar month.
Series 2 Units and Series 3 Units are available
only to investors participating in a registered investment adviser's asset-based fee or fixed fee advisory program through
which an investment adviser recommends a portfolio allocation to the Trust. The only difference between Series 2 Units and Series
3 Units is the custodial fee applicable to Series 2 Units described below.
Series 4 Units are available only to employees
and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation 401(k)
and Profit Sharing Plan.
The Managing Owner may, from time to time,
also permit intra-month closings.
The Net Asset Value per Unit of a Series
is determined by dividing the Trust's assets attributable to that Series minus its liabilities attributable to that Series
by the number of Units of that Series outstanding on the date the calculation is being performed. A Series' Net Assets in
aggregate are the Trust's assets attributable to that Series minus its liabilities attributable to that Series. The Trust's
Net Assets in aggregate are its total assets minus its total liabilities.
5
The minimum investment in the Trust is $5,000;
$2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units will be sold in
fractions calculated to three decimal places.
To subscribe, you must complete and sign
the Subscription Agreement Signature Page which accompanies this Prospectus and deliver it to your Selling Agent or broker.
See
Exhibit B — Subscription Requirements and Exhibit C — Subscription Agreement. You should review this entire Prospectus
carefully before deciding whether to invest in the Units.
Major Risks of the Trust
The Trust is speculative. You may lose all
or substantially all of your investment in the Trust.
The past performance of the Trust and the
Managing Owner's Diversified Portfolio are not necessarily indicative of the future results of the Trust.
The Trust is leveraged. The Trust acquires
positions with an aggregate face amount of as much as eight to ten times or more of its total equity. Leverage magnifies the
impact of both profit and loss.
The performance of the Trust is expected
to be volatile. In the last five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged
from up 8.52% to down 10.33%.
To be profitable, the Trust's fees
and expenses must be offset by trading profits and interest income.
The Units are not liquid. No secondary market
exists for the Units, and the Units may be redeemed only as of a month-end.
Investment Considerations
The Managing Owner has been managing client
funds in the futures and forward markets for over 30 years. As of June 30, 2012, the Managing Owner was directing the trading of
$1.7 billion of client and proprietary capital in these markets. Of that $1.7 billion, the Managing Owner was managing approximately
$830 million pursuant to the Diversified Portfolio, the trading portfolio traded on behalf of the Trust, and the balance pursuant
to other trading portfolios managed by the Managing Owner.
The Managing Owner has contributed in excess
of $9.1 million to the trading capital of the Trust. As of June 30, 2012, the investments of the Managing Owner, its principals,
affiliates, employees and former employees in accounts managed pursuant to the Diversified Portfolio exceeded $74 million.
The Managing Owner makes trading decisions
pursuant to its investment and trading method, which includes technical trend analysis and certain non-traditional technical systems
(
i.e.
, systems falling outside of traditional technical trend analysis). The Managing Owner may, however, from time to time,
exercise discretion with respect to its technical trend analysis to adjust position sizes and will, over time, change the markets
represented in the Diversified Portfolio. The Managing Owner's trend-following trading approach seeks to identify and profit
from sustained market trends while limiting losses in trendless markets.
The Managing Owner has the ability to shift
capital readily among different international economies and markets. As of June 30, 2012, the composition of the Managing Owner's
Diversified Portfolio, as well as the Trust, was approximately as follows:
As illustrated by the correlation matrix
below, the returns of the Trust from July 2002 through June 2012 have not been significantly correlated with traditional portfolio
components such as stocks and bonds.
Trust
(1)
Trust
(1)
1.00
S&P 500
(0.06
)
NASDAQ
(0.03
)
EAFE
0.05
Bonds
0.07
Hedge Funds
0.23
(1)
Reflecting the cost/fee structure applicable to the Series 1 Units. Statistically, investments
with a correlation of 1.00 make or lose money at the same time, and investments with a correlation of -1.00 always move in the
opposite direction. See "Supplemental Performance Information" in Part Two of this Prospectus.
An investment in the Trust can,
but only
if the Trust itself is successful,
improve the reward/risk profile of a traditional portfolio of stocks and bonds.
Redemptions
You may redeem your Units as of the end
of any calendar month, upon 10 days' prior written notice to the Managing Owner.
6
A redemption charge of 4% of Net Asset Value
applies to Series 1 Units redeemed on or before the sixth month-end after they are sold. A redemption charge of 3% of Net Asset
Value applies to Series 1 Units redeemed after the sixth, but on or before the eleventh, month-end after they are sold. There are
no charges for redemptions of Series 1 Units held at least 12 months. Redemption charges will be reduced in the case of subscriptions
in the amount of $100,000 or more to 3.5% and 2.5%, of $500,000 or more to 3% and 2%, and of $1,000,000 or more to 2.5% and 1.5%.
Series 1 Units purchased on different closing dates are treated on a "first-in, first-out" basis for purposes of calculating
the periods to which redemption charges apply and for purposes of determining the 9.5% threshold for Selling Agent fees discussed
below.
Series 2 Units, Series 3 Units and Series
4 Units are not subject to redemption charges.
Charges
The Trust's expenses must be offset
by trading gains and interest income to avoid depletion of the Trust's assets.
Series 1 Units
. The Trust pays Brokerage
Fees to the Managing Owner of 7% per year of the Trust's Net Assets attributable to Series 1 Units. From this amount, the
Managing Owner pays approximately 0.25% to the Trust's executing and clearing brokers, and up to 4% to the Selling Agents.
The amount paid to Selling Agents will not, however, exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant
to this Prospectus. Once the 9.5% threshold is reached with respect to a Series 1 Unit, the Selling Agent will receive no future
compensation and the up to 4% amount that would otherwise be paid to the Selling Agent for that Series 1 Unit will instead be rebated
to the Trust for the benefit of all holders of Series 1 Units.
Brokerage Fees applicable to Series 1 Units
will be reduced in respect of subscribers submitting net subscriptions of $100,000 or more to 6.5%, of $500,000 or more to 6% and
of $1,000,000 or more to 5.5%. Net subscriptions for such purposes will be calculated as subscriptions minus redemptions.
If the Series 1 Units earn net trading profits
for any year in excess of the highest amount of net trading profits earned in all previous years, the Trust will allocate 20% of
those "new" net trading profits to the Managing Owner as the Managing Owner's Series 1 Profit Share.
Series 2 Units
. The Trust will pay
the Managing Owner a management fee of 2% per year and a custodial fee of 0.25% per year of the Trust's Net Assets attributable
to Series 2 Units. The custodial fee will be paid on to the brokers that serve as custodians of Series 2 Units for the benefit
of investors in Series 2 Units. The maximum amount of custodial fees paid to brokers that serve as custodians of Series 2 Units
will not, however, exceed 3.1667% of the gross offering proceeds of the Series 2 Units sold pursuant to this Prospectus. Once the
maximum threshold is reached with respect to a Series 2 Unit, the broker serving as custodian for such Series 2 Unit will receive
no future payment of custodial fees and the 0.25% amount that would otherwise be paid to the custodian for that Series 2 Unit will
instead be rebated to the Trust for the benefit of all holders of Series 2 Units. Series 2 Units will also be charged for their
pro rata share of the Trust's actual trade execution and clearing costs, including electronic platform trading costs, estimated
at approximately 0.30% of the Trust's average month-end Net Assets per year attributable to the Series 2 Units.
Series 3 Units
. The Trust will pay
the Managing Owner a management fee of 2% per year of the Trust's Net Assets attributable to Series 3 Units. Series 3 Units
will also be charged for their pro rata share of the Trust's actual trade execution and clearing costs, including electronic
platform trading costs, estimated at approximately 0.30% of the Trust's average month-end Net Assets per year attributable
to the Series 3 Units.
Series 2 and Series 3 Units
. If the
Series 2 and Series 3 Units in the aggregate earn net trading profits for any year in excess of the highest amount of net trading
profits earned in all previous years, the Trust will allocate 20% of those "new" net trading profits to the Managing
Owner as the Managing Owner's Series 2/3 Profit Share.
Series 4 Units.
Series 4 Units will
be charged for their pro rata share of the Trust's actual trade execution and clearing costs, including electronic platform
trading costs, estimated at approximately 0.30% of the Trust's average month-end Net Assets per year attributable to the
Series 4 Units.
The Trust pays its own offering costs such
as registration and filing fees and the legal, accounting and printing costs incurred in connection with filing and updating this
Prospectus. Ongoing offering costs will not exceed 1.25% of the gross offering proceeds of the Units sold pursuant to this Prospectus.
The Trust also pays its own operating costs such as legal, audit and administrative expenses (including, if applicable, the services
of an administrator unaffiliated with the Managing Owner), which the Managing Owner expects will not exceed 0.30% per year of the
Trust's average annual Net Assets, assuming Trust assets of $650,000,000, and, when aggregated with ongoing offering costs,
are not expected to exceed 0.35% of the Trust's average annual Net Assets. The Trust itself could be subject to taxes or
could incur extraordinary charges incidental to its trading, but the Managing Owner believes that neither situation is likely.
There are no other charges borne by investors or the Trust.
7
The Managing Owner paid, without reimbursement,
the Trust's initial organizational costs. You will not bear any part of those costs.
The Managing Owner will pay any Selling
Agent compensation due in connection with the sale of Series 2 Units or Series 3 Units from its own funds but not to exceed 6.3333%
and 9.5%, respectively, of the gross offering proceeds from the sale of the Series 2 and Series 3 Units. Series 4 Units are not
subject to any sales charges.
Please refer to "Charges" for
a more detailed discussion of the expenses applicable to the Trust.
Breakeven Tables
The following Breakeven Tables indicate
the approximate amount of trading profit the Trust must earn with respect to a Series of Units, during the first twelve months
after a Unit is sold, to offset the costs applicable to that Series of Units.
Series 1
ROUTINE
EXPENSES
Percentage
Return
Required First
Twelve
Months of
Investment
Dollar Return
Required ($5,000
Initial
Investment)
First Twelve
Months
of Investment
Brokerage Fees
7.00
%
$
350.00
Administrative and    Offering Expenses*
0.35
%
$
17.50
Profit Share*
0.00
%
$
0.00
Less Interest Income*
(0.08
)%
$
(4.00
)
Twelve-month "breakeven"
**
7.27
%
$
363.50
*
See Notes to Breakeven Tables below.
Series 2
ROUTINE
EXPENSES
Percentage
Return
Required First
Twelve
Months of
Investment
Dollar Return
Required ($5,000
Initial
Investment)
First Twelve
Months
of Investment
Management Fee
2.00
%
$
100.00
Custodial Fee
0.25
%
$
12.50
Trade Execution and Clearing Costs*
0.30
%
$
15.00
Administrative and Offering Expenses*
0.35
%
$
17.50
Profit Share*
0.00
%
$
0.00
Less Interest Income*
(0.08
)%
$
(4.00
)
Twelve-month "breakeven"
2.82
%
$
141.00
*
See Notes to Breakeven Tables below.
Series 3
ROUTINE
EXPENSES
Percentage
Return
Required First
Twelve
Months of
Investment
Dollar Return
Required ($5,000
Initial
Investment)
First Twelve
Months
of Investment
Management Fee
2.00
%
$
100.00
Trade Execution and Clearing Costs*
0.30
%
$
15.00
Administrative and Offering Expenses*
0.35
%
$
17.50
Profit Share*
0.00
%
$
0.00
Less Interest Income*
(0.08
)%
$
(4.00
)
Twelve-month "breakeven"
2.57
%
$
128.50
*
See Notes to Breakeven Tables below.
Notes to Breakeven Tables.
* Estimated. Administrative
and offering expenses in aggregate are estimated at 0.35% of the Trust's average annual Net Assets. Brokerage Fees (Series
1 only) or Management Fees and Trade Execution and Clearing Costs (Series 2 and Series 3 only), including electronic platform trading
costs, the Custodial Fee (Series 2 Only) and ongoing offering and administrative expenses must be offset by trading profits before
a Profit Share is allocated to the Managing Owner. Accordingly, the Profit Share is shown as $0.00 because none would be payable
at the "break-even" point.  Interest income is assumed to be 90% of the current 91-day Treasury bill rate.
**Series 1 Units are subject to a redemption charge if redeemed
prior to the 12
th
month-end after they are sold. As no redemption charge applies to Series 1 Units held for 12 months
or more, no redemption charge is shown at the Series 1 "twelve-month breakeven" point. The applicable charge for Series
1 Units redeemed before the 12
th
month-end following their sale is determined by how soon after the sale they are redeemed,
as described above under "Summary – Redemptions." For example, based on an initial investment of $5,000, the
redemption charge at the end of the 11
th
month-end after the sale of Series 1 Units would be $150 or 3% of the initial
investment.
The Breakeven Tables assume an investment with a constant $5,000
Net Asset Value and a breakeven year. See "Charges."
Series 4 Units.
Employees and former employees of the Managing Owner and its affiliates may purchase Series 4 Units through
The Millburn
Corporation 401(k) and Profit Sharing Plan. Assuming a $2,000 investment, estimated trade execution and clearing costs at 0.30%
per annum ($6.00), estimated administrative and offering expenses at 0.35% per annum ($7.00) and estimated interest income at 0.08%
per annum (less $1.60), the twelve-month breakeven would be 0.57% of the initial investment ($11.40), assuming a constant $2,000
Net Asset Value and a breakeven year. Series 4 Units are not subject to a Profit Share. See "Charges."
8
Federal Income Tax Aspects
The Trust will be treated as a partnership
for federal income tax purposes. Thus, you will be taxed each year on your share of the Trust's income whether or not you
redeem Units from the Trust or receive distributions from the Trust.
40% of any trading profits on certain U.S.
exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary
income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a
lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100%
of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange
are "marked-to-market" at the end of each year and taxed as short-term capital gains at ordinary income rates (unless
offset by capital losses). The Trust's trading gains from other contracts will be primarily short-term capital gains. This
tax treatment applies regardless of how long an investor holds Units. Interest income is taxed at ordinary income rates.
Capital losses on the Units may be deducted
against capital gains. However, capital losses in excess of capital gains may only be deducted by a non-corporate taxpayer against
ordinary income to the extent of $3,000 per year. Consequently, you could pay tax on the Trust's interest income even though
you have lost money on your Units.
The Futures, Forward and Swap Markets
Futures contracts are generally traded on
exchanges and call for the future delivery of various commodities or are settled in cash.
Forward currency contracts and swap contracts
are generally traded off-exchange through banks or dealers.
Futures, forward and swap trading is a "zero-sum,"
risk transfer economic activity. For every gain realized by a futures, forward or swap trader, there is an equal and offsetting
loss suffered by another. In this respect, an investment in the Trust is different from other securities investments where one
expects consistent yields, in the case of bonds, or participation in overall economic growth as in the case of stocks.
Is the Trust a Suitable Investment for You?
You should consider investing in the Trust
if you are interested in its potential to produce returns that are generally unrelated to those of stocks and bonds and you are
prepared to risk significant losses.
The Trust is a diversification opportunity
for an investment portfolio, not a complete investment program.
You should consider an investment in the
Trust to be a 3 to 5 year commitment.
To invest, you must, at a minimum, have
either (i) a net worth of at least $250,000, exclusive of home, furnishings and automobiles, or (ii) a net worth, similarly calculated,
of at least $70,000 and an annual gross income of at least $70,000. A number of States in which the Units are offered impose higher
suitability standards. These standards are regulatory minimums only, and just because you meet the standard does not necessarily
mean the Units are a suitable investment for you.
You should not invest more than 10% of your
net worth (exclusive of home, furnishings and automobiles) in the Trust.
These are speculative securities. You
may lose all or substantially all of your investment in the Trust.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE
OF FUTURE RESULTS.
9
Organizational Chart
None of the entities indicated in
this organizational chart, other than the Trust, are related to the Managing Owner. See "Conflicts of Interest." Descriptions
of the dealings between the Managing Owner and the Trust are set forth under "Charges."
10
The Risks
You Face
Set forth below are the principal risks
associated with an investment in the Trust. You should consider these risks when making your investment decision.
You Could Lose Your Entire Investment
in the Trust
An investment in the Trust is a speculative
investment. You will be relying on the Managing Owner to trade profitably for the Trust and profitability is not assured. You could
lose all or substantially all of your investment in the Trust.
Past Performance is not Necessarily
Indicative of Future Results
The Trust began trading July 1, 2002 and
has traded in both rising and falling markets. Nevertheless, the past performance of the Trust is not necessarily indicative of
the Trust's future results, and the Trust may sustain losses in the future under market conditions in which it achieved gains
in the past.
The Trust is a Highly Leveraged Investment
The Trust acquires positions with an aggregate
face value of as much as eight to ten times or more of its total equity. Consequently, small adverse movements in the prices
of the Trust's open positions can cause significant losses.
The Performance of the Trust Will be
Volatile
The Managing Owner expects that the performance
of the Trust will be volatile. The Trust may suffer sudden and substantial losses from time to time and the day-to-day value of
the Units will be variable and uncertain. The Net Asset Value per Unit may change materially between the date on which you subscribe
for Units and the date the Units are issued or the date you request a redemption and the month-end redemption date. In the last
five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged from up 8.52% to down 10.33%.
The Trust's Expenses Will Cause
Losses Unless Offset by Profits and Interest Income
The Trust pays annual expenses of up to
approximately 7.35% of its average month-end Net Assets attributable to the Series 1 Units and annual expenses of up to approximately
2.90%, 2.65% and 0.65% of its average month-end Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units,
respectively. The Trust must earn trading profits and interest income allocable to each Series at least equal to these expenses
to avoid losses.
An Investment in the Trust is not
Liquid
There is no secondary market for the Units.
You may redeem your Units only as of the close of business on the last day of a calendar month, and you must give the Trust at
least 10 days' prior written notice of your intent to redeem. Early redemption charges apply if you redeem Series 1 Units
through the end of the first eleven months you own them.
Series 1 Units Redeemed on or Before
the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge
Series 1 Units redeemed on or prior to the
end of the first six-month period after their sale will pay a redemption charge of up to 4% of the Net Asset Value at which such
Series 1 Units are redeemed. Series 1 Units redeemed on or prior to the end of the first eleven months but after the end of the
first six-month period after their sale will pay a redemption charge of up to 3% of the Net Asset Value at which such Series 1
Units are redeemed. See "Redemptions; Net Asset Value — Redemption Procedure."
The Timing of Your Investment and
Redemption Decisions Will Affect the Profitability of Your Investment
The Managing Owner expects that a majority
of the Trust's trades will result in small profits only or in losses. The majority of any profits earned by the Trust will
most likely come from a small number of trades each year. Accordingly, you will not know when is a good time to invest in the Trust
or to redeem your Units, and the timing of your investment and redemption decisions will affect the amount of profit or loss you
experience as an investor in the Trust.
The Managing Owner Alone Directs the
Trust's Trading
The Trust is a single-advisor fund. The
use of a single advisor trading one program involves a greater risk of loss than the diversified, multi-advisor approach employed
by many futures funds. In addition, if the management services of the Managing Owner were to become unavailable for any reason,
the Trust would terminate. Furthermore, were the Managing Owner to lose the services of its key principals, the Managing Owner
could decide to dissolve the Trust, possibly causing it to realize losses.
11
The Managing Owner is Primarily a
Technical Trader and May not Always Analyze Economic Factors External to Market Price
The Managing Owner's systematic trend-following
strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market
itself that dominates prices may cause major losses to these strategies. For example, a pending political or economic event may
be very likely to cause a major price movement, but the Managing Owner's traditional strategies would continue to maintain
positions indicated by its trading method that would incur major losses if the event proved to be adverse.
The Managing Owner's systematic strategies
retain certain discretionary aspects. Decisions, for example, to adjust the size of the positions indicated by the systematic strategies,
which contracts to trade and method of order entry require judgmental input from the Managing Owner's principals. Additionally,
the Managing Owner may determine not to enter a new position indicated by its strategies if the Managing Owner determines prevailing
market conditions to be unusual, for example, significantly more volatile than the expected volatility factored into the design
of the strategies. The Managing Owner does, however, exit positions when its trading strategies indicate that it should do so.
Discretionary decision-making may result in the Managing Owner making unprofitable trades when a more wholly systematic approach
would not have done so.
Lack of Price Trends Will Cause Losses;
There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects
That There Will be Similar Periods in the Future
The Trust is unlikely to trade profitably
unless there are major price trends in at least some of the markets it trades. Moreover, the price trends must be of a type the
Managing Owner's systems are designed to identify. In the past there have been sustained periods with few trending markets
where gains from trading those markets were insufficient to offset losses from trades in non-trending markets. For example, the
Trust incurred a loss for the year in 2003, 2004, 2009 and 2011. The Managing Owner expects that there will be similar periods
in the future.
Markets in which prices move rapidly and
then reverse and then do so again may cause losses. In such "whipsaw" market conditions, the Managing Owner may establish
positions for the Trust on the basis of incorrectly identifying the rapid movement or the reversal as a trend.
Lack of Market Liquidity Could Make
it Impossible for the Trust to Realize Profits or Limit Losses
In illiquid markets, the Trust could be
unable to close out positions to limit losses or to take positions in order to follow trends. There are too many different factors
that can contribute to market illiquidity to predict when or where illiquid markets may occur.
Unexpected market illiquidity has caused
major losses for some traders in recent years in such market sectors as emerging markets and mortgage-backed securities. There
can be no assurance that the same will not happen in the markets traded by the Trust. In addition, the large size of the positions
the Trust may take increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the
losses incurred while trying to do so.
U.S. commodity exchanges impose limits on
the amount the price of some, but not all, futures contracts may change on a single day. Once a futures contract has reached its
daily limit, it may be impossible for the Trust to liquidate a position in that contract, if the market has moved adversely to
the Trust, until the limit is either raised by the exchange or the contract begins to trade away from the limit price.
Speculative Position Limits May Alter
Investment Decisions for the Trust
The Commodity Futures Trading Commission
(the "CFTC") has established limits on the maximum net long or net short positions which any person may hold or control
in certain futures contracts. Exchanges also have established such limits. In October 2011, the CFTC adopted position limits for
28 so-called "exempt" (
e.g
., metal and energy contracts) and agricultural commodity derivatives, futures and
option contracts and their economically equivalent swaps. All accounts controlled by the Managing Owner, including the account
of the Trust, are combined for speculative position limit purposes. These position limits are not yet effective and there is considerable
uncertainty surrounding their application. If position limits are exceeded by the Managing Owner in the opinion of the CFTC or
any other regulatory body, exchange or board, the Managing Owner will liquidate positions to the extent necessary to comply with
applicable position limits.
The Managing Owner's Trading
Systems Have Been Developed Over Time and are Subject to Change
In executing its trading method, the Managing
Owner uses combinations of trading systems to generate buy and sell signals in the various markets traded. The Managing Owner has
developed, modified, retained and discarded numerous systems over more than 40 years. Consequently, some of the trading systems
and combinations of systems currently being used to trade accounts pursuant to the Diversified Portfolio, as the Trust is so traded,
are not identical to those used 5, 10, 15, 20 or more years ago.
12
Trading on Foreign Exchanges Presents
Greater Risk Than Trading on U.S. Exchanges
The Trust will trade on commodity exchanges
outside the U.S. Trading on foreign exchanges is not regulated by any U.S. governmental agency and may involve certain risks that
do not arise when trading on U.S. exchanges. For example, some foreign exchanges are "principals' markets" in
which performance is the responsibility only of the individual member with whom the Trust has traded, not of the exchange or a
clearing facility. In such cases, the Trust will be subject to a risk that the member with whom the Trust has traded is unable
or unwilling to perform its obligations under the transaction. Additionally, an adverse change in the exchange rate between the
U.S. dollar and the currency in which a non-U.S. futures contract is denominated would reduce the profit or increase the loss on
a trade in that contract.
Trading on foreign exchanges also presents
risks of loss due to: (1) the possible imposition of exchange controls, which could make it difficult or impossible for the Trust
to repatriate some or all of its assets held by non-U.S. counterparties; (2) possible government confiscation of assets; (3) taxation;
(4) possible government disruptions, which could result in market closures and thus an inability to exit positions and repatriate
Trust assets for sustained periods of time, or even permanently; and (5) limited rights in the event of the bankruptcy or insolvency
of a foreign broker or exchange resulting in a different and possibly less favorable distribution of the bankrupt's assets
than would occur in the U.S.
The Managing Owner Anticipates the
Trust's Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated
The performance of the Trust has been generally
non-correlated to the performance of the stock and bond markets, as represented by the S&P 500 Stock Index and the Barclays
Long-Term Treasury Index. Non-correlation means that there is no statistically valid relationship between two asset classes and
should not be confused with negative correlation, where the performance of two asset classes would be opposite. Because of this
non-correlation, you should not expect the Trust to be automatically profitable during unfavorable periods for the stock and/or
bond markets, or
vice versa
.
If the Trust does not perform in a manner
non-correlated with the general financial markets or does not perform successfully, you will obtain little or no diversification
benefits by investing in the Units and the Trust may have no gains to offset your losses from other investments.
The Trust May be Subject to Profit
Shares Despite Certain Units Having Declined in Value
Investors will purchase Units at different
times and will, accordingly, recognize different amounts of profit and loss on their investments. Profit Shares are accrued, or
the accruals are reversed to reflect losses, on a monthly basis so that Units are not sold with an embedded Profit Share liability.
However, Series 1 Profit Shares are ultimately calculated on the basis of the net trading profits, if any, recognized by the Series
1 Units as a whole and Series 2/3 Profit Shares are ultimately calculated on the basis of the cumulative net trading profits, if
any, recognized by the Series 2 Units and Series 3 Units as a whole, not on the profits recognized by any particular Unit or Units.
Consequently, the Managing Owner may still be allocated a Profit Share even though certain Units have lost value since the date
they were purchased.
Conversely, Units purchased at a Net Asset
Value reduced by accrued Profit Shares will benefit from any reversal of such accruals, and the benefit of such reversals to Units
outstanding at the time of such purchase will be diluted.
Similarly, Units may incur losses generating
a loss carryforward for purposes of calculating subsequent Profit Shares. The benefit of any such loss carryforward will, in the
case of Series 1 Units be diluted by the sale of additional Series 1 Units and, in the case of Series 2 and Series 3 Units, be
diluted by the sale of additional Series 2 Units or Series 3 Units.
The Managing Owner's Increased
Equity Under Management Could Lead to Lower Returns for Investors
The Managing Owner has not agreed to limit
the amount of money it may manage and is actively seeking additional accounts. The more money the Managing Owner manages, the more
difficult it may become for the Managing Owner to trade profitably for the Trust because of the difficulty of trading larger positions
without negatively affecting prices and performance.
Increased Competition Among Trend-Following
Traders Could Reduce the Managing Owner's Profitability
A substantial number of commodity trading
advisors use technical trading systems, particularly trend-following systems, similar to the Managing Owner's systems. As
the amount of money under the management of such systems increases, competition for the same positions increases, making the positions
more costly and more difficult to acquire.
13
The Trust is Subject to Conflicts
of Interest
The Trust is subject to numerous actual
and potential conflicts of interest, including: (1) the compensation that the Selling Agents receive gives them an incentive to
promote the sale of Units as well as to discourage redemptions; (2) the brokerage commissions that Selling Agents receive if they
also serve as clearing brokers for the Trust gives an additional incentive to promote the sale of Units as well as to discourage
redemptions; (3) the Managing Owner has significant financial incentives both to promote the sale of the Units and to discourage
their redemption; and (4) the Managing Owner of the Trust will not select any other trading advisor even if doing so would be in
the best interests of the Trust. See "Conflicts of Interest."
The Managing Owner has not Established
Formal Procedures to Resolve Conflicts of Interest
Because the Managing Owner has not established
any formal procedures for resolving conflicts of interest, you will be dependent on the good faith of the parties with conflicts
to resolve the conflicts equitably. The Managing Owner cannot assure that conflicts of interest will not result in losses for the
Trust.
You Will be Taxed Each Year on Your
Share of Trust Profits
If you are an individual or entity subject
to U.S. taxes (
e.g.
, not a tax-exempt entity such as an IRA or pension plan), you will be taxed on your share of Trust income
or gain each year, whether or not you redeem Units or receive distributions from the Trust.
Because a substantial portion of the Trust's
open positions are "marked-to-market" at the end of each year, some of your tax liability will be based on unrealized
gains which the Trust may, in fact, never realize.
40% of any trading profits on certain U.S.
exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary
income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a
lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100%
of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange
are "marked-to-market" at the end of each year and taxed as short-term capital gains at ordinary income rates (unless
offset by capital losses). These rates apply regardless of how long the Trust holds a contract, or an investor his or her Units.
Due to the different tax rates for long-term
and short-term capital gains and limitations on the deductibility of capital losses, and depending on the tax character of income
and loss you receive on other investments in your portfolio, it is possible for you to have a pre-tax economic gain on your investment
in the Trust but an after-tax loss.
All performance information included in
this Prospectus is presented on a pre-tax basis; the investors who experienced such performance had to pay the related taxes from
other sources.
Over time, the compounding effects of the
annual taxation of the Trust's income are material to the economic consequences of investing in the Trust. For example, a
10% compound annual rate of return over five years would result in an initial $10,000 investment compounding to $16,105. However,
if one factors in a 30% tax rate each year, the result would be $14,025.
You Will be Taxed on the Trust's
Interest Income Even if the Trust Suffers Trading Losses
Losses on the Trust's trading are
almost exclusively capital losses. Non-corporate investors may use net capital losses to offset up to $3,000 of ordinary income
each year. So, for example, if your share of the Trust's trading (
i.e.
, capital) loss was $10,000 in a given fiscal
year and your share of interest income was $5,000, you would incur a net loss in the Net Asset Value of your Units equal to $5,000,
but would nevertheless recognize taxable income of $2,000.
Limitations on the Deductibility of
"Investment Advisory Fees"
The Managing Owner does not intend to treat
the ordinary expenses of the Trust as "investment advisory fees" for federal income tax purposes. The Managing Owner
believes that this is the position adopted by virtually all U.S. futures fund sponsors. However, were the ordinary expenses of
the Trust characterized as "investment advisory fees," non-corporate taxpayers would be subject to substantial restrictions
on the deductibility of those expenses, would pay increased taxes in respect of an investment in the Trust and could actually recognize
taxable income despite having incurred a financial loss.
14
The IRS Could Audit Both the Trust
and Individual Unitholders
The Internal Revenue Service (the "IRS")
could audit the Trust's tax returns and require the Trust to adjust such returns. If an audit results in an adjustment, you
could be audited and required to pay additional taxes, plus interest and possibly penalties.
Accounting for Uncertain Tax Positions
Financial Accounting Standards Board
Accounting Standards Codification Topic No. 740, "Income Taxes" ("ASC 740," in part formerly known as "FIN
48"), provides guidance on the recognition of uncertain tax positions.  ASC 740 prescribes the minimum recognition threshold
that a tax position is required to meet before being recognized in an entity's financial statements.  It also provides
guidance on recognition, measurement, classification, interest and penalties with respect to tax positions.  A prospective
investor should be aware that, among other things, ASC 740 could have a material adverse effect on the periodic calculations of
the Net Assets of the Trust, including reducing the Net Assets of the Trust to reflect reserves for income taxes, such as foreign
withholding taxes, that may be payable by the Trust.  This could cause benefits or detriments to certain Unitholders, depending
upon the timing of their subscriptions and withdrawals from the Trust.
The Bankruptcy of a Clearing Broker
or Currency Dealer Could Cause Losses
The Managing Owner must assess the credit-worthiness
of the clearing brokers and foreign currency counterparties it selects for the Trust. If one of the Trust's clearing brokers
or foreign currency counterparties becomes bankrupt, the Trust will be limited to recovering none or only its
pro
rata
share, of all available customer funds segregated by the Clearing Broker or counterparty. The Managing Owner
attempts to mitigate this risk by selecting only well capitalized, major financial institutions as clearing brokers and foreign
currency counterparties, but there can be no assurance that even a well capitalized, major institution will not become bankrupt,
and recent events have demonstrated that even major financial institutions of the type with which the Trust may deal in the financial
markets can and do fail.
The Trust is Not Regulated as an Investment
Company or Mutual Fund
Although the Managing Owner is subject to
regulation by the CFTC and the Trust itself is subject to reporting requirements and other regulation applicable to public companies
in the U.S., the Trust is not an investment company or mutual fund registered under the Investment Company Act of 1940. Accordingly,
investors in the Trust are not accorded the protections of such legislation.
Swap Trading is Unregulated and Involves
Counterparty Risk
The Trust may engage in trading commodity
swaps.  Swaps involve many of the same risks as those described above with respect to forward contracts.  Swap contracts
are not currently traded on exchanges; rather, banks and dealers act as principals in the swap market.  As a result, the Trust
will be subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the counterparties
with which the Trust trades.  The Managing Owner intends to enter into swaps on behalf of the Trust only with highly creditworthy
banks and dealers, but there can be no assurance that even highly creditworthy banks and dealers will have the ability to, or will
not refuse to, perform with respect to such contracts. The swap market remains largely unregulated by any U.S. or foreign governmental
authority; however, the CFTC recently adopted various regulations which may restrict the Trust's ability to utilize swaps
or may make swap contracts more costly to trade with respect to certain non-security based swaps.  Finally, swaps may be illiquid
and participants in the swap market are not required to make continuous markets in the swap contracts they trade.
Forward Trading May Take Place in Unregulated
Markets
The Trust will conduct
all or substantially all of its currency forward and related options trading in unregulated markets rather than on futures exchanges
or through "retail" foreign exchange markets subject to the jurisdiction of the CFTC or other regulatory bodies. In
such markets, a counterparty may not settle a transaction with the Trust in accordance with its terms because the counterparty
is either unwilling or unable to do so (for example, because of a credit or liquidity problem affecting the counterparty), potentially
resulting in significant loss. In addition, counterparties generally have the right to terminate trades under a number of circumstances,
including, for example, declines in the Trust's Net Assets and certain "key person" events. Any premature termination
of the Trust's currency forward trades could result in material losses for the Trust, as the Trust may be unable to quickly
re-establish those trades and may only be able to do so at disadvantageous prices.
15
Trust funds on deposit
with the currency forward counterparties with which the Trust trades are not protected by the same segregation requirements imposed
on CFTC-regulated commodity brokers in respect of customer funds deposited with them. Although the Trust deals only with major
financial institutions as currency forward counterparties, the insolvency or bankruptcy of a currency forward counterparty could
subject the Trust to the loss of its entire deposit with such counterparty. The forward markets are well established. However,
it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect the
Trust, and the recent events underlying the bankruptcy of Refco, Inc. and its related entities have underscored the risks of maintaining
capital at unregulated entities. Further, as demonstrated by the recent insolvency and liquidation of MF Global Inc., customer
funds held by a broker in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process. Commodity
broker bankruptcies are not insured by any governmental agency, and investors would not have the benefit of any protection such
as that afforded customers of bankrupt securities broker-dealers by the Securities Investors Protection Corporation.
Various national governments have expressed
concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the "derivatives"
markets in general. Future regulatory changes may limit the Trust's ability to trade in certain markets. The imposition of
credit controls by governmental authorities might limit such forward trading to less than that which the Managing Owner would otherwise
recommend, to the possible detriment of the Trust.
Forwards, Swaps and Other Derivatives
Are Subject to Varying CFTC Regulation
Enacted in July 2010, the Dodd-Frank Wall
Street Reform and Consumer Protection Act (the "Reform Act") includes provisions that comprehensively regulate the
over-the-counter derivatives markets for the first time. The Reform Act will require that a substantial portion of over-the-counter
derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. Over-the-counter trades
submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse,
as well as possible CFTC-mandated margin requirements. The regulators also have broad discretion to impose margin requirements
on non-cleared over-the-counter derivatives. Although the Reform Act includes limited exemptions from the clearing and margin requirements
for so-called "end-users," the Trust does not expect to be able to rely on such exemptions. In addition, the over-the-counter
derivative dealers with which the Trust may execute the majority of its over-the-counter derivatives transactions will not be able
to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements
notwithstanding whether the Trust is subject to such requirements. Over-the-counter derivative dealers also will be required to
post margin to the clearinghouses through which they clear their customers' trades instead of using such margin in their
operations, as they currently are allowed to do. This will further increase the dealers' costs, which costs are expected
to be passed through to other market participants in the form of higher fees and less favorable dealer marks.
The CFTC may also require a substantial
portion of derivative transactions that are currently executed on a bi-lateral basis in the over-the-counter markets to be executed
through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and
costly for investment funds, including the Trust, to enter into highly tailored or customized transactions. They may also render
certain strategies in which the Trust might otherwise engage impossible or so costly that they will no longer be economical to
implement.
Trading in Options Requires an
Assessment of Market Volatility as Well as Direction
The Managing Owner may trade futures and
forward options on behalf of the Trust.  Although successful options trading requires many of the same skills as successful
futures and forward trading, the risks involved are somewhat different.  For example, the assessment of near-term market volatility
— which is directly reflected in the price of outstanding options — can be of much greater significance in trading
options than it is in many long-term futures strategies.  The use of options can be extremely expensive if market volatility
is incorrectly predicted.
The Failure of Computer Systems Could
Result in Losses for the Trust
The Managing Owner relies
heavily on computer hardware and software, online services and other computer-related or electronic technology and equipment to
facilitate the Trust's investment activities and may trade financial instruments through electronic trading or order routing
systems. Electronic trading exposes the Trust to the risk of system or component failure. Should events beyond the Managing Owner's
control cause a disruption in the operation of any technology or equipment, the Trust's investment program may be severely
impaired, causing it to experience substantial losses or other adverse effects.
Investment
Factors
Although there can be no assurance that
the Managing Owner will trade successfully on behalf of the Trust or that the Trust will avoid substantial losses, if the Trust
is successful, an investment in the Trust offers investors the following potential advantages.
16
Access to the Diversified Portfolio
The Trust offers you access to the Managing
Owner's oldest and most successful trading portfolio. The Managing Owner has been managing investment funds pursuant to its
Diversified Portfolio since February 1977. The composite compound annual return for the Diversified Portfolio, adjusted to reflect
the highest level of fees and expenses of the Trust, from February 1977 through June 2012 is approximately 12.7%.
Past performance is not, however, necessarily indicative of future results.
Millburn Ridgefield Corporation
The Managing Owner and its principals have
extensive experience in designing, sponsoring, marketing and administering futures funds. The Managing Owner, together with its
predecessors, is one of the longest operating of all futures money managers and was a pioneer in developing systematic trading
technologies. The Managing Owner's trading experience, together with its predecessors, spans more than 40 years. The Trust
provides you the opportunity to place capital under the management of a trading advisor with one of the longest continuous trading
records of any active manager.
Investment Diversification
If you are not prepared to spend substantial
time trading in the futures and forward markets, you may nevertheless participate through investing in the Trust. An investment
in the Trust can provide valuable diversification to a traditional portfolio of stocks and bonds. The Managing Owner believes that
the profit potential of the Trust does not depend upon favorable general economic conditions and that the Trust is just as likely
to be profitable or unprofitable during periods of declining stock and bond markets as at any other time.
Allocating a small portion of your investment
portfolio to a managed futures investment, such as the Trust, can potentially enhance the performance of the portfolio. Modern
portfolio theory suggests that a diverse portfolio with positively performing assets that have little or no correlation with each
other should have higher returns and lower risk, as measured by variability of returns, than a less diversified portfolio: the
Nobel Prize for Economics in 1990 was awarded to Dr. Harry Markowitz for demonstrating that the total return can increase, and/or
risks can be reduced, when portfolios have positively performing asset categories that are essentially non-correlated.
Historically, managed futures investments
have had very little correlation to the stock and bond markets. Non-correlated performance is not, however, negatively correlated
performance. Non-correlation means only that the performance of managed futures likely has no relation to the performance of stocks
and bonds. The performance of the Trust has exhibited a substantial degree of non-correlation with the general equity and debt
markets.
Non-correlation will not provide diversification
advantages beyond, perhaps, lowering a portfolio's overall volatility unless the non-correlated assets are performing positively.
There can be no assurance that the Trust will perform positively or avoid losses.
Market Diversification
The Trust trades in approximately 115 markets,
though not necessarily in all markets at all times.
The diversification of the Trust permits
investors to participate in markets that would otherwise not be included in their portfolios, thereby both potentially diversifying
risk and increasing profit opportunities.
The markets traded by the Trust change from
time to time. Currently these markets include:
Currencies
Major
British Pound
Euro
Japanese Yen
Swiss Franc
Secondary
Australian Dollar
Brazilian Real
Canadian Dollar
Chilean Peso
Colombian Peso
Czech Koruna
Indian Rupee
Indonesian Rupiah
Israeli Shekel
Korean Won
Malaysian Ringgit
Mexican Peso
New Zealand Dollar
Norwegian Krone
Philippine Peso
Polish Zloty
Russian Ruble
Singapore Dollar
South African Rand
Swedish Krona
Turkish Lira
Crosses
Australian Dollar-Swiss Franc
British Pound-Australian Dollar
Euro-Australian Dollar
Euro-Czech Koruna
Euro-Hungarian Forint
Euro-Norwegian Krone
Euro-Polish Zloty
Euro-Romanian Leu
Euro-Swedish Krona
Euro-Turkish Lira
Euro-South African Rand
Swiss Franc-Norwegian Krone
Interest Rates
Aussie Bank Bills
Australian Treasury 3 and 10 year Bonds
Canada Bankers Acceptance
Canadian Government Bond Euribor
Euro Bobl
Euro Bund
Euro Buxl
Euro Dollar
Euro Schatz
Euro Swiss
French 10 year Bond
Gilts
Italian 10 year Bond
Japanese Government Bonds
Sterling Rates
US Treasury 2 yr Note
US Treasury 5 yr Note
US Treasury 10 yr Note
US Treasury 30 yr Bond
17
Stock Indices
Japanese Nikkei
All Shares (South Africa)
Amsterdam Index (Netherlands)
Bolsa (Mexico)
CAC 40 (France)
CBOE VIX (U.S.)
DAX (Germany)
DJ Euro Stoxx 50 (Euro Zone)
E-Mini Dow (U.S.)
E-Mini NASDAQ 100 (U.S.)
E-Mini S&P 500 (U.S.)
FTSE (United Kingdom)
H-Shares (Hong Kong)
Hang Seng (Hong Kong)
IBEX 35 (Spain)
ISE 30 (Turkey)
Kospi Index (Korea)
MIB 30 (Italy)
Mini Russell 2000 (U.S.)
Nifty Index (India)
Nikkei (Japan)
OMX (Sweden)
SET50 Futures (Thailand)
SIMEX (Singapore)
SIMEX Taiwan (Taiwan) SPI 200 (Australia)
TAIEX Electronic Index (Taiwan)
TAIEX Financial Index (Taiwan)
TAIEX Index (Taiwan)
TOPIX (Japan)
TSE 60 (Canada)
Energy
Brent Crude Oil
Heating Oil
Crude Oil
London Gas Oil
Gasoline RBOB
Natural Gas
Agricultural Commodities
Bean Oil
Rubber (TOCOM)
Cocoa
Soy Meal
Coffee
Soybean
Corn
Sugar
Cotton
Wheat
Kansas City Wheat
Metals
Copper
London Tin
Gold
London Zinc
London Aluminum
Palladium
London Copper
Platinum (NYMEX)
London Lead
Silver
London Nickel
Livestock
Hogs
Live Cattle
Spreads
Agricultural
Financial
Energy
Metals
Opportunity to Profit in Rising as Well as in Declining Markets
The Trust may realize positive or negative
returns in both rising and declining markets as the Trust's trading positions may be established on either the long or the
short side of a market. Unlike short selling in the securities markets, establishing short positions in futures or forwards or
through swaps in anticipation of a drop in price can be accomplished without additional restrictions or special margin requirements.
It is potentially advantageous for investors
to own investments that can appreciate during a period of generally declining prices, financial disruption or economic instability.
Investors must realize, however, that the
Trust is not specifically designed to appreciate in declining markets. Rather, it is designed to perform independent of the direction
of stocks and bonds and the general economy. The Trust's capital traded pursuant to the Managing Owner's trend-following
trading systems will only increase in value to the extent that such systems are able to identify market trends and the Trust is
able to trade those trends profitably.
Interest on Trust Assets
The Trust will receive all of the interest
income earned on its assets. Approximately 90% of the Trust's assets are invested in deposit accounts, short-term money
market funds and U.S. Treasury bills or notes. The interest earned on the Trust's assets can offset a portion, though it
may not offset all, of its routine costs. Given historically low interest rates on U.S. Treasury bills and notes, any interest
earned by the Trust may be nominal. In addition, the Trust's interest income is subject to the risk of trading losses.
Small Minimum Investment
The Managing Owner typically manages individual
accounts only of substantial size — $5,000,000 or more. You may gain access to the Managing Owner for a minimum investment
of only $5,000; $2,000 in the case of trustees or custodians of eligible employee benefit plans and individual retirement accounts.
Limited Liability
If you open an individual futures account,
you will be generally liable for all losses incurred in the account, and may lose substantially more than you committed to the
account. However, as an investor in the Trust, you cannot lose more than your investment plus undistributed profits.
18
Administrative Convenience
The Managing Owner is responsible for all
aspects of the Trust's operation. You will receive monthly unaudited and annual audited financial reports as well as information
necessary for you to complete your federal income tax returns. The approximate daily Net Asset Value per Unit is available by calling
representatives of the Managing Owner at (203) 625-7554 (ask for Investor Services).
19
Performance
Of The Trust
GLOBAL MACRO TRUST
(Reflecting Series 1 Unit Expenses)
(January 1, 2007 – June 30, 2012)
Type of Pool:
Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:
July 2002
Inception of Series 1 Trading:
July 2002
Total Net Asset Value of the Trust:
$582,713,822
Total Net Asset Value of Series 1:
$550,063,175
1
Largest % Monthly Drawdown:
(10.33)% (08/07)
Worst Peak-to-Valley Drawdown:
(23.02)% (02/09-06/12)
Aggregate Trust Subscriptions from Inception:
$1,381,252,380
Aggregate Series 1 Subscriptions from Inception:
$1,340,017,582
2
Month
2012
2011
2010
2009
2008
2007
January
(2.79
)%
(1.64
)%
(2.63
)%
(0.09
)%
1.39
%
1.72
%
February
(1.84
)%
2.44
%
1.24
%
2.10
%
6.32
%
(3.50
)%
March
(3.18
)%
(3.20
)%
6.13
%
(5.08
)%
(2.52
)%
2.74
%
April
1.04
%
6.85
%
3.40
%
(4.55
)%
(1.21
)%
6.28
%
May
1.97
%
(5.83
)%
(8.44
)%
(3.66
)%
1.21
%
6.55
%
June
(3.76
)%
(4.58
)%
(1.69
)%
(2.49
)%
6.17
%
3.16
%
July
3.55
%
(0.90
)%
(1.94
)%
(3.33
)%
(4.80
)%
August
(1.79
)%
2.99
%
1.18
%
(4.22
)%
(10.33
)%
September
(2.49
)%
3.54
%
3.88
%
2.96
%
6.49
%
October
(3.43
)%
2.62
%
(3.30
)%
8.52
%
6.15
%
November
(0.51
)%
(3.44
)%
4.68
%
1.76
%
(3.48
)%
December
0.22
%
6.35
%
(2.40
)%
0.89
%
1.39
%
Compound Rate of Return
(8.39
)%
(10.58
)%
8.43
%
(11.60
)%
18.48
%
11.26
%
(6 mos.
)
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
"Largest % Monthly Drawdown"
is the largest negative monthly rate of return experienced by Series 1.
"Worst Peak-to-Valley Drawdown"
is the greatest percentage decline in Net Asset Value of a Series 1 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a "peak-to-valley drawdown" would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.
Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 1 Unit subject to Brokerage Fees at
a 7% annual rate, the highest rate applicable to investors in the Trust.
Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.
1
Includes
Managing Owner net asset value of $9,137,935
2
Includes
Managing Owner subscriptions from inception of $5,812,500
20
GLOBAL MACRO TRUST
(Reflecting Series 2 Unit Expenses)
(April 1, 2010 – June 30, 2012)
Type of Pool:
Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:
July 2002
Inception of Series 2 Trading:
April 2010
Total Net Asset Value of the Trust:
$582,713,822
Total Net Asset Value of Series 2:
$287,221
Largest % Monthly Drawdown:
(6.71)% (05/10)
Worst Peak-to-Valley Drawdown:
(16.53)% (04/11-03/12)
Aggregate Trust Subscriptions from Inception:
$1,381,252,380
Aggregate Series 2 Subscriptions from Inception:
$354,530
Month
2012
2011
2010
January
(2.42
)%
(1.27
)%
February
(1.47
)%
2.49
%
March
(2.82
)%
(2.55
)%
April
1.42
%
6.07
%
3.07
%
May
2.35
%
(4.49
)%
(6.71
)%
June
(3.41
)%
(4.23
)%
(1.33
)%
July
3.95
%
(0.52
)%
August
(1.42
)%
3.07
%
September
(2.13
)%
3.15
%
October
(3.06
)%
2.43
%
November
(0.14
)%
(2.49
)%
December
0.59
%
5.44
%
Compound Rate of Return
(6.32
)%
(6.46
)%
5.67
%
(6 mos.
)
(9 mos.
)
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
"Largest % Monthly Drawdown"
is the largest negative monthly rate of return experienced by Series 2.
"Worst Peak-to-Valley Drawdown"
is the greatest percentage decline in Net Asset Value of a Series 2 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a "peak-to-valley drawdown" would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.
Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 2 Unit.
Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.
21
GLOBAL MACRO TRUST
(Reflecting Series 3 Unit Expenses)
(September 1, 2009 – June 30, 2012)
Type of Pool:
Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:
July 2002
Inception of Series 3 Trading:
September 2009
Total Net Asset Value of the Trust:
$582,713,822
Total Net Asset Value of Series 3:
$30,813,440
Largest % Monthly Drawdown:
(6.69)% (05/10)
Worst Peak-to-Valley Drawdown:
(16.34)% (04/11-03/12)
Aggregate Trust Subscriptions from Inception:
$1,381,252,380
Aggregate Series 3 Subscriptions from Inception:
$39,200,628
Month
2012
2011
2010
2009
January
(2.40
)%
(1.25
)%
(2.23
)%
February
(1.45
)%
2.50
%
1.64
%
March
(2.80
)%
(2.53
)%
5.30
%
April
1.45
%
6.08
%
3.09
%
May
2.37
%
(4.48
)%
(6.69
)%
June
(3.38
)%
(4.21
)%
(1.31
)%
July
3.97
%
(0.50
)%
August
(1.40
)%
3.08
%
September
(2.11
)%
3.17
%
3.44
%
October
(3.04
)%
2.45
%
(2.33
)%
November
(0.12
)%
(2.47
)%
4.07
%
December
0.61
%
5.45
%
(1.62
)%
Compound Rate of Return
(6.20
)%
(6.34
)%
10.75
%
3.43
%
(6 mos.
)
(4 mos.
)
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
"Largest % Monthly Drawdown"
is the largest negative monthly rate of return experienced by Series 3.
"Worst Peak-to-Valley Drawdown"
is the greatest percentage decline in Net Asset Value of a Series 3 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a "peak-to-valley drawdown" would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.
Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 3 Unit.
Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.
22
GLOBAL MACRO TRUST
(Reflecting Series 4 Unit Expenses)
(November 1, 2010 – June 30, 2012)
Type of Pool:
Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:
July 2002
Inception of Series 4 Trading:
November 2010
Total Net Asset Value of the Trust:
$582,713,822
Total Net Asset Value of Series 4:
$1,549,986
Largest % Monthly Drawdown:
(5.30)% (5/11)
Worst Peak-to-Valley Drawdown:
(15.67)% (4/11-3/12)
Aggregate Trust Subscriptions from Inception:
$1,381,252,380
Aggregate Series 4 Subscriptions from Inception:
$1,679,640
Month
2012
2011
2010
January
(2.24
)%
(1.08
)%
February
(1.29
)%
3.02
%
March
(2.64
)%
(2.66
)%
April
1.62
%
7.46
%
May
2.54
%
(5.30
)%
June
(3.22
)%
(4.05
)%
July
4.15
%
August
(1.23
)%
September
(1.94
)%
October
(2.88
)%
November
0.05
%
(2.90
)%
December
0.78
%
6.95
%
Compound Rate of Return
(5.26
)%
(4.31
)%
3.85
%
(6 mos.
)
(2 mos.
)
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
"Largest % Monthly Drawdown"
is the largest negative monthly rate of return experienced by Series 4.
"Worst Peak-to-Valley Drawdown"
is the greatest percentage decline in Net Asset Value of a Series 4 Unit without such Net Asset Value being subsequently equaled
or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1%
in March and dropped again by 2% in April, a "peak-to-valley drawdown" would be still continuing at the end of April
in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown
would have ended as of the end of February at the (2)% level.
Monthly Rate of Return for the Trust
is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 4 Unit.
Performance information is calculated
on an accrual basis in accordance with generally accepted accounting principles.
23
Selected Financial Information
The Selected
Financial Information for the years ended December 31, 2011, 2010, 2009, 2008 and 2007 is taken from the audited financial statements
of the Trust.
December 31, 2011
December 31, 2010
December 31, 2009
December 31, 2008
December 31, 2007
Income
    Statement Data
Investment
    income:
Interest
    income
$
2,072,015
$
3,235,502
$
9,966,151
$
21,273,709
$
26,686,249
Expenses:
Total expenses
$
57,730,451
$
59,857,073
$
66,440,702
$
57,262,896
$
40,243,738
Net investment loss
$
(55,658,436
)
$
(56,621,571
)
$
(56,474,551
)
$
(35,989,187
)
$
(13,557,489
)
Realized
    and unrealized gains (losses):
Net realized gain (losses)
    on closed positions:
Futures and forward currency
    contracts
$
(8,224,392
)
$
87,904,542
$
(49,280,152
)
$
214,035,345
$
92,248,212
Foreign exchange translation
$
(52,568
)
$
352,202
$
126,508
$
(848,741
)
$
214,004
Net change in unrealized:
Futures and forward currency
    contracts
$
(25,425,124
)
$
42,259,414
$
(9,457,839
)
$
(8,084,164
)
$
(16,622,693
)
Foreign exchange translation
$
(192,987
)
$
(302,673
)
$
352,661
$
135,285
$
(45,932
)
Net gains (losses) from
    U.S. Treasury notes:
Realized
$
28,504
$
16,976
$
526,749
$
—
$
—
Net change in unrealized
$
(373,516
)
$
(203,035
)
$
(6,705,006
)
$
4,991,515
$
2,467,858
Total net realized and
    unrealized gains (losses)
$
(34,240,083
)
$
130,027,426
$
(64,437,079
)
$
210,229,240
$
78,261,449
Net income (loss) before
    Profit Share to Managing Owner
$
(89,898,519
)
$
73,405,855
$
(120,911,630
)
$
174,240,053
$
64,703,960
Less profit share to
    Managing Owner
$
1,385
$
262,695
$
43,187
$
30,185,853
$
6,459,328
Net income (loss) after
    Profit Share to Managing Owner
$
(89,899,904
)
$
73,143,160
$
(120,954,817
)
$
144,054,200
$
58,244,632
Net income (loss) after
    profit share to Managing Owner per Series 1 Unit
$
(139.10
)
$
102.20
$
(159.03
)
$
213.83
$
117.07
Net income (loss) after
    profit share to Managing Owner per Series 2 Unit
$
(88.62
)
$
72.46
$
—
$
—
$
—
Net income (loss) after
    profit share to Managing Owner per Series 3 Unit
$
(85.70
)
$
131.36
$
40.53
$
—
$
—
Net income (loss) after
    profit share to Managing Owner per Series 4 Unit
$
(58.92
)
$
50.68
$
—
$
—
$
—
Balance
    Sheet Data
Total Assets
$
782,343,935
$
911,161,872
$
919,457,865
$
1,094,632,891
$
659,394,985
Total Liabilities
$
29,156,541
$
18,236,261
$
40,303,253
$
64,251,530
$
34,637,677
Total Trust Capital
$
753,187,394
$
892,925,611
$
879,154,612
$
1,030,381,361
$
624,757,308
Net Asset Value per Series
    1 Unit
$
1,175.07
$
1,314.17
$
1,211.97
$
1,371.00
$
1,157.17
Net Asset Value per Series
    2 Unit
$
1,261.94
$
1,350.56
$
—
$
—
$
—
Net Asset Value per Series
    3 Unit
$
1,267.10
$
1,352.80
$
1,221.44
$
—
$
—
Net Asset Value per Series
    4 Unit
$
1,307.09
$
1,366.01
$
—
$
—
$
—
Selected Quarterly Financial Data
The following summarized quarterly financial
information presents the results of operations for the three month periods ended March 31, 2012, 2011 and 2010 and June 30, September
30 and December 31, 2011 and 2010. This information has not been audited.
First Quarter
2012
Interest Income:
$
266,834
Net Realized and Unrealized Gains (Losses) :
$
(43,996,819
)
Expenses*:
$
12,008,990
Net (Loss):
$
(55,738,975
)
(Decrease) in Net Asset Value per Series 1 Unit:
$
(89.48
)
(Decrease) in Net Asset Value per Series 2 Unit:
$
(82.92
)
(Decrease) in Net Asset Value per Series 3 Unit
$
(82.52
)
(Decrease) in Net Asset Value per Series 4 Unit:
$
(78.99
)
24
Fourth Quarter
2011
Third Quarter
2011
Second Quarter
2011
First Quarter
2011
Interest Income:
$
356,127
$
448,040
$
575,608
$
692,240
Net Realized and Unrealized Gains (Losses) :
$
(16,653,534
)
$
8,155,864
$
(19,140,566
)
$
(6,601,847
)
Expenses*:
$
13,108,009
$
14,335,180
$
15,066,886
$
15,221,761
Net (Loss):
$
(29,405,416
)
$
(5,731,276
)
$
(33,631,844
)
$
(21,131,368
)
(Decrease) in Net Asset Value per Series 1 Unit:
$
(45.39
)
$
(10.19
)
$
(51.19
)
$
(32.33
)
Increase (Decrease) in Net Asset Value per Series 2 Unit:
$
(33.96
)
$
3.86
$
(39.72
)
$
(18.80
)
Increase (Decrease) in Net Asset Value per Series 3 Unit
$
(33.29
)
$
4.69
$
(39.05
)
$
(18.05
)
Increase (Decrease) in Net Asset Value per Series 4 Unit:
$
(27.64
)
$
11.45
$
(31.82
)
$
(10.91
)
Fourth Quarter
2010
Third Quarter
2010
Second Quarter
2010
First Quarter
2010
Interest Income:
$
673,323
$
769,816
$
859,890
$
932,473
Net Realized and Unrealized Gains (Losses) :
$
61,338,397
$
61,165,422
$
(47,148,630
)
$
54,672,237
Expenses*:
$
15,217,528
$
14,651,364
$
15,015,371
$
15,235,505
Net Income (Loss):
$
46,794,192
$
47,283,874
$
(61,304,111
)
$
40,369,205
Increase (Decrease) in Net Asset Value per Series 1 Unit:
$
67.07
$
67.00
$
(87.86
)
$
55.99
Increase (Decrease) in Net Asset Value per Series 2 Unit:
$
68.14
$
69.83
$
(65.51
)
$
—
Increase (Decrease) in Net Asset Value per Series 3 Unit
$
68.90
$
70.57
$
(64.77
)
$
56.66
Increase in Net Asset Value per Series 4 Unit:
$
50.68
$
—
$
—
$
—
* Expenses are inclusive
of accruals and reversals of accruals of profit share to the Managing Owner.
There were no extraordinary, unusual or
infrequently occurring items recognized in any quarter reported above, and the Trust has not disposed of any segments of its business.
Managing Owner's Discussion and Analysis of Financial
Condition and Results of Operations
Results of Operations
General
The Trust was organized on July 23, 2001
under the Delaware Statutory Trust Act and commenced trading operations July 1, 2002.
The Trust's success depends 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 do not generally aim to predict price movements,
nor do they always rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths
of different national economies or economic sectors. Instead, the systems generally apply proprietary computer models to analyzing
past market data, and from this data alone attempt to determine whether market prices are trending. Primarily technical traders
such as the Managing Owner base their strategies on the theory that market prices reflect the collective judgment of numerous different
traders and are, accordingly, the best and most efficient indication of market movements. However, there are frequent periods during
which fundamental factors external to the market dominate prices.
If the Managing Owner's trend-following
models identify a trend, they signal positions which follow it. When these models identify the trend as having ended or reversed,
these positions are either closed out or reversed. Due to their trend-following character, the Managing Owner's trend-following
systems do not predict either the commencement or the end of a price movement. Rather, their objective is to identify a trend early
enough to profit from it and to detect its end or reversal in time to close out the Trust's positions while retaining most
of the profits made from following the trend.
In analyzing the performance of the Managing
Owner's trend-following systems, economic conditions, political events, weather factors, etc., are not directly relevant
because the Managing Owner uses only market data in developing these systems. Additionally, in general there is no direct connection
between particular market conditions and price trends. There are so many influences on the markets that the same general type of
economic event may lead to a price trend in some cases but not in others. Further, even if significant price trends do occur, if
these trends are not comprised of the type of price movements which these systems are designed to identify, the Managing Owner
may not position the Trust to profit from or avoid losses due to the trend. Moreover, there have been prolonged periods in the
futures markets without significant price movements, as well as markets, in which prices appear to be moving in one direction but
then quickly reverse. Such periods may recur with considerable frequency, and the Managing Owner would expect it to be very difficult
to achieve profitability in such markets.
25
The performance summary set forth below
is an outline description of how the Trust performed in the past trading in a wide variety of markets. The Trust's futures
and currency forward contract prices are marked-to-market every trading day, and the Trust's trading accounts are credited
or debited with its daily gains or losses. Accordingly, there is no material economic distinction between realized gains or losses
on closed positions and unrealized gains or losses on open positions. The Trust's past performance is not necessarily indicative
of how it will perform in the future.
Performance Summary
2012 (3 months)
During the three months ended March 31,
2012, the Trust achieved net realized and unrealized losses of $43,996,819 from its trading operations (including foreign exchange
transactions and translations). Brokerage and custodial fees of $11,277,869, management fees of $160,448, administrative expenses
of $532,057 and custody fees and other expenses of $38,616 were paid or accrued. Interest income of $266,834 partially offset the
Trust expenses resulting in a net loss of $55,738,975.
An analysis of the
trading gain (loss) by sector is as follows:
Sector
% Gain (Loss)
Currencies
(2.73
)%
Energies
1.43
%
Grains
(0.60
)%
Interest Rates
(2.23
)%
Livestock
0.00
%
Metals
(0.95
)%
Softs
0.31
%
Stock Indices
(1.19
)%
Total
(5.96
)%
The Trust produced a loss during the quarter
as losses from trading currency forwards and interest rates, equities, metals and grains futures overwhelmed gains from trading
energies and soft commodities futures. The sentiment of market participants during the quarter was driven by the belief that both
the economic outlook and the European debt crisis were improving.
Foreign exchange trading was particularly
volatile and unprofitable. Entering the quarter, the U.S. dollar had been trading higher against most currencies based on relative
economic strength, financial tumult in Europe and perceived weakening of growth in China. As these factors receded and the U.S.
interest rates appeared to be staying negligible for an extended period the U.S. dollar sold off against Central and South American,
European and Asian currencies generating losses on long U.S. dollar positions and in many cases bringing a reversal to short U.S.
dollar positions. Later, short U.S. dollar trades versus the Brazilian real, Colombian peso and Chilean peso also generated losses.
For the Brazilian real in particular, a larger than expected cut in the Brazilian Central Bank's Selic benchmark interest
rate and increased capital controls geared toward weakening the currency undermined the real. Also, a long Japanese yen trade versus
the U.S. dollar lost money and was reversed to a short trade after the Japanese yen weakened suddenly following a surprise expansionary
move by the Bank of Japan which increased its asset purchase program by $130 billion and set an inflation target for the first
time.
Turning to non-U.S. dollar cross rates,
long Australian dollar positions against a variety of currencies generated losses when the Australian dollar weakened as slowing
growth, rising unemployment and declining inflation statistics combined with forecasts of a Chinese growth slowdown to increase
the likelihood that the Reserve Bank of Australia might ease monetary policy. Short euro trades against several currencies were
unprofitable as the euro rebounded when the European Central Bank's longer-term refinancing operation program improved the
functioning of financial markets in Europe and as the size of the European rescue fund was substantially raised.
Whether from a reduced need for safety because
of an improving economic outlook, particularly in the U.S., from an increased worry about inflation, from a renewed concern about
government debt levels or from a reduced likelihood of Quantitative Easing 3 from the Federal Reserve, interest rates rose and
long positions in U.S., Australian, Canadian, British and Japanese note and bond futures produced losses.
A first quarter rally in equity markets
was rather widespread as market participants responded favorably to an apparent improvement in the global economic outlook, particularly
in the U.S. and to progress by the European Union toward resolving their sovereign debt crisis. Long positions in U.S. equity futures
were profitable, as was a short CBOE VIX trade that also benefitted from rising equity markets. However, short positions in numerous
European and Asian equity indices, especially Japan, China, Hong Kong and Germany, produced even bigger losses.
26
Industrial metals had been in a sustained
downtrend but as pessimism about global growth swung to modest optimism, perhaps prematurely, the metals rallied strongly, generating
losses on short positions. A short platinum position also was unprofitable as a supply interruption from South Africa boosted prices.
In the energy markets, long positions in
Brent crude, RBOB gasoline, London gas oil and heating oil benefited from the general commodity rally and continued stresses from
the Middle East, and as a result were profitable. The biggest winner in the sector was short positions in natural gas where the
supply boom from fracking and horizontal drilling in shale formations continues to drive prices down.
Trading of soft agricultural commodities
was marginally negative. Short grain trades, especially in the soybean complex, were unprofitable. A short cocoa position was unprofitable
as hot, dry weather hit the Ivory Coast and raised fears that an expected bumper crop might face significant damage. Short cotton
and rubber trades were also unprofitable when prices rose as pessimism about worldwide growth lifted at least temporarily. A short
Arabica coffee trade produced a profit as expectations of a bumper Brazilian harvest pushed Arabica to its lowest price in 18 months
in late March.
2011
During 2011, the Trust achieved net realized
and unrealized losses of $34,240,083 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $54,834,929, management fees of $571,739, administrative expenses of $2,158,133 and custody fees of $165,650 were paid
or accrued. The Trust allocated $1,385 in profit share to the New Profits Memo Account for the benefit of the Managing Owner. Interest
income of $2,072,015 partially offset the Trust expenses resulting in a net loss after profit share to the Managing Owner of $89,899,904.
An analysis of the
trading gain (loss) by sector is as follows:
Sector
% Gain (Loss)
Currencies
(4.01
)%
Energies
0.76
%
Grains
(1.38
)%
Interest Rates
8.99
%
Livestock
(0.46
)%
Metals
(0.11
)%
Softs
(0.28
)%
Stock Indices
(7.54
)%
Total
(4.03
)%
2011 was a volatile year of "Risk
On/Risk Off" trading as market sentiment swung from hope to despair and back again on numerous occasions. The Trust was unprofitable
as gains from interest rates, precious metals and energy were outweighed by losses from equities, currencies, industrial metals
and soft and agricultural commodities.
Market participants were buffeted by a dizzying
array of economic growth, economic policy, political and natural disaster-related factors. There were floods in Australia, an earthquake,
tsunami and nuclear disaster in Japan, earthquakes in New Zealand and floods in Thailand. Then there were the usual extreme wet
and dry weather events that occurred throughout the world as well. On the fiscal front, policy paralysis and a lack of courage
kept the U.S. and Europe from dealing in a definitive way with debt and deficit crises that led to ratings downgrades for many
countries, endangered the worldwide banking system and led to volatile changes of governments in Greece, Italy and Spain. Throughout
2011, there were periodic developed countries' monetary policy moves to prop up sagging confidence and prod weakening growth.
Persistently low official interest rates and quantitative easing by the U.S. Federal Reserve, Bank of England and the European
Central Bank—especially with its late in the year injection of long term lending to banks—aimed to counter despair
with some hope. Also, in late November, six central banks, orchestrated by the U.S. Federal Reserve, reduced the cost of U.S. dollar
trusting for commercial banks worldwide after the ratings agencies announced downgrades for many of the largest global banks. By
August, even emerging market central banks, including China, Brazil, India and Indonesia, that had been maintaining relatively
tight monetary policies in order to contain inflation, began to ease as slowing growth become a bigger worry. Indeed, during the
final 4 months of the year, d
ownward growth revisions peppered the market regularly as the International
Monetary Fund, World Bank, Organization for Economic Co-operation and Development, European Central Bank, European Commission,
Bank of England, U.S. Federal Reserve, Bank of Japan and numerous private financial institutions lowered their gross domestic product
forecasts. Exchange rate policy was also far from steady in 2011. Many countries from Switzerland and Japan to Brazil and Chile
enacted policies designed to counter and reverse the upward pressure on their currencies that threatened their export industries.
Finally from the Middle East, the Arab Spring, Iranian intransigence on seeking nuclear power and the U.S. exit from Iraq added
to uncertainty, particularly in the energy sector, prompting the International Energy Agency to release 60 million barrels of oil
from strategic reserves in July.
27
In this environment it is hardly surprising
that safe haven or risk aversion trades were profitable, even as price activity in most markets was erratic and lacking persistent
direction. Long positions in U.S., U.K., German, Australian, Canadian and Japanese note and bond futures were profitable.
Safe haven long positions in gold and to
a lesser extent in silver were profitable. Meanwhile, trading of industrial metals was unprofitable as prices vacillated with the
growth outlook, more than offsetting precious metal gains.
Trading of stock indices was very unprofitable
and the losses were widespread as prices swung erratically in response to the myriad of issues listed above. Losses were sustained
in many cases on both long and short positions. Trading of U.S., European— especially U.K., Asian—especially Japanese,
Korean and Australian, and of both emerging and developed countries equity futures produced losses in 2011.
Early in the year short U.S. dollar positions
against high growth and high yield currencies of emerging market and commodity countries were profitable. However, as the growth
outlook deteriorated, as the debt and deficit crises became more pronounced and as a number of countries implemented policies to
halt and reverse their currency appreciation, the U.S. dollar rebounded, partly due to safe haven purchases, and these short positions
produced losses and were reversed. On balance, profits from trades versus the currencies of Brazil, Canada, the Euro, India, Korea,
Poland, Russia and Switzerland were slightly outweighed by losses from trading the currencies of Australia, Britain, Chile, Columbia,
Israel, Japan, New Zealand, South Africa and Sweden.
Cross rate currency trading was very unprofitable.
Trading the Euro/New Zealand dollar cross and the New Zealand dollar/Japanese yen cross resulted on losses from both long and short
positions as the interactions of the ebb and flow of the European debt crisis and New Zealand earthquakes and the Japanese tsunami
disaster caused erratic price moves. Volatility also brought losses from both long and short trades in the Australian dollar versus
the Canadian dollar, Swiss franc and Japanese yen units. Finally, trading of the Swiss franc, euro and British pound sterling relative
to the Scandinavian currencies was unprofitable.
Energy trading was profitable. Long positions
in RBOB gasoline and London gasoil produced gains as prices rose in the first half of the year. Short natural gas trades were profitable
especially as prices fell sharply in the last third of 2011.
Softs trading was unprofitable. A short
cocoa trade was profitable in the July-December period as weak European demand and a good supply outlook depressed prices. A long
cotton trade produced gains early in the year when worldwide growth appeared good. Meanwhile trading sugar generated a loss as
prices were volatile and erratic.
Trading of agricultural commodities was
unprofitable. Livestock prices were volatile and losses were sustained on both long and short trades through the year. The soybean
complex produced losses both long and short as prices of beans, bean oil and meal were volatile. Wheat trading was also unprofitable,
while high frequency trading registered a small gain.
2010
During 2010, the Trust achieved net realized
and unrealized gains of $130,027,426 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $57,320,175, administrative expenses of $2,233,354, custody fees of $160,011, and management fees of $143,533 were paid
or accrued. The Trust allocated $262,695 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.
Interest income of $3,235,502 partially offset the Trust's expenses resulting in a net gain after profit share to the Managing
Owner of $73,143,160.
An analysis of the Trust's trading
gain (loss) by sector is as follows:
Sector
% Gain (Loss)
Currencies
3.19
%
Energies
(0.60
)%
Grains
1.74
%
Interest Rates
9.35
%
Livestock
(0.04
)%
Metals
1.65
%
Softs
0.90
%
Stock Indices
0.04
%
Total
16.23
%
The Trust produced a gain for the full year
2010 as profits in the early spring and from late summer to year-end outdistanced losses suffered when the European debt crisis
was at its height in the May-July period. Gains from trading interest rate futures led the way, although trading of currencies,
metals, grains and soft commodity futures also generated attractive profits. Meanwhile, energy trading resulted in a modest loss
while equity futures trading was essentially flat as gains during the last six months offset losses from the first half.
28
One persistent influence on market activity
throughout the year was the U.S. Federal Reserve's easy monetary policy as evidenced by near zero official short term interest
rates and continuous liquidity injections via the first and second rounds of quantitative easing. Against this background, long
positions in U.S., U.K. and European bond, note and short-term interest rate futures were highly profitable during the first three
quarters of the year. In the October-December period, however, concerns about massive government borrowing requirements in developed
economies — underscored by the agonizing spread of the European debt crisis — and future inflation triggered a substantial
uptick in rates that led to widespread losses on long interest rate futures positions. The fact that a number of countries, including
China, India and Australia, tightened their monetary policies to combat incipient inflation added to upward interest rate pressures.
Foreign exchange trading was profitable
with both U.S. dollar and non-U.S. dollar cross rate components generating gains. In particular, short U.S. dollar positions versus
growth-oriented and commodity currencies of countries such as Brazil, Columbia, India, Indonesia, Mexico, South Africa and Singapore
were profitable. In the cross rate component, short Euro positions relative to a variety of currencies registered gains as did
a short Euro/long U.S. dollar trade.
Long positions in precious metals were profitable
as they benefitted from the flight to safety demand whenever the Euro crisis flared, and from improving optimism about growth toward
year-end. Trading of aluminum, lead and zinc, on the other hand, produced losses as industrial metal prices vacillated on the ebb
and flow of growth prospects throughout the year.
The weak U.S. dollar, improving growth prospects,
particularly in the fourth quarter, and supply concerns caused by a variety of weather conditions — too much or too little
rain, too hot or not hot enough —boosted agricultural markets, producing gains from long positions in corn, wheat and the
soybean complex. Long coffee and cotton trades were also profitable, while trading of cocoa and sugar produced small losses.
Energy trading was unprofitable as prices
for crude oil and products oscillated without direction at least until late in the year when they began an advance. Short natural
gas positions did produce a modest gain that offset some of these losses.
Equity trading was marginally negative,
although performance across time and across countries was quite disparate. During the first half of 2010 a number of significant
events including the growing recognition of the European debt crisis, worries about tighter policy from China, the May 6 "flash
crash", the North/South Korea confrontations and the sustainability of incipient global growth produced losses from equity
futures trading. During the last six months as growth prospects became more solid and as the liquidity from the U.S. Federal Reserve
underpinned confidence, gains from equity trading largely offset the earlier losses. By country, long positions in Indian, Thai,
Singaporean, Taiwanese, Korean, U.S., German, U.K., Swedish and Canadian equity futures were profitable. On the other hand, trading
the equities of China, Hong Kong, Spain, Italy, Japan and Australia produced losses.
2009
During 2009, the Trust achieved net realized
and unrealized losses of $64,437,079 from its trading operations (including foreign exchange transactions and translations). Brokerage
fees of $63,566,376, administrative expenses of $2,670,335, custody fees of $193,127, and management fees of $10,864 were paid
or accrued. The Trust allocated $43,187 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.
Interest income of $9,966,151 partially offset the Trust's expenses resulting in a net loss after profit share to the Managing
Owner of $120,954,817.
An analysis of the Trust's trading
gain (loss) by sector is as follows:
Sector
% Gain (Loss)
Currencies
(0.67
)%
Energies
(2.28
)%
Grains
(0.71
)%
Interest Rates
(2.14
)%
Livestock
0.20
%
Metals
(1.02
)%
Softs
0.05
%
Stock Indices
1.23
%
Total
(5.34
)%
The Trust produced an overall loss during
2009. Losses from trading energy, interest rate, metal, and grain futures and dollar currency forwards outweighed gains from trading
stock index and livestock futures and non-U.S. dollar currency crosses.
From January into early March, in the wake
of the subprime crisis and subsequent credit crunch and amidst concern about the leadership of U.S. economic policy following the
elections, economic activity was slowing precipitously worldwide. In this environment, stock indices and commodity prices were
falling. Also, as risk aversion remained widespread, a flight to safety and quality produced a rising U.S. dollar, declining high
yield currencies, and a flood of funds into government fixed income instruments, and highly liquid investments. Broadly speaking,
these conditions had persisted from October 2008 into early March 2009. Consequently, the Trusts' short stock index, short
commodity, long U.S. dollar and long interest rate futures positions were profitable early in 2009.
29
Around March 10, market participants'
attitudes seemed to change abruptly. First, equity prices rose. Then commodity prices moved upward. Also, the U.S. dollar started
to fall and longer term interest rates rose. The positions which had been profitable for so long began to generate losses. These
positions were reduced gradually as the Managing Owner's models processed the new data. However, since trend following strategies
accounted for over two thirds of the program models and since the average trade duration of trend strategies is over 6 months,
it was not until the summer when the positions were reduced, completely closed and, in many instances, reversed.
During the third quarter of 2009, the financial
markets led the way to profitable results. Short positions in the U.S. dollar and a number of other currencies versus higher yielding
and commodity based currencies were profitable. Long stock index futures positions and long interest rate futures positions added
to the gains. The weak U.S. dollar also led to gains from long positions in precious metals. In the agricultural sector, short
wheat and long sugar trades were profitable.
During the fourth quarter of 2009, improving
economic prospects, especially in the U.S. and Asia led to gains from long stock index futures positions in the U.S., South Africa,
Norway and Asia-ex Japan. This growth improvement produced profits from long precious and industrial metals positions, but also
led to higher interest rates which brought losses from long interest rate futures positions. Long positions in sugar and cotton
were profitable, but as grain prices rose, reversing earlier downtrends, long grain positions lost money.
Liquidity and Capital Resources
Units may be offered for sale as of the
beginning, and may be redeemed as of the end, of each month.
The amount of capital raised for the Trust
should not have a significant impact on its operations, as the Trust has no significant capital expenditure or working capital
requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization,
the Managing Owner's trading positions should increase or decrease in approximate proportion to the size of the Trust.
The Trust raises additional capital only
through the sale of Units and capital is increased through trading profits (if any). The Trust does not engage in borrowing.
The Trust trades futures and forward contracts,
and may trade swap and options contracts, on interest rates, commodities, currencies, metals, energy and stock indices. Risk arises
from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform
under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions
acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments
is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The
risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter
transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit
(in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity
of the exchange. In most over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective
individual counterparties. Margins which may be subject to loss in the event of a default, are generally required in exchange trading,
and counterparties may require margin or collateral in the over-the-counter markets.
The Managing Owner has procedures in place
to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily
focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets
committed as margin or collateral, generally within a range of 5% to 35% of an account's net assets at exchange, though the
amount may at any time be substantially higher; (4) prohibiting pyramiding – that is, using unrealized profits in a particular
market as margin for additional positions in the same market; and (5) changing the equity utilized for trading by an account solely
on a controlled periodic basis, not automatically due to an increase in equity from trading profits. The Trust controls credit
risk by dealing exclusively with large, well capitalized financial institutions as brokers and counterparties.
The financial instruments traded by the
Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts
or the Trust's satisfaction of the obligations may exceed the amount recognized in the Statement of Financial Condition of
the Trust.
Due to the nature of the Trust's business,
substantially all its assets are represented by cash, cash equivalents and U.S. government obligations, while the Trust maintains
its market exposure through open futures and forward contract positions.
30
The Trust's futures contracts are
settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading
day and the Trust's trading accounts are debited or credited accordingly. Options on futures contracts are settled either
by offset or by exercise. If an option on a future is exercised, the Trust is assigned a position in the underlying future which
is then settled by offset. The Trust's spot and forward currency transactions conducted in the interbank market are settled
by netting offsetting positions or payment obligations and by cash payments.
The value of the Trust's cash and
financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation,
could cause the value of certain of the Trust's debt securities to decline, but only to a limited extent. More important,
changes in interest rates could cause periods of strong up or down market price trends, during which the Trust's profit potential
generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid
reversals, markets in which the Trust is likely to suffer losses.
The Trust's assets are generally
held as cash or cash equivalents, including short-term U.S. government obligations, which are used to margin the
Trust's futures and forward currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than
potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or
to 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. During 2011 and from the end of 2011 until March 31, 2012, the
Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.
Critical Accounting Estimates
The Trust records its transactions in futures
and forward currency contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on
an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract
is traded by the Trust on the day with respect to which Net Assets are being determined. Open swap contracts are recorded at fair
value based on the closing settlement price for equivalent or similar futures positions that are traded on an exchange on the day
with respect to which Net Assets are being determined. Open forward currency contracts are recorded at fair value, 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 Spot Prices and Forward Points for open forward currency contracts
are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect
to which Net Assets are being determined. 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 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. The Managing Owner will also compare the calculated price to the forward currency
prices provided by dealers to determine whether the calculated price is fair and reasonable.
The preparation of financial statements
in conformity with accounting principles generally accepted in the U.S. requires management to make estimates and assumptions,
such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature
of the business and operations of the Trust, the Managing Owner believes that the estimates utilized in preparing the Trust's
financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used
do not provide a range of possible results that would require the exercise of subjective judgment. The Managing Owner further believes
that, based on the nature of the business and operations of the Trust, no other reasonable assumptions relating to the application
of the Trust's critical accounting estimates other than those currently used would likely result in materially different
amounts from those reported.
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). The Trust may also engage in trading swaps. 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, 2012, December
31, 2011 and December 31, 2010.
31
Quantitative
And Qualitative Disclosures About Market Risk
Introduction
Past Results Are Not Necessarily Indicative of Future
Performance
The Trust is a speculative commodity pool.
Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust's main line
of business.
Market movements result in frequent changes
in the fair market value of the Trust's open positions and, consequently, in its earnings and cash flow. 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 can rapidly acquire and/or liquidate
both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular
future market scenario will affect performance, and the Trust's past performance is not necessarily indicative of its future
results.
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 recurrence 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 indicated Value at Risk 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
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 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.
The Trust calculates Value at Risk for forward
currency contracts that are not exchange traded using exchange maintenance margin requirements for equivalent or similar futures
positions as the measure of Value at Risk.
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.
32
The Trust's Trading Value at Risk in Different Market
Sectors
The following tables indicate the average,
highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for the
first fiscal quarter of 2012 and fiscal year ended December 31, 2011. During the three months ended March 31, 2012 and fiscal year
2011, the Trust's average total capitalization was approximately $710.0 million and $865.9 million, respectively.
March 31, 2012
Market Sector
Average
Value at
Risk
% of Average
Capitalization
Highest
Value
At Risk
Lowest
Value
At Risk
Currencies
$
20.6
2.9
%
$
20.6
$
20.6
Energies
$
9.4
1.3
%
$
9.4
$
9.4
Grains
$
3.1
0.4
%
$
3.1
$
3.1
Interest Rates
$
22.1
3.1
%
$
22.1
$
22.1
Livestock
$
0.1
0.0
%
$
0.1
$
0.1
Metals
$
6.2
0.9
%
$
6.2
$
6.2
Softs
$
2.8
0.4
%
$
2.8
$
2.8
Stock Indices
$
23.6
3.3
%
$
23.6
$
23.6
Total
$
87.9
12.3
%
Average, highest and lowest Value at Risk
amounts relate to the quarter-end amounts for the three months ended March 31, 2012. Average capitalization is the Trust's
capitalization at the end of the three months ended March 31, 2012. Dollar amounts represent millions of dollars.
Fiscal Year 2011
Market Sector
Average
Value at
Risk
% of Average
Capitalization
Highest
Value
At Risk
Lowest
Value
At Risk
Currencies
$
41.5
4.9
%
$
61.6
$
19.9
Energies
$
7.5
0.9
%
$
9.7
$
6.1
Grains
$
4.8
0.5
%
$
5.4
$
3.4
Interest Rates
$
22.7
2.7
%
$
27.0
$
15.0
Livestock
$
0.5
0.1
%
$
0.7
$
0.3
Metals
$
8.8
1.0
%
$
10.5
$
7.0
Softs
$
2.4
0.3
%
$
3.4
$
1.1
Stock Indices
$
20.5
2.4
%
$
33.7
$
8.5
Total
$
108.7
12.8
%
Average, highest and lowest Value at Risk
amounts relate to the quarter-end amounts during the fiscal year. Average Capitalization is the average of the Trust's capitalization
at the end of each month during the fiscal year 2011. Dollar amounts represent millions of dollars.
Material Limitations on Value at Risk as an Assessment of
Market Risk
The face value of the market sector instruments
held by the Trust is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally
range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Trust. The magnitude
of the Trust's open positions creates a "risk of ruin" not typically found in most other investment vehicles.
Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time —
could cause the Trust to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as
the past performance of the Trust — give no indication of this "risk of ruin."
Non-Trading Risk
The Trust has non-trading market risk on
its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.
The Trust also has non-trading cash flow
risk as a result of holding a substantial portion (approximately 90%) of its assets in U.S. Treasury notes and other short-term
debt instruments (as well as any market risk they represent) for margin and cash management purposes. Although the Managing Owner
does not anticipate that, even in the case of major interest rate movements, the Trust would sustain a material mark-to-market
loss on its securities positions, if short-term interest rates decline so will the Trust's cash management income. The Trust
also maintains a portion (over 5%) of its assets in cash in interest-bearing bank accounts. These cash balances are also subject
(as well as any market risk they represent) to cash flow risk, which is not material.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures
regarding the Trust's market risk exposures—except for (i) those disclosures that are statements of historical fact
and (ii) the descriptions of how the Managing Owner manages the Trust's primary market risk exposures—constitute forward-looking
statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust's
primary market risk exposures as well as the strategies used and to be used by the Managing Owner for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust's
risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations,
illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships,
an influx of new market participants, increased regulation and many other factors could result in material losses as well as in
material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust's
current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective
in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.
33
The following were the primary trading risk
exposures of the Trust as of March 31, 2012, by market sector (see pages 17-18 for a complete list
of futures and forward contracts traded).
Financial Instruments
. 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 U.K., the U.S. and the Eurozone. However, the Trust
also may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest
rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure
of the Trust for the foreseeable future.
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.
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.
Metals
. The Trust's metals
market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver, tin and
zinc.
Agricultural
. The Trust's primary
commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions
as well as supply and demand factors.
Energy
. 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.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading
risk exposures of the Trust as of March 31, 2012.
Foreign Currency Balances
.
The
Trust's primary foreign currency balances are in
Australian Dollars, British Pounds, Canadian Dollars, Euros, Japanese
Yen, Korean Won, Malaysian Ringgit, Swiss Francs and Thai Bhat. To the extent possible, the Trust controls the non-trading risk
of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).
Securities Positions
. The Trust's
only market exposure in instruments held other than for trading is in its securities portfolio. The Trust holds only cash or interest-bearing,
credit risk-free, short-term paper — typically U.S. Treasury instruments with durations no longer than 1 year. Violent fluctuations
in prevailing interest rates could cause immaterial mark-to-market losses on the Trust's securities, although substantially
all of these short-term instruments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk
Exposure
The Managing Owner attempts to control risk
through the systematic application of its trading method, which includes a multi-system approach to price trend recognition, an
analysis of market volatility, the application of certain money management principles, which may be revised from time to time,
and adjusting leverage or portfolio size. In addition, the Managing Owner limits its trading to markets which it believes are sufficiently
liquid in respect of the amount of trading it contemplates conducting.
The goal of the Managing Owner's research
has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain
overall portfolio risk within a targeted range while allowing exposure to profitable trend opportunities. Over more than 30 years,
the Managing Owner has developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular
market based on the direction of price movements in the market.
Of course, systems can be materially different
— better in some periods and worse in others. The main distinguishing features are: the time-frame over which systems work
(intra-day to long-term); the granularity of data fed into them (tick data to daily, weekly or monthly frequencies); type (market
or economic statistics); source (cash-, futures- or option markets-generated data or government and industry generated statistical
information), and the objective of the system (profiting from trends, mean reversion, trading-ranges or volatility). No single
approach will work all the time. Therefore, the Managing Owner's objective is to have several approaches operating simultaneously.
Since the early 1980s, the Managing Owner has selected multiple systems for each market.
34
When arriving at the portfolio allocation,
the Managing Owner seeks maximum diversification subject to liquidity and sector concentration constraints, and each market is
traded using a diversified (but generally not optimized for each particular market) set of trading systems. The markets traded
and allocations are reviewed at least monthly, although changes may occur more or less frequently. The following factors, among
others, are considered in constructing a universe of markets to trade for the Trust: profitability, liquidity of markets, professional
judgment, desired diversification, transaction costs, exchange regulations and depth of market. Once the universe of markets is
established, the Managing Owner's simulation and optimization techniques help determine which markets to include in the Trust's
portfolio. The current allocation to any market in the Trust's portfolio does not exceed 3% of total market exposure, measured
by risk allocation.
Risk is a function of both price level and
price volatility. The Managing Owner sizes the position in each market taking into account its measurement of risk based on price
level and volatility in that market. Market exposure is then managed by the position-sizing models which measure the risk in the
portfolio's position in each market. In the event the model determines that the risk has changed beyond an acceptable threshold,
it will signal a change in the position — a decrease in position size when risk increases and an increase in position size
when risk decreases. The Managing Owner's position-sizing models maintain overall portfolio risk and distribution of risk
across markets within designated ranges. The position-sizing model manages the position traded by each of the (directional) trading
systems discussed above. A secondary benefit of the position-sizing model can be timely profit taking. Because markets tend to
become more volatile after a profitable trend has been long underway, the position-sizing model often signals position reductions
before trend reversals.
In addition, the Managing Owner's
risk management focuses on money management principles applicable to the portfolio as a whole rather than to individual markets.
The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.
Additional money management principles applicable
to the portfolio as a whole include: (1) limiting the assets committed as margin or collateral, generally within a range of 5%
to 35% of an account's net assets, though the amount may at any time be higher or lower; (2) prohibiting pyramiding —
that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3)
changing the equity used for trading by an account solely on a controlled periodic basis, not automatically due to an increase
in equity from trading profits.
Another important risk management function
is the careful control of leverage or total portfolio exposure. Leverage levels are determined by simulating the entire portfolio
— all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed
level of leverage — over the past five or ten years to determine the portfolio's simulated risk and return characteristics
as well as the worst case experienced by the portfolio in the simulation period. The worst case, or peak-to-trough drawdown, is
measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the
daily high. If the Managing Owner considers the drawdown too severe or the portfolio's simulated volatility too high, it
reduces the leverage or total portfolio exposure. There are, however, no restrictions on the amount of leverage the Trust may use
at any given time.
The Managing
Owner
Millburn Ridgefield Corporation
The Managing Owner, Millburn Ridgefield
Corporation, is a Delaware corporation operating in Greenwich, Connecticut, organized in May 1982 to manage discretionary accounts
in futures and forward markets. It is the corporate successor to a futures trading and advisory organization which has been continuously
managing assets in the currency and futures markets using quantitative, systematic techniques since 1971. As of June 30, 2012,
the Managing Owner, together with its affiliates, was managing approximately $1.7 billion in currencies, financial and commodity
futures and other alternative strategies.
The value of the Managing Owner's
investment in the Trust as of June 30, 2012 was $9,137,935. As of the same date, the aggregate value of the Managing Owner's
principals' investments in the Trust was $437,854.
35
Background and Management
The Managing Owner has been registered with
the CFTC as a "commodity pool operator" since July 1, 1982 and as a "commodity trading advisor" since September
13, 1984 and has been a member of the National Futures Association ("NFA") since July 1, 1982.  The Managing Owner
is the successor to the trading advisory and commodity pool operator functions of Millburn Partners and CommInVest Research Limited
Partnership ("CommInVest"), which served as the general partners of various public commodity pools and both of which
are or were affiliates of The Millburn Corporation.  The Millburn Corporation, an affiliate of the Managing Owner operating
in New York, performs certain administrative and operating functions for the Managing Owner, including research, trade order entry,
technology, operations, marketing, accounting, tax, legal, compliance, human resources and administration services.  The Millburn
Corporation is compensated by the Managing Owner out of the Managing Owner's own funds and neither the Trust nor any Unitholder
bears any additional costs as a result of the arrangement between The Millburn Corporation and the Managing Owner.  Millburn
International, LLC ("Millburn International") was formed on November 18, 2010 and it and its subsidiaries and branch
office provide information regarding the Managing Owner and its strategies and certain investor services on behalf of the Managing
Owner in connection with the Managing Owner's international activities.  ShareInVest Research L.P. ("ShareInVest"),
an affiliate of the Managing Owner, managed U.S. small capitalization growth stock hedge funds and ceased operations as of December
31, 2007.  There have never been, nor are there pending or on appeal, any administrative, civil or criminal actions against
the Managing Owner or its principals or affiliates.
The registration of the Managing Owner with the CFTC must not be taken
as an indication that such agency has recommended or approved either the Managing Owner or the Trust.
The core of the Managing
Owner's business centers on its Systematic Futures & Currency Investment Process (the "Investment Process").
The Investment Process is overseen by the Managing Owner's Investment Committee, which is comprised of the Managing Owner's
senior principals. The Investment Process is supported by service providers from The Millburn Corporation that are responsible
for research, data management, system implementation, trade order entry and market intelligence. The Investment Process includes,
among other functions, system design, modeling and the Managing Owner's risk management. This Investment Process is responsible
for deploying portfolio risk across markets, strategies and models.
The Managing Owner was
among the first systematic money managers to begin building a comprehensive in-house computerized database of cleaned and time-stamped
pricing and market-related data pertaining to instruments traded by its funds. This database has been enhanced and updated continuously
since its introduction in 1975, but includes data from several decades before that time. Over the years, with advancements in software
and storage technology, the database has been expanded to include terabytes of tick and other data. The Managing Owner and The
Millburn Corporation utilize third-party software packages to collect this data efficiently and have developed several proprietary
software tools that they believe enhance their ability to filter the data and generate simulations, trading signals and new trading
models. Data robustness is supported by multiple data feeds from independent third party vendors and by the continuous back up
and redundancy of data between the two different geographical locations.
Other key components of
the Managing Owner's Investment Process include trade execution and market intelligence. Currently, most of the Managing
Owner's trades in the futures markets are executed electronically. The Managing Owner believes electronic trading has been
instrumental in making the trading operation more efficient and cost effective. The Millburn Corporation's experienced trading
team provides meaningful feedback to the research team which is critical in monitoring the markets (
e.g.
, liquidity, credit,
sovereign issues) and in the development of trading algorithms.
The Millburn Corporation's
back office infrastructure supports the Managing Owner's Investment Process. The infrastructure consists of legal, compliance,
fund accounting, tax, technology, marketing, human resources and administrative departments. The Managing Owner and The Millburn
Corporation have a strong focus on internal controls and risk management to ensure that all accounts are reconciled in a timely
manner. Portfolios are priced using independent pricing sources, assets are safeguarded at independent counterparties and there
is adequate separation of duties among employees. A suite of risk management tools is used to monitor various items such as counterparty
credit risk, liquidity in the markets traded, targeted risk levels, margin and performance attribution.
In addition to the back
office infrastructure provided by The Millburn Corporation, the Trust has engaged CACEIS (USA) Inc., a third-party asset servicing
provider (the "Verification Agent"), to, among other things, independently price the Trust's portfolio, or verify
the Managing Owner's valuations, verify the existence of assets, cash balances and counterparty balances, calculate counterparty
exposures, verify the Managing Owner's calculation of fees and allocations, verify the Managing Owner's calculation
of Net Assets and provide monthly reports related to the foregoing.  The agreement between the Trust and the Verification
Agent may be terminated by either party for cause or, after August 16, 2012, upon 90 days notice. The Trust reimburses the Verification
Agent for expenses that the Verification Agent incurs on the Trust's behalf and pays the Verification Agent a monthly fee
in arrears equal to the higher of: (1) 1/12 of 0.004% of the month-end Net Assets of the Trust and (2) $2,500. Such expenses and
fees are considered a part of the routine legal, accounting, administrative, printing and similar costs associated with the Trust's
day-to-day operations, which are not expected to exceed 0.30 of 1% of the Trust's average month-end Net Assets in any given
year, assuming Trust assets of $650,000,000.
36
Communication between
the Managing Owner and the Trust's investors is maintained by the investor services department, which provides investors
with insight into the trading methodology, current market conditions and performance of their investments.
The background of each of the principals
and senior officers of the Managing Owner and its affiliates who perform services on the Managing Owner's behalf is set forth
below. The principals of the Managing Owner responsible for investment decisions and/or business operations on behalf of the Trust
are Harvey Beker, George E. Crapple, Barry Goodman, Grant N. Smith, Gregg R. Buckbinder, Mark B. Fitzsimmons and Dennis B. Newton.
Harvey Beker, age
59.
Mr. Beker is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and Chief Executive Officer and Chairman
of The Millburn Corporation, and serves as a member of the Managing Owner's Investment Committee. He received a Bachelor
of Arts degree in economics from New York University ("NYU") in 1974 and a Master of Business Administration degree
in finance from NYU in 1975. From June 1975 to July 1977, Mr. Beker was employed by the investment bank Loeb Rhoades, Inc. where
he developed and traded silver arbitrage strategies. From July 1977 to June 1978, Mr. Beker was a futures trader at the commodities
and securities brokerage firm of Clayton Brokerage Co. of St. Louis. Mr. Beker has been employed by The Millburn Corporation since
June 1978 and initially served as the Director of Operations for its affiliate, Millburn Partners. During his tenure at the Managing
Owner (including its affiliates, Millburn Partners and CommInVest), he has been instrumental in the development of the research,
trading and operations areas. Mr. Beker became a principal of the firm in June 1982, and a partner in the predecessor to ShareInVest
in April 1982. Mr. Beker became registered as an Associated Person of the Managing Owner effective November 25, 1986. Additionally,
he became listed as a Principal and registered as an Associated Person of The Millburn Corporation effective February 8, 1984 and
May 23, 1989, respectively. He was also listed as a Principal and registered as an Associated Person of ShareInVest effective February
20, 1986 until February 25, 2007. Mr. Beker has also served as Co-Chairman of Millburn International since its inception.
George E. Crapple,
age 68.
Mr. Crapple is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and served in the same capacities
at The Millburn Corporation through May 31, 2011, and serves as a member of the Managing Owner's Investment Committee. In
1966, he graduated with honors from the University of Wisconsin where his field of concentration was economics and he was elected
to Phi Beta Kappa. In 1969, he graduated from Harvard Law School,
magna cum laude
, where he was an editor of the Harvard
Law Review. He was a lawyer with the law firm of Sidley Austin, Chicago, Illinois, from June 1969 until April 1, 1983, as a partner
since July 1975, specializing in commodities, securities, corporate and tax law. He was first associated with the Managing Owner
in June 1976 and joined the Managing Owner and The Millburn Corporation (including its affiliates, Millburn Partners and CommInVest)
on April 1, 1983 on a full-time basis. Mr. Crapple ceased his employment with The Millburn Corporation effective May 31, 2011.
He became a partner in ShareInVest in April 1984. Mr. Crapple is a Director, Member of the Executive Committee, Chairman of the
Appeals Committee and a former Chairman of the Eastern Regional Business Conduct Committee of the NFA, past Chairman of the Managed
Funds Association, a member of the Global Markets Advisory Committee of the CFTC and a member of the board of directors of the
Futures Industry Association. Mr. Crapple has also served as Co-Chairman of Millburn International since its inception. Mr. Crapple
became listed as a Principal and registered as an Associated Person of the Managing Owner effective September 13, 1984 and April
2, 1988, respectively. Additionally, he was listed as a Principal and registered as an Associated Person of The Millburn Corporation
effective April 9, 1981 and May 23, 1989, respectively, until May 31, 2011. He was also listed as a Principal and registered as
an Associated Person of ShareInVest effective February 20, 1986 until February 25, 2007.
Barry Goodman, age55.
Mr.
Goodman is Executive Vice-President and Director of Trading for the Managing Owner and The Millburn Corporation, and serves as
a member of the Managing Owner's Investment Committee. As Executive Vice President, Mr. Goodman also plays an integral role
in business and product development, and in the strategic direction of the firm as a whole. Mr. Goodman joined the Managing Owner
and The Millburn Corporation (including its affiliate, Millburn Partners) in November 1982 as Assistant Director of Trading. From
September 1980 through October 1982, he was a commodity trader at the brokerage firm of E. F. Hutton & Co., Inc. ("E.F.
Hutton"). At E.F. Hutton, he also designed and maintained various technical indicators and coordinated research projects
pertaining to the futures markets. Mr. Goodman graduated
magna cum laude
from Harpur College of the State University of
New York in 1979 with a B.A. in economics. He has been a featured speaker at industry events in the U.S., Europe and Asia. Mr.
Goodman has also served as President and a Director of Millburn International since its inception. Mr. Goodman became listed as
a Principal and registered as an Associated Person of the Managing Owner effective December 19, 1991 and May 23, 1989, respectively.
He also became listed as a Principal and registered as an Associated Person of The Millburn Corporation effective June 20, 1995
and April 5, 1989, respectively. He became a partner in ShareInVest in January 1994. Mr. Goodman was a listed Principal of ShareInVest,
effective May 19, 1999 until February 25, 2007.
37
Grant N. Smith, age 60.
Mr.
Smith is Executive Vice-President and Director of Research of the Managing Owner and The Millburn Corporation, and serves as a
member of the Managing Owner's Investment Committee. He is responsible for the design, testing and implementation of quantitative
trading strategies, as well as for planning and overseeing the computerized decision-support systems of the firm. He received a
B.S. degree from the Massachusetts Institute of Technology ("MIT") in 1974 and an M.S. degree from MIT in 1975. While
at MIT, he held several teaching and research positions in the computer science field and participated in various projects relating
to database management. He joined the predecessor entity to The Millburn Corporation in June 1975, and has been continuously associated
with the Managing Owner, The Millburn Corporation and their affiliates since that time. Mr. Smith has also served as a Director
of Millburn International since its inception, where he, along with the other Directors of Millburn International, is responsible
for its overall management. Mr. Smith became listed as a Principal and registered as an Associated Person of the Managing Owner,
effective December 19, 1991 and April 15, 2009, respectively. He became listed as a Principal and registered as an Associated Person
of The Millburn Corporation effective June 20, 1995 and May 21, 1992, respectively. Mr. Smith also became a partner in ShareInVest
in January 1994. He also was listed as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.
Gregg R. Buckbinder, age 53.
Mr. Buckbinder is Senior Vice-President and Chief Operating Officer of the Managing Owner and The Millburn Corporation. He joined
the Managing Owner and The Millburn Corporation in January 1998 from Odyssey Partners, L.P., an investment management firm, where
he was responsible for the operation, administration and accounting of the firm's merchant banking and managed account businesses
from July 1990 through December 1997. Mr. Buckbinder was employed by Tucker Anthony, a securities broker and dealer, from June
1985 to July 1990 where he was First Vice President and Controller, and from August 1983 to June 1984 where he designed and implemented
various operations and accounting systems. He was with the public accounting firm of Ernst & Whinney from June 1984 to June
1985 as a manager in the tax department and from September 1980 to August 1983 as a senior auditor, with an emphasis on clients
in the financial services business. Mr. Buckbinder graduated
cum laude
from Pace University ("Pace") in 1980
with a B.B.A. in accounting and received an M.S. in taxation from Pace in 1988. He is a Certified Public Accountant and a member
of the American Institute of Certified Public Accountants. Mr. Buckbinder has also served as Senior Vice President, Chief Operating
Officer and a Director of Millburn International since its inception. Mr. Buckbinder became listed as a Principal of the Managing
Owner effective February 5, 1999. He became listed as a Principal of The Millburn Corporation effective March 23, 1998. Mr. Buckbinder
became a partner in ShareInVest in January 2000. He was also listed as a Principal of ShareInVest effective February 28, 2001 until
February 25, 2007.
Steven M. Felsenthal, age 42.
Mr. Felsenthal is General Counsel and Chief Compliance Officer of the Managing Owner and The Millburn Corporation. Prior to joining
the Managing Owner and its affiliates in January 2004, Mr. Felsenthal was a senior associate in the investment management group
at the law firm of Schulte Roth & Zabel LLP (September 1999 - January 2004), where he represented and advised hedge funds,
registered investment companies, investment advisers, broker-dealers and banks in connection with all facets of their asset management
businesses, and a member of the tax department of the law firm of Kramer, Levin, Naftalis & Frankel LLP (October 1996 - September
1999). He graduated
cum laude
from Yeshiva University in 1991 with a B.A. in political science, and
order of the coif
from Fordham University School of Law in 1996, where he also served as an editor of the Fordham Environmental Law Journal. Mr.
Felsenthal received an LL.M degree in taxation from NYU School of Law in 2001 and has written and been quoted in numerous published
articles, and frequently speaks at conferences, on various topics related to investment management. Mr. Felsenthal is a member
of the New York State Bar (since August 1997), former Chairman of the hedge fund industry group Managed Funds Association ("MFA")
CPO/CTA Advisory Committee (November 2006 to June 2010) and is currently Co-Chairman of the Steering Committee of MFA's CPO/CTA
Forum (since June 2010), a member of the Editorial Board of the Journal of Securities Law, Regulation and Compliance (since February
2007) and a faculty member of the Regulatory Compliance Association's Chief Compliance Officer University (since May 2009).
Mr. Felsenthal has also served as General Counsel, Chief Compliance Officer and Secretary of Millburn International since its inception.
Mr. Felsenthal became listed as a Principal of the Managing Owner and The Millburn Corporation effective June 24, 2004. Mr. Felsenthal
also served as General Counsel and Chief Compliance Officer of ShareInVest.
38
Mark B. Fitzsimmons, age 65.
Mr. Fitzsimmons is a Senior Vice-President of the Managing Owner and served in the same capacity at The Millburn Corporation
until December 31, 2011. His responsibilities include both business development and investment strategy. He joined the Managing
Owner and its affiliates in January 1990 from the brokerage firm of Morgan Stanley & Co. Incorporated, a global financial services
firm, where he was a Principal and Manager of institutional foreign exchange sales and was involved in strategic trading for the
firm from October 1987 until January 1990. From September 1977 to October 1987, he was with the financial institution Chemical
Bank New York Corporation ("Chemical"), first as a Senior Economist in Chemical's Foreign Exchange Advisory Service
and later as a Vice-President and Manager of Chemical's Corporate Trading Group. While at Chemical he also traded both foreign
exchange and fixed income products. From September 1973 to September 1977, Mr. Fitzsimmons was employed by the Federal Reserve
Bank of New York, dividing his time between the International Research Department and the Foreign Exchange Department. He graduated
summa cum laude
from the University of Bridgeport, Connecticut in 1970 with a B.S. degree in economics. His graduate work
was done at the University of Virginia, where he received a certificate of candidacy for a Ph.D. in economics in 1973. Mr. Fitzsimmons
became listed as a Principal and registered as an Associated Person of the Managing Owner effective July 2, 1993, and April 15,
2009, respectively. Mr. Fitzsimmons was a listed Principal and registered Associated Person of The Millburn Corporation effective
June 20, 1995 and October 12, 1992, respectively, each until December 31, 2011. Mr. Fitzsimmons was a partner in ShareInVest beginning
in January 2000. He was also a listed Principal of ShareInVest effective May 19, 1999 until February 25, 2007.
Dennis B. Newton, age 60.
Mr. Newton is a Senior Vice-President of the Managing Owner and served in the same capacity at The Millburn Corporation through
July 1, 2011. His primary responsibilities are in administration and business development. Prior to joining the Managing Owner
and The Millburn Corporation in September 1991, Mr. Newton was President of Phoenix Asset Management, Inc., a registered commodity
pool operator from April 1990 to August 1991 and President of its affiliated introducing broker, Phoenix Futures Inc. ("Phoenix"),
from March 1990 to June 1991. Mr. Newton was listed as a Principal of Phoenix Asset Management, Inc. and Phoenix beginning in June
1990 and April 1990, respectively, and, although he left the firms in August 1991 and June 1991, respectively, his registration
as a Principal was not withdrawn until January 1992 and November 1992, respectively. Mr. Newton was registered as an Associated
Person of Phoenix from May 1990 until June 1991 and of Phoenix Asset Management, Inc. from May 1990 until January 1992 (although
he left the firm prior to that date, in August 1991). Prior to his employment with Phoenix, Mr. Newton was a Director of Managed
Futures with the brokerage firm of Prudential-Bache Securities Inc. ("Prudential-Bache") from October 1987 to March
1990 and was associated with its affiliated futures commission merchant entity, Prudential Securities Futures Management, Inc.
Until March 1990, he was registered as an Associated Person with Prudential Equity Group LLC (beginning in October 1987), and was
listed as a Principal of the commodity pool operator Seaport Futures Management, Inc. ("Seaport") (beginning in January
1989) and Prudential Securities Futures Management, Inc. (beginning in June 1989). Mr. Newton was a Director of Seaport, and his
responsibilities at Seaport, Prudential-Bache, Prudential Securities Futures Management, Inc. and Prudential Equity Group LLC included
the organization and marketing of public commodity pools. Mr. Newton joined Prudential-Bache from Heinold Asset Management, Inc.
("Heinold"), and its affiliated futures commission merchant, Heinold Commodities Inc., where he was a member of the
senior management team from October 1974 to October 1987. Heinold was a pioneer and one of the largest sponsors of funds utilizing
futures and currency forward trading. Mr. Newton was registered as an Associated Person (March 1981 - October 1987) of Heinold
Commodities Inc. Mr. Newton was registered as an Associated Person of Heinold beginning in January 1986 and was listed as a Principal
of Heinold beginning in February 1986. Although Mr. Newton left Heinold in October 1987, his registration as an Associated Person
and his listing as a Principal were not withdrawn until November 1987. Mr. Newton joined the Managing Owner as an Associated Person
in May 1991, and then joined the Managing Owner and its affiliates on a full-time basis in September 1991. Mr. Newton became listed
as a Principal and registered as an Associated Person and branch office manager of the Managing Owner effective May 14, 1997, May
30, 1991 and December 16, 1991, respectively. He also became listed as Principal of The Millburn Corporation effective May 5, 2004
until July 1, 2011.
Tod A. Tanis, age 58.
Mr.
Tanis is a Vice President and Principal Accounting Officer of the Managing Owner and The Millburn Corporation. He is responsible
for overseeing operations and accounting for the firm's commodity pools. He graduated from Grove City College in May 1976
with a B.A. in accounting and joined the Managing Owner and The Millburn Corporation in May 1983. Prior to joining the Managing
Owner and its affiliates, he was with the brokerage firm of E.F. Hutton, where he was a Manager from December 1982 to April 1983;
a Supervisor from August 1982 to December 1982; an International Accountant from April 1979 to August 1982; and a staff accountant
from June 1978 to April 1979. As a Supervisor at E.F. Hutton, he was responsible for supervising internal and external reporting
for the futures division. In December of 1982, he was promoted to Manager and continued his role in supervising internal and external
reporting. Mr. Tanis also served as a Junior Accountant and then International Staff Accountant with the brokerage firm of Merrill
Lynch & Company from September 1976 to May 1978. Mr. Tanis became listed as a Principal of the Managing Owner and The Millburn
Corporation effective July 14, 2004.
39
The Managing Owner shares with its affiliates
a staff of over 70, including the above-named individuals.
Past performance of the Units is set forth
on pages 20-23 hereof.
Trading Strategies in General
Forward and futures traders may generally
be classified as either systematic or discretionary. A systematic trader will generally rely to some degree on judgmental decisions
concerning, for example, which markets to follow and trade, when to liquidate a position in a contract that is about to expire
and how heavy a weighting a particular market should have in a portfolio. However, although these judgmental decisions may have
a substantial effect on a systematic trading advisor's performance, the trader relies primarily on trading programs or models
that generate trading signals. The systems used to generate trading signals themselves may be changed from time to time, but the
trading instructions generated by the systems are followed without significant additional analysis or interpretation. Discretionary
traders on the other hand — while they may use market charts, computer programs and compilations of quantifiable information
to assist them in making investment decisions — make investment decisions on the basis of their own judgment and trading
instinct, not on the basis of trading signals generated by any program or model.
The Managing Owner is a systematic trader.
In addition to being distinguished from
one another on the basis of whether they are systematic or discretionary traders, futures trading advisors are also distinguished
as relying on either technical or fundamental analysis, or on a combination of the two.
Technical analysis is not based on the anticipated
supply and demand of a particular commodity, currency or financial instrument. Instead, it is based on the theory that the study
of the markets themselves will provide a means of anticipating the external factors that affect the supply and demand for a particular
commodity, currency or financial instrument in order to predict future prices. Technical analysis operates on the theory that market
prices at any given point in time reflect all known factors affecting supply and demand for a particular commodity, currency or
financial instrument.
Fundamental analysis, in contrast, is based
on the study of factors external to the trading markets that affect the supply and demand of a particular commodity, currency or
financial instrument in an attempt to predict future prices. Such factors might include the economy of a particular country, government
policies, domestic and foreign political and economic events, and changing trade prospects. Fundamental analysis theorizes that
by monitoring relevant supply and demand factors for a particular commodity, currency or financial instrument, a state of current
or potential disequilibrium of market conditions may be identified that has yet to be reflected in the price level of that instrument.
Fundamental analysis assumes that the markets are imperfect, that information is not instantaneously assimilated or disseminated
and that econometric models can be constructed that generate equilibrium prices that may indicate that current prices are inconsistent
with underlying economic conditions and will, accordingly, change in the future.
The Managing Owner employs models analyzing
both technical and fundamental data, but is predominantly a technical trader.
The Managing Owner's Trading Strategy
Multiple Trading Systems
The Managing Owner makes trading decisions
pursuant to its investment and trading method, which includes technical trend analysis, certain non-traditional technical systems
(
i.e.
, systems falling outside of traditional technical trend analysis), and money management principles, which may be revised
from time to time. The objective of the Managing Owner's investment and trading method is to (i) use trend-following models
to participate in all major sustained price moves in the markets traded and (ii) simultaneously deploy shorter-term opportunistic
non-traditional models that may or may not take positions in the same direction as trend-following positions. The Managing Owner's
approach employs models that analyze data over a time spectrum from several minutes to multiple years. A majority of trades generated
by quantitative models may be unprofitable. Their objective is to make a few large profits, more than offsetting their numerous
but smaller losses. Consequently, during periods in which no major price trends develop in a market, trend-following models are
likely to incur substantial losses. Similarly, during periods when market behavior is unsuitable for non-traditional models, such
models are likely to incur substantial losses.
The Managing Owner is engaged in an ongoing
research effort to improve its trading methods and to apply its quantitative analytic expertise to new financial products.
Successful systematic futures trading depends
on several factors. Two of the main factors are development and selection of the trading systems used in each market, and allocation
of portfolio risk among the markets available for trading.
Market environments change over time, and
particular systems may perform well in one environment but poorly in another. Likewise, market sectors and individual markets go
through periods where systematic trading is very profitable and other periods where no system is able to generate any profits.
40
The goal of the Managing Owner's research
has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain
overall portfolio risk within a targeted range, while allowing exposure to profitable opportunities.
Over more than 40 years, the Managing Owner
has developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular market based on
the analysis of price movements in the market, some non-price information or a combination of both.
Of course, systems can be materially different
— better in some periods and worse in others. The main distinguishing features are: the time-frame over which systems work
(intra-day to long-term); the granularity of data fed into them (tick data to daily, weekly or monthly frequencies); type (market
or economic statistics); source (cash-, futures- or option markets-generated data or government and industry generated statistical
information), and the objective of the system (profiting from trends, mean reversion, trading-ranges or volatility). No single
approach will work all the time. Therefore, the Managing Owner's objective is to have several approaches operating simultaneously.
Since the early 1980s, the Managing Owner has selected multiple systems for each market.
When arriving at the portfolio allocation,
the Managing Owner seeks maximum diversification subject to liquidity and sector concentration constraints, and each market is
traded using a diversified (but generally not optimized for each particular market) set of trading systems. The markets traded
and allocations are reviewed at least monthly, although changes may occur more or less frequently. The following factors, among
others, are considered in constructing a universe of markets to trade for the Trust: profitability, liquidity of markets, professional
judgment, desired diversification, transaction costs, exchange regulations and depth of market. Once the universe of markets is
established, the Managing Owner's simulation and optimization techniques help determine which markets to include in the Trust's
portfolio. The current allocation to any market in the Trust's portfolio does not exceed 3% of total market exposure, measured
by risk allocation.
Risk Management
Risk is a function of both price level and
price volatility. For example, a 100,000 barrel crude oil position is worth more and is, therefore, probably more risky with oil
at $90 per barrel than with oil at $50 per barrel. Similarly, oil would be more risky if prices are moving in a 5% daily range
than if prices are moving in a 1% daily range. The Managing Owner sizes the position in each market taking into account its measurement
of risk based on price level and volatility in that market. Market exposure is then managed by the position-sizing models which
measure the risk in the portfolio's position in each market. In the event the model determines that the risk has changed
beyond an acceptable threshold, it will signal a change in the position — a decrease in position size when risk increases
and an increase in position size when risk decreases. The Managing Owner's position-sizing models maintain overall portfolio
risk and distribution of risk across markets within designated ranges. The position-sizing model manages the position traded by
each of the (directional) trading systems discussed above. A secondary benefit of the position-sizing model can be timely profit
taking. Because markets tend to become more volatile after a profitable trend has been long underway, the position-sizing model
often signals position reductions before trend reversals.
In addition, the Managing Owner's
risk management focuses on money management principles applicable to the portfolio as a whole rather than to individual markets.
The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.
Additional money management principles applicable
to the portfolio as a whole include: (1) limiting the assets committed as margin or collateral, generally within a range of 5%
to 35% of an account's net assets, though the amount may at any time be higher or lower; (2) prohibiting pyramiding —
that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3)
changing the equity used for trading by an account solely on a controlled periodic basis, not automatically due to an increase
in equity from trading profits.
Another important risk management function
is the careful control of leverage or total portfolio exposure. Leverage levels are determined by simulating the entire portfolio
— all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed
level of leverage — over the past five or ten years to determine the portfolio's simulated risk and return characteristics
as well as the worst case experienced by the portfolio in the simulation period. The worst case, or peak-to-trough drawdown, is
measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the
daily high. If the Managing Owner considers the drawdown too severe or the portfolio's simulated volatility too high, it
reduces the leverage or total portfolio exposure. There are, however, no restrictions on the amount of leverage the Trust may use
at any given time.
41
Decisions whether to trade a particular
market require the exercise of judgment. The decision not to trade certain markets for certain periods, or to reduce the size of
a position in a particular market, may result at times in missing significant profit opportunities.
The Managing Owner employs discretion in
the execution of trades where The Millburn Corporation's trader expertise plays a role in timing of orders and, from time
to time, the Managing Owner may adjust the size of a position, long or short, in any given market indicated by its systematic trading
strategies. This exercise of discretion (other than in trade execution) generally occurs only in response to unusual market conditions
that may not have been factored into the design of the trading systems and is generally intended to reduce risk exposure. Decisions
to make such adjustments also require the exercise of judgment and may include consideration of the volatility of the particular
market; the pattern of price movements, both inter-day and intra-day; open interest; volume of trading; changes in spread relationships
between various forward contracts; and overall portfolio balance and risk exposure.
With respect to the execution of trades,
the Managing Owner and The Millburn Corporation employees responsible for trade order entry may rely to an extent upon the judgment
of others, including dealers and bank traders. No assurance is given that it will be possible to execute trades regularly at or
near the desired buy or sell point.
The trading method, systems and money management
principles utilized by the Managing Owner are proprietary and confidential. The foregoing description is general and is not intended
to be complete.
Use Of
Proceeds
The entire proceeds of this offering of
the Units will be used by the Trust to engage in its trading activities and as reserves to support that trading.
The Trust will deposit its assets in cash
with the Trust's clearing brokers and other futures clearing brokers to be used as margin, in accounts established in the
name of the Trust at major U.S. banks and with its foreign exchange counterparties. The assets deposited as margin with the clearing
brokers will be held in "customer segregated funds accounts" or "foreign futures and foreign options secured
amount accounts," as required by the Commodity Exchange Act and CFTC regulations. In general, the Managing Owner expects
that approximately 3% to 13% of the Trust's assets will be held in customer segregated funds and approximately 3% to 13%
will be held in foreign futures and options secured amount accounts. Assets held in customer segregated funds accounts and foreign
futures and options secured amount accounts will be held in cash or in U.S. Treasury instruments approved by the CFTC for the investment
of customer segregated funds. In general, the Managing Owner expects that approximately 70% to 85% of the Trust's assets
will be held in bank, U.S. government securities and related instrument money market fund or custody accounts opened in the Trust's
name, although the actual level may vary from time to time. Assets held in these accounts will be held primarily in interest-bearing
deposits or in U.S. Treasury instruments and/or Government Agency and related instruments. However, any interest actually earned
may be nominal as a result of the historically low interest rates currently available.
The Trust will trade in the forward currency
and may trade in swap markets. The Trust will deposit assets with its currency forward and swap counterparties in order to initiate
and maintain its currency forward and swap contracts, primarily with Morgan Stanley & Co., LLC, Deutsche Bank AG and Barclays
Bank PLC which serve as the Trust's prime brokers in connection with the Trust's foreign currency forward contract
transactions. Such assets will be held in U.S. Treasury instruments or in cash, for which the Trust will receive an interest credit
at short-term rates. The foreign exchange and swap counterparties may receive a benefit as a result of the deposit of such cash
in the form of a reduction in their outstanding overnight borrowings, despite such cash belonging to the Trust, not the counterparties.
Approximately 3% to 12% of the Trust's assets will be held, in the Trust's name, in cash or U.S. Treasury instruments
in accounts in the U.S., with foreign exchange and swap counterparties. These accounts are not subject to the segregation regulations
of the CFTC and thus may offer less protection than segregated funds accounts in the event of the bankruptcy of a foreign exchange
or swap counterparty.
On an ongoing basis, the Managing Owner
anticipates that the Trust will be able to earn interest on approximately 90% of its daily Net Assets. The Managing Owner will
not receive any interest income earned on the approximately 10% of the Trust's Net Assets which do not earn interest for
the Trust.
Under current margin requirements, the Managing
Owner expects the Trust's average margin to equity ratio, including collateral held by foreign exchange and swap counterparties,
to be approximately 5% to 35% of the Trust's assets. However, margin requirements vary from time to time, and the Trust
is not limited in the amount of leverage it may use at any one time.
The Managing Owner does not anticipate making
any distributions of Trust profits.
The Trust will not lend any of its assets
to any person or entity other than through permitted securities investments. The Managing Owner will not commingle the property
of the Trust with the property of any other person or entity in violation of law.
42
Charges
The Managing Owner believes that you should
consider the charges to which the Trust is subject when making your investment decision.
Charges Paid by the Trust
Recipient
Nature of Payment
Amount of Payment
The Managing Owner
Brokerage Fee
Series 1 Units only:
7% annually, paid as a monthly fee of 0.5833 of 1% of the Trust's month-end Net Assets attributable to Series 1 Units before accruals for unpaid Brokerage Fees or Series 1 Profit Shares. The Managing Owner will, in turn, pay all the routine costs of executing and clearing the Trust's trades and all selling commissions due to the Selling Agents. During 2011, the Trust incurred $54,834,417 in Brokerage Fees that were paid and accrued to the Managing Owner.
Persons who invest $100,000 or more in the Series 1 Units pay annual Brokerage Fees at reduced rates. This reduction has no effect on other investors.
Management Fee
Series 2 Units and Series 3 Units only:
2% annually, paid as a monthly fee of 0.166 of 1% of the Trust's month-end Net Assets attributable to Series 2 Units and Series 3 Units before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares. During 2011, the Trust incurred $571,739 in management fees that were paid and accrued to the Managing Owner.
Custodial Fee
Series 2 Units only:
0.25% annually, paid as a monthly fee of 0.0208 of 1% of the Trust's month-end Net Assets attributable to Series 2 Units, before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing Owner will pay on to broker-dealers serving as custodians of the Series 2 Units. During 2011, the Trust incurred $512 in custodial fees.
Executing, Clearing Brokers and Others
Round-Turn Brokerage and Electronic Trading Platform Fees
Series 2 Units, Series 3 Units and Series 4 Units only:
Actual costs of executing and clearing the Trust's futures trades and actual electronic platform trading costs attributable to Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.30% of the Trust's average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2011, the Trust incurred $64,537 in round-turn brokerage and electronic trading platform fees attributable to the Series 2 Units, Series 3 Units and Series 4 Units.
Forward and Swap
Counterparties/Prime Brokers
"Bid-ask" Spreads, Prime Brokerage Fees
"Bid-ask" spreads are not actually fees but are dealer profit margins incorporated into forward and swap contract pricing. They are, therefore, unquantifiable.  The Managing Owner, not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.002% of the Trust's average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units.  During 2011, approximately 93% of the Trust's currency forward contracts were not subject to such prime brokerage fee.
43
The Managing Owner
Annual Profit Share
Series 1 Units:
20% of any New Trading Profit attributable
        to Series 1 Units, excluding interest income and after reduction for Brokerage Fees and ongoing offering and administrative costs.
Series 2 Units and Series 3 Units:
20% of any aggregate
        New Trading Profit attributable to Series 2 Units and Series 3 Units, excluding interest income and after reduction for management
        fees (attributable to Series 2 Units and Series 3 Units), executing and clearing costs (attributable to Series 2 Units and Series
        3 Units), custodial fees (attributable to Series 2 Units) and ongoing offering and administrative costs.
During 2011, the Trust allocated $1,385 of Profit Share to the
        Managing Owner.
Others
Trustee fees, legal, accounting, printing, postage and other offering and administrative costs
As incurred; not expected to exceed 0.35 of 1% of average month-end Net Assets annually.  During 2011, the Trust incurred $2,158,133 in administrative expenses.
Others
Extraordinary charges
Actual payments to third parties; expected to be negligible.
Flat-Rate Brokerage Fees — Series 1 Units
The Trust will pay the Managing Owner a
flat-rate annual Brokerage Fee equal to 7% of the average month-end Net Assets attributable to the Series 1 Units after reduction
for expenses but before reduction for any accrued but unpaid Brokerage Fees or Profit Shares.
The Managing Owner, not the Trust, will
pay all routine costs of executing and clearing the Trust's futures trades attributable to the Series 1 Units. These costs
include the brokerage commissions paid to the clearing brokers, electronic trading platform fees, and NFA transaction fees described
below.
The Trust's expenses must be offset
by trading gains and interest income to avoid depletion of the Trust's assets.
The Managing Owner pays up to 4% to the
Selling Agents in respect of the Series 1 Units sold by the Selling Agents. The amount paid to Selling Agents will not, however,
exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant to this Prospectus. Once the 9.5% threshold is reached
with respect to a Series 1 Unit, the Selling Agent will receive no future compensation and the up to 4% amount that would otherwise
be paid to the Selling Agent for that Series 1 Unit will instead be rebated to the Trust for the benefit of all holders of Series
1 Units.
The balance of the Brokerage Fees in respect
of Series 1 Units, after payment of compensation to the Selling Agents (or after rebating to the Trust amounts which would otherwise
have been paid to the Selling Agents but for the cap on such compensation) will be retained by the Managing Owner. The amount of
the Brokerage Fee retained per Series 1 Unit by the Managing Owner is estimated to be approximately 2.75% of the average month-end
Net Asset Value per Series 1 Unit per year,
i.e.
, the 7% Brokerage Fee received less (i) the up to 4% amount paid as selling
commissions or otherwise rebated to the Trust and (ii) the estimated 0.25% per annum paid out in execution costs.
Brokerage Fee Differentials
If you subscribe for Series 1 Units in the
amount of $100,000, $500,000 or $1,000,000 or more, you will be subject to Brokerage Fees of 6.5%, 6% and 5.5%, respectively.
If your Series 1 Units are subject to reduced
Brokerage Fees, rather than actually being charged the reduced amount, your Series 1 Units will be charged the same 7% Brokerage
Fee as those of other investors. However, the Managing Owner will rebate to you the difference between the 7% Brokerage Fee and
the reduced Brokerage Fee to which you are subject. This rebate will be in the form of additional Series 1 Units, calculated to
three decimal places and issued at the then current Series 1 Unit Net Asset Value. Accordingly, the Net Asset Value of your investment
in the Trust will reflect the reduced Brokerage Fee applicable to your Series 1 Units and a somewhat higher Profit Share as a result
of the lower Brokerage Fee. The Managing Owner uses this rebate procedure to maintain a uniform Net Asset Value across all Series
1 Units.
44
The level of the Brokerage Fees you pay
will be determined by taking into account the net investments you make —
i.e.
, subscriptions minus redemptions. Thus,
if you first invest $50,000 in the Series 1 Units, you will qualify for reduced Brokerage Fees upon a subsequent investment of
$50,000, even if your original investment has lost value.
If, immediately after you redeem Series
1 Units, your aggregate net investment is less than $1,000,000, $500,000, or $100,000, you will no longer qualify for the level
of reduced Brokerage Fee you were paying. If you make a subsequent investment, you will again qualify for reduced Brokerage Fees
at the former level if the amount of the investment, plus the amount of your remaining net capital contributions — that is,
subscriptions minus redemptions, assuming redemptions to be made first from profits, not capital contributions — equals or
exceeds the relevant break point.
Management Fees — Series 2 Units and Series 3 Units
The Trust will pay the Managing Owner an
annual management fee equal to 2% of the average month-end Net Assets attributable to the Series 2 Units and Series 3 Units after
reduction for expenses but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares.
Round-Turn Brokerage Fees — Series
2 Units, Series 3 Units and Series 4 Units
The Trust, not the Managing Owner, will
pay the actual costs of executing and clearing the Trust's futures trades attributable to Series 2 Units, Series 3 Units
and Series 4 Units, estimated at approximately 0.25% of the Trust's average month-end Net Assets per year attributable to
the Series 2 Units, Series 3 Units and Series 4 Units. The costs of executing and clearing the Trust's futures trades attributable
to Series 2 Units, Series 3 Units and Series 4 Units will be borne by the Series 2 Units, Series 3 Units and Series 4 Units, respectively,
not by the Trust as a whole.
The costs of executing and clearing the
Trust's futures trades include brokerage commissions paid to the clearing brokers and electronic trading platform fees, as
both are described below, and NFA transaction fees of $0.02 per round-turn trade of a futures contract and $0.01 for each trade
of a commodity option executed on a U.S. exchange.
The Managing Owner has negotiated brokerage
rates with the clearing brokers ranging from approximately $2.00 to approximately $15.00 per round-turn trade, including all
related exchange and regulatory fees. Commissions on some foreign exchanges are somewhat higher. Electronic trading platform fees
for futures range from $0.15 to $0.25 per contract, depending upon the futures trading volume. At these rates, and including
the foreign currency prime broker fees described below, the Managing Owner estimates the Trust's aggregate execution and
clearing costs borne by the Series 2 Units, Series 3 Units and Series 4 Units will be approximately 0.25% of average month-end
Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units per year. The Managing Owner does not receive
any portion of the commissions paid to the clearing brokers.
Custodial Fees — Series 2 Units
The Trust will pay the Managing Owner a
custodial fee equal to 0.25% of the average month-end Net Assets attributable to the Series 2 Units, after reduction for expenses
but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing
Owner will pay on to brokers acting as custodian of Series 2 Units for the benefit of investors in Series 2 Units. The custodial
fee expense will be borne by the Series 2 Units, not by the Trust as a whole.
The maximum amount of custodial fees paid
to brokers that serve as custodians of Series 2 Units will not exceed 3.1667% of the gross offering proceeds of the Series 2 Units
sold pursuant to this Prospectus. Once the maximum threshold is reached with respect to a Series 2 Unit, the broker serving as
custodian for such Series 2 Unit will receive no future payment of custodial fees and the 0.25% amount that would otherwise be
paid to the custodian for that Series 2 Unit will instead be rebated to the Trust for the benefit of all holders of Series 2 Units.
"Bid-Ask" Spreads
Currency dealers trade with a spread between
the price at which they are prepared to buy or sell a particular currency. These "bid-ask" spreads are not actually
fees but, rather, represent a profit margin to the dealer for making a market in the currency. The Managing Owner cannot quantify
the amount of dealer profit that is embedded in a price quoted by a dealer, but the Managing Owner believes that the Trust will
effect its currency transactions at prevailing market prices. Because the Trust will buy currency at the offer price and sell it
at the bid price, the Trust, not the Managing Owner, will pay the dealer spreads. Dealer profit from the Trust's currency
trading may, over time, be substantial. Moreover, if the Trust trades swaps, banks and other dealers charge a "spread"
between "bid" and "ask" prices, reflecting their profit on the transaction. In addition, the Managing Owner,
not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately
$4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the
Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker
or away from the prime broker, approximately $4-$8 in prime brokerage fees per $1 million of currency forward contracts facilitated
on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, such prime brokerage fees to be an
expense borne by the Series 2 Units, Series 3 Units and Series 4 Units, not the Trust as a whole. Prime brokerage fees borne by
the Series 2 Units, Series 3 Units and Series 4 Units are estimated at approximately 0.002% of the Trust's average month-end
Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2011, approximately 93% of the
Trust's currency forward contracts were not subject to such prime brokerage fee.
45
20% Profit Share Based on "High Water Mark" New
Trading Profit
The Trust pays the Managing Owner a Series
1 Profit Share equal to 20% of any cumulative New Trading Profit recognized by the Series 1 Units as of the end of each calendar
year. The Trust pays the Managing Owner a Series 2/3 Profit Share equal to 20% of any cumulative New Trading Profit recognized,
in the aggregate, by the Series 2 Units and the Series 3 Units as of the end of each calendar year. New Trading Profit is any cumulative
Trading Profit in excess of the highest level — the "High Water Mark"—of cumulative Trading Profit as of
any previous calendar year-end. Trading Profit includes (1) realized trading profit (loss) plus or minus (2) the change in unrealized
trading profit (loss) on open positions as of the previous calendar year-end. New Trading Profit in respect of Series 1 Units is
calculated after payment of the monthly Brokerage Fee and ongoing offering and administrative expenses. New Trading Profit in respect
of Series 2 and Series 3 Units is calculated after payment of the monthly management fee, execution and clearing costs, custodial
fees, and ongoing offering and administrative expenses. For purposes of determining the Unit Net Asset Value and for allocating
Profit Shares in respect of Units redeemed as of a date other than December 31, the Profit Share is accrued, and the accruals are
reversed to reflect losses, on a monthly basis. Trading Profit does not include interest earned on the Trust's assets. Profit
Shares previously paid do not reduce New Trading Profit. That is, the Managing Owner does not have to "earn back" its
Profit Shares in order to produce New Trading Profit.
For example, assume that at the end of the
first year of trading the Series 1 Units had, after payment of monthly Brokerage Fees and ongoing offering and administrative costs,
a realized profit of $50,000 on its closed positions and an unrealized profit of $150,000 on open positions. Series 1 Trading Profit
would equal $200,000 and 20%, or $40,000, would be allocated as a Series 1 Profit Share. Assume that during the second calendar
year, again after payment of monthly Brokerage Fees and ongoing offering and administrative costs, the Series 1 Units had realized
profits of $60,000 and a decrease in the unrealized profits on its open positions of $50,000. Cumulative Series 1 New Trading Profit
would have increased to $210,000 ($200,000 + $60,000 —$50,000), and 20% of $10,000, or $2,000, would be allocated as a Series
1 Profit Share. Now assume that during the third year, again after payment of monthly Brokerage Fees and ongoing offering and administrative
costs, the Series 1 Units incurred realized losses of $150,000 and a decrease in the unrealized profit on its open positions of
$100,000. Series 1 Trading Profit would have decreased as of the end of such year to $(40,000) ($210,000 — $150,000 —
$100,000), and no Series 1 Profit Share would be paid. The Managing Owner would retain the $42,000 already paid as Series 1 Profit
Shares but would not receive additional Series 1 Profit Shares until cumulative Series 1 New Trading Profit exceeded $210,000 as
of a year-end.
Redemption of Units will result in a proportional
decrease in any loss carryforward — since the last calendar year-end as of which a Profit Share was paid — as of the
date of redemption. Redemption of Units at a time when there is accrued New Trading Profit will result in a proportional Profit
Share allocation to the Managing Owner.
Series 4 Units, which are available only
to employees and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation
401(k) and Profit Sharing Plan, are not subject to the Managing Owner's Profit Share.
Offering Expenses
The Trust pays all offering costs of the
Units, including registration and filing fees and the legal and accounting costs of updating this Prospectus and printing and postage
costs associated with producing and distributing this Prospectus and related sales literature to the Selling Agents, as well as
payments to administrators for processing subscription agreements. The Managing Owner may pay certain of these costs and, if so,
will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs are unexpectedly high,
the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement. The offering costs of the Trust will
not exceed 1.25% of the gross offering proceeds of the Units. When added to selling compensation discussed herein, the "organizational
and offering expenses" of the Trust, as defined by Rule 2310 of the Financial Industry Regulatory Authority, Inc. ("FINRA"),
will not exceed 11.25% of the gross offering proceeds of the Units.
46
Administrative Expenses
The Trust pays all routine legal, accounting,
administrative (including, if applicable, the services of an administrator unaffiliated with the Managing Owner), printing and
similar costs associated with its day-to-day operations, including the Trustee's fees and the Valuation Agent's fees.
The Managing Owner estimates such costs will not exceed 0.30 of 1% of the Trust's average month-end Net Assets in any given
year, assuming Trust assets of $650,000,000, and, when aggregated with the offering costs described above, are not expected to
exceed 0.35 of 1% of the Trust's average month-end Net Assets in any given year. The Managing Owner may pay certain of these
costs and, if so, will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs
are unexpectedly high, the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement.
Extraordinary Expenses
The Trust is responsible for the taxes,
if any, imposed on the Trust itself. The Trust is required to pay any extraordinary charges incidental to its trading, for example,
insurance or delivery expenses. The Managing Owner expects that any such charges will be negligible.
Charges Paid by the Managing Owner
Selling Commissions
The Managing Owner pays, from its own funds,
the Selling Agent's selling commissions in connection with the sale and distribution of the Series 1 Units. The Managing
Owner will also pay, from its own funds, any sales commissions or compensation due Selling Agents in connection with the sale of
the Series 2 Units and Series 3 Units.
Charges Paid by Certain Investors
Redemption Charges
Redemption charges, described below, apply
through the first eleven months after a Series 1 Unit is issued. Redemption charges reduce the amount of your redemption proceeds.
Redemptions;
Net Asset Value
Redemption Procedure
The Trust is intended as a medium- to long-term
investment, which the Managing Owner construes to mean at least a 3-5 year period. However, you may redeem Units as of the close
of business on the last day of any calendar month. You must give at least 10 days' prior written notice to the Managing Owner
of your intent to redeem.
If you redeem Series 1 Units on or before
the end of the first consecutive six-month and five-month periods after you buy such Series 1 Units, you will pay redemption charges
of 4% and 3%, respectively, of your redeemed Series 1 Units' Net Asset Value as of the date of redemption. Series 1 Units
are considered sold, for purposes of determining whether redemption charges apply, on the closing date — the first day of
the month —of the investment, not the day subscriptions are received or accepted. If your subscription is in the amount of
$100,000, $500,000 or $1,000,000 or more, your redemption charges will be 3.5% and 2.5%, 3% and 2%, and 2.5% and 1.5%, respectively.
Redemption charges are paid to the Managing Owner. Series 1 Units purchased on different closing dates are treated on a "first-in,
first-out" basis for purposes of calculating the periods to which redemption charges apply and for purposes of determining
the 9.5% threshold for Selling Agent fees.
All additional Series 1 Units issued to
subscribers subject to reduced Brokerage Fees will, for redemption purposes, be deemed all to have been issued as of the same issue
date as the longest outstanding Series 1 Units held by the particular Unitholder. In the event that Series 1 Units are sold at
an intra-month closing date, the end of such month will constitute the first of the eleven month-ends as of which such redemption
charges are due.
Series 2 Units, Series 3 Units and Series
4 Units are not subject to redemption charges.
The Managing Owner may declare additional
redemption dates upon notice to the Unitholders and may, in unusual circumstances, permit certain, or all, Unitholders to redeem
as of dates other than month-end.
Unitholders may redeem any whole number
of Units.
Fractional Units may be redeemed only upon
redemption of a Unitholder's entire remaining interest in the Trust.
A form of Request for Redemption is attached
to the Fourth Amended and Restated Declaration of Trust and Trust Agreement (the "Declaration of Trust") as an Annex.
All requests for redemption will be honored
and payment will be made within 15 business days of the month-end redemption date. The Managing Owner will make arrangements with
Selling Agents who so request to pay redemptions through crediting Unitholders' customer securities accounts with such Selling
Agents. In the unlikely event a market disruption that results in the closing of financial markets in the U.S. or abroad makes
it impossible or impracticable to value the Units or liquidate Trust assets, redemptions may be suspended or payment of redemption
proceeds may be delayed. Unitholders will be notified by telephone or first-class mail if redemptions are suspended or if redemption
payments will be delayed due to such a market disruption.
47
Investments by the Managing Owner, other
than its required investment in the Trust, may be redeemed on the same terms as the Units.
Net Asset Value
Net Assets are determined in accordance
with generally accepted accounting principles of the U.S. and include unrealized profits as well as unrealized losses on open commodity
positions. Net Assets include the sum of all cash, U.S. Treasury instruments or other fixed-income instruments, valued at market,
the liquidating value, or cost of liquidation, of all futures, forward and options positions and the fair market value of all other
assets of the Trust, less all liabilities of the Trust, including accrued liabilities, irrespective of whether such liabilities,
such as Profit Shares, may, in fact, never be paid. If a contract cannot be liquidated on a day with respect to which Net Assets
are being determined, the settlement price on the next day on which the contract can be liquidated will be the basis for determining
the liquidating value of such contract, or such day, or such other value as the Managing Owner may deem fair and reasonable.
The Net Asset Value of a Unit of a particular
Series refers to the Net Assets allocated to the aggregate capital accounts of the Units of such Series divided by the number of
outstanding Units of such Series.
The Clearing
Brokers
The Trust utilizes the services of various
clearing and executing brokers in connection with its futures trading. The Managing Owner currently intends to clear trades through
J.P. Morgan Securities LLC, Deutsche Bank Securities Inc., Merrill Lynch, Pierce, Fenner & Smith Incorporated, Newedge USA,
LLC, Barclays Capital Inc. and Credit Suisse Securities (USA) LLC but may execute or clear some or all of the Trust's trades
through other brokerage firms without notice to the Unitholders (the "Clearing Brokers"). The Managing Owner may execute
or clear trades through brokerage firms which are also Selling Agents.
The Customer Agreements among the clearing
brokers, the Managing Owner and the Trust generally provide that the clearing brokers will not be liable to the Trust except for
gross negligence, willful misconduct or bad faith and, in the case of trades executed as well as cleared by the clearing brokers,
for errors in such execution.
Although J.P. Morgan Securities LLC ("JPMS"),
as a large futures commission merchant ("FCM") and broker dealer, has been subject to regulatory disciplinary matters
involving sizeable fines or other sanctions, as of the date hereof neither the firm nor any of its principals has been the subject
of any material administrative, civil or criminal action, including any action that has been pending, on appeal, or concluded within
the last five years, except as follows:
J.P. Morgan Futures Inc. ("JPMFI")
merged with and into JPMS on June 1, 2011. In 2009, JPMFI agreed to pay a Civil Monetary Penalty of $300,000 in connection with
the CFTC finding that JPMFI violated the Commodity Exchange Act and CFTC Regulations.  The violations concerned rules governing
segregation of customer funds, timely computation of segregation obligations, timely reporting of an under segregation deficiency
to the CFTC and diligent supervision of its employees.  The CFTC also indicated that JPMFI did not have a process in place
to determine the impact of expected withdrawals from the segregated accounts on the amount required to be kept in segregation,
and that JPMFI, as required by the CFTC, has enhanced existing procedures by implementing a segregation forecasting process to
ensure that proper segregation is maintained.
In 2007, JPMFI maintained accounts for customer
funds (segregated accounts) and kept its own funds in separate accounts. During this time, JPMFI processed transactions related
to the delivery of Treasury notes that resulted in JPMFI's segregated accounts being insufficiently funded on one business
day by approximately $750 million. This resulted in JPMFI drawing upon customer segregated funds beyond its actual interest, which
caused customer funds to be commingled with JPMFI's funds.
The CFTC's 2009 Order did not make
any findings indicating that JPMFI being under segregated caused any losses to customers.  Additionally, the CFTC indicated
that the securities JPMFI held were sufficient,  had they been moved to a segregated account on the day in question, to allow
JPMFI to maintain proper funding of its segregated bank accounts.
48
On October 27, 2009, JPMS submitted an Offer
of Settlement to the SEC. In the Offer of Settlement, JPMS agreed to consent to the entry of the Order, without admitting or denying
the findings contained therein (other than those relating to jurisdiction). The SEC Order was issued on November 4, 2009. The case
involved claims that JPMS did not disclose in official statements or offering memoranda payments by JPMS to local broker dealers
and consultants in connection with $5 billion in bond underwriting and interest rate swap agreement business awarded to JPMS. The
Order censured JPMS, required that JPMS cease-and-desist from committing or causing any violations or future violations of Section
17(a)(2) and (3) of the Securities Act of 1933, Section 15B(c)(1) of the Securities Exchange Act of 1934 and Municipal Securities
Rulemaking Board Rule G-17, and required that JPMS pay disgorgement of $1 and a civil money penalty of $25 million. The disgorgement
and civil money penalty were paid on November 9, 2009. The Order also reflected JPMS's undertaking to (a) make a $50 million
payment to and for the benefit of Jefferson County, Alabama, for the purpose of assisting displaced County employees, residents
and sewer ratepayers, and (b) terminate any and all obligations of the County to make any payments to JPMS's affiliated commercial
bank arising from the termination of certain swap agreements with the County. The payment to and for the benefit of Jefferson County,
Alabama was paid on November 9, 2009, and the payment obligations of the County to JPMS's affiliated commercial bank were
terminated on November 4, 2009.
On June 2, 2009, J.P. Morgan Chase &
Co. ("J.P. Morgan"), on behalf of itself and its affiliates, including JPMS, agreed to a settlement in principle with
the New York Attorney General's Office ("NYAG"), which provided, among other things, that J.P. Morgan would offer
to purchase at par certain auction-rate securities ("ARS") purchased from JPMS by individual investors, charities and
small- to medium-sized businesses. On June 4, 2009, J.P. Morgan also agreed to a substantively similar settlement in principle
with the Office of Financial Regulation for the State of Florida and the North American Securities Administrators Association ("NASAA")
Task Force, which agreed to recommend approval of the settlement to all remaining states, Puerto Rico and the U.S. Virgin Islands.
The settlement agreements with the NYAG and the Office of Financial Regulation for the State of Florida have been finalized. The
regulators alleged  that JPMS misrepresented the nature, liquidity and risk of the ARS it sold, and that in February 2008,
JPMS stopped uniformly supporting auctions for which it acted as the sole or lead broker, leaving certain investors holding long-term
securities that could not be sold at par value.  JPMS neither admitted nor denied the facts alleged by the regulators and
the settlement agreements provide for the payment of penalties totaling $25 million.  J.P. Morgan is currently in the process
of finalizing consent agreements with NASAA's member states.
On June 21, 2011, the SEC filed a Complaint
in the U.S. District Court for the Southern District of New York pursuant to a settlement agreement with JPMS resolving an inquiry
concerning the structuring and sale of certain mortgage related collateralized debt obligations ("CDO").  The
Complaint alleges that JPMS negligently failed to disclose in the offering documents for Squared CDO 2007-1 that an institutional
investor that purchased the subordinated notes in the CDO, and purchased protection on a substantial portion of the collateral,
played a significant role in the collateral selection process.  Without admitting or denying the allegations of the SEC's
complaint, JPMS consented to entry of a judgment that (i) enjoins JPMS from violating Section 17(a)(2) and (3) of the Securities
Act of 1933, (ii) orders JPMS to pay $18.6 million in disgorgement, $2 million in prejudgment interest and a $133 million penalty,
and (iii) orders JPMS to comply with certain undertakings relating to its future offerings of Residential Mortgage Backed Securities
("RMBS").
The SEC, the U.S. Department of Justice
("USDOJ"), the IRS, the Office of the Comptroller of the Currency ("OCC"), the Board of Governors of the
Federal Reserve System and 25 State Attorneys General (collectively, the "Agencies") conducted investigations into
manipulation of the sales and bidding processes on certain municipal derivative transactions in or prior to 2006 by certain former
employees of JPMS at its former municipal derivatives desk. On July 7, 2011, JPMS and/or certain of its affiliates entered into
settlements with the Agencies, as a result of which JPMS and/or certain of its affiliates will pay a total amount of $211.2 million
as follows: $50 million to the IRS; $51.2 million in connection with its agreement with the SEC; $35 million in connection with
its agreement with the OCC; and $75 million in connection with its agreement with the State Attorneys General.  Of those funds,
$129.7 million will be eligible for distribution to municipalities and other tax-exempt issuers.  JPMS and/or certain of its
affiliates also consented to various undertakings, including the implementation of enhanced compliance measures.
On March 8, 2012, the CFTC issued an order
filing and simultaneously settling charges against JPMS for prearranging a trade involving ten year U.S. Treasury Note Futures
spreads on the Chicago Board of Trade. The order found that on a single occasion in 2010, before the merger of JPMFI with and into
JPMS, a customer directed a JPMFI employee to sell a certain number of ten year Treasury spreads on its behalf and to look for
any "all or nones" against which to sell those spreads. An "all or none" order must be filled in its entirety.
According to the order, the JPMFI employee subsequently identified an all or none bid for the exact same amount as the sell order
and then sold against that bid, with the result being that the same customer was on both sides of the transaction. The order found
that JPMFI, through its employee, confirmed the execution of a prearranged trade, and that such trade was both noncompetitively
executed and a fictitious sale, in violation of Commodity Exchange Act Section 4c(a)(1) and CFTC Regulation 1.38(a). The order
required JPMS to pay a civil monetary penalty of $140,000, cease and desist from further violations of the Commodity Exchange Act
and CFTC Regulations, and undertake all necessary steps to ensure that all employees and/or agents under its authority or control
understand and comply with the order.
49
A portion of the Trust's futures transactions
are cleared through Deutsche Bank Securities Inc. ("DBSI"). DBSI has its main business office located at 60 Wall Street,
New York, New York 10005, U.S.A., and is an indirect wholly owned subsidiary of Deutsche Bank AG. DBSI is registered with the CFTC
as an FCM and is a member of the NFA in such capacity.  DBSI is also a U.S.-registered broker-dealer. In the ordinary course
of its business, DBSI is involved in numerous legal actions, some of which seek significant damages.
DBSI
believes, based on information available to it, that the resolution of the following matters will not have a material adverse effect
on the financial condition of DBSI. The actions against DBSI as of December 31, 2011 include but are not limited to the following:
DBSI and its predecessor firms, along with
numerous other securities firms, have been named as defendants in over 80 putative class action lawsuits pending in the U.S. District
Court for the Southern District of New York. These lawsuits allege violations of securities and antitrust laws in connection with
the allocation of shares in a large number of initial public offerings ("IPOs") by issuers, officers and directors
of issuers, and underwriters of those securities. DBSI is named in these suits as an underwriter. The securities cases allege material
misstatements and omissions in registration statements and prospectuses for the IPOs and market manipulation with respect to aftermarket
trading in the IPO securities. A related putative antitrust class action was finally dismissed in 2007. Among the allegations in
the securities cases are that the underwriters tied the receipt of allocations of IPO shares to required aftermarket purchases
by customers and to the payment of undisclosed compensation to the underwriters in the form of commissions on securities trades,
and that the underwriters caused misleading analyst reports to be issued. In the securities cases, the motions to dismiss the complaints
of DBSI and others were denied on February 13, 2003. Plaintiffs' motion to certify six "test" cases as class
actions in the securities cases was granted on October 13, 2004. On December 5, 2006, the U.S. Court of Appeals for the Second
Circuit vacated the decision and held that the classes in the six cases, as defined, could not be certified. On March 26, 2008,
the trial court granted in part and denied in part motions to dismiss plaintiffs' amended complaints. The extent to which
the court granted the motions did not affect any cases in which DBSI is a defendant. Following a mediation, a settlement was reached
and approved by the trial court on October 6, 2009. On October 23, 2009, an objector filed a Rule 23(f) petition with the Second
Circuit, seeking leave to appeal the trial court's certification of the settlement class in connection with all 310 cases,
including the cases in which DBSI was named as a defendant. The plaintiffs objected, and all the underwriter defendants responded
to the petition on November 2, 2009. The petition was subsequently withdrawn and substituted with an appeal of the district court's
order. The appeal is currently pending before the Second Circuit.
Deutsche Bank AG, along with certain affiliates,
including DBSI, and current and/or former employees (collectively referred to as "Deutsche Bank"), have collectively
been named as defendants in a number of legal proceedings brought by customers in various tax-oriented transactions. Deutsche Bank
provided financial products and services to these customers, who were advised by various accounting, legal and financial advisory
professionals. The customers claimed tax benefits as a result of these transactions, and the IRS has rejected those claims. In
these legal proceedings, the customers allege that the professional advisors, together with Deutsche Bank, improperly misled the
customers into believing that the claimed tax benefits would be upheld by the IRS. The legal proceedings are pending in state and
federal courts, and claims against Deutsche Bank are alleged under both U.S. state and federal law. Approximately 102 legal proceedings
have been resolved and dismissed with prejudice with respect to Deutsche Bank. A number of other legal proceedings remain pending
as against Deutsche Bank and are currently at various pre-trial stages, including discovery. Deutsche Bank has received a number
of unfiled claims as well, and has resolved certain of those unfiled claims, though others remain pending against Deutsche Bank.
Deutsche Bank AG does not expect these pending legal proceedings and unfiled claims to have a significant effect on its financial
position or profitability.
Deutsche Bank has received subpoenas and
requests for information from certain regulators and government entities concerning its activities regarding the origination, purchase,
securitization, sale and/or trading of mortgage loans, RMBS, CDOs, asset backed commercial paper and credit derivatives. Deutsche
Bank is cooperating fully in response to those subpoenas and requests for information.
Deutsche Bank
has been named as defendant in numerous civil litigations
in various roles as issuer or underwriter
in RMBS offerings. These cases include purported class action suits, actions by individual purchasers of securities, and actions
by insurance companies that guaranteed payments of principal and interest for particular tranches of securities offerings. Although
the allegations vary by lawsuit, these cases generally allege that the RMBS offering documents contained material misrepresentations
and omissions, including with regard to the underwriting standards pursuant to which the underlying mortgage loans were issued,
or assert that various representations or warranties relating to the loans were breached at the time of origination.
50
Deutsche Bank and several current or former
employees were named as defendants in a putative class action commenced on June 27, 2008, relating to two Deutsche Bank-issued
RMBS offerings. Following a mediation, the parties reported to the court that they had reached a preliminary agreement to settle
the case. In response, the court closed the case without prejudice to reopening it for the purpose of concluding class action settlement
procedures. A settlement agreement has not been finalized and there is no assurance that it will be. If it is, the settlement will
be subject to certain terms and conditions including court approval.
Deutsche Bank is a defendant in putative
class actions relating to its role, along with other financial institutions, as underwriter of RMBS issued by various third-parties
and their affiliates including Countrywide Financial Corporation, IndyMac MBS, Inc., Novastar Mortgage Corporation, and Residential
Accredit Loans, Inc. These cases are in various stages up through discovery. A settlement in a putative class action brought on
behalf of purchasers of RMBS issued by affiliates of Wells Fargo Asset Securities Corporation received final court approval on
November 14, 2011.
Deutsche Bank is a defendant in various
non-class action lawsuits by alleged purchasers of, and counterparties involved in transactions relating to, RMBS, and their affiliates,
including Allstate Insurance Company, Assured Guaranty Municipal Corp., Cambridge Place Investments Management Inc., the Federal
Deposit Insurance Corporation (as conservator for Franklin Bank S.S.B.), the Federal Home Loan Bank of Boston, the Federal Home
Loan Bank of San Francisco, the Federal Home Loan Bank of Seattle, the Federal Housing Finance Agency (as conservator for Fannie
Mae and Freddie Mac), Mass Mutual Life Insurance Company, Phoenix Light SF Limited, Stichting Pensioenfonds ABP, The Charles Schwab
Corporation, The Union Central Life Insurance Company, The Western and Southern Life Insurance Co. and the West Virginia Investment
Management Board. These civil litigations are in various stages up through discovery.
In the actions against Deutsche Bank solely
as an underwriter of other issuers' RMBS offerings, Deutsche Bank has contractual rights to indemnification from the issuers,
but those indemnity rights may in whole or in part prove effectively unenforceable where the issuers are now in bankruptcy or otherwise
defunct.
Deutsche Bank has entered into a settlement
with the National Credit Union Administration ("NCUA"), as conservator for five failed credit unions, to resolve potential
claims relating to RMBS purchased by the five credit unions. Under the terms of the settlement, which was announced by the NCUA
on November 14, 2011, DBSI paid $145 million.
On February 6, 2012, the U.S. District Court
for the Southern District of New York issued an order dismissing claims brought by Dexia SA/NV and Teachers Insurance and Annuity
Association of America, and their affiliates. The court dismissed some of the claims with prejudice and granted the plaintiffs
leave to replead other claims.
A number of other entities have threatened
to assert claims against Deutsche Bank in connection with various RMBS offerings and other related products, and Deutsche Bank
has entered into agreements with a number of these entities to toll the relevant statute of limitations. It is possible that these
potential claims may have a material impact on Deutsche Bank.
Deutsche Bank is a defendant in an action
brought by M&T Bank ("M&T") in New York State Supreme Court in connection with M&T's March 2007 purchase
of notes issued by Gemstone VII CDO, which was collateralized by subprime RMBS. M&T alleged that Deutsche Bank misrepresented
and did not disclose the impairment of the underlying collateral for the Gemstone VII CDO; that Deutsche Bank's level of
due diligence in the selection and monitoring of the underlying collateral was deficient; and that Deutsche Bank withheld from
the rating agencies information regarding the deteriorating quality of the collateral. M&T asserted numerous causes of action
under New York state law, including among others, fraud, negligent misrepresentation, rescission, breach of contract and violations
of New York's consumer protection statute. All claims against Deutsche Bank, except for the fraud and rescission claims,
had previously been dismissed. The parties have reached a settlement and filed a stipulation of discontinuance with the court closing
the case.
Deutsche Bank is a defendant in an action
filed in New York State Supreme Court by eleven special purpose entities affiliated with IKB Deutsche Industriebank AG. The action
concerns six CDOs backed by RMBS collateral that Deutsche Bank arranged and sold to plaintiffs in 2006 and 2007. Plaintiffs allege
that Deutsche Bank misstated and otherwise failed to disclose that these CDOs were affected by certain impairments and conflicts
of interest, including impairments to the underlying collateral and the alleged involvement of certain short counterparties in
the process by which collateral was selected. Plaintiffs assert numerous causes of action under New York state law, including among
others, fraud, negligent misrepresentation, rescission, fraudulent conveyance and unjust enrichment.
51
On May 3, 2011, the USDOJ filed a civil
action against Deutsche Bank AG and MortgageIT, Inc. in the U.S. District Court for the Southern District of New York. The USDOJ
filed an amended complaint on August 22, 2011. The amended complaint, which asserts claims under the U.S. False Claims Act and
common law, alleges that Deutsche Bank AG, DB Structured Products, Inc., MortgageIT, Inc. and DBSI submitted false certifications
to the Department of Housing and Urban Development's Federal Housing Administration ("FHA") concerning MortgageIT,
Inc.'s compliance with FHA requirements for quality controls and concerning whether individual loans qualified for FHA insurance.
As set forth in the amended complaint, FHA has paid $368 million in insurance claims on mortgages that are allegedly subject to
false certifications. The amended complaint seeks recovery of treble damages and indemnification of future losses on loans insured
by FHA, and as set forth in the filings, the government seeks over $1 billion in damages. On September 23, 2011, the defendants
filed a motion to dismiss the amended complaint. Following a hearing on December 21, 2011, the court order granted the USDOJ leave
to file a second amended complaint, which was due on or before February 27, 2012.
Deutsche Bank
AG and DBSI, including a division of DBSI, have been named as defendants in 21 individual actions asserting various claims under
the federal securities and state common laws arising out of the sale of
ARS
. Of those 21 actions,
seven are pending and fourteen have been resolved and dismissed with prejudice.
Deutsche Bank AG and DBSI have also been
the subjects of proceedings by state and federal securities regulatory and enforcement agencies relating to the marketing and sale
of ARS. In August 2008, Deutsche Bank AG and its subsidiaries entered into agreements in principle with the NYAG and NASAA, representing
a consortium of other states and U.S. territories, pursuant to which Deutsche Bank AG and its subsidiaries agreed to purchase from
their retail, certain smaller and medium-sized institutional, and charitable clients, ARS that those clients purchased from Deutsche
Bank AG and its subsidiaries prior to February 13, 2008; to work expeditiously to provide liquidity solutions for their larger
institutional clients who purchased ARS from Deutsche Bank AG and its subsidiaries; to pay an aggregate penalty of $15 million
to state regulators; and to be subject to state orders requiring future compliance with applicable state laws. On June 3, 2009,
DBSI finalized settlements with the NYAG and the New Jersey Bureau of Securities that were consistent with the August 2008 agreements
in principle, and DBSI entered into a settlement with the SEC that incorporated the terms of the agreements in principle with the
states. DBSI has since entered into settlement orders and paid the applicable share of the $15 million penalty to all but one of
the states and territorial agencies.
Deutsche Bank
is the subject of a consolidated putative class action, filed in the U.S. District Court for the Southern District of New York,
asserting claims under the federal securities laws on behalf of persons who purchased certain trust preferred securities issued
by Deutsche Bank between October 2006 and May 2008. Claims are asserted under sections 11, 12(a)(2), and 15 of the Securities Act
of 1933. An amended and consolidated class action complaint was filed on January 25, 2010.
On August 19, 2011, the court
granted in part and denied in part the defendants' motion to dismiss. Defendants have moved for reconsideration of the portion
of the decision denying the motion to dismiss. On September 20, 2011, plaintiffs filed a second amended complaint, which no longer
includes claims based on the October 2006 issuance of securities.
DBSI has been named as a respondent in 25
arbitrations seeking damages allegedly sustained from investments in the Aravali Fund ("Aravali"), a third-party hedge
fund sold by DBSI to retail clients. Aravali used a high degree of leverage in investing in municipal bonds to generate return
and income, leverage that led to the collapse of the fund when the municipal bond market suffered a decline in the fall of 2008.
Five of the arbitrations are pending, and twenty of the arbitrations have concluded or have been resolved and have been or will
soon be dismissed with prejudice.
DBSI has been named as a respondent in 16
arbitrations seeking damages for losses sustained through a put spread options investment strategy directed by an independent registered
investment advisor, Themis Asset Strategies LLC ("Themis"), whose principal Derek Clark was a client advisor at DBSI
from 2002-2005. Claimants include direct clients of Themis, for whom DBSI performed execution and custody services; customers of
DBSI, who participated in the trading program through DBSI's referral program; and a non-customer whose trades were executed
through DBSI's options desk and delivered to another firm. The put spread options strategy experienced a severe decline during
the market turmoil of October 2008, and DBSI discontinued its referral arrangement with Themis in November 2008. Five of the arbitrations
are pending and eleven have been resolved and dismissed with prejudice.
DBSI has been named as respondent in an
arbitration alleging that DBSI failed to sell an equity position held by the claimant, Dr. Xiaohua Qu, in accordance with the terms
of a Rule 10b5-1 sales plan agreement. Claimant seeks compensatory damages in excess of $10 million plus punitive damages and costs
and fees. There is no hearing date scheduled.
DBSI, along with numerous other securities
firms and individuals, has been named as a defendant in two class action lawsuits pending in the U.S. District Court for the Southern
District of New York. These lawsuits are purportedly brought on behalf of investors in certain debt securities issued by MF Global
Holdings Ltd. DBSI is being sued as an underwriter for two of the three debt offerings that are the subject of the lawsuits. The
two complaints, which are substantially similar, allege material misstatements and omissions in a registration statement and prospectuses.
The parties are awaiting appointment of a lead plaintiff and class counsel.
52
Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPFS"), a Delaware corporation, is registered with the CFTC as an FCM. MLPFS is
a clearing member of the Chicago Board of Trade, and the Chicago Mercantile Exchange, and is either a clearing member or member
of all other principal U.S. futures and futures options exchanges. With regard to those domestic futures and futures options exchanges
of which it is not a clearing member, MLPFS has entered into third party brokerage relationships with FCMs that are clearing members
of those exchanges. MLPFS maintains its principal place of business at One Bryant Park, New York, NY 10036.
Bank of America Corporation
(the "Corporation"), MLPFS's ultimate parent, and Merrill Lynch & Co., Inc., MLPFS's direct corporate
parent (the "Parent") make all required disclosures in their Annual Reports on Form 10-K and Quarterly Reports on Form
10-Q, which may be updated by Current Reports on Form 8-K, all of which are filed with the SEC ("Regulatory Filings"). 
MLPFS makes all required disclosures in its Form BD and ADV filings ("Form BD and ADV Filings") with FINRA. Those Regulatory
Filings and Form BD and ADV Filings include disclosures of regulatory inquiries as required by federal law and applicable regulations.
MLPFS has been named as
a defendant in various legal actions, including arbitrations, class actions and other litigation arising in connection with its
activities as a global diversified financial services institution. Some of the legal actions include claims for substantial compensatory
and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the issuers that would otherwise be the
primary defendants in such cases are bankrupt or otherwise in financial distress. MLPFS is also involved in investigations and/or
proceedings by governmental and self-regulatory agencies.
In view of the inherent
difficulty of predicting the outcome of litigation and regulatory matters, particularly where the claimants seek very large or
indeterminate damages or where the matters present novel legal theories or involve a large number of parties, MLPFS generally cannot
predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of these matters will
be, or what the eventual loss, fines or penalties related to each pending matter may be.
In accordance with applicable
accounting guidance, MLPFS establishes an accrued liability for litigation and regulatory matters when those matters present loss
contingencies that are both probable and estimable. In such cases, there may be an exposure to loss in excess of any amounts accrued.
When a loss contingency is not both probable and estimable, MLPFS does not establish an accrued liability. As a litigation or regulatory
matter develops, MLPFS, in conjunction with any outside counsel handling the matter, evaluates on an ongoing basis whether such
matter presents a loss contingency that is probable and estimable. If, at the time of evaluation, the loss contingency related
to a litigation or regulatory matter is not both probable and estimable, the matter will continue to be monitored for further developments
that would make such loss contingency both probable and estimable. Once the loss contingency related to a litigation or regulatory
matter is deemed to be both probable and estimable, MLPFS will establish an accrued liability with respect to such loss contingency
and continue to monitor the matter for further developments that could affect the amount of the accrued liability that has been
previously established.
In some of the matters
described below, loss contingencies are not both probable and estimable in the view of management, and accordingly, an accrued
liability has not been established for those matters. Information is provided below regarding the nature of these contingencies
and, where specified, the amount of the claim associated with these loss contingencies. Based on current knowledge, management
does not believe that loss contingencies arising from pending matters will have a material adverse effect on MLPFS's consolidated
financial position or liquidity. However, in light of the inherent uncertainties involved in these matters, and the very large
or indeterminate damages sought in some or all of these matters, an adverse outcome in one or more of these matters could be material
to MLPFS's results of operations or cash flows for any particular reporting period.
The actions against MLPFS include, but are
not limited to, the following:
On July 31, 2007, the CFTC issued an order
against MLPFS affiliates Merrill Lynch Alternative Investments, LLC ("MLAI") and Merrill Lynch Investment Managers,
LLC ("MLIM") to which MLAI and MLIM consented, containing findings, which MLAI and MLIM neither admitted nor denied,
that MLAI and MLIM filed with the NFA a number of annual reports for commodity pools for which they acted as commodity pool operators
after the deadline established by the CFTC's regulations, in violation of CFTC Regulation 4.22(c).  MLIM and MLAI were
ordered to cease and desist from violating CFTC Regulation 4.22(c) and to pay a civil penalty in the amount of $500,000.
53
Since October 2007, MLPFS, and its former
affiliate Banc of America Securities LLC ("BAS", which was merged into MLPFS on November 1, 2010 with MLPFS as the
surviving corporation in the merger), have been named as defendants in a variety of lawsuits and other proceedings brought by customers
and both individual and institutional investors regarding ARS. These actions generally allege that the defendants (i) misled the
plaintiffs into believing that there was a deeply liquid market for ARS, and (ii) failed to adequately disclose their or their
affiliates' practice of placing their own bids to support ARS auctions. Plaintiffs assert that ARS auctions started failing
from August 2007 through February 2008 when the defendants and other broker-dealers stopped placing those "support bids."
In addition to the matters described in more detail below, numerous arbitrations and individual lawsuits have been filed against
MLPFS and certain affiliates by parties who purchased ARS and are seeking relief that includes compensatory and punitive damages
totaling in excess of $1.8 billion, as well as rescission, among other relief.
MLPFS and the Parent face a number of civil
actions relating to the sales of ARS and management of ARS auctions, including two putative class action lawsuits in which the
plaintiffs seek to recover the alleged losses in market value of ARS purportedly caused by the defendants' actions. Plaintiffs
also seek unspecified damages, including rescission, other compensatory and consequential damages, costs, fees and interest. The
first action,
In Re Merrill Lynch Auction Rate Securities Litigation
, is the result of the consolidation of two separate
class action suits in the U.S. District Court for the Southern District of New York. These suits were brought by two customers
of MLPFS, on behalf of all persons who purchased ARS in auctions managed by MLPFS and other affiliates, against the Parent and
MLPFS. On March 31, 2010, the U.S. District Court for the Southern District of New York granted defendants' motion to dismiss.
On November 14, 2011, the U.S. Court of Appeals for the Second Circuit affirmed that dismissal. The second action,
Bondar v.
Bank of America Corporation
, was brought by a putative class of ARS purchasers against the Corporation and BAS in the U.S.
District Court for the Northern District of California. On February 24, 2011, the U.S. District Court for the Northern District
of California granted defendants' motion to dismiss the complaint. The plaintiffs' time to decide whether to file
an
amended complaint has been stayed pending the U.S. Court of Appeals for the Second Circuit's decision in
In Re Merrill
Lynch Auction Rate Securities Litigation
.
On
August 1, 2001, Gail Cahaly and others filed an action against
MLPFS
and others entitled
Gail Cahaly, et al. v. Benistar Property Exchange Trust Co., Inc. ("Benistar"), et al.
in the Superior Court
of the Commonwealth of Massachusetts, Suffolk County. Plaintiffs alleged that
MLPFS
aided
and abetted a fraud, violation of a consumer protection law and breach of fiduciary duty allegedly perpetrated by Benistar, a former
client of
MLPFS
. In 2002, following a trial, a jury rendered a verdict requiring plaintiffs
to pay $9 million in compensatory damages. After the court granted
MLPFS
's motion
to vacate the verdict, the court granted plaintiffs' motion for a new trial. On June 25, 2009, following a retrial, the jury
in the second trial found in favor of the plaintiffs on all counts. The plaintiffs then filed discovery-related sanctions motions
and the court conducted a sanctions hearing and the damages phases of the trial. On January 11, 2011, the court entered rulings
denying plaintiffs' motion for sanctions and punitive damages, but awarding certain plaintiffs consequential damages, and
attorneys' fees to plaintiffs in an amount not material to
MLPFS
's results of
operations. The plaintiffs and
MLPFS
have appealed the court's January 11, 2011 rulings
on damages and sanctions.
Commencing
in 1979, the Illinois Funeral Directors Association ("IFDA"), an Illinois not-for-profit corporation that serves as
a trade association representative for the Illinois funeral industry, began providing trust services to Illinois consumers for
the deposit of payments for pre-paid funeral services. Illinois law regulates the sale of pre-paid funeral goods and services and
requires that proceeds of those sales be held in trust. In 1986, the IFDA began offering a tax-advantaged pre-need trust administered
by its subsidiary, IFDA Services, Inc. ("IFDA Services"). The tax-advantaged pre-need trust invested primarily in variable
universal life insurance ("VUL") policies written against the lives of "keymen" of IFDA, its members and
its affiliates. In response to the stated investment objectives of IFDA's executive director and its board of directors,
MLPFS
recommended the purchase of the VUL policies to IFDA for the tax-advantaged pre-need
trust, and Merrill Lynch Life Agency, Inc. ("MLLA"), sold the pre-need trust approximately 270 VUL policies as investment
vehicles.
During IFDA Services' operation of
the pre-need trust, it credited IFDA members with earnings on deposits into the pre-need trust based on a rate of return set by
IFDA Services, even though the crediting rate sometimes exceeded the actual earnings on the trust investments. As a result, a deficit
developed between the amounts that the IFDA credited to IFDA members and the actual earnings of the trust. The Illinois Office
of the Comptroller, the trust's regulator, removed IFDA Services as trustee of the trust in 2008, and asked Merrill Lynch
Bank & Trust Company, FSB ("MLBTC"), to serve as successor trustee. There currently are four court proceedings
relating to the IFDA pre-need trust pending against the Parent and affiliated entities and their present and former employees:
On July
28, 2010, Charles G. Kurrus, III, P.C., a funeral director and owner of a funeral home, filed an action in the Circuit Court for
the Twentieth Judicial Circuit, St. Clair County, Illinois, against
MLPFS
, MLLA and MLBTC,
among others, including present and former
MLPFS
employees. The complaint, entitled
Charles
F. Kurrus, III, P.C. v. Merrill Lynch, Pierce, Fenner & Smith, Inc., et al.
, asserts causes of action for breach of the
Illinois Consumer Fraud and Deceptive Business Practices Act and civil conspiracy against all defendants; breach of fiduciary duty
against
MLPFS
and MLBTC; and negligence and aiding and abetting breach of fiduciary duty
against
MLPFS
. The complaint seeks declaratory relief; disgorgement of all commissions,
fees and revenues received by
MLPFS
, MLLA and MLBTC; pre-judgment and post-judgment interest;
an accounting; and attorneys' fees. Defendants have filed motions to dismiss.
54
On June
16, 2009, a purported class action on behalf of a proposed class of pre-need contract holders,
David Tipsword as Trustee of
Mildred E. Tipsword Trust, individually and on behalf of all others similarly situated v. I.F.D.A.
Services Inc.,
et al.
, was filed in the U.S. District Court for the Southern District of Illinois against MLPFS, among other defendants. The
complaint alleges that MLPFS breached purported fiduciary duties and committed negligence. On November 22, 2010, plaintiff filed
an amended complaint substituting Claudia Burns for Mr. Tipsword as plaintiff in an amended complaint. The amended complaint seeks
compensatory damages in an unliquidated amount, punitive damages, reasonable attorneys' fees, and costs. MLPFS filed a motion
to dismiss, which was denied on July 1, 2011.
On June 30, 2009, a purported class action
on behalf of a proposed class of funeral directors,
Clancy-Gernon Funeral Home, Inc., et al. v. MLPF&S, et al.
, was
filed in the Circuit Court of Cook County, Illinois, alleging that MLPFS and MLLA, among other defendants, committed consumer fraud,
civil conspiracy, unjust enrichment and conversion. MLPFS and MLLA removed the complaint to the U.S. District Court for the Northern
District of Illinois, and the case ultimately transferred to the U.S. District Court for the Southern District of Illinois and
consolidated with the
Tipsword
action. On November 9, 2010, plaintiff filed a third amended complaint, which added new parties,
including MLBTC, and additional claims. In addition to the claims asserted in the original complaint, the complaint now asserts
claims for fraud, breach of fiduciary duty, negligence and aiding and abetting fiduciary duty against MLPFS and MLLA, and breach
of fiduciary duty and negligence against MLBTC. MLPFS, MLLA and MLBTC have filed motions to dismiss. The third amended complaint
seeks: disgorgement and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA and MLBTC; an accounting;
compensatory damages in an unliquidated amount; pre-judgment and post-judgment interest; reasonable attorneys' and experts'
fees and costs. All defendants filed motions to dismiss the complaint. The court denied MLBTC's motion to dismiss on June
21, 2011.
On December 9, 2010, a purported class action
on behalf of a proposed class of funeral directors,
Pettett Funeral Home, Ltd., et al. v. MLPF&S, et al.
, was filed
in the U.S. District Court for the Southern District of Illinois, alleging that MLPFS, MLLA and MLBTC, among other defendants,
committed consumer fraud, civil conspiracy, unjust enrichment and breach of fiduciary duty. On January 7, 2010, plaintiff filed
a second amended complaint, which added claims for fraud, negligence and aiding and abetting fiduciary duty against MLPFS, MLLA
and MLBTC, and added an additional breach of fiduciary duty claim against MLBTC. The second amended complaint seeks: disgorgement
and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA and MLBTC; an accounting; compensatory damages
in an unliquidated amount; punitive damages; restitution; pre-judgment and post-judgment interest; reasonable attorneys'
and experts' fees and costs. On January 19, 2011, defendants filed a motion to consolidate this matter with the
Tipsword
and
Clancy-Gernon
actions and to dismiss the second amended complaint with prejudice. On March 14, 2011, the Pettett action
was ordered consolidated with the
Tipsword
and
Clancy-Gernon
matters. On April 5, 2011, the pending motion to dismiss
the
Pettett
third amended complaint was denied without prejudice and ordered to be refiled in the consolidated action, which
was done on June 21, 2011.
The Parent, MLPFS, including BAS, along
with other underwriters, and various issuers and others, were named as defendants in a number of putative class action lawsuits
that have been consolidated in the U.S. District Court for the Southern District of New York as
In re Initial Public Offering
Securities Litigation
. Plaintiffs contend, among other things, that defendants failed to make certain required disclosures
in the registration statements and prospectuses for applicable offerings regarding alleged agreements with institutional investors
that tied allocations in certain offerings to the purchase orders by those investors in the aftermarket. Plaintiffs allege that
such agreements allowed defendants to manipulate the price of the securities sold in these offerings in violation of Section 11
of the Securities Act of 1933 and Section 10(b) of the Securities Exchange Act of 1934 and SEC rules promulgated thereunder. The
parties agreed to settle the matter, for which the court granted final approval in an amount that was not material to MLPFS's
results of operations. Some putative class members have filed an appeal, which remains pending, in the U.S. Court of Appeals for
the Second Circuit seeking reversal of the final approval.
On August 25, 2011, the court, on remand
from the U.S. Court of Appeals for the Second Circuit, dismissed the objection by the last remaining putative class member.
On September 23, 2011, the objector filed a notice of appeal challenging the district court's dismissal of the objection
to the settlement.
55
Beginning in September 2008, MLPFS, including
BAS, along with other underwriters and individuals, were named as defendants in several putative class action lawsuits filed in
federal and state courts. All of these cases have since been transferred or conditionally transferred to the U.S. District Court
for the Southern District of New York under the caption
In re Lehman Brothers Securities and ERISA Litigation
. Plaintiffs
allege that the underwriter defendants violated Section 11 of the Securities Act of 1933, as well as various state laws, by making
false or misleading disclosures about the real estate-related investments and mortgage lending practices of Lehman Brothers Holdings,
Inc. ("LBHI") in connection with various debt and convertible stock offerings of LBHI. Plaintiffs seek unspecified
damages. On June 4, 2010, defendants filed a motion to dismiss the complaint. On July 27, 2011, the court granted in
part and denied in part the motion. Certain of the allegations in the complaint that purported to support the Section 11 claim
against the underwriter defendants were dismissed; others were not dismissed relating to alleged misstatements regarding LBHI's
leverage and financial condition, risk management and risk concentrations.
On September 23,
2011, the majority of the underwriter defendants, including BAS,
MLPFS
and approximately 40 others,
reached an agreement in principle with the lead plaintiffs to settle the securities class action as to the settling underwriters.
The settlement is subject to court approval.
MLPFS
's portion of the settlement is not material
to its results of operations or financial condition.
On April 30, 2009, MBIA Insurance Corporation
("MBIA") and LaCrosse Financial Products, LLC filed a complaint in New York State Supreme Court, New York County, against
MLPFS and Merrill Lynch International ("MLI") under the caption
MBIA Insurance Corporation and LaCrosse Financial
Products, LLC v. Merrill Lynch Pierce Fenner and Smith Inc., and Merrill Lynch International
. The complaint relates to certain
credit default swap and insurance agreements by which plaintiffs provided credit protection to MLPFS and MLI and other parties
on CDO securities. Plaintiffs claim that MLPFS and MLI did not adequately disclose the credit quality and other risks of the CDO
securities and underlying collateral. The complaint alleges claims for fraud, negligent misrepresentation, breach of the implied
covenant of good faith and fair dealing and breach of contract and seeks rescission and unspecified compensatory and punitive damages,
among other relief. On April 9, 2010, the court granted defendants' motion to dismiss as to the fraud, negligent misrepresentation,
and breach of the implied covenant of good faith and fair dealing and rescission claims, as well as a portion of the breach of
contract claim. Plaintiffs appealed the dismissal of their claims and MLI has cross-appealed the denial of its motion to dismiss
the breach of contract claim in its entirety. On February 1, 2011, the appellate court dismissed the case against MLI in its entirety.
On July 11, 2011, the parties reached an agreement to settle the litigation. The settlement did not require any payment by
MLPFS.
MLPFS, including BAS, has been named as
a defendant in several cases relating to its various roles as seller, underwriter and/or controlling entity in mortgage backed
securities ("MBS") offerings, as applicable, pursuant to which the MBS investors were entitled to a portion of the
cash flow from the underlying pools of mortgages. These cases generally include purported class action suits and actions by individual
MBS purchasers. Although the allegations vary by lawsuit, these cases generally allege that the registration statements, prospectuses
and prospectus supplements for securities issued by securitization trusts contained material misrepresentations and omissions,
in violation of Sections 11, 12 and 15 of the Securities Act of 1933, Sections 10(b) and 20 of the Securities Exchange
Act of 1934 and/or state securities laws and other state statutory and common laws.
These cases generally involve allegations
of false and misleading statements regarding: (i) the process by which the properties that served as collateral for the mortgage
loans underlying the MBS were appraised; (ii) the percentage of equity that mortgage borrowers had in their homes; (iii) the
borrowers' ability to repay their mortgage loans; (iv) the underwriting practices by which those mortgage loans were
originated; (v) the ratings given to the different tranches of MBS by rating agencies; and (vi) the validity of each
issuing trust's title to the mortgage loans comprising the pool for the securitization (collectively "MBS Claims").
Plaintiffs in these cases generally seek unspecified compensatory damages, unspecified costs and legal fees and, in some instances,
seek rescission. A number of other entities (including the NCUA) have threatened legal actions against MLPFS concerning MBS offerings.
On August 8, 2011, American International
Group, Inc. and certain of its affiliates (collectively, "AIG") filed a complaint in the Supreme Court of the State
of New York, New York County, in a case entitled
American International Group, Inc. et al. v. Bank of America Corporation
et al
. AIG has named, among others, MLPFS, including BAS, as defendants. AIG's complaint asserts certain MBS Claims under
federal securities and common law pertaining to 349 MBS offerings, 144 of which relate to MLPFS, in which AIG alleges that
it purchased securities between 2005 and 2007. AIG seeks rescission of its purchases or a rescissory measure of damages or, in
the alternative, compensatory damages of not less than $10 billion as to all defendants, including MLPFS; punitive damages;
and other unspecified relief. Defendants removed the case to the U.S. District Court for the Southern District of New York,
which has denied AIG's motion to remand the case to state court.
56
On March 1, 2011, Allstate Insurance Company,
Allstate Life Insurance Company, Allstate Bank, Allstate Life Insurance Company of New York, Agents Pension Plan, and Allstate
Retirement Plan filed an action against MLPFS and others in the Supreme Court of New York, County of New York, entitled
Allstate
Insurance Company, et al., v. Merrill Lynch & Co., et al.
Plaintiffs allege that they purchased MBS underwritten by MLPFS
in offerings between March 2006 and March 2007. In addition to MBS Claims, plaintiffs contend that defendants made false and misleading
statements regarding: (i) the percentage of known non-conforming loans in the loan pools; (ii) the purpose and use of approving
exceptions for loans that did not meet certain criteria; and (iii) the credit enhancements utilized for each offering. Plaintiffs
seek unspecified compensatory damages, interest and legal fees, or alternatively rescission and recovery of the consideration paid
for the MBS certificates. On April 1, 2011, defendants removed the case to the U.S. District Court for the Southern District of
New York. On August 15, 2011, the case was remanded to the Supreme Court of New York.
Cambridge
Place Investment Management Inc. ("CPIM") brought an action against
MLPFS
, including
BAS, and others in Massachusetts Superior Court, Suffolk County, entitled
Cambridge Place Investment Management Inc. v. Morgan
Stanley & Co., Inc., et al
. CPIM's complaint asserts certain MBS Claims under state securities laws pertaining to
MBS underwritten by
MLPFS
. On August 13, 2010, certain defendants removed the case to the
U.S. District Court for the District of Massachusetts.
On February
11, 2011, CPIM commenced a separate civil action in Massachusetts Superior Court, Suffolk County, captioned
Cambridge Place
Investment Management Inc. v. Morgan Stanley & Co., Inc., et al.
, in connection with the offering or sale of certain additional
MBS by
MLPFS
, including BAS and others. CPIM's complaint asserts certain MBS Claims
under state securities laws pertaining to MBS underwritten by
MLPFS
.
Both actions were remanded to the Massachusetts
Superior Court for Suffolk County.
On July 15, 2010, the Charles Schwab Corporation
("Schwab") filed an individual action against BAS and others, in the Superior Court of California, County of San Francisco,
entitled
The Charles Schwab Corp. v. BNP Paribas Securities Corp., et. al
.  The complaint asserts certain MBS Claims
under federal and state securities laws and state common law pertaining to MBS purchased by Schwab. In September 2010, BAS joined
in and consented to the removal of this action to the U.S. District Court for the Northern District of California.  The matter
was remanded to the Superior Court of California for the County of San Francisco. On October 13, 2011, plaintiffs dismissed
the federal claims with prejudice.
The Federal Home Loan Bank of Boston ("FHLB
Boston") filed a complaint on April 20, 2011 against numerous defendants, including MLPFS in Massachusetts Superior Court,
Suffolk County, entitled
Federal Home Loan Bank of Boston v. Ally Financial, Inc., et al.
FHLB Boston alleges that it purchased
MBS issued by numerous entities in 115 public offerings, including MBS underwritten by MLPFS. FHLB Boston asserts certain MBS Claims
under state securities and common law pertaining to the MBS. Defendants have removed the case to the U.S. District Court for the
District of Massachusetts.
The Federal
Home Loan Bank of Chicago ("FHLB Chicago") filed a complaint against
MLPFS
,
including BAS and others in the Illinois Circuit Court, Cook County, entitled
Federal Home Loan Bank of Chicago v. Banc of America
Funding Corp., et al
(the "Illinois Action"). FHLB Chicago also filed a complaint against BAS in the Superior Court
of California, Los Angeles County, entitled
Federal Home Loan Bank of Chicago v. Banc of America Securities LLC, et al.
(the "California Action"). FHLB Chicago asserts certain MBS Claims under state securities and common law pertaining
to MBS. Both actions have been removed to federal court. The Illinois Action and the California Action have been remanded to the
Circuit Court of Cook County, Illinois and the Superior Court of California for the County of Los Angeles, respectively.
In the
Federal
Home Loan Bank of Chicago
matter pending in California, the plaintiff filed an amended complaint on September 15, 2011 adding
MLPFS
as a defendant and asserting new claims against BAS. The Federal Home Loan Bank of
Indianapolis filed a complaint against
MLPFS
and others in the Superior Court of Indiana,
Marion County, entitled
Federal Home Loan Bank of Indianapolis v. Banc of America Mortgage Securities, Inc., et al.
Plaintiffs assert certain MBS Claims under state securities and common law and allege that they purchased MBS issued by or underwritten
by certain of the defendants from April 2006 to April 2007.
The Federal
Home Loan Bank of San Francisco filed two actions against different defendants, including
MLPFS
,
in the Superior Court of California, County of San Francisco, entitled (i)
Federal Home Loan Bank of San Francisco v. Credit
Suisse Securities (USA) LLC, et al
, which asserts claims against the BAS and others; and (ii)
Federal Home Loan Bank of
San Francisco v. Deutsche Bank Securities Inc., et al
, which assert certain MBS claims against
MLPFS
and others under federal securities law and state securities and common law.   Defendants had removed the state court
actions to federal court, but on December 20, 2010 the U.S. District Court, Northern District of California remanded the cases
to state court.  Plaintiffs dismissed the federal claims with prejudice on August 11, 2011. On September 8, 2011,
the court denied defendants' motions to dismiss the state law claims in these actions.
57
The Federal
Home Loan Bank of Seattle filed two separate complaints, each against different defendants, including
MLPFS,
in the Superior Court of Washington for King County concerning separate issuances, entitled
Federal Home Loan Bank of Seattle
v. Banc of America Securities LLC, et al
, and
Federal Home Loan Bank of Seattle v. Merrill Lynch, Pierce, Fenner & Smith,
Inc., et al
. The complaints assert certain MBS Claims under state securities law. On June 23, 2011, July 18, 2011
and August 15, 2011, the court denied defendants' remaining motions to dismiss in both actions.
On September 2,
2011, the Federal Housing Finance Agency ("FHFA"), as conservator for Fannie Mae and Freddie Mac,
filed complaints
against MLPFS and other related entities, and certain current and former officers and directors of these entities in two separate
actions. The actions are entitled,
Federal Housing Finance Agency v. Bank of America Corporation, et al.
, and
Federal
Housing Finance Agency v. Merrill Lynch & Co., Inc., et al.
, both filed in the U.S. District Court for the
Southern District of New York.
The complaints assert certain MBS Claims
relating to MBS issued and/or underwritten by MLPFS and other entities between 2005 and 2008 and purchased by either Fannie Mae
or Freddie Mac in their investment portfolio. The complaints assert claims under both federal securities laws and state common
law. The FHFA seeks among other relief rescission of the consideration Fannie Mae and Freddie Mac paid for the securities or alternatively
damages allegedly incurred by Fannie Mae and Freddie Mac. The FHFA also seeks recovery of punitive damages.
In 2006 and 2007, MLPFS and other financial
institutions participated as underwriters in MBS offerings in which IndyMac MBS, Inc. securitized residential mortgage loans originated
or acquired by IndyMac Bank, F.S.B. and created trusts that issued MBS. In 2009, the Corporation was named as an underwriter defendant,
along with several other financial institutions, in its alleged capacity as "successor-in-interest" to MLPFS in a consolidated
class action in the U.S. District Court for the Southern District of New York, entitled
In re IndyMac Mortgage-Backed Securities
Litigation
. In their complaint, plaintiffs assert certain MBS Claims relating to 106 offerings of IndyMac-related MBS. On June
21, 2010, the court dismissed the Corporation from the action because the plaintiffs failed to plead sufficient facts to support
their allegation that it is the "successor-in-interest" to MLPFS. On August 3, 2010, plaintiffs filed a motion to add
MLPFS as a defendant. On June 21, 2011, the court denied plaintiffs' motion to add MLPFS as a defendant.
The Parent, MLPFS and others are named as
defendants in a putative consolidated class action in the U.S. District Court in the Southern District of New York, entitled
Public
Employees' Ret. System of Mississippi v. Merrill Lynch & Co. Inc
. In March 2010, the court dismissed claims related
to 65 of 84 offerings with prejudice due to lack of standing as no named plaintiff purchased securities in those offerings. On
November 8, 2010, the court dismissed claims related to 1 of 19 remaining offerings on separate grounds. MLPFS was the sole underwriter
of these 18 offerings. On June 15, 2011, the court granted plaintiffs' motion for class certification. On October 20,
2011, the parties reached an agreement in principle to settle the action. The settlement is subject to court approval.
On August 19, 2010, Stichting Pensioenfonds
ABP ("ABP") filed a complaint against MLPFS and other defendants, in the Supreme Court of New York, New York County,
entitled
Stichting Pensioenfonds v. Merrill Lynch & Co., Inc., et al
. Defendants removed the case to the U.S. District
Court for the Southern District of New York. ABP's original complaint asserted certain MBS Claims relating to 13 offerings
of Merrill Lynch-related MBS. On October 12, 2011, ABP filed an amended complaint regarding the same offerings and adding
additional federal securities law and state law claims. ABP seeks unspecified compensatory damages, interest and legal fees, or
alternatively rescission.
In addition to the MBS litigation described
above, MLPFS, including BAS, has also received a number of subpoenas and other informal requests for information from federal regulators
regarding MBS matters, including inquiries related to MLPFS's underwriting and issuance of MBS and its participation in certain
CDO offerings. These inquiries and investigations include, among others: an investigation by the SEC related to MLPFS's risk
control, valuation, structuring, marketing and purchase of CDOs. MLPFS has provided documents and testimony in and continues to
cooperate fully with these inquiries and investigations.
On May 28, 2008, two former hedge fund
clients of Merrill Lynch Professional Clearing Corporation, Rosen Capital Partners LP and Rosen Capital Institutional LP (collectively,
the "Rosen Funds"), filed a statement of claim asserting claims for breach of contract, fraud and negligence against
Merrill Lynch Professional Clearing Corporation in connection with alleged losses in the fall of 2008. On July 5, 2011, a
FINRA panel awarded the Rosen Funds $64 million plus interest at the rate of 9% per year, accruing from October 7, 2008
until the award is paid in full. The Rosen Funds have moved to confirm the award in the Superior Court of California.
58
The SEC alleged, and MLPFS neither admitted
nor denied, that MLPFS failed to maintain policies and procedures reasonably designed to prevent the misuse of customer order information
as required by Section 15(f) of the Securities Exchange Act of 1934 and Section 204A of the Investment Advisors Act of 1940. The
order (1) requires that MLPFS cease and desist from committing or causing any future violations of the provisions charged, (2)
censures MLPFS, (3) imposed a civil money penalty in the amount of $7,000,000, and (4) orders MLPFS to comply with undertakings
regarding the enhancement of certain policies and procedures. On March 11, 2009, without admitting or denying the SEC's findings,
MLPFS consented to the entry of an administrative SEC order finding violations of Section 15(f) of the Securities Exchange Act
of 1934 and Section 204A of the Investment Advisors Act of 1940 for allegedly failing to maintain written policies and procedures
reasonably designed to prevent the misuse of customer order information. The order requires MLPFS to comply with undertakings to
implement (or to continue) and maintain policies and procedures to, among things: (1) inform employees that information concerning
customer order information is confidential, (2) address employee access to the equity squawk box, and (3) train employees who use
squawk box related technology. In addition, MLPFS's internal audit department will conduct periodic reviews of these policies
and procedures and provide the SEC staff with a copy of the audit report.
On January 30, 2009, MLPFS,
without admitting or denying any findings of misconduct by the SEC, consented to the entry of an administrative order by the SEC
that (1) found that MLPFS violated Investment Advisers Act of 1940 Sections 204 and 206(2), and Rule 204-2(a)(14) thereunder; (2)
required that MLPFS cease and desist from committing or causing any violation or further violations of the provisions charged;
(3) censured MLPFS pursuant to Advisers Act Section 203(e); and (4) required MLPFS to pay a civil money penalty of $1 million.
The order found that MLPFS, through its pension consulting services advisory program, breached its fiduciary duty to certain current
and prospective pension fund clients by misrepresenting and omitting to disclose material information.
On July 31, 2008, the
Commonwealth of Massachusetts Office of the Secretary of the Commonwealth Securities Division ("MSD") alleged that
MLPFS violated the Massachusetts Uniform Securities Act, which, in part, prohibits unethical or dishonest conduct or practices
in the securities business, concerning the sale of ARS to retail and other customers by MLPFS. Without admitting or denying the
allegations, MLPFS entered into a settlement with the MSD, in which it agreed to certain undertakings, including offering to buy
back eligible ARS from eligible investors. MLPFS agreed to pay the MSD a civil penalty of $1,598,650.90, as part of a $125,000,000
fine that will be allocated at the Commonwealth of Massachusetts and other states' discretion to resolve all underlying conduct
relating to the sale of ARS.
As the result of the merger
of Banc of America Investment Services, Inc. ("BAI") with and into MLPFS on October 23, 2009 and the merger of BAS
with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAI and BAS in the following matter: the SEC alleged
that BAI and BAS (together, the "Firms"), misled customers regarding the fundamental nature and increasing risks associated
with ARS that the Firms underwrote, marketed and sold. The SEC also alleged that, by engaging in such conduct, the Firms violated
Section 15(c) of the Securities Exchange Act of 1934. The Firms neither admit nor deny these allegations. Among other undertakings,
the Firms have, through their affiliate Blue Ridge Investments, L.L.C., offered to purchase at par from "Individual Investors"
(as defined in the Consent of Defendants BAS and BAI) certain ARS, and have substantially completed the purchase of those ARS.
The Firms have also agreed to pay a total civil penalty
of $50,000,000 that will be distributed
among the states and U.S. territories that enter into administrative or civil consent orders related to ARS.
On September 8, 2009, the Texas State Securities
Board (the "Board") alleged that in connection with the sale of securities in Texas by certain of MLPFS's client
associates who were not registered in Texas, MLPFS failed to establish a supervisory system reasonably designed to achieve compliance
with the Texas Securities Act and Rules and Regulations of the Board (the "Board Rules") and failed to enforce its
established written procedures in violation of Sections 115.10(a) and (b)(1) of the Board Rules, respectively. Without admitting
or denying the findings of fact or conclusions of law, MLPFS entered into a Consent Order with the Board in which it agreed to
a reprimand, to cease and desist from engaging in the sale of securities in Texas through unregistered agents and to comply with
certain undertakings. MLPFS agreed to pay the State of Texas $1,568,985 as part of a total payment, consisting of fines, penalties
and any other monetary sanctions, of $26,563,094.50 that will be allocated among the 50 states, the District of Columbia, Puerto
Rico and the U.S. Virgin Islands. MLPFS also agreed to pay $25,000 to the North American Securities Administrators Association
("NASAA") as consideration for financial assistance provided by NASAA in connection with the multi-state investigation.
As the result of the merger
of BAS with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAS in the following matter: on December 7, 2010,
the SEC issued an administrative and cease-and-desist order finding that BAS willfully violated Section 15(c)(1)(A) of the Securities
Exchange Act of 1934 when certain employees participated in improper bidding practices involving the temporary investment of proceeds
of tax-exempt municipal securities in reinvestment products during the period 1998-2002. The order censured BAS, ordered BAS to
cease and desist from committing or causing such violations and future violations, and ordered BAS to pay disgorgement plus prejudgment
interest in the amount of $36,096,442. BAS consented to the order without admitting or denying the SEC's findings.
59
Pursuant to an offer of settlement made
by MLPFS, the SEC issued on January 25, 2011 an order finding that between February 2003 and February 2005 MLPFS market makers
executing institutional customer orders for securities sometimes shared information concerning those trades with traders on a MLPFS
securities proprietary trading desk.  The order found that, at times, MLPFS's securities proprietary traders used that
information to place trades for MLPFS after execution of the institutional customer order.  The order found that this disclosure
and use of institutional customer order information by MLPFS's traders was improper and contrary to MLPFS's confidentiality
representations to its customers.  The order also found instances between 2002 and 2007 when MLPFS charged institutional and
high net worth customers undisclosed mark-ups and mark-downs on riskless securities principal trades for which MLPFS had agreed
to charge the customer only a commission equivalent fee.  The order found that, in doing so, MLPFS acted improperly and contrary
to its agreements with its customers.  The order also found that from 2002 through 2007 MLPFS failed in many instances to
make records of its agreements with institutional customers to guarantee an execution price, which agreements were part of the
terms and conditions of the institutional customer orders.  The order found that, as a result of its conduct, MLPFS willfully
violated Section 15(c)(1)(A) of the Securities Exchange Act of 1934 by effecting transactions in securities by means of manipulative,
deceptive or other fraudulent devices or contrivances, and willfully violated Section 15(g) of the Securities Exchange Act of 1934
by failing to establish, maintain and enforce written policies and procedures reasonably designed to prevent the misuse of material,
nonpublic information.  The order also found that under Section 15(b)(4)(E) of the Securities Exchange Act of 1934, MLPFS
failed reasonably to supervise its traders with a view towards preventing them from violating the federal securities laws. 
The order also found that MLPFS willfully violated Section 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder
by failing to record certain terms and conditions of customer orders.  MLPFS neither admitted nor denied the findings in the
order. The findings in the order are not binding on any person or entity other than MLPFS. On December 17, 2010, MLPFS submitted
an offer of settlement to the SEC.  In the offer of settlement, MLPFS agreed to consent to the entry of the order, without
admitting or denying the findings contained therein (other than those relating to jurisdiction).  The order was issued on
January 25, 2011. The order (1) required that MLPFS cease and desist from committing or causing any violations and any future violations
of Sections 15(c)(1)(A), 15(g) and 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder; (2) censured MLPFS
pursuant to Section 15(b)(4) of the Securities Exchange Act of 1934; and (3) required pursuant to Section 15(b)(4) and Section
21B of the Securities Exchange Act of 1934 that MLPFS pay a civil money penalty in the amount of $10 million.  The penalty
was paid on February 1, 2011.
Newedge
USA, LLC ("Newedge USA") serves as a clearing broker to execute and clear futures and equities transactions for the
Trust and provide other brokerage-related services. Newedge USA is an FCM registered with the CFTC and a broker dealer registered
with the SEC, and is a member of FINRA. Newedge USA is a clearing member of all principal futures exchanges located in the U.S.
as well as a member of the Chicago Board Options Exchange, International Securities Exchange, New York Stock Exchange, Options
Clearing Corporation and Government Securities Clearing Corporation. Newedge USA is headquartered at 550 W. Jackson, Suite 500,
Chicago, IL 60661 with branch offices in New York, New York; Kansas City, Missouri; Cypress, Texas; Houston Texas; Atlanta, GA
and Montreal, Canada.
Prior to January 2, 2008, Newedge USA was
known as Fimat USA, LLC. On September 1, 2008, Newedge USA merged with FCM and broker dealer Newedge Financial Inc. ("NFI")
– formerly known as Calyon Financial Inc. Newedge USA was the surviving entity.
In March 2008, NFI settled, without admitting
or denying the allegations, a disciplinary action brought by the New York Mercantile Exchange ("NYMEX") alleging that
NFI violated NYMEX rules related to: numbering and time stamping orders by failing properly to record a floor order ticket; wash
trading; failure to adequately supervise employees; and violation of a prior NYMEX cease and desist order, effective as of December
5, 2006, related to numbering and time stamping orders and block trades. NFI paid a $100,000 fine to NYMEX in connection with this
settlement.
In February 2011, Newedge USA settled, without
admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA exceeded speculative
limits in the October 2009 live cattle futures contract on the Chicago Mercantile Exchange and failed to provide accurate and timely
reports to the CFTC regarding their larger trader positions. Newedge USA paid a $140,000 civil penalty and disgorgement value of
$80,910 to settle this matter. In addition, the CFTC Order required Newedge USA to implement and maintain a program designed to
prevent and detect reporting violations of the Commodity Exchange Act and CFTC regulations.
60
In January 2012, Newedge USA settled, without
admitting or denying the allegations, a disciplinary action brought by the CFTC alleging that Newedge USA failed to file accurate
and timely reports to the CFTC and failed to report certain large trader information to the CFTC. Newedge USA paid a $700,000 civil
penalty to settle this matter. In addition, the CFTC Order required Newedge USA to timely submit accurate position reports and
notices, and to implement and maintain procedures to prevent and detect reporting violations of the Commodity Exchange Act and
CFTC regulations.
Other than the foregoing proceedings, which
did not have a material adverse effect upon the financial condition of Newedge USA, there have been no material administrative,
civil or criminal actions brought, pending or concluded against Newedge USA or its principals in the past five years.
Neither Newedge USA nor any affiliate, officer,
director or employee thereof have passed on the merits of this Prospectus or offering, or give any guarantee as to the performance
or any other aspect of the Trust.
Barclays Capital Inc. ("BCI")
serves as a clearing broker to execute and clear futures and equity transactions for the Trust and provides other brokerage-related
services. BCI is a registered securities broker-dealer and FCM. BCI is wholly owned by Barclays Bank PLC ("Barclays Bank"),
which is authorized and regulated by the UK Financial Services Authority. BCI is headquartered at 745 Seventh Avenue, New York,
NY, 10019.
BCI is involved in a number of judicial
and arbitration matters arising in connection with the conduct of its business. BCI's management believes, based on currently
available information, that the results of such proceedings will not have a significant adverse effect on BCI's financial
condition.
On September 15, 2009, motions were filed
in the U.S. Bankruptcy Court for the Southern District of New York by Lehman Brothers Holdings Inc. ("LBHI"), the SIPA
Trustee for Lehman Brothers Inc. (the "Trustee") and the Official Committee of Unsecured Creditors of LBHI (the "Committee").
All three motions challenged certain aspects of the transaction pursuant to which BCI, its parent Barclays Bank and other subsidiaries
of Barclays Bank (collectively, "Barclays") acquired most of the assets of Lehman Brothers Inc. ("LBI")
in September 2008 and the court order approving such sale. The claimants sought an order voiding the transfer of certain assets
to BCI, requiring BCI to return to the LBI estate alleged excess value BCI received, and declaring that BCI is not entitled to
certain assets that it claims it was entitled to pursuant to the sale documents and order approving the sale (the "Rule 60
Claims"). On November 16, 2009, LBHI, the Trustee and the Committee filed separate complaints in the U.S. Bankruptcy Court
for the Southern District of New York asserting claims against BCI based on the same underlying allegations as the pending motions
and seeking relief similar to that which is requested in the motions. On January 29, 2010, BCI filed its response to the Rule 60
Claims and also filed a motion seeking delivery of certain assets that LBHI and LBI have failed to deliver as required by the sale
documents and U.S. Bankruptcy Court for the Southern District of New York order approving the sale (together with the Trustee's
competing claims to those assets, the "Contract Claims"). On February 22, 2011, the Court issued its Opinion in relation
to these matters, rejecting the Rule 60 Claims and deciding some of the Contract Claims in the Trustee's favor and some in
favor of BCI. On July 15, 2011, the U.S. Bankruptcy Court for the Southern District of New York entered final Orders implementing
its Opinion. BCI and the Trustee have each filed a notice of appeal from the U.S. Bankruptcy Court for the Southern District of
New York's adverse rulings on the Contract Claims. LBHI and the Committee have withdrawn their notices of appeal from U.S.
Bankruptcy Court for the Southern District of New York's ruling on the Rule 60 Claims, rendering the U.S. Bankruptcy Court
for the Southern District of New York's Order on the Rule 60 Claims final.
If the final Orders relating to the Contract
Claims were to be unaffected by future proceedings, Barclays estimates that after taking into account the effective provision of
$1.2 billion, its loss would be approximately $4.293 billion. Any such loss, however, is not considered probable and Barclays is
satisfied with the current level of provision. More than half of that loss would relate to exchange-traded derivative margin assets
already received by BCI, which would have to be returned to the Trustee along with prejudgment interest thereon. As a result of
an agreement entered into by BCI and certain of its affiliates in July 2011, as well as the Trustee's agreement to enforce
any obligations relating to the return of the margin assets only against Barclays Bank, BCI is not liable for these obligations.
The remainder of Barclays' potential $4.293 billion loss would relate to assets not yet received by Barclays Bank. In addition,
LBHI had been pursuing a claim for approximately $500 million relating to bonuses that BCI was allegedly obligated to pay to former
Lehman employees. On September 14, 2011, the U.S. Bankruptcy Court for the Southern District of New York issued a decision dismissing
that claim and entered a final Order to that effect on September 21, 2011. LBHI has stipulated that it will not appeal that decision,
rendering the Order dismissing that claim final.
The FHFA, acting for two U.S. government
sponsored enterprises, Fannie Mae and Freddie Mac, filed lawsuits on September 2, 2011 against seventeen financial institutions
in connection with the Fannie Mae's and Freddie Mac's purchases of RMBS. The lawsuits allege, among other things, that
the RMBS offering materials contained materially false and misleading statements and/or omissions. BCI and certain of its former
employees are named in two of these lawsuits, relating to sales between 2005 and 2007 of RMBS, in which BCI was lead or co-lead
underwriter.
61
Both complaints demand, among other things:
rescission and recovery of the consideration paid for the RMBS; and recovery for Fannie Mae's and Freddie Mac's alleged
monetary losses arising out of their ownership of the RMBS. The complaints are similar to other civil actions filed against BCI
by other plaintiffs, including the Federal Home Loan Bank of Seattle, Federal Home Loan Bank of Boston, Federal Home Loan Bank
of Chicago, Cambridge Place Investment Management, Inc., HSH Nordbank AG (and affiliates) and Stichting Pensioenfonds ABP, relating
to their purchases of RMBS. BCI considers that the claims against it are without merit and intends to defend them vigorously.
The original amount of RMBS related to the
claims against BCI in these cases totaled approximately $6.827 billion, of which approximately $2.012 billion was outstanding as
at December 31, 2011. Cumulative losses reported on these RMBS as at December 31, 2011 were approximately $76 million. If BCI were
to lose these cases it could incur a loss of up to the outstanding amount of the RMBS at the time of judgment (taking into account
further principal payments after December 31, 2011) plus any cumulative losses on the RMBS at such time and any interest, fees
and costs, less the market value of the RMBS at such time. BCI has estimated the total market value of the RMBS as at December
31, 2011 to be approximately $1.071 billion. BCI may be entitled to indemnification for a portion of any losses.
Neither BCI nor any affiliate, officer,
director or employee thereof has passed on the merits of this Prospectus or offering, or gives any guarantee as to the performance
or any other aspect of the Trust.
Conflicts Of Interest
General
The Managing Owner has not established any
formal procedures to resolve the conflicts of interest described below. You should be aware that no such procedures have been established,
and that, consequently, you will be dependent on the good faith of the respective parties subject to such conflicts to resolve
such conflicts equitably. Although the Managing Owner will attempt to monitor and resolve these conflicts in good faith, it will
be extremely difficult, if not impossible, for it to assure that these conflicts will not, in fact, result in losses for the Trust.
Notwithstanding the conflict of interest, the Trust will trade in parallel with all other Managing Owner accounts traded pursuant
to the Managing Owner's Diversified Portfolio.
The Managing Owner
The responsibilities of the Managing Owner
include acting as the managing owner and trading advisor for the Trust and engaging commodity brokers and dealers to execute trades
on behalf of the Trust. The Managing Owner has a conflict of interest in that it has a financial disincentive to replace itself
as either the trading advisor or the entity receiving the Brokerage Fees from the Trust.
The Profit Share arrangement between the
Trust and the Managing Owner may create an incentive for the Managing Owner to make trading and investment decisions (or implement
the Trust's systematic trading strategy) in a manner that is more speculative or subject to a greater degree of loss than
would be the case if no such arrangement existed.
The Managing Owner receives, with respect
to the Series 1 Units, the difference between (1) the amount paid out to the Selling Agents plus the amount paid out for executing
the Trust's trades and (2) the Brokerage Fee the Managing Owner receives from the Trust with respect to Series 1 Units. Thus,
the Managing Owner has a conflict of interest between trading in the manner which it believes to be in the best interests of the
Trust and trading in low volume or in the forward markets so as to reduce the Trust's futures trading costs.
The Managing Owner directs the trading for
clients other than the Trust. The Managing Owner and its principals may have incentives (financial or otherwise) to favor such
other accounts over the Trust in such matters as, for example, the allocation of available speculative position limits. Different
accounts also pay different fees, trade at different levels of leverage and will, from time to time, compete for the same positions.
The Managing Owner has agreed to treat the
Trust equitably with its other accounts. However, the Managing Owner trades different portfolios for other accounts and there can
be no assurance whatsoever that such other portfolios will not outperform the Trust. The Managing Owner will, however, trade the
Trust's account in parallel with all other accounts managed by the Managing Owner pursuant to the Diversified Portfolio.
The Trust's Brokers
The Clearing Brokers and other brokers employed
by the Trust act from time to time as commodity brokers for other accounts with which they are affiliated or in which they or one
of their respective affiliates has a financial interest. In addition, various accounts traded through the Trust's brokers
(and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to
those of the Trust or compete with the Trust for the same positions. The Trust's brokers may have a conflict of interest
in their execution of trades for the Trust and for other of their customers. The Managing Owner has, however, no reason to believe
that the Trust's brokers would knowingly or deliberately favor any other customer over the Trust with respect to the execution
of commodity trades.
62
The Trust's brokers assess the Trust
brokerage commissions and may assess forward contract "bid-ask" spreads. These commission rates and forward contract
pricing arrangements for the Trust may not have been negotiated at arm's length.
The Managing Owner selects the Trust's
Clearing Brokers, other brokers and counterparties to execute transactions on behalf of the Trust. The commission rates or "bid-ask"
spreads paid by the Trust may not be the lowest rates the Trust could have obtained, but the Managing Owner believes that those
rates/spreads are competitive with rates paid by similar customers. The Managing Owner selects those service providers based on
various factors, including, but not limited to, quality of execution, commission rates, market knowledge, financial condition and
creditworthiness. The Managing Owner may also consider factors that benefit the Managing Owner, such as the referral of prospective
Trust and other investors to the Managing Owner. The Managing Owner's receipt of such benefits may give it an incentive to
select a Clearing Broker, other broker or counterparty that it would not otherwise use, but the Managing Owner intends to use only
those Clearing Brokers, other brokers and counterparties that provide the Trust with high quality services and competitive commission
rates consistent with the Managing Owner's obligations to the Trust.
Certain officers or employees of the Trust's
brokers are, and may in the future be, members of U.S. commodities exchanges and are serving, and may in the future serve, on the
governing bodies and standing committees of such exchanges and of their clearinghouses and of various industry organizations. In
such capacities, these employees have a fiduciary duty to the exchanges and their clearinghouses which could compel such employees
to act in the best interests of these entities, perhaps to the detriment of the Trust.
The Selling Agents
The Selling Agents receive substantial selling
commissions on the sale of Units. Consequently, the Selling Agents have a conflict of interest in advising their clients whether
to invest in the Units.
The Selling Agents receive ongoing compensation
or installment selling commissions based on Units sold by them which remain outstanding longer than twelve months. Consequently,
the Selling Agents have a disincentive to advise clients to redeem their Units even when doing so is in such clients' best
interests.
The total dollar amount of brokerage commissions
paid by the Trust is dependent upon the size of the Trust's capitalization. Consequently, the Selling Agents have a financial
incentive to discourage their clients from redeeming Units.
In addition, one or more Selling Agents
may also be selected, based on the criteria described above, to serve as Clearing Brokers, other brokers or counterparties for
the Trust.
Proprietary Trading and Trading for Other Accounts
The Managing Owner, the Clearing Brokers
and other clearing brokers employed by the Trust and their respective principals and affiliates may trade in the futures and forward
markets for their own accounts and for the accounts of their clients. In doing so, they may take positions opposite to those held
by the Trust or may compete with the Trust for positions in the marketplace. Records of this trading are not available for inspection.
Such trading may create conflicts of interest on behalf of one or more of such persons in respect of their obligations to the Trust.
Because the Managing Owner, the Clearing
Brokers and other brokers employed by the Trust and their respective principals and affiliates may trade for their own accounts
at the same time that they are managing the Trust's account, you should be aware that, as a result of a neutral allocation
system, testing a new trading system, trading their proprietary accounts more aggressively or other actions not constituting a
violation of fiduciary duty, such persons may from time to time take positions in their proprietary accounts which are opposite,
or ahead of, the positions taken for the Trust.
Fiduciary Duty and Remedies
In evaluating the foregoing conflicts of
interest, a prospective investor should be aware that the Managing Owner has a responsibility to Unitholders to exercise good faith
and fairness in all dealings affecting the Trust. The fiduciary responsibility of the Managing Owner is comparable to that of a
general partner of a limited partnership.
If you believe that the Managing Owner has
violated its fiduciary duty to the Unitholders, you may seek legal relief individually or on behalf of the Trust under applicable
laws to recover damages from or require an accounting by the Managing Owner. The Declaration of Trust is governed by Delaware law
and any breach of the Managing Owner's fiduciary duty under the Declaration of Trust will generally be governed by Delaware
law. The Declaration of Trust does not limit fiduciary obligations under Delaware or common law. The Managing Owner may, however,
assert as a defense to claims of breach of fiduciary duty that the conflicts of interest and fees payable to the Managing Owner
have been disclosed to you in the Prospectus.
63
The Trust
And The Trustee
The following summary briefly describes
certain aspects of the operation of the Trust. You should carefully review the Declaration of Trust attached hereto as Exhibit
A and consult with your own advisors concerning the implications to you of investing in a Delaware statutory trust.
Principal Office; Location of Records
The Trust is organized under the Delaware
Statutory Trust Act (formerly, the Delaware Business Trust Act). The Trust is administered, including the performance of transfer
agent services, by the Managing Owner, whose office is located at 411 West Putnam Avenue, Greenwich, Connecticut 06830 (telephone:
(203) 625-7554). The records of the Trust, including a list of the Unitholders and their addresses, is located at the foregoing
address, and available for inspection and copying by Unitholders as provided in the Declaration of Trust.
Certain Aspects of the Trust
The Trust is the functional equivalent of
a limited partnership. No special custody arrangements are applicable to the Trust that would not be applicable to a limited partnership.
You should not anticipate any legal or practical protections under the Delaware Statutory Trust Act greater than those available
to limited partners of a limited partnership.
To the greatest extent permissible under
Delaware law, the Trustee acts in a passive role, with all authority over the operation of the Trust going to the Managing Owner.
The Managing Owner is the functional equivalent of a sole general partner in a limited partnership.
The Declaration of Trust gives Unitholders
voting rights comparable to those typically extended to limited partners in publicly-offered futures funds.
The Trustee
Wilmington Trust Company, a Delaware banking
corporation, is the sole Trustee of the Trust. The Trustee's principal offices are located at Rodney Square North, 1100 North
Market Street, Wilmington, Delaware 19890-0001. The Trustee is not affiliated with either the Managing Owner or the Selling Agents.
The Trustee will accept service of legal
process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee
does not owe any other duties to the Trust, the Managing Owner or the Unitholders. The Declaration of Trust provides that the Trustee
is compensated by the Trust. The Managing Owner has the discretion to replace the Trustee.
Under the Declaration of Trust, the Trustee
has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Trust. The Trustee
has no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability
for the acts or omissions of the Managing Owner. In the course of its management, the Managing Owner may, in its sole and absolute
discretion, appoint an affiliate or affiliates of the Managing Owner as additional managing owners and retain such persons, including
affiliates of the Managing Owner, as it deems necessary for the efficient operation of the Trust.
The Trustee is not registered in any capacity
with the CFTC.
Management of Trust Affairs; Voting by Unitholders
Unitholders will not take any part in the
management or control and will have no voice in the operations of the Trust or its business. Unitholders may, however, remove and
replace the Managing Owner as managing owner of the Trust, and may amend the Declaration of Trust, except in certain limited respects,
by the affirmative vote of a majority of the outstanding Units then owned by Unitholders. The owners of a majority of the outstanding
Units then owned by Unitholders may also compel dissolution of the Trust. Although the Trust will not hold any regular, or annual,
meetings of the Unitholders, upon receipt of a written proposal signed by the owners of at least 10% of the outstanding Units that
a meeting be called, the Managing Owner will call a meeting of the Trust. The details of this procedure are set forth in Section
18 of the Declaration of Trust attached hereto as Exhibit A. The Managing Owner has no power under the Declaration of Trust to
restrict any of the Unitholders' voting rights.
The Managing Owner has the right to amend
the Declaration of Trust without the consent of the Unitholders provided that any such amendment is for the benefit of and not
adverse to the Unitholders or the Trustee.
In the event that the Managing Owner or
the Unitholders vote to amend the Declaration of Trust in any material respect, the amendment will not become effective before
all Unitholders have had an opportunity to redeem their Units.
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Recognition of the Trust in Certain States
A number of states do not have "business
trust" statutes such as that under which the Trust has been formed in the State of Delaware. In order to protect Unitholders
against any possible loss of limited liability, the Declaration of Trust provides that no written obligation may be undertaken
by the Trust unless such obligation is explicitly limited so as not to be enforceable against any Unitholder personally.
Possible Repayment of Distributions Received by Unitholders;
Indemnification of the Trust by Unitholders
The Units are limited liability investments;
you may not lose more than the amount you invest plus any profits recognized on your investment. However, you could be required,
as a matter of law, to return to the Trust's estate any distribution which you received at a time when the Trust was in fact
insolvent or in violation of the Declaration of Trust. In addition, although the Managing Owner is not aware of this provision
ever having been invoked in the case of any public futures fund, Unitholders agree in the Declaration of Trust that they will indemnify
the Trust for any harm suffered by it as a result of (1) Unitholders' actions unrelated to the business of the Trust, (2)
transfers of their Units in violation of the Declaration of Trust or (3) taxes imposed on the Trust by the states or municipalities
in which such investors reside.
Indemnification and Standard of Liability
The Managing Owner and certain of its affiliates,
officers, directors and controlling persons may not be liable to the Trust or any Unitholder for errors in judgment or other acts
or omissions not amounting to misconduct or negligence, as a consequence of the indemnification and exculpatory provisions described
in the following paragraph. You may, therefore, have more limited rights of action than you would absent such provisions.
The Managing Owner and its affiliates will
not have any liability to the Trust or to any Unitholder for any loss suffered by the Trust which arises out of any action or inaction
of the Managing Owner or any such affiliate if the Managing Owner or its affiliates, in good faith, determined that such course
of conduct was in the best interests of the Trust, and such course of conduct did not constitute negligence or misconduct.
The Trust has agreed to indemnify the Managing
Owner and its affiliates, officers, directors and controlling persons against claims, losses or liabilities based on their conduct
relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did
not constitute negligence, misconduct or breach any fiduciary obligation to the Trust and was done in good faith and in a manner
the Managing Owner, in good faith, determined to be in the best interests of the Trust.
The Declaration of Trust provides that the
Managing Owner, its affiliates and the Selling Agents will not be indemnified for any losses, liabilities or expenses arising from
or out of an alleged violation of federal or state securities laws unless (1) there has been a successful adjudication on the merits
of each count involving alleged securities law violations as to the particular indemnitee and the court approves indemnification
of the litigation costs, or (2) such claims have been dismissed with prejudice on the merits by a court of competent jurisdiction
as to the particular indemnitee and the court approves indemnification of the litigation costs, or (3) a court of competent jurisdiction
approves a settlement of the claims against a particular indemnitee and finds that indemnification of the settlement and related
costs should be made. It is the opinion of the SEC and certain States that indemnification for violation of the securities laws
is against public policy and unenforceable.
Transfers of Units Restricted
Subject to compliance with applicable securities
laws, you may assign your Units upon notice to the Trust and the Managing Owner. No assignment will be effective in respect of
the Trust or the Managing Owner until the first day of the month following the month in which such notice is received. An assignee
may become a substituted Unitholder only with the consent of the Managing Owner and upon execution and delivery of an instrument
of transfer in form and substance satisfactory to the Managing Owner.
There are no certificates for the Units.
Transfers of Units are reflected on the books and records of the Trust. Transferors and transferees of Units will each receive
notification from the Managing Owner to the effect that such transfers have been duly reflected as notified to the Managing Owner.
Reports to Unitholders
The Managing Owner will provide you with
monthly reports in compliance with CFTC requirements. The Managing Owner also distributes, not later than March 15 of each year,
audited financial statements and the tax information related to the Trust necessary for the preparation of your annual federal
income tax returns.
The Managing Owner will notify all Unitholders
of a Series within seven business days of any decline in the Net Asset Value per Unit of such Series to less than 50% of such Net
Asset Value as of the previous month-end valuation date. In addition, the Managing Owner will notify all Unitholders of any change
in the fees paid by the Trust or of any material changes in the basic investment policies or structure of the Trust. Any such notifications
will include a description of your voting rights.
65
Federal
Income Tax Aspects
The following constitutes the opinion
of Sidley Austin LLP and summarizes the material federal income tax consequences to individual investors in the Trust. Sidley Austin
LLP's opinion is filed as an exhibit to the registration statement related to the Units offered by this Prospectus.
The Trust's Partnership
Tax Status
The Trust will be treated as a partnership
and, based on the type of income expected to be earned by the Trust, it will not be treated as a "publicly traded partnership"
taxable as a corporation. Accordingly, the Trust will not pay any federal income tax.
Taxation of Unitholders
on Profits and Losses of the Trust
Each Unitholder (other than Foreign Unitholders
and tax-exempt U.S. Unitholders, discussed below) must pay tax on his share of the Trust's annual income and gains, if any,
even if the Trust does not make any cash distributions.
The Trust generally allocates the Trust's
gains and losses equally with respect to each Unit. However, a Unitholder who redeems any Units will be specially allocated the
Trust's gains and losses in order that the amount of cash a Unitholder receives for a redeemed Unit will generally equal
the Unitholder's adjusted tax basis attributable to the redeemed Unit. A Unitholder's adjusted tax basis in his Units
generally equals the amount paid for the Units, increased by income or gains allocated to the Unitholder with respect to the Units
and decreased (but not below zero) by distributions, deductions and losses allocated to the Unitholder with respect to the Units.
Deductibility of Trust
Losses by Unitholders
A Unitholder may deduct Trust losses only
to the extent of his adjusted tax basis in his Units. However, a Unitholder subject to "at-risk" limitations (generally,
non-corporate taxpayers and closely-held corporations) can only deduct losses to the extent the Unitholder is "at-risk."
The "at-risk" amount is similar to adjusted tax basis, except that it does not include any amount borrowed on a nonrecourse
basis or from someone with an interest in the Trust.
"Passive-Activity
Loss Rules" and Their Effect on the Treatment of Income and Loss
The trading activities of the Trust are
not a "passive activity." Accordingly, a Unitholder can deduct Trust losses from taxable income (subject to certain
limitations, such as the limitation on deductibility of capital losses, discussed below). However, a Unitholder cannot offset losses
from "passive activities" against Trust gains.
Cash Distributions and
Unit Redemptions
A Unitholder who receives cash from the
Trust, either through a distribution or a partial redemption, will not pay tax on that cash until his adjusted tax basis in the
Units is reduced to zero. A Unitholder who receives cash upon the complete redemption of Units will recognize gain or loss for
federal income tax purposes. Such gain or loss will generally equal the difference between the amount of cash received and the
Unitholder's adjusted tax basis for his Units.
Potential Trust-Level Consequences
of Withdrawals and Transfers of Units
If a Unitholder receives a distribution
of property in liquidation of his Units that would, if the Trust had an Internal Revenue Code of 1986, as amended (the "Code"),
Section 754 election in effect, require the Trust to make a downward adjustment of more than $250,000 to the basis of its remaining
assets, then even if the Trust does not have a Code Section 754 election in effect, the Trust will be required to make a downward
adjustment to the basis of its remaining assets.
In addition, if immediately after the transfer
of a Unit, the Trust's adjusted basis in its property exceeds the fair market value by more than $250,000 of such property,
the Trust generally will be required to adjust the basis of its property with respect to the transferee Unitholder.
Gain or Loss on Section
1256 Contracts and Non-Section 1256 Contracts
Section 1256 Contracts include certain futures
and forward contracts as well as certain option contracts on certain futures contracts traded on U.S. exchanges. For tax purposes,
Section 1256 Contracts that remain open at year-end are marked-to-market and treated as if the position were closed at year-end.
The gain or loss on Section 1256 Contracts is characterized as 60% long-term capital gain or loss and 40% short-term capital gain
or loss, regardless of how long the position was open.
Non-Section 1256 Contracts include Section
988 transactions,
i.e.
, transactions in which the amount paid or received is denominated by reference to a foreign currency.
In general, gain or loss on Section 988 transactions is characterized as ordinary income or loss. However, the Trust elects to
treat gain or loss on certain Non-Section 1256 Contracts, such as foreign futures contracts, certain foreign currency forward contracts
and non-equity options on foreign currencies, as capital gain or loss.
66
Trading and Investing in Swaps
The Trust may invest in and trade swaps.  The
proper tax treatment of swaps may not be entirely free from doubt.  The Trust expects to mark-to-market its swap
positions at the end of each taxable year and to treat any gain or loss on such positions as ordinary income or loss.
Tax on Capital Gains and
Losses
A non-corporate Unitholder's long-term
capital gains — net gain on capital assets held more than one year and 60% of the gain on Section 1256 Contracts —
are taxed at a maximum rate of 15% for most gains recognized in taxable years beginning on or before December 31, 2012. Short-term
capital gains — net gain on capital assets held one year or less and 40% of the gain on Section 1256 Contracts — are
subject to tax at the same rates as ordinary income.
Individual taxpayers can deduct capital
losses only to the extent of their capital gains plus $3,000. Accordingly, the Trust could suffer significant losses and a Unitholder
could still be required to pay taxes on his share of the Trust's interest income. Capital losses generally may not be carried
back to offset capital gains in prior years, but can be carried forward indefinitely.
An individual taxpayer can carry back net
capital losses on Section 1256 Contracts three years to offset earlier gains on Section 1256 Contracts. To the extent the taxpayer
cannot offset past Section 1256 Contract gains, he can carry forward such losses indefinitely as losses on Section 1256 Contracts.
Limited Deduction for Certain
Expenses
Individual taxpayers are subject to material
limitations on their ability to deduct investment advisory expenses and other expenses of producing income. Sidley Austin LLP has
advised the Managing Owner that the amount, if any, of the Trust's expenses which might be subject to this limitation should
be
de minimis
. Based on such advice, the Managing Owner treats these items as ordinary business deductions, or income allocations
not subject to the material deductibility limitations that apply to investment advisory expenses. However, the IRS could take a
different position. The IRS could contend that the Brokerage Fee, the management fee, the Profit Share or the ordinary expenses
of the Trust should be recharacterized as investment advisory expenses or, alternatively, capitalized. If these items were treated
as investment advisory expenses or were capitalized, individual taxpayers would have additional tax liability. See also "—
Syndication Expenses," below.
Interest Income
Interest received by the Trust is taxed
as ordinary income. Net capital losses can offset ordinary income only to the extent of $3,000 per year. See "— Tax
on Capital Gains and Losses," above.
Syndication Expenses
Neither the Trust nor any Unitholder is
entitled to any deduction for syndication expenses (
i.e.
, expenses incurred in issuing and marketing the Units, including
costs of updating this Prospectus), nor can these expenses be amortized by the Trust or any Unitholder even though the payment
of such expenses reduces Net Asset Value.
The Managing Owner has paid all organization
and initial offering costs from its own funds. However, the IRS could take the position that a portion of the Brokerage Fee paid
by the Trust to the Managing Owner constitutes non-deductible syndication expenses.
Investment Interest Deductibility
Limitation
Individual taxpayers can deduct "investment
interest"— interest on indebtedness allocable to property held for investment — only to the extent that it does
not exceed net investment income. Net investment income does not include certain net capital gains. A taxpayer can elect to include
certain net capital gains in investment income if he forgoes the benefit of the reduced capital gains rate.
Medicare Tax
For taxable years beginning after December
31, 2012, a 3.8% tax will be imposed on some or all of the net investment income of certain individuals with modified adjusted
gross income of over $200,000 ($250,000 in the case of joint filers) and the undistributed net investment income of certain estates
and trusts. For these purposes, "net investment income" will include a Unitholder's share of interest, dividends,
gain and other income derived from the Trust's investment and trading activities.
IRS Audits of the Trust
and Its Unitholders
The IRS audits Trust-related items at the
Trust level rather than at the Unitholder level. The Managing Owner acts as "tax matters partner" with the authority
to determine the Trust's responses to an audit. If an audit results in an adjustment, all Unitholders may be required to
pay additional taxes, interest, and penalties.
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Taxation of Foreign Investors
A Unitholder who is a non-resident alien
individual, foreign corporation, foreign trust or foreign estate (a "Foreign Unitholder") generally is not subject
to taxation by the U.S. on capital gains from commodity trading, provided that such Foreign Unitholder (in the case of an individual)
does not spend more than 182 days in the U.S. during his taxable year, and provided further, that such Foreign Unitholder is not
engaged in a trade or business within the U.S. during a taxable year to which income, gain, or loss of the Trust is treated as
"effectively connected." An investment in the Trust should not, by itself, cause a Foreign Unitholder to be engaged
in a trade or business within the U.S. for the foregoing purposes, assuming that the trading activities of the Trust continue to
be conducted as described in this Prospectus. In the event that the Trust were found to be engaged in a U.S. trade or business,
a Foreign Unitholder would be required to file a U.S. federal income tax return for such year and pay tax at full U.S. rates. In
the case of a Foreign Unitholder which is a foreign corporation, an additional 30% "branch profits" tax might be imposed.
Furthermore, in such event the Trust would be required to withhold taxes from the income or gain allocable to such a Unitholder
under Section 1446 of the Code.
Portfolio interest income (other than so-called
"contingent interest") allocable to a Foreign Unitholder is likewise not subject to federal income tax withholding,
provided that such Foreign Unitholder is not engaged in a trade or business within the U.S. and provides the Trust with a Form
W-8BEN or other applicable form. Similarly, a Foreign Unitholder's allocable share of interest on U.S. bank deposits, certificates
of deposit and discount obligations with maturities (from original issue) of 183 days or less is not subject to U.S. federal income
tax withholding. Generally, other interest from U.S. sources (including original issue discount) paid to the Trust and allocable
to Foreign Unitholders will be subject to U.S. federal income tax withholding at a statutory rate of 30%. The foregoing discussion
of tax consequences to Foreign Unitholders may be subject to applicable treaty modifications.
The Hiring Incentives to Restore Employment
Act ("HIRE Act") requires certain foreign entities to enter into an agreement with the Secretary of the Treasury to
disclose to the IRS the name, address and tax identification number of certain U.S. persons who own an interest in the foreign
entity and require certain other foreign entities to provide certain other information to avoid a 30% withholding tax on certain
payments of U.S. source income and certain payments of proceeds from the sale of property that could give rise to U.S. source interest
or dividends. The IRS has released proposed regulations and preliminary guidance that provide for the phased implementation of
the foregoing withholding and reporting requirements. Accordingly, certain Foreign Unitholders may be subject to a 30% withholding
tax in respect of certain of the Trust's investments if they fail to enter into an agreement with the Secretary of the Treasury
or otherwise fail to satisfy their obligations under the legislation. Foreign Unitholders are encouraged to consult with their
own tax advisors regarding the possible implications of this legislation on an investment in the Trust.
Tax-Exempt U.S. Unitholders
A tax-exempt U.S. Unitholder will not be
required to pay tax on its share of income or gains of the Trust, so long as such Unitholder does not use borrowed funds in connection
with its purchase of Units.
State and Other Taxes
In addition to the federal income tax consequences
described above, the Trust and the Unitholders may be subject to various state and other taxes.
Prospective investors are urged to consult
their tax advisors before deciding whether to invest.
Purchases
By Employee Benefit Plans
Although there can be no assurance that
an investment in the Trust, or any other managed futures product, will achieve the investment objectives of an employee benefit
plan, such investments have certain features which may be of interest to such plans. For example, the futures markets are one of
the few investment fields in which employee benefit plans can participate in leveraged strategies without being required to pay
tax on "unrelated business taxable income." In addition, because they are not taxpaying entities, employee benefit
plans are not subject to paying annual tax on their profits, if any, from the Trust despite receiving no distributions from it,
as are other Unitholders.
General
The following section sets forth certain
consequences under the Employee Retirement Income Security Act of 1974, as amended ("ERISA"), and the Code, which a
fiduciary of an "employee benefit plan" as defined in, and subject to the fiduciary responsibility provisions of, ERISA
or of a "plan" as defined in and subject to Section 4975 of the Code who has investment discretion should consider
before deciding to invest any of such plan's assets in the Trust (such "employee benefit plans" and "plans"
being referred to herein as "Plans," and such fiduciaries with investment discretion being referred to herein as "Plan
Fiduciaries"). The following summary is not intended to be complete, but only to address certain questions under ERISA and
the Code which are likely to be raised by the Plan Fiduciary's own counsel.
In general, the terms "employee benefit
plan" as defined in ERISA and "plan" as defined in Section 4975 of the Code together refer to any plan or account
of various types which provides retirement benefits or welfare benefits to an individual or to an employer's employees and
their beneficiaries. Such plans and accounts include, but are not limited to, corporate pension and profit sharing plans, "simplified
employee pension plans," Keogh plans for self-employed individuals (including partners), individual retirement accounts described
in Section 408 of the Code and medical benefit plans.
68
Each Plan Fiduciary must give appropriate
consideration to the facts and circumstances that are relevant to an investment in the Trust, including the role that an investment
in the Trust plays in the Plan's overall investment portfolio. Each Plan Fiduciary, before deciding to invest in the Trust,
must be satisfied that investment in the Trust is a prudent investment for the Plan, that the investments of the Plan, including
the investment in the Trust, are diversified so as to minimize the risk of large losses and that an investment in the Trust complies
with the terms of the Plan and the related trust.
Each
plan fiduciary considering acquiring Units must consult its own legal and tax advisors before doing so.
"Plan Assets"
The purchase of Units by a Plan raises the
issue of whether that purchase will cause, for purposes of Title I of ERISA and Section 4975 of the Code, the underlying assets
of the Trust to constitute assets of such Plan. ERISA and a regulation issued thereunder (the "ERISA Regulation") contain
rules for determining when an investment by a Plan in an entity will result in the underlying assets of such entity being considered
assets of such Plan for purposes of ERISA and Section 4975 of the Code (
i.e.
, "plan assets"). Those rules provide
that assets of an entity will not be considered plan assets of a Plan which purchases an equity interest in the entity if certain
exceptions apply, including an exception applicable if the equity interest purchased is a "publicly-offered security"
(the "Publicly-Offered Security Exemption").
The Publicly-Offered Security Exception
applies if the equity interest is a security that is (1) "freely transferable," (2) part of a class of securities that
is "widely held" and (3) either (a) part of a class of securities registered under Section 12(b) or 12(g) of the Securities
Exchange Act of 1934, or (b) sold to the Plan as part of a public offering pursuant to an effective registration statement under
the Securities Act of 1933 and the class of which such security is a part is registered under the Securities Exchange Act of 1934
within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year of the issuer in which the offering
of such security occurred. The ERISA Regulation states that the determination of whether a security is "freely transferable"
is to be made based on all relevant facts and circumstances. The ERISA Regulation specifies that, in the case of a security that
is part of an offering in which the minimum investment is $10,000 or less, the following requirements, alone or in combination,
ordinarily will not affect a finding that the security is freely transferable: (i) a requirement that no transfer or assignment
of the security or rights in respect thereof be made that would violate any federal or state law; (ii) a requirement that no transfer
or assignment be made without advance notice given to the entity that issued the security; and (iii) any restriction on substitution
of an assignee as "a limited partner of a partnership, including a general partner consent requirement, provided that the
economic benefits of ownership of the assignor may be transferred or assigned without regard to such restriction or consent"
(other than compliance with any of the foregoing restrictions). Under the ERISA Regulation, a class of securities is "widely
held" only if it is of a class of securities owned by 100 or more investors independent of the issuer and of each other.
A class of securities will not fail to be widely held solely because subsequent to the initial offering the number of independent
investors falls below 100 as a result of events beyond the issuer's control.
The Managing Owner believes that the Publicly-Offered
Securities Exception currently applies to the Units for the following reasons. First, the Units are registered under the Securities
Act of 1933 and timely registered under the Securities Exchange Act of 1934. Second, the Units currently are held by more than
100 investors who the Managing Owner believes are independent of the Trust and of each other. Lastly, the Managing Owner believes
that the Units should be considered to be "freely transferable."
Ineligible Purchasers
In general, Units may not be purchased with
the assets of a Plan if the Managing Owner, the Trustee, any Clearing Broker, Morgan Stanley & Co., LLC, Deutsche Bank AG,
Barclays Bank PLC, any wholesaler, any Selling Agent, or any of their respective affiliates or any of their respective agents
or employees either: (1) has investment discretion with respect to the investment of such plan assets; (2) has authority or responsibility
to give or regularly gives investment advice with respect to such plan assets, for a fee, and pursuant to an agreement or understanding
that such advice will serve as a primary basis for investment decisions with respect to such plan assets and that such advice will
be based on the particular investment needs of the Plan; or (3) is an employer maintaining or contributing to such Plan, except
as is otherwise permissible under ERISA and Section 4975 of the Code. A party that is described in clause (1) or (2) of the preceding
sentence is a fiduciary under ERISA and the Code with respect to the Plan, and any such purchase might result in a "prohibited
transaction" under ERISA and the Code.
69
Except as otherwise set forth, the foregoing
statements regarding the consequences under ERISA and the Code of an investment in the Trust are based on the provisions of the
Code and ERISA as currently in effect, and the existing administrative and judicial interpretations thereunder. No assurance can
be given that administrative, judicial or legislative changes will not occur that may make the foregoing statements incorrect or
incomplete.
Acceptance of subscriptions on behalf
of plans is in no respect a representation by the Trust, the Managing Owner, any Selling Agent or any other party related to the
Trust that this investment meets the relevant legal requirements with respect to investments by any particular plan or that this
investment is appropriate for any particular plan. The person with investment discretion should consult with his or her financial
and legal advisors as to the propriety of an investment in the Trust in light of the circumstances of the particular plan and current
tax law.
Plan
Of Distribution
Subscription Procedure
The Series 1, Series 2 and Series 3 Units
are offered on a "best efforts" basis without any firm underwriting commitment through Selling Agents including, but
not limited to, LPL Financial, Stephens Inc. and RBC Capital Markets Corporation, although not all Series are offered through
all Selling Agents. You may purchase Units at Net Asset Value of the applicable Series as of the first business day of each calendar
month. The Managing Owner may from time to time cause the Trust to issue Units at intra-month closings. The minimum initial investment
is $5,000; $2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units are sold
in fractions calculated up to three decimal places.
In order to purchase Units, you must complete,
sign and deliver to a Selling Agent an original of the Subscription Agreement Signature Page which accompanies this Prospectus,
together with a check for the amount of your subscription. Checks should be made payable to
"Global Macro Trust."
Subscription proceeds will be deposited in the Trust's bank account at First Republic Bank, San Francisco, California, and
then transferred to a U.S. government instrument-only money market account pending investment in the Trust's trading accounts.
Clients of certain Selling Agents may make
subscription payments by authorizing the Selling Agents to debit their customer securities account for the amount of the subscription.
When a subscriber authorizes such a debit, the subscriber will be required to have the amount of his or her subscription payment
on deposit in his or her account on a settlement date specified by such Selling Agent. The Selling Agent will debit the account
and transmit the debited funds directly to the Trust's bank account via check or wire transfer made payable to
"Global
Macro Trust."
The settlement date specified by such Selling Agents will be no later than the termination of the relevant
monthly offering period.
The Managing Owner will determine, in its
sole discretion, whether to accept or reject a subscription in whole or in part. The Managing Owner will make its determination
within five (5) business days of the submission of a subscription to the Managing Owner, except with respect to plan asset investors,
including IRAs, in which case the Managing Owner will make its determination no later than five (5) business days before the end
of a month (other than for subscriptions submitted after that date).
The Managing Owner will make every reasonable
effort to determine the suitability of prospective Unitholders in the Trust through information received on the Subscription Agreement.
Generally, the Managing Owner must receive subscription documents at least five (5) calendar days before the end of a month for
them to be accepted as of the first day of the immediately following month.
The Trust will receive any interest earned
on subscriptions held in its accounts pending investment in the Trust's trading account.
There are no fees applicable to subscriptions
held pending investment in the Trust's trading account.
Subscriptions, if rejected, will be returned
to investors promptly following the end of the month in which the subscription was rejected or sooner if practicable.
Subscriptions are final and binding on a
subscriber as of the close of business on the fifth business day following the submission of the subscriber's Subscription
Agreement to subscriber's Selling Agent.
The Selling Agents
Neither the Trust nor the Unitholders pay
selling commissions in connection with the sale of the Units. The Managing Owner pays the Selling Agents, from its own funds, upfront
selling commissions of up to 4% of the gross offering proceeds of all Series 1 Units sold by each Selling Agent. In addition to
upfront selling commissions, the Managing Owner will also pay installment selling commissions to the Selling Agents by paying up
to 0.3333 of 1% (a 4% annual rate) of the month-end Net Asset Value of all Series 1 Units sold by them which remain outstanding
more than twelve months after such Series 1 Units were first issued (not the date that the related subscription was received or
accepted by the Trust); provided, however that cumulative selling commissions per Series 1 Unit will not exceed 9.5% of the gross
offering proceeds for such Series 1 Unit sold pursuant to this Prospectus, as described in the compensation grid below.
70
As illustrated in the table below, The Managing
Owner pays the Selling Agents reduced selling commissions of up to 3.5%, 3% and 2.5% of the subscription amount and ongoing compensation
at an annual rate of up to 3.5%, 3%, and 2.5% in respect of Series 1 Units purchased by investors investing $100,000, $500,000
or $1,000,000 or more, respectively, in the Trust.
Reduced Selling Commission/Ongoing Compensation Table
Selling Commission/
Ongoing Compensation
Aggregate Investment per Investor
3.5%
>
$100,000 ≤ $499,999
3%
>
$500,000 ≤ $999,999
2.5%
>
$1,000,000
Investors paying reduced or no selling commissions
will pay Brokerage Fees reduced to reflect the reduction or absence of selling commissions. See "Charges — Brokerage
Fee Differentials."
For Series 1 Units on which the Managing
Owner pays an upfront selling commission of 4% of the gross offering proceeds of such Units, the Managing Owner will pay a maximum
of 5.5% of the gross offering proceeds of such Units in ongoing compensation, as described above. Likewise, for Series 1 Units
on which the Managing Owner pays an upfront selling commission of 3.5%, 3% or 2.5% of the gross offering proceeds of such Units,
the Managing Owner will pay a maximum of 6%, 6.5% or 7%, respectively, of the gross offering proceeds of such Units in ongoing
compensation, as described above and in the compensation grid below.
The Managing Owner may engage one or more
registered broker-dealers to solicit other broker-dealers to become Selling Agents and to assist those Selling Agents with the
offering and sale of the Series 1 Units, that is, to act as wholesalers. As compensation for its services, any such wholesaler
will receive a portion of the selling commissions and may receive a portion of the ongoing compensation that would otherwise be
paid to the Selling Agents.
The Managing Owner may also engage one or
more registered broker-dealers, as wholesalers, to assist Selling Agents with the offer and sale of the Units. The Managing Owner,
not the Trust, will compensate such broker-dealers from its own funds subject to the limitations of FINRA Rule 2310(b)(4)(B)(i)
pertaining to maximum allowable selling commissions. The maximum compensation payable to wholesalers is illustrated on the compensation
grid below.
Series 2 Units and Series 3 Units are available
for purchase only by investors participating in a registered investment adviser's asset-based or fixed fee advisory program
through which an investment adviser recommends a portfolio allocation to the Trust. The Managing Owner may engage one or more registered
broker-dealers, as introducing brokers or wholesalers, to assist Selling Agents acting as executing brokers with the offer and
sale of the Series 2 Units and Series 3 Units. The Managing Owner will pay, from its own funds, all compensation due to such broker-dealers,
wholesalers and Selling Agents. Compensation to broker-dealers, wholesalers and Selling Agents due in connection with the sale
of Series 2 Units or Series 3 Units will be paid up to 6.3333% and 9.5%, respectively, of the gross offering proceeds of the Series
2 Units and Series 3 Units in monthly installments beginning with the first month following the sale of a Series 2 Unit or Series
3 Unit in an aggregate amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2
Units and Series 3 Units sold by them which remain outstanding.
The Series 2 Units are subject to a custodial
fee equal to 0.0208 of 1% of the month-end Net Asset Value of all Series 2 Units (a 0.25% annual rate) before accruals for unpaid
management fees, custodial fees or Series 2/3 Profit Shares. The maximum amount of custodial fees paid is 3.1667% of the gross
offering proceeds of the Series 2 Units. The Managing Owner will pay the custodial fee on to broker-dealers that act as custodian
for Series 2 Units for the benefit of investors in Series 2 Units.
The Selling Agents and brokers will determine
the suitability of prospective Unitholders in the Trust, pursuant to FINRA Rule 2310, based upon information contained in the Subscription
Agreement and documents furnished to the Selling Agents or brokers by their customers in opening accounts.
No Selling Agent will make an investment
in the Trust on behalf of a client for which it has discretionary trading authority without prior written approval of the investment
by the client.
As illustrated on the Items of Compensation
chart beginning on page 74, under no circumstances will the maximum compensation paid to the Selling Agents,
broker-dealers assisting selling agents and wholesalers, including initial selling commissions, installment selling commissions
to selling agents, selling commissions to wholesalers, installment selling commissions to wholesalers, expense reimbursements and
custodial fees, exceed 10% of the gross offering proceeds of the sale of the Units, which is the maximum permitted by FINRA in
connection with this offering of the Units.
71
Selling
Agent Compensation Table
Nature of Payment
Recipient
Amount of Payment
Selling Commissions — Series 1 Units
Selling Agents
Selling Agents will receive from the Managing Owner, in conjunction with the sale of Series 1 Units, initial selling commissions of up to 4% of the gross offering proceeds of Series 1 Units sold by the Selling Agents.
Installment Selling Commissions — Series 1 Units
Selling Agents
Selling Agents will also receive from the Managing Owner installment selling commissions by paying up to 0.3333 of 1% of the month-end Net Asset Value of all Series 1 Units sold which remain outstanding more than twelve months (a 4% annual rate), provided that installment selling commissions plus initial selling commissions in respect of a Series 1 Unit will not exceed 9.5% of the gross offering proceeds of such Series 1 Unit.
Wholesaling Fees — Series 1 Units
Wholesalers
Wholesalers wholesaling the Series 1 Units to Selling Agents will receive a portion of the selling commission described above (not to exceed 1% of the gross offering proceeds of the Series 1 Units sold by the Selling Agents solicited by the wholesalers), and may receive a portion of the installment selling commissions described above (not to exceed 0.0833 of 1% of the month-end Net Asset Value of the Series 1 Units sold by the Selling Agents solicited by the wholesalers – a 1% annual rate).
Wholesaling Fees — Series 2 Units and Series 3 Units
Wholesalers
Wholesalers wholesaling the Series 2 and Series 3 Units to Selling Agents or otherwise assisting with the placement of Series 2 Units and Series 3 Units may receive from the Managing Owner installment selling commissions of up to 6.333% and 9.5%, respectively, of the gross offering proceeds of the Series 2 Units and Series 3 Units by paying an amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2 Units and Series 3 Units sold by a Selling Agent selling Series 2 or Series 3 Units which remain outstanding,
provided that the Selling Agent does not receive installment selling commissions in connection with the sale of the Series 2 or Series 3 Units.
Custodial Fees — Series 2 Units
Managing Owner/Custodians
The Managing Owner will receive a custodial fee by receiving a payment from the Trust, to be borne solely by the Series 2 Units, equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end Net Asset Value of all Series 2 Units which remain outstanding before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares.  The Managing Owner will then pay the custodial fees on to broker-dealers serving as custodians of the Series 2 Units.  The maximum amount of custodial fees paid depends upon the level of installment selling commissions paid, as discussed on the grid below.
72
Nature of Payment
Recipient
Amount of Payment
Expense Reimbursement
Managing Owner
The Managing Owner may, but is not obligated to, reimburse Selling Agents or otherwise pay for reasonable out of pocket expenses incurred in connection with the performance of their duties including, for example, Selling Agents' legal fees, broker/client seminars or other deemed underwriting expenses. The amount of such reimbursements will not exceed 0.50% of the gross offering proceeds of all Units sold and the amount of such reimbursements, when aggregated with selling commissions, and installment selling commissions will not exceed 10% of the gross offering proceeds of all Units sold.
There are no other items of compensation
paid in respect of the sale of the Trust's Units.
73
Items of Compensation Pursuant to FINRA Rule 2310
The following table sets forth the items
of compensation, and the maximum amounts thereof in respect of the offering of the Units, paid to members of FINRA pursuant to
FINRA Rule 2310 on a Series-by-Series basis, with distinctions made for investment amount and the involvement of wholesalers, where
appropriate. These items of compensation are set forth in detail below and are more fully described above:
Series 1 Investors with no Wholesalers
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999
4% of the gross offering proceeds of the Units sold.
0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999
3.5% of the gross offering proceeds of the Units sold.
0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999
3% of the gross offering proceeds of the Units sold.
0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more
2.5% of the gross offering proceeds of the Units sold.
0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
74
Series 1 Investors whose Selling Agents were introduced by Wholesalers (additional services to Selling Agents)
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999
3% of the gross offering proceeds of the Units sold.
0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.125% of the gross offering proceeds of the Units sold
1% of the gross offering proceeds of the Units sold.
0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.375% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999
2.5% of the gross offering proceeds of the Units sold.
0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.2857% of the gross offering proceeds of the Units sold.
1% of the gross offering proceeds of the Units sold.
0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.7143% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999
2.25% of the gross offering proceeds of the Units sold.
0.1875% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.875% of the gross offering proceeds of the Units sold.
0.75% of the gross offering proceeds of the Units sold.
0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.625% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more
1.75% of the gross offering proceeds of the Units sold.
0.1458% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.90% of the gross offering proceeds of the Units sold.
0.75% of the gross offering proceeds of the Units sold.
0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 2.10% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
75
Series 1 Investors whose Selling Agents were introduced by Wholesalers (no additional services to Selling Agents)
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999
3.5% of the gross offering proceeds of the Units sold.
0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.
0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999
3.0% of the gross offering proceeds of the Units sold.
0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.
0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999
2.5% of the gross offering proceeds of the Units sold.
0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.
0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more
2.0% of the gross offering proceeds of the Units sold.
0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.
0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
76
Series 2 Investors whose Wholesalers Receive Installment Selling Commissions of 0.50% per annum
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
All
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.3333% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.
Up to 10% of the gross offering proceeds of the Units sold.
Series 2 Investors whose Wholesalers Receive No Installment Selling Commissions
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
All
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.
Up to 3.6667% of the gross offering proceeds of the Units sold.
Series 3 Investors whose Wholesalers Receive Installment Selling Commissions of 0.50% per annum
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
All
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of  9.5% of the gross offering proceeds of the Units sold.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 10% of the gross offering proceeds of the Units sold.
77
Series 3 Investors whose Wholesalers Receive No Installment Selling Commissions
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
All
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
This item of compensation not paid by these Units.
Up to 0.5% of the gross offering proceeds of the Units sold.
Series 4 Investors
Investment
Amount
Selling
Commissions
to Selling
Agents
Installment
Selling
Commissions
to Selling
Agents
Selling
Commissions
to
Wholesalers
Installment
Selling
Commissions
to
Wholesalers
Expense
Reimbursement
Custodial
Fees
TOTAL
All
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
This item of compensation not paid by these Units.
Legal
Matters
Sidley Austin LLP, Chicago, Illinois, served
as legal counsel to the Managing Owner in connection with the preparation of this Prospectus. Sidley Austin LLP may continue to
serve in such capacity in the future, but has not assumed any obligation to update this Prospectus. Sidley Austin LLP may advise
the Managing Owner in matters relating to the operation of the Trust on an ongoing basis. Sidley Austin LLP does not represent
and has not represented the prospective investors or the Trust in negotiation of its business terms, the offering of the Units
or in respect of its ongoing operations.
Prospective investors must recognize that, as they have had no representation in the
organization process, the terms of the Trust relating to themselves and the Units have not been negotiated at arm's length.
More specifically, Sidley Austin LLP does not undertake to monitor the compliance of the Managing Owner and its affiliates
with the investment program, valuation procedures and other guidelines set forth herein or in the exhibits hereto, nor does it
monitor compliance with applicable laws. In preparing this Prospectus, Sidley Austin LLP relied upon information furnished by the
Managing Owner and did not investigate or verify the accuracy and completeness of the information set forth herein concerning the
Managing Owner, the Trust's service providers and their affiliates and personnel.
Sidley Austin LLP's engagement by
the Managing Owner in respect of the Trust is limited to the specific matters as to which it is consulted by the Managing Owner
and, therefore, there may exist facts or circumstances which could have a bearing on the Trust's (or the Managing Owner's)
financial condition or operations with respect to which Sidley Austin LLP has not been consulted and for which Sidley Austin LLP
expressly disclaims any responsibility.
Richards, Layton & Finger, P.A. acted
as special Delaware counsel to the Trust in connection with assessing the legality of its securities but does not otherwise represent
the Trust or the Unitholders.
Experts
The Millburn Ridgefield Corporation Statement
of Financial Condition as of December 31, 2011, included in this Prospectus, has been included herein in reliance on the report
of Arthur F. Bell, Jr. & Associates, L.L.C., an independent registered public accounting firm, given on the authority of that
firm as experts in accounting and auditing.
The financial statements of Global Macro
Trust included in this Prospectus have been audited by Deloitte & Touche LLP, an independent registered public accounting firm,
as stated in their report appearing herein. Such financial statements are included in reliance upon the report of such firm given
upon their authority as experts in accounting and auditing.
78
REPORTS
CFTC Rules require that this Prospectus
be accompanied by summary financial information, which may be a recent Monthly Report of the Trust, current within 60 calendar
days.
Privacy
Policy
Under CFTC Rules, financial institutions
like the Managing Owner are required to provide privacy notices to their clients. As required by such CFTC Rules, we are providing
you with the following information.
We collect nonpublic personal information
about you from the following sources:
(i)
Information the Managing Owner receives from you on Subscription Agreements and related forms (for example, name, address,
Social Security number, birth date, assets, income, and investment experience); and
(ii)
Information about your transactions with the Managing Owner (for example, account activity and balances).
In order to service your account and process
your transactions, the Managing Owner may provide your personal information to its affiliates and to firms that assist the Managing
Owner in servicing your account and have a need for such information such as account or fund administrators. The Managing Owner
requires third-party service providers to protect the confidentiality of your information and to use the information only for the
purposes for which the Managing Owner discloses the information to them.
The Managing Owner does not disclose any
nonpublic information about its customers or former customers to anyone other than in connection with the administration, processing
and servicing of customer accounts as described above or to its accountants, attorneys and auditors or as otherwise permitted or
required by law.
The Managing Owner restricts access to nonpublic
personal information about you to its personnel who need to know that information in order to provide products or services to you.
The Managing Owner maintains physical, electronic and procedural controls in keeping with federal standards to safeguard your nonpublic
personal information.
79
This Prospectus is in two parts: a Disclosure
Document and a Statement of Additional Information. These parts are bound together and may not be distributed separately.
PART TWO
STATEMENT OF ADDITIONAL
INFORMATION
The
Futures And Forward Markets
Futures and Forward Contracts
Futures contracts in the U.S. are generally
traded on exchanges and call for the future delivery of various commodities. These contractual obligations may be satisfied either
by taking or making physical delivery or by making an offsetting sale or purchase of a futures contract on the same exchange.
Forward currency contracts are agreements
to make or accept delivery of a currency and are traded off-exchange through banks or dealers. In such instances, the bank or dealer
generally acts as principal in the transaction and charges "bid-ask" spreads. These contractual obligations are generally
satisfied by making an offsetting agreement.
Swap contracts are agreements to exchange
cash flows or periodic payments based on price changes of an underlying commodity, instrument or index and contain terms and conditions
specially negotiated by the parties to the agreement. These agreements are settled in cash, and may be terminated at the expiration
of a specific period of time or by making an offsetting agreement.
Unlike an investment in bonds where one
expects some consistency of yield or in stocks where one expects to participate in economic growth, futures, forward and swap trading
is a "zero-sum," risk transfer economic activity. For every gain realized by one futures, forward or swap trader, there
is an equal and offsetting loss suffered by another.
Hedgers and Speculators
The two broad classifications of persons
who trade futures are "hedgers" and "speculators." Hedging is designed to minimize the losses that may
occur because of price changes, for example, between the time a merchandiser contracts to sell a commodity and the time of delivery.
The futures and forward markets enable the hedger to shift the risk of price changes to the speculator. The speculator risks capital
with the hope of making profits from such changes. Speculators, such as the Trust, rarely take delivery of the physical commodity
but rather close out their futures positions through offsetting futures contracts.
Exchanges; Position and Daily Limits; Margins
Commodity exchanges in the U.S. generally
have an associated "clearinghouse." Once trades made between members of an exchange have been cleared, each clearing
broker looks only to the clearinghouse for all payments in respect of such broker's open positions. The clearinghouse "guarantee"
of performance on open positions does not run to customers. If a member firm goes bankrupt, customers could lose money.
The Reform Act mandates that a substantial
portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses.
The mandates imposed by the Reform Act may result in the Fund bearing higher upfront and mark-to-market margin, less favorable
trade pricing, and the possible imposition of new or increased fees.
The Managing Owner will trade for the Trust
on a number of foreign commodity exchanges. Foreign commodity exchanges differ in certain respects from their U.S. counterparts
and are not regulated by any U.S. agency.
The CFTC and the U.S. exchanges have established
"speculative position limits" on the maximum positions that the Managing Owner may hold or control in futures contracts
on some, but not all, commodities. For example, the CFTC limits the number of contracts the Managing Owner can control in corn
to 13,500 in a single delivery month, whereas the Chicago Mercantile Exchange limits the number of S&P 500 Index contracts
the Managing Owner can control to 20,000 and U.S. Treasury bonds traded on the Chicago Board of Trade are not subject to position
limits. In October 2011, the CFTC adopted position limits for 28 so-called "exempt" (
e.g
., metal and energy
contracts) and agricultural commodity derivatives, futures and option contracts and their economically equivalent swaps. All accounts
controlled by the Managing Owner, including the account of the Trust, are combined for speculative position limit purposes. These
position limits are not yet effective and there is considerable uncertainty surrounding their application. If position limits are
exceeded by the Managing Owner in the opinion of the CFTC or any other regulatory body, exchange or board, the Managing Owner will
liquidate positions to the extent necessary to comply with applicable position limits. To date, position limits have not been a
material imposition on the ability of the Managing Owner to effect its trading method. In the event the Managing Owner controls
contracts in excess of the applicable limits, the Managing Owner will equitably reduce the position it controls across affected
accounts managed by the Managing Owner, including the Trust, giving due consideration to such factors as account size, position
size, account risk/reward parameters and trading portfolio composition.
80
U.S. exchanges limit the maximum change
in some, but not all, futures prices during any single trading day. Once the "daily limit" has been reached, it becomes
very difficult to execute trades in the same direction the market has moved. That is, if a market is "limit up," it
is difficult, or impossible, to buy, but very easy to sell. Because these limits apply on a day-to-day basis, they do not limit
ultimate losses, but may reduce or temporarily eliminate liquidity. For example, the Chicago Board of Trade imposes daily limits
of 30¢ on corn futures and no daily limits on U.S. Treasury bond futures. The Chicago Mercantile Exchange coordinates trading
halts in the S&P 500 Index futures with halts in the trading of the stocks underlying the Index and imposes trading pauses
or halts at moves of 5%, 10%, 15% and 20% in the value of the Index.
When a position is established, "initial
margin" is deposited. On most exchanges, at the close of each trading day "variation margin," representing the
unrealized gain or loss on the open positions, is either credited to or debited from a trader's account. If "variation
margin" payments cause a trader's "initial margin" to fall below "maintenance margin" levels,
a "margin call" is made, requiring the trader to deposit additional margin or have his position closed out.
81
Supplemental
Performance Information
The Trust trades the Millburn Diversified
Portfolio ("MDP"). MDP is the composite performance of all fully-funded accounts which have traded the portfolio since
its inception in 1977 through December 2003 and, thereafter, of all accounts (fully-funded and notional), adjusted to reflect the
charges applicable to the Trust. The Trust is separate from MDP and the performance of MDP is not the performance of the Trust.
Moreover, the past performance of MDP is not necessarily indicative of the future performance of the Trust. The Trust is one account
which has traded MDP since July 1, 2002.
The analyses set forth on pages 83-85 are
derived from the over 30-year history of MDP and reflect the characteristics of the portfolio and strategy traded by the Trust
over an extended period which includes rising and falling stock prices, interest rates, dollar exchange rates and inflation plus
numerous shocks to global economic and financial systems.
The analyses set forth on pages 86-89 are
derived from the performance of the Trust since the commencement of its trading operations in July 2002.
The S&P 500 Index, NASDAQ Composite
Index, Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE) and Barclays Long-Term Treasury Index
are unmanaged indices commonly used as market benchmarks. The performance of the indices does not reflect any fees or transaction
costs as these expenses do not apply to market indices. These indices are compared to MDP and the Trust because they represent
asset classes often included in investor portfolios, and are useful in illustrating the potential diversification benefits of the
Trust.
The Trust is not a complete investment program,
and investment in the Trust should be viewed as a diversification opportunity only, not as a substitute for a well diversified
portfolio.
Please see "Note to Supplemental
Performance Information" on page 92.
Past
performance is not necessarily indicative of future results.
82
SUPPLEMENTAL TABLE NO. 1
PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)
FEBRUARY 1977—JUNE 2012
The pro forma
adjustments to MDP's performance
1
reflect the cost/fee structure of the
Trust applicable to investors who purchase Series 1 Units.
MDP
2
S&P 500
3
NASDAQ
4
EAFE
5
BONDS
6
2012 (6 months)
-8
%
9
%
13
%
3
%
-4
%
2011
-11
%
2
%
-2
%
-12
%
30
%
2010
8
%
15
%
17
%
8
%
9
%
2009
-12
%
26
%
44
%
32
%
-13
%
2008
18
%
-37
%
-41
%
-43
%
24
%
2007
12
%
5
%
10
%
12
%
10
%
2006
6
%
16
%
10
%
27
%
2
%
2005
3
%
5
%
1
%
14
%
7
%
2004
-5
%
11
%
9
%
21
%
8
%
2003
-2
%
29
%
50
%
39
%
2
%
2002
24
%
-22
%
-32
%
-16
%
17
%
2001
-8
%
-12
%
-21
%
-21
%
4
%
2000
13
%
-9
%
-39
%
-14
%
20
%
1999
-4
%
21
%
86
%
27
%
-9
%
1998
5
%
29
%
40
%
20
%
14
%
1997
12
%
33
%
22
%
2
%
15
%
1996
15
%
23
%
23
%
6
%
-1
%
1995
27
%
38
%
40
%
12
%
31
%
1994
8
%
1
%
-3
%
8
%
-8
%
1993
8
%
10
%
15
%
33
%
17
%
1992
15
%
8
%
15
%
-12
%
8
%
1991
5
%
30
%
57
%
12
%
19
%
1990
49
%
-3
%
-18
%
-23
%
6
%
1989
-1
%
32
%
19
%
11
%
19
%
1988
5
%
17
%
15
%
29
%
9
%
1987
41
%
5
%
-5
%
25
%
-3
%
1986
-13
%
19
%
7
%
70
%
24
%
1985
27
%
32
%
31
%
57
%
32
%
1984
28
%
6
%
-11
%
8
%
15
%
1983
-6
%
23
%
20
%
25
%
2
%
1982
35
%
22
%
19
%
-1
%
42
%
1981
45
%
-5
%
-3
%
-1
%
0
%
1980
70
%
33
%
34
%
24
%
-3
%
1979
63
%
19
%
28
%
6
%
-1
%
1978
27
%
7
%
12
%
34
%
-1
%
1977 (11 months)
10
%
-3
%
10
%
20
%
4
%
Compound Annual Return
1977-2012
13
%
11
%
10
%
9
%
9
%
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.
1
MDP, pursuant to which the Trust is traded, has a pro forma compound rate of return of 12.7% for
over 30 years. MDP has tended to be profitable during periods of stress in equity and bond markets. The benefit of including MDP
in a portfolio of stocks and/or bonds is observable in the table for the years 2008, 2002, 2000, 1994, 1990, 1987 and 1981 when
MDP performed well in difficult years for other asset classes.
There can, of course, be no assurance that this pattern will
continue or that MDP or the Trust will not incur losses, as MDP did in the full years 2011, 2009, 2004, 2003, 2001, 1999, 1989,
1986 and 1983.
The largest monthly loss during the period shown was 15.3% (9/86).
2
MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December
2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the highest cost/fee structure applicable
to the Series 1 Units. There are material limitations inherent in pro forma comparisons.
3
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
4
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
5
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
6
Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.
83
SUPPLEMENTAL TABLE NO. 2
PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)
FEBRUARY 1977—JUNE 2012
The following table is similar to the Annual
Returns table on the previous page. The pro forma adjustments to MDP's performance, however, reflect the cost/fee structure
of the Trust applicable to investors who purchase Series 2 Units.
MDP
1
S&P 500
2
NASDAQ
3
EAFE
4
BONDS
5
2012 (6 months)
-6
%
9
%
13
%
3
%
-4
%
2011
-6
%
2
%
-2
%
-12
%
30
%
2010
13
%
15
%
17
%
8
%
9
%
2009
-8
%
26
%
44
%
32
%
-13
%
2008
23
%
-37
%
-41
%
-43
%
24
%
2007
15
%
5
%
10
%
12
%
10
%
2006
11
%
16
%
10
%
27
%
2
%
2005
7
%
5
%
1
%
14
%
7
%
2004
-1
%
11
%
9
%
21
%
8
%
2003
3
%
29
%
50
%
39
%
2
%
2002
29
%
-22
%
-32
%
-16
%
17
%
2001
-4
%
-12
%
-21
%
-21
%
4
%
2000
16
%
-9
%
-39
%
-14
%
20
%
1999
0
%
21
%
86
%
27
%
-9
%
1998
9
%
29
%
40
%
20
%
14
%
1997
16
%
33
%
22
%
2
%
15
%
1996
20
%
23
%
23
%
6
%
-1
%
1995
31
%
38
%
40
%
12
%
31
%
1994
12
%
1
%
-3
%
8
%
-8
%
1993
13
%
10
%
15
%
33
%
17
%
1992
19
%
8
%
15
%
-12
%
8
%
1991
9
%
30
%
57
%
12
%
19
%
1990
53
%
-3
%
-18
%
-23
%
6
%
1989
4
%
32
%
19
%
11
%
19
%
1988
9
%
17
%
15
%
29
%
9
%
1987
45
%
5
%
-5
%
25
%
-3
%
1986
-9
%
19
%
7
%
70
%
24
%
1985
32
%
32
%
31
%
57
%
32
%
1984
32
%
6
%
-11
%
8
%
15
%
1983
-1
%
23
%
20
%
25
%
2
%
1982
40
%
22
%
19
%
-1
%
42
%
1981
51
%
-5
%
-3
%
-1
%
0
%
1980
76
%
33
%
34
%
24
%
-3
%
1979
69
%
19
%
28
%
6
%
-1
%
1978
31
%
7
%
12
%
34
%
-1
%
1977 (11 months)
14
%
-3
%
10
%
20
%
4
%
Compound Annual Return
1977-2012
17
%
11
%
10
%
9
%
9
%
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.
1
MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December
2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of the Trust applicable
to investors who purchase Series 2 Units. There are material limitations inherent in pro forma comparisons.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
5
Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.
84
SUPPLEMENTAL TABLE NO. 3
PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO
(rounded to the nearest %)
FEBRUARY 1977—JUNE 2012
The following table is similar to the Annual
Returns tables on the previous pages. The pro forma adjustments to MDP's performance, however, reflect the cost/fee structure
of the Trust applicable to investors who purchase Series 3 Units.
MDP
1
S&P 500
2
NASDAQ
3
EAFE
4
BONDS
5
2012 (6 months)
-6
%
9
%
13
%
3
%
-4
%
2011
-6
%
2
%
-2
%
-12
%
30
%
2010
13
%
15
%
17
%
8
%
9
%
2009
-7
%
26
%
44
%
32
%
-13
%
2008
23
%
-37
%
-41
%
-43
%
24
%
2007
16
%
5
%
10
%
12
%
10
%
2006
11
%
16
%
10
%
27
%
2
%
2005
7
%
5
%
1
%
14
%
7
%
2004
0
%
11
%
9
%
21
%
8
%
2003
3
%
29
%
50
%
39
%
2
%
2002
29
%
-22
%
-32
%
-16
%
17
%
2001
-4
%
-12
%
-21
%
-21
%
4
%
2000
16
%
-9
%
-39
%
-14
%
20
%
1999
0
%
21
%
86
%
27
%
-9
%
1998
9
%
29
%
40
%
20
%
14
%
1997
16
%
33
%
22
%
2
%
15
%
1996
20
%
23
%
23
%
6
%
-1
%
1995
32
%
38
%
40
%
12
%
31
%
1994
13
%
1
%
-3
%
8
%
-8
%
1993
13
%
10
%
15
%
33
%
17
%
1992
20
%
8
%
15
%
-12
%
8
%
1991
9
%
30
%
57
%
12
%
19
%
1990
54
%
-3
%
-18
%
-23
%
6
%
1989
4
%
32
%
19
%
11
%
19
%
1988
9
%
17
%
15
%
29
%
9
%
1987
45
%
5
%
-5
%
25
%
-3
%
1986
-9
%
19
%
7
%
70
%
24
%
1985
32
%
32
%
31
%
57
%
32
%
1984
32
%
6
%
-11
%
8
%
15
%
1983
-1
%
23
%
20
%
25
%
2
%
1982
41
%
22
%
19
%
-1
%
42
%
1981
51
%
-5
%
-3
%
-1
%
0
%
1980
76
%
33
%
34
%
24
%
-3
%
1979
69
%
19
%
28
%
6
%
-1
%
1978
32
%
7
%
12
%
34
%
-1
%
1977 (11 months)
14
%
-3
%
10
%
20
%
4
%
Compound Annual Return
1977-2012
17
%
11
%
10
%
9
%
9
%
PAST PERFORMANCE IS NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MDP
AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.
1
MDP is the composite performance of the fully-funded accounts trading in the portfolio since its inception through
                                                                                                                                    December 2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of
                                                                                                                                    the Trust applicable to investors who purchase Series 3  Units. There are material limitations inherent in pro forma
                                                                                                                                    comparisons.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
5
Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.
85
VALUE OF $1,000
Series 1
1
INVESTMENT vs. S&p 500
2
,
NASDAQ
3
and EAFE
4
July 2002
– JUNE 2012
The Trust began trading on July 1, 2002. From inception through
June 30, 2012, a $1,000 investment in the Trust would have appreciated to over $1,076.52, a 0.74% compound annual rate of return.
past
performance is not necessarily indicative of future results.
1
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
86
ANNUAL SERIES 1 RETURNS
July 2002 –
JUNE 2012
The accompanying table shows annual returns for the Series 1
Units from inception on July 1, 2002 and the corresponding returns for the S&P 500, NASDAQ and EAFE (foreign equities). It
is important to note that while the Trust has the potential to be profitable in a poor year for stocks, it also has the potential
to outperform a portfolio of stocks in other years.
There can, of course, be no assurance that the Trust will, in fact, be profitable
during poor years for stocks or outperform stocks in other years or that the Trust will not incur losses.
Trust Series 1
1
S&P
2
NASDAQ
3
EAFE
4
(net of fees)
2012
(JAN-JUN])
-8.39
%
9.49
%
12.66
%
3.38
%
2011
-10.58
%
2.11
%
-1.80
%
-11.73
%
2010
8.43
%
15.06
%
16.91
%
8.21
%
2009
-11.60
%
26.46
%
43.89
%
32.46
%
2008
18.48
%
-37.00
%
-40.54
%
-43.06
%
2007
11.26
%
5.49
%
9.81
%
11.63
%
2006
6.34
%
15.79
%
9.52
%
26.86
%
2005
2.43
%
4.91
%
1.37
%
14.02
%
2004
-5.33
%
10.88
%
8.59
%
20.70
%
2003
-2.10
%
28.68
%
50.01
%
39.17
%
2002
(JUL-DEC)
3.02
%
-10.30
%
-8.73
%
-14.48
%
past
performance is not necessarily indicative of future results.
1
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
87
SERIES 1 COMPARATIVE
RETURNS
July 2002
– JUNE 2012
Over the first 120 months of operations, the Trust generated
returns which had low correlation to U.S. and non-U.S. equity markets. While the Trust may not be a core portfolio holding, its
diverse portfolio and objective long/short trading strategies make it a potentially powerful diversification tool for a traditional
portfolio of stocks and bonds. The Trust returns also showed low correlation to the returns from hedge fund investments during
the same period.
There can, of course, be no assurance that this pattern will continue or that the Trust will not incur losses.
Trust Series 1
1
S&P
2
NASDAQ
3
EAFE
4
(net of fees)
COMPOUND ANNUAL ROR
0.74
%
5.33
%
7.21
%
5.62
%
ANNUAL STDEV
5
15.15
%
15.84
%
19.69
%
19.18
%
SHARPE RATIO
6
(2% Risk Free Return)
-0.08
0.21
0.26
0.19
BEST ROLLING 12-MO
29.62
%
53.62
%
62.45
%
58.15
%
WORST ROLLING 12-MO
-27.70
%
-43.32
%
42.29
%
-49.94
%
CORRELATION TO TRUST SERIES 1
1
1.00
(0.06
)
(0.03
)
0.05
past
performance is not necessarily indicative of future results.
1
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions,
administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect
reinvestment of profits.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
5
Annual STDEV means monthly annualized standard deviation. Standard deviation is the measure of the
variability of return earned by an investment portfolio. Generally, the larger the degree of dispersion, the greater the risk taken
to achieve the return.
6
Sharpe ratio is a measure of risk adjusted return, calculated by dividing the annual compound rate
of return minus the risk-free rate noted by monthly standard deviation annualized.
88
SERIES 1
1
QUARTERLY RETURNS VS. S&P 500
2
July 2002 –
JUNE 2012
Since its inception, the Trust outperformed the S&P 500
in 20 out of 40 quarters. Over those 40 quarters, the S&P 500 was down 14 quarters with an average loss of 7.9%. Over those
same 14 quarters, the Trust on average was flat.
There can, of course, be no assurance that the Trust will perform profitably
over any particular period of time or that the Trust will not incur losses.
past
performance is not necessarily indicative of future results.
1
Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative
expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of
profits.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
89
WHY MANAGED FUTURES?
THE BENEFITS OF MANAGED
FUTURES
•
The compound annual return of Managed Futures, represented by the Barclay BTOP50 Index, over the January 1990-June 2012 period
compared favorably with the returns of the other asset classes presented below.
•
Managed Futures returns had very low correlation to the returns of the other asset classes during this time period.
•
Managed Futures frequently performed well during environments that were difficult for other asset classes. For example, in
1990, during 2000-2002 and in 2008.
•
Additionally, Managed Futures performed well during environments that were very profitable for equities such as the period
from 1995-1999 when the S&P 500 compounded at 28.56%
2
. During this period Managed Futures compounded at 10.48%
1
.
COMPARATIVE PERFORMANCE
OF ASSET CLASSES RANKED BY ANNUAL RETURN
January 1990 –
JUNE 2012
MANAGED
FUTURES INDEX
1
S&P
2
NASDAQ
3
INT'L
STOCKS
4
U.S.
BONDS
5
HEDGE
FUNDS
6
COMPOUND ANNUAL RETURN
7.18
%
8.47
%
8.64
%
3.86
%
9.03
%
11.06
%
CORRELATION OF MONTHLY RETURNS TO MANAGED FUTURES INDEX
1.00
(0.12
)
(0.19
)
(0.05
)
0.22
(0.02
)
past
performance is not necessarily indicative of future results.
1
Managed Futures Index refers to Barclay BTOP50 Index, an investable index that seeks to replicate the overall composition of the
managed futures industry. The largest investable trading advisor programs, as measured by assets under management, are selected
for inclusion in the BTOP50. In each calendar year the selected trading advisor programs represent, in aggregate, no less than
50% of the investable assets of the Barclay CTA Universe. For 2012 there are 23 funds in the Barclay BTOP50 Index. Source: PERTRAC
Financial Solutions.
2
S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.
3
NASDAQ Composite Index. Source: PERTRAC Financial Solutions.
4
Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.
5
Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.
6
HFRI Fund Weighted Composite Index (since 1990). Source: Hedge Fund Research, Inc.
90
ENHANCING A TRADITIONAL
PORTFOLIO WITH MANAGED FUTURES
January 1990 –
JUNE 2012
The charts above show the result of adding 5% increments of
managed futures, represented by the Barclay BTOP50 Index, to U.S. and international portfolios of stocks and bonds, represented
by the MSCI World Index, Citi World Government Bond Index, S&P 500 Index and Barclays Long Term Treasury Index, respectively.
Over the past 22 years, a portfolio comprised of managed futures plus international stocks and bonds, rebalanced annually, would
have had greater returns and lower volatility, and a portfolio of managed futures plus U.S. stocks and bonds, rebalanced annually,
would have had lower volatility, than a 60%/40% portfolio comprised of just stocks and bonds. However, for a portfolio consisting
of managed futures plus stocks and bonds to outperform a portfolio consisting of stocks and bonds only, managed futures must outperform
stocks and bonds over the period being measured. There can be no assurance that will, in fact, occur. Prospective investors should
note that the Managing Owner did not manage any account represented by the allocations shown here, and that this chart is presented
for illustrative purposes only. An investment in managed futures is speculative and may not be suitable for all investors. The
illustrations in the charts above are not meant to be, and must not be construed as, a recommendation that any investor should
allocate more than 5% of his portfolio to managed futures.
Combining actively managed futures investments, represented
by the Barclay BTOP50 Index, with passive investment indices such as the S&P 500 Index, Barclays Long Term Treasury Index,
MSCI World Index and Citi World Government Bond Index has material inherent limitations. Passive indices are unmanaged and do not
incur management fees, transaction costs or other expenses associated with a managed futures portfolio.
THE FOREGOING PRESENTATION DOES NOT REPRESENT ANY ACTUAL PORTFOLIO
COMPOSITION BUT ONLY THE POSSIBLE RESULTS WHICH MIGHT HAVE OCCURRED HAD MANAGED FUTURES BEEN INCLUDED IN A TRADITIONAL PORTFOLIO
DURING THE PERIOD SHOWN. THE RISK OF A MANAGED FUTURES PORTFOLIO INCURRING SUDDEN, MAJOR LOSSES IS NOT REFLECTED IN THE FOREGOING
CHART, WHICH IS BASED ON STATISTICAL AVERAGES OVER TIME.
past
performance is not necessarily indicative of future results.
91
Note to Supplemental Performance Information
The performance shown on pages 83-85 represents
the pro forma composite performance of all fully-funded accounts prior to January 2004 and of all accounts beginning with January
2004 traded pursuant to the Managing Owner's Diversified Portfolio during the period presented. The historical performance
of the Diversified Portfolio composite has been retroactively adjusted on a pro forma basis approximately to reflect the highest
cost/fee structure applicable to the Series 1 Units (Table 1) and the cost/fee structures applicable to Series 2 Units and Series
3 Units (Tables 2 and 3, respectively). The purpose of this pro forma presentation is to provide an approximation of the rates
of return such composite accounts would have achieved had they been traded pursuant to the Trust's cost/fee structure.
However, there are material limitations inherent in pro forma comparisons. It is not feasible to make all the pro forma adjustments
necessary to reflect the effect of all the business terms of the Trust on the actual performance of the accounts in the composite.
The pro forma performance of the composite accounts should not be considered to be indicative of how any one account in the composite
would have performed had it been subject to the cost/fee structure of the relevant Series of Units.
The pro forma calculations were made on
a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following
month for making similar pro forma calculations.
Accordingly, the pro forma performance does not reflect on a cumulative basis
the effect of the differences between the fees to be charged and interest to be earned by the Trust and the fees charged and interest
earned by the accounts in the composite.
The following assumptions were made in calculating the pro forma rates of return:
a Brokerage Fee of 7% per annum of month-end Net Assets (Supplemental Table No. 1); a management fee of 2%, clearing and execution
costs of 0.25% and custodial fees of 0.25% (Supplemental Table No. 2); a management fee of 2% and clearing and execution costs
of 0.25% (Supplemental Table No. 3); an annual Profit Share of 20% of New Trading Profit; operating and ongoing offering and administrative
expenses of 0.35% per annum of average annual Net Assets; and actual interest income earned by the accounts in the Diversified
Portfolio composite.
The
performance shown on pages 86-89 are derived from the performance of Series 1 since the commencement of its trading operations in
July 2002.
The Millburn Diversified Portfolio is an
actively managed portfolio of futures and forward contracts and related options. The Managing Owner will trade its Diversified
Portfolio on behalf of the Trust and the Trust will pay the fees and expenses and will be subject to the Profit Share as described
in this Prospectus. The S&P 500 Index, NASDAQ Composite Index, Morgan Stanley Capital International EAFE Index, Morgan Stanley
Capital International World Index, Barclay BTOP50 Index, Citi World Government Bond Index and Barclays Long-Term Treasury Index
are unmanaged indices commonly used as market benchmarks. The performance of these indices does not reflect any fees or transaction
costs as these expenses do not apply to most market indices (Barclay BTOP50 Index is compiled net of CTA fees). The HFRI Fund Weighted
Composite Index is an unmanaged index of actively managed hedge funds and is an internationally recognized benchmark of hedge fund
performance. The performance of the index reflects the fees and transaction costs borne by its underlying hedge fund components
but not of the index itself as none apply to the index.
92
INDEX TO FINANCIAL STATEMENTS
Page
GLOBAL MACRO TRUST
Financial Statements for the three months ended March 31, 2012 (unaudited)
F-1
Notes to Financial Statements (unaudited)
F-11
Report of Independent Registered Public Accounting Firm
F-19
Statements of Financial Condition as of December 31, 2011 and 2010
F-20
Condensed Schedule of Investments as of December 31, 2011
F-21
Condensed Schedule of Investments as of December 31, 2010
F-23
Statements of Operations for the years ended December 31, 2011, 2010 and 2009
F-25
Statements of Changes in Trust Capital for the years ended December 31, 2011, 2010 and 2009
F-26
Statements of Financial Highlights for the years ended December 31, 2011, 2010 and 2009 – Series 1
F-27
Statements of Financial Highlights for the year ended December 31, 2011 and the period ended December 31, 2010 – Series 2
F-28
Statements of Financial Highlights for the years ended December 31, 2011 and 2010 and the period ended December 31, 2009 – Series 3
F-29
Statements of Financial Highlights for the year ended December 31, 2011 and the period ended December 31, 2010 – Series 4
F-30
Notes to Financial Statements
F-31
MILLBURN RIDGEFIELD CORPORATION:
Statement of Financial Condition at March 31, 2012 (unaudited)
F-42
Notes to Statement of Financial Condition (unaudited)
F-43
Independent Auditor's Report
F-53
Statement of Financial Condition at December 31, 2011
F-54
Notes to Statement of Financial Condition
F-55
Schedules are omitted for the reason
that they are not required or are not applicable or that equivalent information has been included in the financial statements
or notes thereto.
F-
1
Global Macro Trust
Statements of Financial Condition (UNAUDITED)
March 31
December 31
2012
2011
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value (amortized cost $93,937,594 and $81,041,000)
$
93,917,668
$
81,045,824
Net unrealized appreciation on open futures and forward currency contracts
3,333,313
12,894,380
Due from brokers
10,517,676
6,913,738
Cash denominated in foreign currencies (cost $6,054,147 and $1,754,566)
6,052,559
1,719,017
Total equity in trading accounts
113,821,216
102,572,959
INVESTMENTS IN U.S. TREASURY NOTES – at fair value (amortized cost $561,445,026 and $634,052,301)
561,300,682
634,082,662
CASH AND CASH EQUIVALENTS
17,283,270
42,348,737
ACCRUED INTEREST RECEIVABLE
281,895
3,339,577
TOTAL
$
692,687,063
$
782,343,935
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance
$
3,118,444
$
3,164,450
Net unrealized depreciation on open futures and forward currency contracts
9,595,700
917,275
Due to Managing Owner
177,157
137,996
Due to Unitholders
14,973
-
Accrued brokerage and commission fees
3,449,414
4,005,466
Accrued management fees
52,672
57,276
Redemptions payable to Unitholders
25,739,982
17,618,625
Redemption payable to Managing Owner
-
1,259
Accrued expenses
187,702
180,897
Cash denominated in foreign currencies (cost $0 and -$2,107,152)
-
2,122,063
Due to brokers
290,305
951,234
Total liabilities
42,626,349
29,156,541
TRUST CAPITAL
Managing Owner interest (8,347.266 and 8,207.970 units outstanding)
9,062,062
9,644,943
Series 1 Unitholders (560,312.763 and 603,996.596 units outstanding)
608,271,847
709,737,394
Series 2 Unitholders (183.146 and 190.737 units outstanding)
215,932
240,698
Series 3 Unitholders (26,145.377 and 25,863.120 units outstanding)
30,971,393
32,771,232
Series 4 Unitholders (1,253.547 and 606.787 units outstanding)
1,539,480
793,127
Total trust capital
650,060,714
753,187,394
TOTAL:
$
692,687,063
$
782,343,935
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders
$
1,085.59
$
1,175.07
Series 2 Unitholders
$
1,179.02
$
1,261.94
Series 3 Unitholders
$
1,184.58
$
1,267.10
Series 4 Unitholders
$
1,228.10
$
1,307.09
See notes to financial statements
F-
2
Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2012
FUTURES AND FORWARD CURRENCY CONTRACTS
Net Unrealized
Appreciation/
(Depreciation)
as a % of
Trust Capital
Net Unrealized
Appreciation/
(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies
(0.44
)%
$
(2,873,507
)
Grains
0.01
56,250
Interest rates:
2 Year U.S. Treasury Note (683 contracts, settlement date June 2012)
(0.01
)
(49,859
)
5 Year U.S. Treasury Note (871 contracts, settlement date June 2012)
(0.02
)
(123,562
)
10 Year U.S. Treasury Note (339 contracts, settlement date June 2012)
(0.01
)
(80,969
)
30 Year U.S. Treasury Bond (187 contracts, settlement date June 2012)
(0.01
)
(67,750
)
Other interest rates
0.24
1,580,081
Total interest rates
0.19
1,257,941
Metals
(0.31
)
(1,999,642
)
Softs
0.04
250,667
Stock indices
(0.06
)
(407,240
)
Total long futures contracts
(0.57
)
(3,715,531
)
Short futures contracts:
Energies
0.46
2,969,190
Grains
(0.07
)
(432,584
)
Interest rates
(0.02
)
(129,921
)
Livestock
0.01
72,090
Metals
0.34
2,236,219
Softs
0.28
1,818,638
Stock indices
0.08
515,212
Total short futures contracts
1.08
7,048,844
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net
0.51
3,333,313
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts
(0.30
)
(1,993,234
)
Total short forward currency contracts
(1.17
)
(7,602,466
)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net
(1.47
)
(9,595,700
)
TOTAL
(0.96
)%
$
(6,262,387
)
(Continued)
F-
3
Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2012
U.S. Treasury Notes
Face Amount
Description
Fair Value
as a % of
Trust Capital
Fair Value
$
206,390,000
U.S. Treasury notes, 0.375%, 08/31/2012
31.78
%
$
206,587,522
197,140,000
U.S. Treasury notes, 4.250%, 09/30/2012
30.94
201,136,705
50,710,000
U.S. Treasury notes, 0.500%, 11/30/2012
7.82
50,816,966
195,950,000
U.S. Treasury notes, 0.625%, 02/28/2013
30.25
196,677,157
Total investments in U.S. Treasury notes
(amortized cost $655,382,620)
100.79
%
$
655,218,350
See notes to financial statements
(Concluded)
F-
4
Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
December 31, 2011
FUTURES AND FORWARD CURRENCY CONTRACTS
Net Unrealized
Appreciation/
(Depreciation)
as a % of
Trust Capital
Net Unrealized
Appreciation/
(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies
(0.04
)%
$
(317,941
)
Grains
0.10
740,413
Interest rates:
2 Year U.S. Treasury Note (2,581 contracts, settlement date March 2012)
0.05
416,798
5 Year U.S. Treasury Note (2,385 contracts, settlement date March 2012)
0.09
647,000
10 Year U.S. Treasury Note (1,128 contracts, settlement date March 2012)
0.09
679,344
30 Year U.S. Treasury Bond (279 contracts, settlement date March 2012)
0.03
213,719
Other interest rates
0.86
6,494,508
Total interest rates
1.12
8,451,369
Metals
(0.15
)
(1,082,372
)
Softs
(0.05
)
(406,302
)
Stock indices
(0.00
)
(36,565
)
Total long futures contracts
0.98
7,348,602
Short futures contracts:
Energies
0.21
1,577,490
Grains
(0.31
)
(2,352,297
)
Interest rates
(0.01
)
(76,759
)
Livestock
(0.00
)
(24,710
)
Metals
0.05
377,431
Softs
0.18
1,407,123
Stock indices
(0.09
)
(648,340
)
Total short futures contracts
0.03
259,938
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net
1.01
7,608,540
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts
(0.14
)
(1,033,705
)
Total short forward currency contracts
0.72
5,402,270
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net
0.58
4,368,565
TOTAL
1.59
%
$
11,977,105
(Continued)
F-
5
Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
December 31, 2011
U.S. Treasury Notes
Face Amount
Description
Fair Value
as a % of
Trust Capital
Fair Value
$
215,950,000
U.S. Treasury notes, 0.875%, 02/29/2012
28.71
%
$
216,236,809
218,390,000
U.S. Treasury notes, 0.375%, 08/31/2012
29.05
218,782,420
222,440,000
U.S. Treasury notes, 4.250%, 09/30/2012
30.44
229,234,847
50,710,000
U.S. Treasury notes, 0.500%, 11/30/2012
6.75
50,874,410
Total investments in U.S. Treasury notes
(amortized cost $715,093,301)
94.95
%
$
715,128,486
See notes to financial statements
(Concluded)
F-
6
Global Macro Trust
Statements of Operations (UNAUDITED)
For the three months ended
March 31
March 31
2012
2011
INVESTMENT INCOME:
Interest income
$
266,834
$
692,240
EXPENSES:
Brokerage and custodial fees
11,277,869
14,517,228
Administrative expenses
532,057
562,115
Custody fees and other expenses
38,616
41,296
Management fees
160,448
100,769
Total expenses
12,008,990
15,221,408
NET INVESTMENT LOSS
(11,742,156
)
(14,529,168
)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts
(25,667,890
)
18,004,570
Foreign exchange translation
85,659
5,982
Net change in unrealized:
Futures and forward currency contracts
(18,239,492
)
(24,453,022
)
Foreign exchange translation
48,872
(88,871
)
Net gains (losses) from U.S. Treasury notes:
Realized
(24,513
)
38,951
Net change in unrealized
(199,455
)
(109,457
)
TOTAL NET REALIZED AND UNREALIZED LOSSES
(43,996,819
)
(6,601,847
)
NET LOSS
(55,738,975
)
(21,131,015
)
LESS PROFIT SHARE TO MANAGING OWNER
-
353
NET LOSS AFTER PROFIT SHARE TO MANAGING OWNER
$
(55,738,975
)
$
(21,131,368
)
NET LOSS AFTER PROFIT SHARE TO MANAGING OWNER
PER UNIT OUTSTANDING
Series 1 Unitholders
$
(89.48
)
$
(32.33
)
Series 2 Unitholders
$
(82.92
)
$
(18.80
)
Series 3 Unitholders
$
(82.52
)
$
(18.05
)
Series 4 Unitholders
$
(78.99
)
$
(10.91
)
See notes to financial statements
F-
7
Global Macro Trust
Statements of Changes in Trust Capital
(UNAUDITED)
For the three months ended March 31, 2012:
New Profit
Series 1 Unitholders
Series 2 Unitholders
Series 3 Unitholders
Series 4 Unitholders
Memo Account
Managing Owner
Total
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Trust capital at January 1, 2012
$
709,737,394
603,996.596
$
240,698
190.737
$
32,771,232
25,863.120
$
793,127
606.787
$
-
-
$
9,644,943
8,207.970
$
753,187,394
638,865.210
Subscriptions
8,629,420
7,536.487
-
-
1,755,733
1,416.471
835,559
646.760
-
-
-
-
11,220,712
9,599.718
Redemptions
(57,212,948
)
(51,623.401
)
(9,347
)
(7.591
)
(1,386,122
)
(1,134.214
)
-
-
-
-
-
-
(58,608,417
)
(52,765.206
)
Addt'l units allocated *
-
403.081
-
-
-
-
-
-
-
-
-
139.296
-
542.377
Net loss
(52,882,019
)
-
(15,419
)
-
(2,169,450
)
-
(89,206
)
-
-
-
(582,881
)
-
(55,738,975
)
-
March 31, 2012
$
608,271,847
560,312.763
$
215,932
183.146
$
30,971,393
26,145.377
$
1,539,480
1,253.547
$
-
-
$
9,062,062
8,347.266
$
650,060,714
596,242.099
Net asset value per unit outstanding at March 31, 2012:
$
1,085.59
$
1,179.02
$
1,184.58
$
1,228.10
* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and the Managing Owner
(Continued)
F-
8
Global Macro Trust
Statements of Changes in Trust Capital
(UNAUDITED)
For the three months ended March 31, 2011:
New Profit
Series 1 Unitholders
Series 2 Unitholders
Series 3 Unitholders
Series 4 Unitholders
Memo Account
Managing Owner
Total
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Trust capital at January 1, 2011
$
867,646,692
660,222.516
$
101,957
75.492
$
14,178,784
10,481.102
$
75,449
55.233
$
-
-
$
10,922,729
8,311.477
$
892,925,611
679,145.820
Subscriptions
9,969,224
7,613.533
30,000
22.213
8,818,235
6,522.761
629,822
462.463
-
-
-
-
19,447,281
14,620.970
Redemptions
(19,969,148
)
(15,375.657
)
-
-
(148,351
)
(109.168
)
-
-
-
-
-
-
(20,117,499
)
(15,484.825
)
Addt'l units allocated *
-
436.564
-
-
-
-
-
-
-
0.001
-
141.644
-
578.209
Net loss
(20,740,155
)
-
(1,837
)
-
(298,413
)
-
(3,739
)
-
(9
)
-
(87,215
)
(21,131,368
)
-
Managing Owner's allocation:
New Profit-Accrued
-
-
-
-
-
-
-
-
353
0.267
-
-
353
0.267
Trust capital at March 31, 2011
$
836,906,613
652,896.956
$
130,120
97.705
$
22,550,255
16,894.695
$
701,532
517.696
$
344
0.268
$
10,835,514
8,453.121
$
871,124,378
678,860.411
Net asset value per unit outstanding at March 31, 2011:
$
1,281.84
$
1,331.76
$
1,334.75
$
1,355.10
* Additional units are issued to Series 1 Unitholders who are
charged less than a 7% brokerage fee and the Managing Owner
See notes to financial statements
(Concluded)
F-
9
Global Macro Trust
Statements of Financial Highlights (UNAUDITED)
For the three months ended March 31
2012
2011
Series
    1
Series
    2
Series
    3
Series
    4
Series
    1
Series
    2
Series
    3
Series
    4
Net loss from operations:
Net investment loss
$
(19.32
)
$
(7.33
)
$
(7.36
)
$
(1.36
)
$
(21.83
)
$
(8.27
)
$
(7.46
)
$
(0.72
)
Net realized and unrealized
    losses on trading of futures and forward currency contracts
(69.81
)
(75.22
)
(74.78
)
(77.19
)
(10.40
)
(10.42
)
(10.43
)
(10.04
)
Net losses from U.S.
    Treasury obligations
(0.35
)
(0.37
)
(0.38
)
(0.44
)
(0.10
)
(0.11
)
(0.14
)
(0.15
)
Profit
    share allocated to Managing Owner
0.00
0.00
0.00
0.00
0.00
0.00
(0.02
)
0.00
Net loss per unit
$
(89.48
)
$
(82.92
)
$
(82.52
)
$
(78.99
)
$
(32.33
)
$
(18.80
)
$
(18.05
)
$
(10.91
)
Net asset value per
    unit, beginning of period
1,175.07
1,261.94
1,267.10
1,307.09
1,314.17
1,350.56
1,352.80
1,366.01
Net asset value per
    unit, end of period
$
1,085.59
$
1,179.02
$
1,184.58
$
1,228.10
$
1,281.84
$
1,331.76
$
1,334.75
$
1,355.10
Total return and ratios for the three
2012
2011
months ended March 31:
Series
    1
Series
    2
Series
    3
Series
    4
Series
    1
Series
    2
Series
    3
Series
    4
RATIOS TO AVERAGE CAPITAL:
Net investment
    loss (a)
(6.92
)%
(2.68
)%
(2.43
)%
(0.43
)%
(6.72
)%
(2.46
)%
(2.22
)%
(0.21
)%
Total expenses (a)
7.07
%
2.83
%
2.58
%
0.58
%
7.03
%
2.77
%
2.52
%
0.52
%
Profit share allocation (b)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
TOTAL EXPENSES AND PROFIT
    SHARE ALLOCATION
7.07
%
2.83
%
2.58
%
0.58
%
7.03
%
2.77
%
2.52
%
0.52
%
Total return before profit share allocation (b)
(7.61
)%
(6.57
)%
(6.51
)%
(6.04
)%
(2.46
)%
(1.39
)%
(1.29
)%
(0.80
)%
Profit share allocation (b)
0.00
0.00
0.00
0.00
0.00
0.00
(0.04
)
0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
(7.61
)%
(6.57
)%
(6.51
)%
(6.04
)%
(2.46
)%
(1.39
)%
(1.33
)%
(0.80
)%
(a) annualized
(b) not annualized
See notes to financial statements
F-
10
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
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, 2012 and December 31, 2011 and the results of its
operations for the three months ended March 31, 2012 and 2011 (unaudited). 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, 2011. The December 31, 2011 information
has been derived from the audited financial statements as of December 31, 2011.
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 were
the Series 1 Units.
The preparation of financial statements in conformity with accounting
principles generally accepted ("U.S. GAAP") 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 Financial Accounting Standards
Board ("FASB") Accounting Standards Codification (the "Codification") clarifies the accounting for uncertainty
in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions.
Based on a review of the Trust's open tax years, 2008 to 2011, for the U.S. Federal jurisdiction, the New York, Connecticut
and Delaware state jurisdictions and the New York City jurisdiction, there are no uncertain tax positions that would 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 in the trust ("Unitholders") are responsible for the payment of taxes.
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 2011.
2. RECENT ACCOUNTING STANDARDS
In December 2011, FASB issued ASU 2011-11, "Disclosures
about Offsetting Assets and Liabilities" which creates a new disclosure requirement about the nature of an entity's
rights of setoff and the related arrangement associated with its financial instruments and derivative instruments. Entities are
required to disclose both gross information and net information about both instruments and transactions eligible for offset in
the Statements of Financial Condition and instruments and transactions subject to an agreement similar to a master netting arrangement.
The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on
the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting
Standards. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim
periods within those annual periods. The Trust should also provide the disclosures retrospectively for all comparative periods
presented. Millburn Ridgefield Corporation (the "Managing Owner") is currently evaluating the impact that the standard
would have on the financial statements.
3. FAIR VALUE
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.
F-
11
In determining fair value, the Trust separates
its investments into two categories: cash instruments and derivative contracts.
Cash Instruments – The Trust's cash instruments
are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices.
The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment
in a quoted short-term U.S. Government 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.
During the three months ended March 31, 2012 and 2011,
there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Trust's
investments by hierarchial level as of March 31, 2012 and December 31, 2011 in valuing the Trust's investments at fair value.
At March 31, 2012 and December 31, 2011, the Trust held no assets or liabilities classified in Level 3.
Financial Assets at Fair Value as of March 31,
2012
Level 1
Level 2
Total
U.S. Treasury notes (1)
$
655,218,350
$
-
$
655,218,350
Short-term money market fund*
16,839,455
-
16,839,455
Exchange-traded futures contracts
Energies
95,683
-
95,683
Grains
(376,334
)
-
(376,334
)
Interest rates
1,128,020
-
1,128,020
Livestock
72,090
-
72,090
Metals
236,577
-
236,577
Softs
2,069,305
-
2,069,305
Stock indices
107,972
-
107,972
Total exchange-traded futures contracts
3,333,313
-
3,333,313
Over-the-counter forward currency contracts
-
(9,595,700
)
(9,595,700
)
Total futures and forward currency contracts (2)
3,333,313
(9,595,700
)
(6,262,387
)
Total financial assets at fair value
$
675,391,118
$
(9,595,700
)
$
665,795,418
Per line item in the Statements of Financial Condition (1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
$
93,917,668
Investments in U.S. Treasury notes held in custody
561,300,682
Total investments in U.S. Treasury notes (2)
$
655,218,350
Net unrealized appreciation on futures and forward currency contracts
$
3,333,313
Net unrealized depreciation on futures and forward currency contracts
(9,595,700
)
Total unrealized depreciation on futures and forward currency contracts
$
(6,262,387
)
*The short-term money market fund is included
in Cash and Cash Equivalents on the Statements of Financial Condition.
F-
12
Financial Assets at Fair Value as of December 31,
2011
Level 1
Level 2
Total
U.S. Treasury notes (1)
$
715,128,486
$
-
$
715,128,486
Short-term money market fund*
42,244,442
-
42,244,442
Exchange-traded futures contracts
Energies
1,259,549
-
1,259,549
Grains
(1,611,884
)
-
(1,611,884
)
Interest rates
8,374,610
-
8,374,610
Livestock
(24,710
)
-
(24,710
)
Metals
(704,941
)
-
(704,941
)
Softs
1,000,821
-
1,000,821
Stock indices
(684,905
)
-
(684,905
)
Total exchange-traded futures contracts
7,608,540
-
7,608,540
Over-the-counter forward currency contracts
-
4,368,565
4,368,565
Total futures and forward currency contracts (2)
7,608,540
4,368,565
11,977,105
Total financial assets at fair value
$
764,981,468
$
4,368,565
$
769,350,033
Per line item in the Statements of Financial Condition (1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
$
81,045,824
Investments in U.S. Treasury notes held in custody
634,082,662
Total investments in U.S. Treasury notes (2)
$
715,128,486
Net unrealized appreciation on futures and forward currency contracts
$
12,894,380
Net unrealized depreciation on futures and forward currency contracts
(917,275
)
Total unrealized appreciation on futures and forward currency contracts
$
11,977,105
*The short-term money market fund is included in Cash
and Cash Equivalents on the Statements of Financial Condition.
4. 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.
F-
13
The Trust's market risk is influenced by a wide variety
of factors including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial
instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets
in which it trades.
The Trust engages in the speculative trading of futures and
forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were
the primary trading risk exposures of the Trust at March 31, 2012, 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 U.S. and the Eurozone. However, the Trust also
may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest rates
in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate 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 by counterparty are recorded in the Statements of Financial Condition
as "Net unrealized appreciation on open futures and forward currency contracts." Fair values of futures and forward
currency contracts in a liability position by counterparty 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, 2012 and December 31, 2011. 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.
F-
14
Fair Value of Futures and Forward Currency Contracts at
March 31, 2012
Net
Unrealized
Gain (Loss)
on
Fair Value - Long Positions
Fair Value - Short Positions
Open
Sector
Gains
Losses
Gains
Losses
Positions
Futures contracts:
Energies
$
-
$
(2,873,507
)
$
2,969,190
$
-
$
95,683
Grains
58,713
(2,463
)
-
(432,584
)
(376,334
)
Interest rates
2,041,772
(783,831
)
-
(129,921
)
1,128,020
Livestock
-
-
72,090
-
72,090
Metals
175,200
(2,174,842
)
2,248,850
(12,631
)
236,577
Softs
250,667
-
1,818,638
-
2,069,305
Stock indices
351,198
(758,438
)
613,108
(97,896
)
107,972
Total futures contracts
2,877,550
(6,593,081
)
7,721,876
(673,032
)
3,333,313
Forward currency contracts
3,910,279
(5,903,513
)
2,716,489
(10,318,955
)
(9,595,700
)
Total futures and forward currency contracts
$
6,787,829
$
(12,496,594
)
$
10,438,365
$
(10,991,987
)
$
(6,262,387
)
Fair Value of Futures and Forward Currency Contracts at
December 31, 2011
Net
Unrealized
Gain (Loss)
on
Fair Value - Long Positions
Fair Value - Short Positions
Open
Sector
Gains
Losses
Gains
Losses
Positions
Futures contracts:
Energies
$
20,943
$
(338,884
)
$
1,602,200
$
(24,710
)
$
1,259,549
Grains
740,413
-
-
(2,352,297
)
(1,611,884
)
Interest rates
8,941,748
(490,379
)
15,566
(92,325
)
8,374,610
Livestock
-
-
43,060
(67,770
)
(24,710
)
Metals
184,553
(1,266,925
)
1,913,004
(1,535,573
)
(704,941
)
Softs
6,843
(413,145
)
1,560,188
(153,065
)
1,000,821
Stock indices
-
(36,565
)
968,194
(1,616,534
)
(684,905
)
Total futures contracts
9,894,500
(2,545,898
)
6,102,212
(5,842,274
)
7,608,540
Forward currency contracts
2,688,904
(3,722,609
)
8,706,240
(3,303,970
)
4,368,565
Total futures and forward currency contracts
$
12,583,404
$
(6,268,507
)
$
14,808,452
$
(9,146,244
)
$
11,977,105
The effect of trading futures and forward currency contracts
is represented on the Statements of Operations for the three months ended March 31, 2012 and 2011 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:
F-
15
Trading gains (losses) of futures and forward currency contracts
for the three months ended March 31, 2012 and 2011
Sector
Three months
ended:
March 31, 2012
Three months
ended:
March 31, 2011
Futures contracts:
Energies
$
10,412,557
$
24,513,749
Grains
(4,433,664
)
(3,282,910
)
Interest rates
(15,579,211
)
(10,735,414
)
Livestock
(132,070
)
957,680
Metals
(7,292,286
)
3,162,126
Softs
2,119,527
2,003,567
Stock indices
(9,224,678
)
(19,679,883
)
Total futures contracts
(24,129,825
)
(3,061,085
)
Forward currency contracts
(19,777,557
)
(3,387,367
)
Total futures and forward currency contracts
$
(43,907,382
)
$
(6,448,452
)
The following table presents average notional value by sector
in U.S. dollars of open futures and forward currency contracts for the three months ended March 31, 2012 and 2011. The Trust's
average net asset value for the three months ended March 31, 2012 and 2011 was approximately $710,000,000 and $890,000,000, respectively.
Average notional value by sector of futures and forward currency
contracts for the three months ended March 31, 2012 and 2011
2012
2011
Sector
Long Positions
Short Positions
Long Positions
Short Positions
Futures contracts:
Energies
$
85,112,356
$
40,304,045
$
196,497,504
$
52,630,815
Grains
19,541,825
36,306,884
96,528,751
27,872,313
Interest rates
1,332,618,330
24,095,856
559,104,430
107,053,103
Livestock
-
4,579,130
14,819,860
1,547,150
Metals
26,574,777
62,655,627
153,567,972
13,030,188
Softs
7,157,640
27,786,050
32,902,037
3,742,029
Stock indices
91,978,360
125,441,692
479,240,805
18,928,946
Total futures contracts
1,562,983,288
321,169,284
1,532,661,359
224,804,544
Forward currency contracts
269,906,364
452,221,381
1,061,180,437
189,693,768
Total average notional
$
1,832,889,652
$
773,390,665
$
2,593,841,796
$
414,498,312
Notional values in the interest rate sector were calculated
by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to
10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2012 and 2011. 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.
F-
16
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 OTC 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.
A significant portion of the Trust's forward currency
trading activities are cleared by Barclays Bank PLC ("BB"), Deutsche Bank AG ("DB") and Morgan Stanley
& Co. LLC ("MS"). The Trust began trading at BB on June 2, 2011. The Trust's concentration of credit risk
associated with BB, 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 BB, DB and MS. The amount of such credit risk was $41,967,726
and $32,236,730 at March 31, 2012 and December 31, 2011, respectively.
5. PROFIT SHARE
The following table indicates the total profit share earned
and accrued during the three months ended March 31, 2012 and 2011. Profit share earned (from Unitholders' redemptions) is
credited to the New Profit Memo Account as defined in the Trust's Declaration of Trust and Trust Agreement (the "Trust
Agreement").
Three months ended:
March 31, 2012
March 31, 2011
Profit share earned
$
-
$
353
Profit share accrued
-
-
Total profit share
$
-
$
353
6. RELATED PARTY TRANSACTIONS
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 Trust's Prospectus), as well as extraordinary costs. At March 31, 2012 and
December 31, 2011, the Managing Owner is owed $170,595 and $137,195, respectively, 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).
Series 1 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, 2012 and
December 31, 2011, $6,562 and $801, respectively, was owed to the Managing Owner (and is included in "Due to Managing Owner"
in the Statements of Financial Condition).
7. FINANCIAL HIGHLIGHTS
Per unit operating performance for Series 1, Series 2, Series
3 and Series 4 Units is calculated based on Unitholders' Trust capital for each Series taken as a whole utilizing the beginning
and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for
each Series is detailed below:
Three months ending March 31,
2012
2011
Date of initial issuance
Series 1
596,977.685
660,245.605
July 23, 2001
Series 2
185.687
97.682
April 1, 2010
Series 3
26,228.488
14,821.200
September 1, 2009
Series 4
1,128.562
462.617
November 1, 2010
F-
17
8. BROKERAGE AND CUSTODIAL FEES
For the three months ended March 31, 2012 and 2011, brokerage
and custodial fees were as follows:
March 31, 2012
March 31, 2011
Brokerage fees
11,277,729
14,517,146
Custodial fees
140
82
Total
11,277,869
14,517,228
During the three months ended March 31, 2012, amounts paid to
selling agents exceed 9.5% of the gross offering proceeds of the Series 1 Units sold. As a result, the amounts that otherwise would
be paid to selling agents for that Series 1 Unit were instead rebated to the Trust for the benefit of all holders of Series 1 Units.
The total amount rebated to the Trust, $326, was included in "Brokerage and custodial fees" in the Statements of Operations.
No amount was rebated to the Trust during the three months ended March 31, 2011.
F-
18
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Unitholders of Global Macro Trust:
We have audited the accompanying statements
of financial condition of Global Macro Trust (the "Trust"), including the condensed schedules of investments, as of
December 31, 2011 and 2010, and the related statements of operations and changes in trust capital for the three years in the
period ended December 31, 2011, and the financial highlights for each of the periods presented. These financial statements and
financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with
the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform
the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material
misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial
reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's
internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, such financial statements
and financial highlights referred to above present fairly, in all material respects, the financial position of Global Macro Trust
as of December 31, 2011 and 2010, and the results of its operations and changes in its trust capital for the three years in
the period ended December 31, 2011, and its financial highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 13, 2012
F-
19
GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2011 AND 2010
2011
2010
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost  $81,041,000 and $146,977,164)
$
81,045,824
$
147,055,005
Net unrealized appreciation on open futures and forward currency contracts
12,894,380
37,402,229
Due from brokers
6,913,738
14,425,007
Cash denominated in foreign currencies (cost $1,754,566 and $8,260,299)
1,719,017
8,404,398
Total equity in trading accounts
102,572,959
207,286,639
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost  $634,052,301 and $654,167,743)
634,082,662
654,498,603
CASH AND CASH EQUIVALENTS
42,348,737
47,954,734
ACCRUED INTEREST RECEIVABLE
3,339,577
1,421,896
TOTAL
$
782,343,935
$
911,161,872
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance
$
3,164,450
$
6,440,530
Net unrealized depreciation on open futures and forward currency contracts
917,275
-
Due to Managing Owner
137,996
1,276
Accrued brokerage fees
4,005,466
4,843,008
Accrued management fees
57,276
24,278
Redemptions payable to Unitholders
17,618,625
5,953,490
Redemption payable to Managing Owner
1,259
262,829
Accrued expenses
180,897
239,340
Cash denominated in foreign currencies (cost -$2,107,152 and -$469,938)
2,122,063
471,510
Due to brokers
951,234
-
Total liabilities
29,156,541
18,236,261
TRUST CAPITAL:
Managing Owner interest (8,207.970 and 8,311.477 units outstanding)
9,644,943
10,922,729
Series 1 Unitholders (603,996.596 and 660,222.516 units outstanding)
709,737,394
867,646,692
Series 2 Unitholders (190.737 and 75.492 units outstanding)
240,698
101,957
Series 3 Unitholders (25,863.120 and 10,481.102 units outstanding)
32,771,232
14,178,784
Series 4 Unitholders (606.787 and 55.233 units outstanding)
793,127
75,449
Total trust capital
753,187,394
892,925,611
TOTAL
$
782,343,935
$
911,161,872
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders
$
1,175.07
$
1,314.17
Series 2 Unitholders
$
1,261.94
$
1,350.56
Series 3 Unitholders
$
1,267.10
$
1,352.80
Series 4 Unitholders
$
1,307.09
$
1,366.01
See notes to financial statements
F-
20
GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2011
Net Unrealized
Appreciation
(Depreciation)
Net Unrealized
as a % of
Appreciation
Trust Capital
(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies
(0.04
)%
$
(317,941
)
Grains
0.10
740,413
Interest rates:
2 Year U.S. Treasury Note (2,581 contracts, settlement date March 2012)
0.05
416,798
5 Year U.S. Treasury Note (2,385 contracts, settlement date March 2012)
0.09
647,000
10 Year U.S. Treasury Note (1,128 contracts, settlement date March 2012)
0.09
679,344
30 Year U.S. Treasury Bond (279 contracts, settlement date March 2012)
0.03
213,719
Other interest rates
0.86
6,494,508
Total interest rates
1.12
8,451,369
Metals
(0.15
)
(1,082,372
)
Softs
(0.05
)
(406,302
)
Stock indices
(0.00
)
(36,565
)
Total long futures contracts
0.98
7,348,602
Short futures contracts:
Energies
0.21
1,577,490
Grains
(0.31
)
(2,352,297
)
Interest rates
(0.01
)
(76,759
)
Livestock
(0.00
)
(24,710
)
Metals
0.05
377,431
Softs
0.18
1,407,123
Stock indices
(0.09
)
(648,340
)
Total short futures contracts
0.03
259,938
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net
1.01
7,608,540
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts
(0.14
)
(1,033,705
)
Total short forward currency contracts
0.72
5,402,270
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net
0.58
4,368,565
TOTAL
1.59
%
$
11,977,105
(Continued)
F-
21
GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2011
U. S. TREASURY NOTES
Fair Value
Face
as a % of
Fair
Amount
Description
Trust Capital
Value
$
215,950,000
U.S. Treasury notes, 0.875%, 02/29/2012
28.71
%
$
216,236,809
218,390,000
U.S. Treasury notes, 0.375%, 08/31/2012
29.05
218,782,420
222,440,000
U.S. Treasury notes, 4.250%, 09/30/2012
30.44
229,234,847
50,710,000
U.S. Treasury notes, 0.500%, 11/30/2012
6.75
50,874,410
TOTAL INVESTMENTS IN U.S. TREASURY
NOTES (amortized cost $715,093,301)
94.95
%
$
715,128,486
See notes to financial statements
(Concluded)
F-
22
GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2010
Net Unrealized
Appreciation
(Depreciation)
Net Unrealized
as a % of
Appreciation
Trust Capital
(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies
0.33
%
$
2,974,672
Grains
0.72
6,435,870
Interest rates:
2 Year U.S. Treasury Note (1,725 contracts, settlement date March 2011)
(0.04
)
(332,016
)
Other interest rates
0.20
1,791,919
Total interest rates
0.16
1,459,903
Livestock
0.07
578,540
Metals
1.18
10,487,557
Softs
0.32
2,892,994
Stock indices
0.57
5,040,779
Total long futures contracts
3.35
29,870,315
Short futures contracts:
Energies
(0.15
)
(1,326,800
)
Grains
(0.08
)
(707,463
)
Interest rates
(0.01
)
(132,113
)
Livestock
(0.03
)
(295,000
)
Metals
(0.13
)
(1,179,968
)
Softs
(0.03
)
(262,312
)
Stock indices
0.05
498,176
Total short futures contracts
(0.38
)
(3,405,480
)
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net
2.97
26,464,835
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts
1.60
14,278,410
Total short forward currency contracts
(0.38
)
(3,341,016
)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net
1.22
10,937,394
TOTAL
4.19
%
$
37,402,229
(Continued)
F-
23
GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2010
U. S. TREASURY NOTES
Fair Value
Face
as a % of
Fair
Amount
Description
Trust Capital
Value
$
174,000,000
U.S. Treasury notes, 0.875%, 03/31/2011
19.52
%
$
174,299,063
185,700,000
U.S. Treasury notes, 0.875%, 05/31/2011
20.86
186,251,297
219,330,000
U.S. Treasury notes, 1.000%, 08/31/2011
24.69
220,460,920
219,650,000
U.S. Treasury notes, 0.750%, 11/30/2011
24.70
220,542,328
TOTAL INVESTMENTS IN U.S. TREASURY
NOTES (amortized cost $801,144,907)
89.77
%
$
801,553,608
See notes to financial statements
(Concluded)
F-
24
GLOBAL MACRO TRUST
STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009
2011
2010
2009
INVESTMENT INCOME — Interest income
$
2,072,015
$
3,235,502
$
9,966,151
EXPENSES:
Brokerage fees
54,834,929
57,320,175
63,566,376
Administrative expenses
2,158,133
2,233,354
2,670,335
Custody fees
165,650
160,011
193,127
Management fees
571,739
143,533
10,864
Total expenses
57,730,451
59,857,073
66,440,702
NET INVESTMENT LOSS
(55,658,436
)
(56,621,571
)
(56,474,551
)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts
(8,224,392
)
87,904,542
(49,280,152
)
Foreign exchange translation
(52,568
)
352,202
126,508
Net change in unrealized:
Futures and forward currency contracts
(25,425,124
)
42,259,414
(9,457,839
)
Foreign exchange translation
(192,987
)
(302,673
)
352,661
Net gains (losses) from U.S. Treasury notes:
Realized
28,504
16,976
526,749
Net change in unrealized
(373,516
)
(203,035
)
(6,705,006
)
Total net realized and unrealized gains (losses)
(34,240,083
)
130,027,426
(64,437,079
)
NET INCOME (LOSS)
(89,898,519
)
73,405,855
(120,911,630
)
LESS PROFIT SHARE TO MANAGING OWNER
1,385
262,695
43,187
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
$
(89,899,904
)
$
73,143,160
$
(120,954,817
)
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING (see Note 7):
Series 1 Unitholders
$
(139.10
)
$
102.20
$
(159.03
)
Series 2 Unitholders
$
(88.62
)
$
72.46
$
-
Series 3 Unitholders
$
(85.70
)
$
131.36
$
40.53
Series 4 Unitholders
$
(58.92
)
$
50.68
$
-
See notes to financial statements
F-
25
GLOBAL MACRO TRUST
STATEMENTS OF CHANGES IN TRUST CAPITAL
YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009
New Profit Memo
Series 1 Unitholders
Series 2 Unitholders
Series 3 Unitholders
Series 4 Unitholders
Account
Managing Owner
Total
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
Amount
Units
TRUST CAPITAL — January 1, 2009
$
1,018,820,851
743,122.758
$
-
-
$
-
-
$
-
-
$
-
-
$
11,560,510
8,432.177
$
1,030,381,361
751,554.935
Subscriptions
78,304,008
59,130.010
-
-
1,727,114
1,444.668
-
-
-
-
-
-
80,031,122
60,574.678
Redemptions
(110,305,815
)
(89,327.054
)
-
-
-
-
-
-
-
-
(40,426
)
(33.356
)
(110,346,241
)
(89,360.410
)
Transfers
(461,258
)
(388.822
)
-
-
461,258
386.624
-
-
-
-
-
-
-
(2.198
)
Additional units allocated*
-
1,983.082
-
-
-
-
-
-
-
1.214
-
592.416
-
2,576.712
Net income (loss) after profit share to Managing Owner
(120,377,559
)
-
-
-
48,439
-
-
-
(2,761
)
-
(622,936
)
-
(120,954,817
)
-
Managing Owner's profit share
-
-
-
-
-
-
-
-
43,187
32.142
-
-
43,187
32.142
Transfer of New Profit Memo Account to Managing Owner
-
-
-
-
-
-
-
-
(40,426
)
(33.356
)
40,426
33.356
-
-
TRUST CAPITAL — December 31, 2009
865,980,227
714,519.974
-
-
2,236,811
1,831.292
-
-
-
-
10,937,574
9,024.593
879,154,612
725,375.859
Subscriptions
31,438,164
25,234.721
95,530
75.492
11,260,170
8,961.540
71,041
55.233
-
-
-
-
42,864,905
34,326.986
Redemptions
(100,149,285
)
(81,345.253
)
-
-
(387,647
)
(311.730
)
-
-
-
-
(1,962,829
)
(1,528.360
)
(102,499,761
)
(83,185.343
)
Additional units allocated*
-
1,813.074
-
-
-
-
-
-
-
0.022
-
615.248
-
2,428.344
Net income after profit share to Managing Owner
70,377,586
-
6,427
-
1,069,450
-
4,408
-
134
-
1,685,155
-
73,143,160
-
Managing Owner's profit share
-
-
-
-
-
-
-
-
262,695
199.974
-
-
262,695
199.974
Transfer of New Profit Memo Account to Managing Owner
-
-
-
-
-
-
-
-
(262,829
)
(199.996
)
262,829
199.996
-
-
TRUST CAPITAL — December 31, 2010
867,646,692
660,222.516
101,957
75.492
14,178,784
10,481.102
75,449
55.233
-
-
10,922,729
8,311.477
892,925,611
679,145.820
Subscriptions
46,027,878
36,354.165
184,000
136.584
22,838,898
17,047.103
748,874
551.554
-
-
-
-
69,799,650
54,089.406
Redemptions
(116,664,030
)
(94,309.154
)
(28,299
)
(21.339
)
(2,145,759
)
(1,665.085
)
-
-
-
-
(801,260
)
(679.866
)
(119,639,348
)
(96,675.444
)
Additional units allocated*
-
1,729.069
-
-
-
-
-
-
-
0.050
-
575.288
-
2,304.407
Net loss after profit share to Managing Owner
(87,273,146
)
-
(16,960
)
-
(2,100,691
)
-
(31,196
)
-
(126
)
-
(477,785
)
-
(89,899,904
)
-
Managing Owner's profit share
-
-
-
-
-
-
-
-
1,385
1.021
-
-
1,385
1.021
Transfer of New Profit Memo Account to Managing Owner
-
-
-
-
-
-
-
-
(1,259
)
(1.071
)
1,259
1.071
-
-
TRUST CAPITAL — December 31, 2011
$
709,737,394
603,996.596
$
240,698
190.737
$
32,771,232
25,863.120
$
793,127
606.787
$
-
-
$
9,644,943
8,207.970
$
753,187,394
638,865.210
* Additional units are issued to Series 1 Unitholders who are
charged less than a 7.0% brokerage fee and the Managing Owner.
See notes to financial statements
F-
26
GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 1
YEARS ENDED DECEMBER 31, 2011, 2010, AND 2009
2011
2010
2009
PER UNIT OPERATING PERFORMANCE (FOR A UNIT
OUTSTANDING THROUGHOUT THE YEAR):
Net income (loss) from operations:
Net investment loss (a)
$
(85.22
)
$
(82.06
)
$
(75.05
)
Net realized and unrealized gains (losses) on trading
of futures and forward currency contracts
(53.38
)
184.52
(75.84
)
Net losses from U.S. Treasury notes (a)
(0.50
)
(0.26
)
(8.10
)
Net income (loss) from operations
(139.10
)
102.20
(158.99
)
Less profit share allocated to Managing Owner
0.00
0.00
0.04
Net income (loss) after profit allocation
(139.10
)
102.20
(159.03
)
NET ASSET VALUE — Beginning of year
1,314.17
1,211.97
1,371.00
NET ASSET VALUE — End of year
$
1,175.07
$
1,314.17
$
1,211.97
RETURNS:
Total return before profit share allocation
(10.58
)%
8.43
%
(11.60
)%
Profit share allocation
0.00
0.00
0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
(10.58
)%
8.43
%
(11.60
)%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss
(6.78
)%
(6.66
)%
(6.00
)%
Total expenses
7.03
7.03
7.05
Profit share allocation
0.00
0.00
0.00
Total expenses and profit share allocation
7.03
%
7.03
%
7.05
%
(a) Calculated based on the weighted average number of units
during the year, see Note 7.
(Continued)
F-
27
GLOBAL MACRO TRUST
STATEMENT OF FINANCIAL HIGHLIGHTS ― SERIES 2
YEAR ENDED DECEMBER 31, 2011 AND THE PERIOD ENDED DECEMBER 31, 2010*
2011
2010
PER UNIT OPERATING PERFORMANCE (FOR A UNIT
OUTSTANDING THROUGHOUT THE YEAR/PERIOD):
Net income (loss) from operations:
Net investment loss (a)
$
(32.99
)
$
(23.37
)
Net realized and unrealized gains (losses) on trading
of futures and forward currency contracts
(54.87
)
124.78
Net losses from U.S. Treasury notes (a)
(0.76
)
(0.10
)
Net income (loss) from operations
(88.62
)
101.31
Less profit share allocated to Managing Owner
0.00
28.85
Net income (loss) after profit allocation
(88.62
)
72.46
NET ASSET VALUE — Beginning of year/period
1,350.56
1,278.10
NET ASSET VALUE — End of year/period
$
1,261.94
$
1,350.56
RETURNS:
Total return before profit share allocation
(6.56
)%
7.20
%
Profit share allocation
(0.00
)
(1.53
)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
(6.56
)%
5.67
%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss
(2.52
)%
(2.45
)%
Total expenses
2.75
2.80
Profit share allocation
0.00
2.27
Total expenses and profit share allocation
2.75
%
5.07
%
(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.
*
Series 2 units were first issued on April 1, 2010. Net investment loss and total expense ratios for the
period ended December 31, 2010 have been annualized.
(Continued)
F-
28
GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 3
YEARS ENDED DECEMBER 31, 2011, 2010 AND THE PERIOD ENDED DECEMBER 31, 2009*
2011
2010
2009
PER UNIT OPERATING PERFORMANCE (FOR A UNIT
OUTSTANDING THROUGHOUT THE YEAR/PERIOD):
Net income (loss) from operations:
Net investment loss (a)
$
(29.80
)
$
(27.90
)
$
(8.71
)
Net realized and unrealized gains (losses) on trading
of futures and forward currency contracts
(55.16
)
206.79
58.50
Net losses from U.S. Treasury notes (a)
(0.68
)
(0.41
)
(0.59
)
Net income (loss) from operations
(85.64
)
178.48
49.20
Less profit share allocated to Managing Owner
0.06
47.12
8.67
Net income (loss) after profit allocation
(85.70
)
131.36
40.53
NET ASSET VALUE — Beginning of year/period
1,352.80
1,221.44
1,180.91
NET ASSET VALUE — End of year/period
$
1,267.10
$
1,352.80
$
1,221.44
RETURNS:
Total return before profit share allocation
(6.33
)%
13.71
%
4.17
%
Profit share allocation
(0.01
)
(2.96
)
(0.74
)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
(6.34
)%
10.75
%
3.43
%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss
(2.27
)%
(2.19
)%
(2.14
)%
Total expenses
2.50
2.55
2.61
Profit share allocation
0.01
3.70
0.71
Total expenses and profit share allocation
2.51
%
6.25
%
3.32
%
(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.
*
Series 3 units were first issued on September 1, 2009. Net investment loss and total expense ratios
    for the period ended December 31, 2009 have been annualized.
(Continued)
F-
29
GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 4
YEAR ENDED DECEMBER 31, 2011 AND THE PERIOD ENDED DECEMBER 31, 2010*
2011
2010
PER UNIT OPERATING PERFORMANCE (FOR A UNIT
OUTSTANDING THROUGHOUT THE YEAR/PERIOD):
Net income (loss) from operations:
Net investment loss (a)
$
(3.46
)
$
(0.38
)
Net realized and unrealized gains (losses) on trading
of futures and forward currency contracts
(54.83
)
51.13
Net losses from U.S. Treasury notes (a)
(0.63
)
(0.07
)
Net income (loss) from operations
(58.92
)
50.68
NET ASSET VALUE — Beginning of year/period
1,366.01
1,315.33
NET ASSET VALUE — End of year/period
$
1,307.09
$
1,366.01
TOTAL RETURN
(4.31
)%
3.85
%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss
(0.26
)%
(0.17
)%
Total expenses
0.49
%
0.47
%
(a) Calculated based on the weighted average number of units
during the year/period, see Note 7.
*
Series 4 units were first issued on November 1, 2010. Net investment loss and total expense ratios for the period ended December 31, 2010 have been annualized.
See notes to financial statements
(Concluded)
F-
30
Global
Macro Trust
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 2011, 2010, and 2009
1.          ORGANIZATION
Global
Macro Trust (the "Trust") was organized on July 23, 2001, under the Delaware Statutory Trust Act. At such time,
original capital of $400 by Millburn Ridgefield Corporation (the "Managing Owner") and $1,600 by the Initial Unitholder,
an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July 1, 2002. The Trust engages
in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile
and involve a high degree of market risk.
The
Managing Owner manages the business of the Trust and makes all trading decisions.
The
Managing Owner has agreed to make additional capital contributions, subject to certain possible exceptions, in order to maintain
its capital account at not less than 1% of the total outstanding capital contributions in the Trust (including the Managing Owner's
contributions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the "Unitholders")
of the Units of Beneficial Interest ("Units") issued by the Trust will share in any profits and losses of the Trust
in proportion to the percentage interest owned by each before brokerage commissions, management fees and profit share allocations.
The
Trust will dissolve on December 31, 2031 or at an earlier date if certain conditions occur set forth in the Fourth Amended
and Restated Declaration of Trust and the Trust Agreement (the "Agreement").
2.          SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES
Basis
of Presentation
— The financial statements have been prepared in conformity with accounting
principles generally accepted in the United States ("U.S. GAAP") as detailed in the Financial Accounting Standards
Board ("FASB") Accounting Standards Codification ("Codification").
Investments
—
The Trust records its transactions in futures and forward currency contracts and United States ("U.S.") Treasury notes
including related income and expenses on a trade date basis.
Open
futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on
pricing models that consider the time value of money and the current market and contractual prices of the underlying financial
instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes
in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the
contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains
(losses) in the Statements of Operations.
Investments
in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3 pm EST by
Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit
with financial institutions (see Note 6) as collateral for performance of the Trust's trading obligations with respect
to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.
Cash
and Cash Equivalents
— Cash and cash equivalents includes cash and investments in
Dreyfus Treasury Prime Cash Management, a short term U.S. government securities and related instruments money market fund.
F-
31
Foreign
Currency Translation
— Assets and liabilities denominated in foreign currencies are
translated to U.S. Dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to
U.S. Dollars at the exchange rate prevailing when such transactions occurred.
Income
Taxes
— The Income Taxes topic of the Codification clarifies the accounting for uncertainty
in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based
on a review of the Trust's open tax years, 2008 to 2011, for the U.S. Federal jurisdiction, the New York and Delaware State
jurisdictions and the New York City jurisdiction, there are no uncertain tax positions. The Trust is treated as a limited partnership
for federal and state income tax reporting purposes and therefore the Unitholders are responsible for the payment of taxes.
Estimates
—
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that
affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.
Right
of Offset
— The customer agreements between the Trust and each of its brokers give
the Trust the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting
transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition.
Fair
Value of Financial Instruments
— The fair value of the Trust's assets and liabilities
which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates
the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework
for measurement of fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy
are described below:
Level 1
—
Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2
—
Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable either directly
or indirectly;
Level 3
—
Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.
In
determining fair value, the Trust separates its investments into two categories: cash instruments and derivative contracts.
Cash
Instruments
— The Trust's cash instruments are generally classified within Level 1
of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based
on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government
securities and related instruments money market fund. The Managing Owner of the Trust does not adjust the quoted price for such
instruments even in situations where the Trust holds a large position and a sale could reasonably impact the quoted price.
Derivative
Contracts
— Derivative contracts can be exchange-traded or over-the-counter ("OTC").
Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of
the fair value hierarchy.
F-
32
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.
During
the years ended December 31, 2011 and 2010, there were no transfers of assets or liabilities between Level 1 and Level 2.
The following table represents the Trust's investments by hierarchical level as of December 31, 2011 and 2010 in valuing
the Trust's investments at fair value. At December 31, 2011 and 2010, the Trust held no assets or liabilities classified
in Level 3.
Financial Assets at Fair Value as of December 31,
2011
Level 1
Level 2
Total
U.S. Treasury notes (1)
$
715,128,486
$
-
$
715,128,486
Short-term money market fund*
42,244,442
-
42,244,442
Exchange-traded futures contracts
Energies
1,259,549
-
1,259,549
Grains
(1,611,884
)
-
(1,611,884
)
Interest rates
8,374,610
-
8,374,610
Livestock
(24,710
)
-
(24,710
)
Metals
(704,941
)
-
(704,941
)
Softs
1,000,821
-
1,000,821
Stock indices
(684,905
)
-
(684,905
)
Total exchange-traded futures contracts
7,608,540
-
7,608,540
Over-the-counter forward currency contracts
-
4,368,565
4,368,565
Total futures and forward currency contracts (2)
7,608,540
4,368,565
11,977,105
Total financial assets at fair value
$
764,981,468
$
4,368,565
$
769,350,033
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
$
81,045,824
Investments in U.S. Treasury notes held in custody
634,082,662
Total investments in U.S. Treasury notes
$
715,128,486
(2)
Net unrealized appreciation on futures and forward currency contracts
$
12,894,380
Net unrealized depreciation on futures and forward currency contracts
(917,275
)
Total unrealized appreciation and depreciation on futures and forward currency contracts
$
11,977,105
*The short-term money market fund is included in Cash and Cash
Equivalents on the Statements of Financial Condition.
F-
33
Financial Assets at Fair Value as of December 31,
2010
Level 1
Level 2
Total
U.S. Treasury notes (1)
$
801,553,608
$
-
$
801,553,608
Short-term money market fund*
47,651,151
-
47,651,151
Exchange-traded futures contracts
Energies
1,647,872
-
1,647,872
Grains
5,728,407
-
5,728,407
Interest rates
1,327,790
-
1,327,790
Livestock
283,540
-
283,540
Metals
9,307,589
-
9,307,589
Softs
2,630,682
-
2,630,682
Stock indices
5,538,955
-
5,538,955
Total exchange-traded futures contracts
26,464,835
-
26,464,835
Over-the-counter forward currency contracts
-
10,937,394
10,937,394
Total futures and forward currency contracts (2)
26,464,835
10,937,394
37,402,229
Total financial assets at fair value
$
875,669,594
$
10,937,394
$
886,606,988
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral
$
147,055,005
Investments in U.S. Treasury notes held in custody
654,498,603
Total investments in U.S. Treasury notes
$
801,553,608
(2)
Net unrealized appreciation on futures and forward currency contracts
$
37,402,229
Net unrealized depreciation on futures and forward currency contracts
-
Total unrealized appreciation and depreciation on futures and forward currency contracts
$
37,402,229
*The short-term money market fund is included in Cash and Cash
Equivalents on the Statements of Financial Condition.
Recent
Accounting Standards
—In December 2011, FASB issued ASU 2011-11, "Disclosures about
Offsetting Assets and Liabilities" which creates a new disclosure requirement about the nature of an entity's rights
of setoff and the related arrangement associated with its financial instruments and derivative instruments. Entities are required
to disclose both gross information and net information about both instruments and transactions eligible for offset in the Statements
of Financial Condition and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective
of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S.
GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The
disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within
those annual periods. The Trust should also provide the disclosures retrospectively for all comparative periods presented. The
Managing Owner is currently evaluating the impact that the standard would have on the financial statements.
3.          TRUST
AGREEMENT
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 were Series 1 units. Series 2, Series 3 and Series 4 units were
first issued April 1, 2010, September 1, 2009 and November 1, 2010, respectively.
F-
34
Series
1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value
(prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who make net capital investments into
Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged
less than the annual brokerage rate of 7.0% as follows:
Net Capital Investments
Brokerage Fees
$100,000–$499,999
6.50
%
$500,000–$999,999
6.00
Greater than $1,000,000
5.50
Asset-based or fixed fee investment programs
4.00
Brokerage
fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo
Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset
Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.
The
Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust's
futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing
Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.
The
Trust pays the Managing Owner a management fee of 2% per year of the Trust's Net Asset Value (before management fee and profit
share calculations) attributable to Series 2 and 3 Units. In addition, Series 2 Unitholders pay an annual custodial fee of 0.25%
of their attributable Net Asset Value before management fee and profit share calculations. Series 2, 3 and 4 Units are also
charged for their pro rata share of the Trust's actual trade execution and clearing costs including electronic platform trading
costs. Series 4 Unitholders are not charged a management fee.
The
Agreement provides that the Managing Owner's profit share, equal to 20% of New Trading Profits in excess of the highest cumulative
level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders' capital accounts. The highest
cumulative level of Trading Profit is maintained separately for Series 1 and Series 2 and 3 Unitholders in the aggregate. Series
4 Unitholders are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage
fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders'
redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit
share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes
called New Profit Memo Account. Any profit share charged is added to the Managing Owner's capital account to the extent that
net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New
Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the
end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year's profit share, a
corresponding amount is transferred from the New Profit Memo Account to the Managing Owner's capital account.
The
Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees'
fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner,
at its discretion, may reimburse certain expenses paid by the Trust.
F-
35
Units
may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on
the last business day of any calendar month on ten business days written notice to the Managing Owner. Series 1 Unitholders who
redeem Units at or prior to the end of the first consecutive six-month and five-month periods after such Units are sold shall be
assessed redemption charges calculated based on their redeemed Units' Net Asset Value as of the date of redemption as follows:
Redemption Charges
Subscriptions
First 6 Months
Second 5 Months
Less than $100,000
4.0
%
3.0
%
$100,000–$499,999
3.5
2.5
$500,000–$999,999
3.0
2.0
Greater than $1,000,000
2.5
1.5
All
redemption charges will be paid to the Managing Owner. At December 31, 2011 and 2010, $801 and $1,276, respectively, of redemption
charges were owed to the Managing Owner and are included in "Due to Managing Owner" in the Statements of Financial
Condition. The aggregate amount of redemption charges paid to the Managing Owner for the years ended December 31, 2011, 2010,
and 2009, were $18,650, $17,207, and $266,979, respectively.
4.          DUE
FROM/TO BROKERS
At
December 31, 2011 and 2010, due from and due to brokers balances in the Statements of Financial Condition include net cash
receivable from each broker and net cash payable to each broker, respectively.
5.          TRADING
ACTIVITIES
The
Trust conducts its futures trading with various futures commission merchants ("FCMs") on futures exchanges and its
forward currency trading with various banks or dealers ("Dealers") in the interbank markets. Substantially all assets
included in the Trust's equity in trading accounts and certain liability accounts, as discussed below, were held as collateral
by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured
accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission's
regulations or held as collateral by the Dealers.
Liabilities
in the Statements of Financial Condition that are components of "Total equity in trading accounts" include net unrealized
depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers.
The
Trust enters into contracts with various institutions that contain a variety of indemnifications. The Trust's maximum exposure
under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects
the risk of loss to be remote.
6.          DERIVATIVE
INSTRUMENTS
The
Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures
and forward currency contracts which may be traded on an exchange or OTC contracts.
The
Trust records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Trust enters
into master netting agreements with its counterparties. Therefore, assets represent the Trust's unrealized gains less unrealized
losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to
counterparties on OTC contracts.
F-
36
Futures
contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are
made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued
on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received
or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The
Trust bears the market risk that arises from changes in the value of these financial instruments.
Forward
currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value
and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the
value of the contract at the onset and the value of the contract at settlement date.
Each
of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including
market risk, credit risk and sovereign risk.
Market
risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign
exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and
liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain
varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and
the Trust's satisfaction of its obligations related to such market value changes may exceed the amount recognized in the
Statements of Financial Condition.
Credit
risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract.
Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions
since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.
In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts
of the forward and futures contracts do not represent the Trust's risk of loss due to counterparty nonperformance. The Trust's
exposure to credit risk associated with counterparty nonperformance of these contracts includes unrealized gains inherent in such
contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by the counterparty.
The amount of such credit risk was $32,236,730 and $90,603,180 at December 31, 2011 and 2010, respectively.
The
Managing Owner has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance
that it will in fact succeed in doing so. The Managing Owner's market risk control procedures include diversification of
the Trust's portfolio and continuously monitoring the portfolio's open positions, historical volatility and maximum
historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust's assets
at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust's trading activities
are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions
of the Trust are cleared by major securities firms, pursuant to customer agreements, including Barclays Capital Inc., Deutsche
Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), J.P. Morgan Securities LLC., Merrill Lynch, Pierce,
Fenner & Smith Incorporated and Newedge USA, LLC (a wholly owned subsidiary of Newedge Group which is owned by Société
Générale (50%) and Calyon (50%)). For all forward currency transactions, the Trust utilizes three prime brokers,
Barclays Bank PLC, Deutsche Bank AG and Morgan Stanley & Co., LLC.
The
Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of
cash and the effect of political or economic
uncertainties. Net
unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S.
Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then
translated to U.S. Dollars.
F-
37
Net
unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S.
Dollars, is detailed below:
December 31,
2011
2010
Total Net
Total Net
Unrealized
Unrealized
Appreciation
Percent
Appreciation
Percent
Currency Type
(Depreciation)
of Total
(Depreciation)
of Total
Australian dollar
$
1,181,145
9.86
%
$
1,643,420
4.39
%
British pound
268,046
2.24
954,935
2.55
Canadian dollar
793,734
6.63
1,325,243
3.54
Czech koruna
148,481
1.24
(35,527
)
(0.09
)
Euro
3,382,866
28.24
675,680
1.81
Hong Kong dollar
(29,417
)
(0.25
)
301,679
0.81
Hungarian forint
115,728
0.97
(47,422
)
(0.13
)
Japanese yen
2,674,868
22.33
(1,118,237
)
(2.99
)
Korean won
(187,989
)
(1.57
)
1,926,819
5.15
Mexican peso
(537
)
(0.00
)
48,949
0.13
New Zealand dollar
551,053
4.60
(479,061
)
(1.28
)
Norwegian krone
(878,248
)
(7.33
)
1,572,029
4.20
Polish zloty
(29,114
)
(0.24
)
181,184
0.49
Romanian leu
28,100
0.23
5,336
0.02
Singapore dollar
84,101
0.70
173,541
0.46
South African rand
(9,218
)
(0.08
)
384,474
1.03
Swedish krona
(328,241
)
(2.74
)
776,341
2.08
Swiss franc
607,933
5.08
(533,492
)
(1.43
)
Taiwan dollar
(148,333
)
(1.24
)
685,814
1.83
Thai baht
6,878
0.06
16,258
0.04
Turkish lira
(55,283
)
(0.46
)
(1,344,384
)
(3.59
)
U.S. dollar
3,800,552
31.73
30,288,650
80.98
Total
$
11,977,105
100.00
%
$
37,402,229
100.00
%
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 agricultural commodities, currencies, energies, interest
rates, metals and stock indices. The following were the primary trading risk exposures of the Trust at December 31, 2011 and
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.
F-
38
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 U.S. and the Eurozone. However, the Trust also may take positions in futures contracts
on the government debt of other nations. The Managing Owner anticipates that interest rates in these industrialized countries or
areas, both long-term and short-term, will remain the primary interest rate 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, palladium,
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 a net 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 Note 2.
Since
the derivatives held or sold by the Trust are for speculative trading purposes, 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.
The
following tables present the fair value of open futures and forward currency contracts, held long or sold short, at December 31,
2011 and 2010. 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
December 31, 2011
Net Unrealized
Fair Value - Long Positions
Fair Value - Short Positions
Gain (Loss) on
Sector
Gains
Losses
Gains
Losses
Open Positions
Futures contracts:
Energies
$
20,943
$
(338,884
)
$
1,602,200
$
(24,710
)
$
1,259,549
Grains
740,413
-
-
(2,352,297
)
(1,611,884
)
Interest rates
8,941,748
(490,379
)
15,566
(92,325
)
8,374,610
Livestock
-
-
43,060
(67,770
)
(24,710
)
Metals
184,553
(1,266,925
)
1,913,004
(1,535,573
)
(704,941
)
Softs
6,843
(413,145
)
1,560,188
(153,065
)
1,000,821
Stock indices
-
(36,565
)
968,194
(1,616,534
)
(684,905
)
Total futures contracts
9,894,500
(2,545,898
)
6,102,212
(5,842,274
)
7,608,540
Forward currency contracts
2,688,904
(3,722,609
)
8,706,240
(3,303,970
)
4,368,565
Total futures and  forward currency contracts
$
12,583,404
$
(6,268,507
)
$
14,808,452
$
(9,146,244
)
$
11,977,105
F-
39
Fair Value of Futures and Forward Currency Contracts at
December 31, 2010
Net Unrealized
Fair Value - Long Positions
Fair Value - Short Positions
Gain on
Sector
Gains
Losses
Gains
Losses
Open Positions
Futures contracts:
Energies
$
3,578,697
$
(604,025
)
$
-
$
(1,326,800
)
$
1,647,872
Grains
6,435,870
-
-
(707,463
)
5,728,407
Interest rates
1,906,539
(446,636
)
93,822
(225,935
)
1,327,790
Livestock
578,540
-
-
(295,000
)
283,540
Metals
10,487,557
-
-
(1,179,968
)
9,307,589
Softs
2,899,490
(6,496
)
17,158
(279,470
)
2,630,682
Stock indices
6,102,368
(1,061,589
)
504,746
(6,570
)
5,538,955
Total futures contracts
31,989,061
(2,118,746
)
615,726
(4,021,206
)
26,464,835
Forward currency contracts
17,229,470
(2,951,060
)
4,884,986
(8,226,002
)
10,937,394
Total futures and  forward currency contracts
$
49,218,531
$
(5,069,806
)
$
5,500,712
$
(12,247,208
)
$
37,402,229
The
effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended December 31,
2011, 2010 and 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:
Sector
2011
2010
2009
Futures contracts:
Currencies
$
-
$
-
$
12,863
Energies
7,688,026
(6,296,617
)
(20,943,376
)
Grains
(10,817,032
)
14,680,492
(6,699,369
)
Interest rates
74,456,429
78,525,936
(19,513,721
)
Livestock
(2,910,290
)
(531,000
)
2,065,620
Metals
(974,007
)
12,922,817
(11,958,920
)
Softs
(1,791,425
)
7,618,692
(218,950
)
Stock indices
(66,244,167
)
(2,020,460
)
7,916,951
Total futures contracts
(592,466
)
104,899,860
(49,338,902
)
Forward currency contracts
(33,057,050
)
25,264,096
(9,399,089
)
Total futures and forward currency contracts
$
(33,649,516
)
$
130,163,956
$
(58,737,991
)
The
following table presents average notional value by sector in U.S. Dollars of open futures and forward currency contracts for the
years ended December 31, 2011, 2010 and 2009. The Trust's average Net Asset Value during 2011, 2010 and 2009 was approximately
and $851,000,000, $866,000,000 and $931,000,000, respectively.
F-
40
2011
2010
2009
Sector
Long Positions
Short Positions
Long Positions
Short Positions
Long Positions
Short Positions
Futures contracts:
Currencies
$
-
$
-
$
-
$
-
$
-
$
3,320,750
Energies
127,381,359
48,647,953
183,992,274
116,768,010
109,535,870
113,200,422
Grains
53,980,643
40,497,833
57,678,838
40,281,856
22,378,090
53,157,025
Interest rates
1,079,809,596
61,557,330
1,274,911,920
47,891,170
936,859,841
38,825,820
Livestock
5,927,944
7,597,444
16,433,746
5,323,786
-
26,230,698
Metals
81,393,624
40,499,934
115,309,169
11,071,090
52,829,526
39,335,538
Softs
17,865,981
10,367,157
29,206,211
7,135,608
20,257,081
13,534,675
Stock indices
244,479,325
70,839,469
478,292,206
14,482,348
344,334,006
85,714,579
Total futures contracts
1,610,838,472
280,007,120
2,155,824,364
242,953,868
1,486,194,414
373,319,507
Forward currency contracts
714,484,864
292,797,211
876,153,841
358,871,897
473,904,261
200,256,650
Total average notional
$
2,325,323,336
$
572,804,331
$
3,031,978,205
$
601,825,765
$
1,960,098,675
$
573,576,157
Notional
values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate
futures positions to 10-year equivalent fixed income instruments, translated to U.S. Dollars at each quarter-end during 2011, 2010,
and 2009. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes
it is a more meaningful representation of notional values of the Trust's open interest rate positions.
7.          FINANCIAL
HIGHLIGHTS
Per
Unit operating performance for Series 1, 2, 3 and 4 Units is calculated based on Unitholders' trust capital for each
Series taken as a whole utilizing the beginning and ending Net Asset Value per unit and weighted average number of units during
the period/year. Weighted average number of units for each Series is detailed below:
Years ended December 31,
2011
2010
2009
Date of issuance
Series 1
645,173.947
(1)
687,898.790
(1)
753,054.008
(1)
July 23, 2001
Series 2
156.318
(1)
64.584
(2)
n/a
April 1, 2010
Series 3
21,549.160
(1)
5,536.921
(1)
1,322.314
(3)
September 1, 2009
Series 4
532.525
(1)
34.462
(4)
n/a
November 1, 2010
(1) January 1 - December 31
(2) April 1 - December 31
(3) September 1 - December 31
(4) November 1 - December 31
Returns
and ratios are calculated for each Series taken as a whole. An individual Unitholder's per unit operating performance may
vary based on the timing of capital transactions and differences in individual Unitholder's brokerage fee (for Series 1),
management fee (for Series 2 and 3) and profit share allocation arrangements. Net investment loss and total expense ratios have
been annualized for reporting periods consisting of less than twelve months.
8.          REDEMPTION
PAYABLE TO MANAGING OWNER
At
December 31, 2011 and 2010, redemptions payable of $1,259 and $262,829, respectively, was related to profit share allocated
to the Managing Owner at each year-end and redeemed.
F-
41
MILLBURN RIDGEFIELD CORPORATION
STATEMENT OF FINANCIAL CONDITION
March 31, 2012
(UNAUDITED)
_______________
ASSETS
Cash and cash equivalents
$
2,370,498
Commissions and fees receivable
6,662,807
Loan receivable from stockholders and affiliates
697,387
Investments in sponsored funds
26,755,821
Investments in other funds
58,886
Redemptions receivable from other funds
228,758
Furniture and equipment, net of accumulated  depreciation of $ 517,086
170,119
Total assets
$
36,944,276
LIABILITIES
Accounts payable and accrued expenses
$
3,017,686
Due to affiliated companies
3,308,475
Due to First Republic Bank
2,166,339
Total liabilities
8,492,500
STOCKHOLDER'S EQUITY
Common stock - $.005 par value, 300,000 shares authorized, 210,849 shares issued and outstanding
1,054
Additional paid-in capital
10,386,406
Retained earnings
18,064,316
Total stockholder's equity
28,451,776
Total liabilities and stockholder's equity
$
36,944,276
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION
F-
42
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
_______________
Note 1.
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A.       General
Millburn Ridgefield Corporation (the Corporation) was incorporated in the state of Delaware on May 19, 1982. The Corporation
earns commissions and fees as a Commodity Trading Advisor and Commodity Pool Operator and is registered with, and subject to, the
regulations of the Commodity Futures Trading Commission (CFTC), an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry. It is also subject to the rules of the National Futures Association (NFA), an industry
self-regulatory organization. In addition, the Corporation is registered with the United States Securities and Exchange Commission
as an Investment Adviser.
The Corporation's financial statements are presented in accordance with accounting principles generally accepted in the
United States of America (U.S. GAAP). The Financial Accounting Standards Board (FASB) Accounting Standards Codification (the Codification)
is the single source of U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to
make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amount of revenues and expenses during the period. Actual
results could differ from those estimates, and those differences may be material to the financial statements.
B.       Cash
and Cash Equivalents
Cash and cash equivalents includes cash and investments in money market mutual funds.
C.       Investments
in Sponsored Funds and Other Funds
The Corporation is the general partner, managing owner or managing member of various commodity pools and investment funds (collectively,
"sponsored funds") formed as limited partnerships, limited liability companies or trusts. As the sponsor, the Corporation
has a fiduciary responsibility to the sponsored funds and potential liability beyond amounts recognized as an asset in the statement
of financial condition. The Corporation has not consolidated the assets, liabilities and operating results of its sponsored funds
and other funds under the voting interest consolidation model due to the unaffiliated equity investors of the sponsored funds and
other funds holding kick-out rights.
Investments in sponsored funds and other funds (collectively, "funds") are reported in the Corporation's
statement of financial condition at fair value. Fair value ordinarily represents the Corporation's proportionate share of
each fund's net asset value determined for each fund in accordance with such fund's valuation policies and reported
at the time of the fund's valuation, which represents a market approach. Generally, the fair value of the Corporation's
investment in another fund represents the amount that the Corporation could reasonably expect to receive from such fund if the
Corporation's investment was redeemed at the date of the statement of financial condition, based on information reasonably
available at the time the valuation is made and that the Corporation believes to be reliable.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION
F-
43
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
_______________
Note 1.
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
D.       Foreign
Currency Translation
The Corporation's functional currency is the U.S. dollar; however, it transacts business in currencies other than the
U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at quoted prices of such
currencies at the date of the statement of financial condition.
E.       Revenue
Recognition
Commission income is recognized when earned, in accordance with the related limited partnership agreement or other governing
agreement. Commission income from sponsored funds is based on a fixed percentage of the sponsored funds' net asset value.
Incentive, management and other fees accrue based on the terms of the respective advisory agreement or other governing agreement.
Incentive fees are based on a percentage of the net profits experienced by the account. Management fees are based on a fixed percentage
of the assets under management.
F.       Income
Taxes
The Corporation has elected S corporation status under the Internal Revenue
Code, pursuant to which the Corporation does not pay U.S. Corporate or state income tax on its taxable income. Instead, the stockholders
are liable for individual income tax on their share of the Corporation's taxable income.
The Corporation files U.S. federal and state tax returns. The 2008 through
2011 tax years generally remain subject to examination by U.S. federal and most state tax authorities.
The
Corporation applies the provisions of Codification Topic 740, Income Taxes; which prescribes the minimum recognition threshold
a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken
by an entity before being measured and recognized in the financial statements. This accounting standard requires the evaluation
of tax positions taken or expected to be taken in the course of preparing the Corporation's statement of financial condition
to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority.
Tax positions with respect to tax at the Corporation level not deemed to meet the "more-likely-than-not" threshold
would be recorded as a liability in the current year. The Corporation has concluded there are no liabilities related to uncertainties
in income tax positions at March 31, 2012.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION
F-
44
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
_______________
Note 1.
ORGANIZATION
AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G.       Furniture,
Equipment and Leasehold Improvements
Furniture and equipment are stated at cost, net of accumulated depreciation. Depreciation is charged to operations over the
estimated lives of the furniture and equipment, primarily five or seven years, utilizing accelerated methods.
Leasehold improvements are stated at cost, net of accumulated amortization. The amortization of the leasehold improvements
is charged to operations on a straight-line basis over the remaining term of the lease.
H.       Net
Income Allocation
Net income is allocated and distributed to each stockholder on a pro rata basis.
I.       Recently
Issued Accounting Pronouncement
The
Corporation has adopted Accounting Standards Update No. 2011-04 (ASU 2011-04) entitled Fair Value Measurement (Topic 820) –
Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. ASU 2011-04 was issued
to converge fair value measurement and disclosure guidance in U.S. GAAP with the guidance in the International Accounting Standards
Board's currently issued International Financial Reporting Standards 13, Fair Value Measurement. The amendments in ASU 2011-04
generally represent clarification to the Fair Value Measurements and Disclosures Topic of the Codification, but also include some
instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements
has changed. The adoption of ASU 2011-04 did not have a material impact on the Corporation's statement of financial condition
or the related disclosures.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION
F-
45
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
_______________
Note 2.
INVESTMENTS
IN SPONSORED FUNDS AND OTHER FUNDS
The Corporation has general partner interests, managing owner interests or managing member interests
in sponsored funds. Summarized activity related to the Corporation's investments in such sponsored funds as of and for the
period ended March 31, 2012, is as follows:
Value at
Redemption
March 31, 2012
Investment Strategy
Provisions
Global Macro Trust
$
9,062,062
To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.
Monthly with 10 days prior written notice
(1)
Millburn Multi-Markets Fund L.P.
3,222,557
To achieve capital appreciation through  investments in Millburn Multi-Markets Trading L.P. which engages in the speculative trading of futures and forward currency contracts to achieve capital appreciation.
Monthly with 15 days prior written notice
Nestor Partners
2,960,370
To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.
Monthly with 15 days prior written notice
Apollo Fund
2,074,512
To achieve capital appreciation through the speculative trading of futures and forwards contracts directly and indirectly through investments in other funds.
Monthly with 15 days prior written notice
Millburn MCo Partners L.P.
2,365,668
To achieve capital appreciation by allocating its capital among a number of independent investment advisors acting through investment funds and/or managed accounts.
Quarterly with 75 days prior written notice
(2)
Millburn Hedge Fund L.P.
1,948,436
To achieve capital appreciation by investing in publicly traded equity securities, exchange-traded funds and futures and forwards contracts.
Quarterly with 30 days prior written notice
Other investments in managed
2,754,499
To achieve capital appreciation through the speculative trading of futures and futures
    funds forwards contracts.
Monthly
Other investments in fund of funds
2,367,717
To achieve capital appreciation through investments in alternative funds, managed accounts and registered investment companies.
Quarterly
Total
$
26,755,821
(1)
The Corporation has currently agreed to maintain its investment at not less than 1% of the total outstanding capital contributions in Global Macro Trust but in no event shall the Corporation's investment be less than $500,000.
(2)
Approximately $71,000 of the Corporation's investment is restricted from redemption due to Millburn MCo Partners L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.
(3)
Approximately $38,400 of the Corporation's investment is restricted from redemption due to Millburn Select Strategies L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST
WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION
F-
46
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 2.
INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS
(CONTINUED)
Summarized financial information for the more significant sponsored funds as of March 31, 2012, is as follows:
Millburn
Millburn
Nestor
Millburn MCo
Global
Multi-Markets
Multi-Markets
Partners
Partners L.P.
Macro Trust
Fund L.P.
Trading L.P.
Assets
$
156,974,073
$
141,460,309
$
692,687,063
$
233,957,819
$
394,383,974
Liabilities
6,612,515
307,612
42,626,349
5,646,037
20,753,073
Net asset value
$
150,361,558
$
141,152,697
$
650,060,714
$
228,311,782
$
373,630,901
The combined net asset value of other sponsored funds as of March 31, 2012, is $371,354,848.
As the sponsor, the Corporation conducts and manages the respective businesses of the sponsored funds. The governing documents
of the sponsored funds typically require the Corporation, as sponsor, to maintain a specified investment in the respective fund.
Such minimum investments generally are 1% of either net assets, total assets or total net contributions or a minimum dollar amount
(if greater). In addition, the governing documents for one of the sponsored funds require the Corporation to maintain a minimum
net worth equal to an amount determined by the total net contributions made to the entity that the Corporation serves as the sponsor,
not to exceed one million dollars. These requirements are defined in each of the respective governing documents of the sponsored
funds and the Corporation is in compliance with all such requirements.
For managing the businesses of the sponsored funds, the Corporation earns commissions and fees based on the terms of the respective
governing documents of the sponsored funds. As of March 31, 2012, the Corporation had a receivable of $5,072,000 from the sponsored
funds for such commissions and fees. The Corporation earns an incentive allocation from certain sponsored funds, which are based
on 20% of the sponsored fund's trading profits, as specified in the governing documents of the sponsored funds.
The Corporation also receives administrative fees and
reimbursements of certain costs from several of the sponsored funds according to the governing documents of the sponsored funds
for direct and indirect expenses paid on their behalf by the Corporation. The Corporation records an expense when such amounts
are incurred and records a receivable from the funds as income when the amounts are due from the sponsored funds. As of March 31,
2012 the Corporation had a receivable of $964,000 from the sponsored funds for such administrative expenses.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
47
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 2.
INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)
During the first quarter of 2012, the Corporation invested in various other funds. At March 31, 2012 the value of such investments
is $58,886.
The Corporation has an investment in a fund for which it serves as the investment adviser.
As
of March 31, 2012, the Corporation had management fees receivable of $47,400 from the fund.
The Corporation
receives reimbursements from the fund for certain direct expenses paid on its behalf.
As of March 31, 2012 the Corporation
had a receivable of $28,200 from the fund for such administrative expenses.
The Corporation earns an
incentive allocation from this fund, which is based on 20% of the fund's trading profits, as specified in the governing documents
of the fund.
Generally, all investments in other funds can be redeemed from the other funds on a monthly basis. In addition, these funds
generally attempt to achieve capital appreciation through investing in stocks, futures contracts, forward currency contracts and
interest rate instruments.
At March 31, 2012, the Corporation has no explicit unfunded commitments related to its investments in sponsored funds and other
funds.
Note 3.
FAIR VALUE
Fair value, as defined in the
Fair Value Measurements and Disclosures
Topic of the Codification, is the price that would
be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date. The fair value hierarchy, as set forth in the
Fair Value Measurements and Disclosures
Topic of the Codification, prioritizes
the inputs to valuation techniques used to measure fair value into three broad levels: quoted market prices in active markets for
identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable for the asset or liability,
either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3). If the inputs used to measure
a financial instrument fall within different levels of the fair value hierarchy, the categorization is based on the lowest level
input that is significant to the measurement of that financial instrument. The Corporation recognizes transfers between fair value
hierarchy levels at the beginning of the reporting period. For the three months ended March 31, 2012, there were no transfers between
fair value hierarchy levels.
The
Fair Value Measurements and Disclosures
Topic of the Codification provides that if the reporting entity has the ability to redeem its investment in another fund at net
asset value at the measurement date, the investment shall be categorized as a Level 2 fair value measurement, and if the reporting
entity cannot redeem its investment in another fund at net asset value at the measurement date but the investment may be redeemable
at a future date, the reporting entity shall consider the length of time until the investment will be redeemable in determining
whether it will be categorized as a Level 2 or Level 3 fair value measurement. Accordingly, at March 31, 2012, the Corporation's
investments in other funds are categorized as Level 2 fair value measurements.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
48
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 3.
FAIR VALUE (CONTINUED)
The following summarizes the Corporation's assets accounted for at fair value at March 31, 2012 using the fair value
hierarchy:
March 31, 2012
Level 1
Level 2
Level 3
Total
Assets
Investments in sponsored funds
(1)
$
0
$
26,755,821
$
0
$
26,755,821
Investments in other funds
(1)
0
58,886
0
58,886
Total
$
0
$
26,814,707
$
0
$
26,814,707
(1)
See Note
2. for the fair value of the more significant funds within this category.
Note 4.
RELATED PARTY TRANSACTIONS
The Corporation has extensive transactions and relationships
with affiliated companies. The Millburn Corporation (TMC) provides administrative, accounting, research and other services to the
Corporation and the Corporation pays TMC a consulting fee for these services. Additionally, CommInVest Research Limited Partnership
(CIVR) owns the trading algorithms used by the Corporation in managing client assets. The Corporation pays CIVR a licensing fee
to use the trading algorithms. The Corporation also pays fees to Millburn International (Europe) LLP and Millburn International,
LLC for providing prospective investors and interested parties with information about the Corporation and its investment and trading
strategy. The Corporation owes $2,564,551 to TMC for consulting fees and $743,924 to CIVR for license fees at March 31, 2012.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
49
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 4.
RELATED PARTY TRANSACTIONS (CONTINUED)
The Corporation has loaned funds to TMC in connection with construction and furnishing costs incurred by TMC for its offices
located in New York City. The loan is due on demand with interest accruing at an annualized rate of 2.0% above the three-month
U.S. Treasury Bill rate. The outstanding balance of the loan is $
601,237
at March 31, 2012.
Note 5.
DUE TO FIRST REPUBLIC BANK
The Corporation has a $5 million revolving credit
facility (loan agreement) with First Republic Bank (the Bank). Borrowings under the loan are limited to the lesser of $5 million
or Total Anticipated Commissions, as defined in the loan agreement. The loan bears interest at the prime rate, as published in
the Western Edition of The Wall Street Journal as the U.S. prime rate. During the period ended March 31, 2012, the interest rates
on this loan agreement ranged from 3.25% to 4.50%. The loan matures July 31, 2012. Repayment of the loan has been guaranteed by
CIVR and certain stockholders of the Corporation. The Corporation is required to remain in compliance with certain financial and
other covenants throughout the term of the loan. The amount due to the Bank under this loan agreement at March 31, 2012 is $
2,166,339
.
Note 6.
INVESTING ACTIVITIES AND RELATED RISKS
The Corporation's investments in sponsored funds and other funds are subject to the market and credit risks of futures
contracts, options on futures contracts, forward currency contracts and other financial instruments (collectively, "derivatives").
Additionally, the sponsored funds and other funds invest in stocks and United States government securities. As such, the Corporation
is exposed, to the extent of its investments in sponsored funds and other funds, to both market risk, the risk arising from changes
in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of
a contract. The Corporation is subject to the risk of loss to the extent of the fair value of its investments in sponsored funds
and other funds and, in certain specific circumstances, distributions, dividends and redemptions received.
For derivatives, risks arise from changes in the fair
value of the contracts. Theoretically, the Corporation is exposed, to the extent of its investments, to a market risk equal to
the notional contract value of futures, forward currency and other derivative contracts purchased and liability on such contracts
sold short. As both a buyer and seller of options, the sponsored funds and other funds receive a premium at the outset and then
bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Corporation,
to the extent of its investments in sponsored funds and other funds, to potential liability, and purchased options expose the Corporation,
to the extent of its investments in sponsored funds and other funds, to a risk of loss of the premiums paid. In addition, since
forward currency contracts are traded in unregulated markets between principals, the Corporation, to the extent of its investments
in sponsored funds and other funds, also assumes the risk of loss from counterparty non performance.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
50
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 6.
INVESTING ACTIVITIES AND RELATED RISKS (CONTINUED)
In addition, the Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments,
to various trading activities including investments in stocks that are typically traded on an exchange or in the over-the-counter
market. The sponsored funds and other funds also sell stock not owned at the time of sale (a "short sale"). Risks arise
from short sales due to the possible illiquidity of the securities markets and from potential adverse movements in stock values.
Theoretically, short sales expose the sponsored funds and other funds to potentially unlimited liability as the sponsored funds'
and other funds' ultimate obligation to purchase a stock sold short may exceed the amount recorded.
The Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments, to
U.S. government securities. Risks arise from investments in U.S. government securities due to possible illiquidity and the potential
for default by the issuer. U.S. government securities are also particularly sensitive to changes in interest rates, economic conditions
and conditions specific to the issuer.
Lastly, the Corporation, through its investments in sponsored funds and other funds, invests in fund of funds. The Corporation's
investments in fund of funds are subject to the market and credit risk of securities and financial instruments held or sold short
by these entities.
The Corporation has established procedures to actively monitor market risk and minimize credit risk of the sponsored funds
and other funds, although there can be no assurance that it will, in fact, succeed in doing so.
The Corporation maintains its cash and cash equivalents at financial institutions. Balances on deposit at such financial institutions
are frequently in excess of available federal deposit insurance. In the event of a financial institution's insolvency, recovery
of the Corporation's assets on deposit may be limited to available federal deposit insurance or other protection afforded
such deposits.
Additionally, the Corporation, in its capacity as general partner, managing owner or managing member of the sponsored funds,
is subject to certain additional risks of loss and liability for the activities of the sponsored funds.
Note 7.
LEASE COMMITMENT
The Corporation has a noncancelable lease for office space in Greenwich, Connecticut. The term of the lease is five years and
expires on June 30, 2012; however, the Corporation amended the lease in April 2012 to extend terms to December 31, 2017. The future
minimum lease payments under this noncancelable lease are as follows:
2012
$
144,740
2013
264,131
2014
269,162
2015
274,190
2016
279,221
2017
284,249
$
1,515,693
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
51
MILLBURN RIDGEFIELD CORPORATION
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) (CONTINUED)
Note 8.
INDEMNIFICATIONS
In the normal course of business, the Corporation
enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.
The Corporation's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made
against the Corporation that have not yet occurred. The Corporation expects the risk of any future obligation under these indemnifications
to be remote.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
52
INDEPENDENT AUDITOR'S REPORT
To the Stockholders and Board of Directors
Millburn Ridgefield Corporation
We have audited the accompanying statement
of financial condition of Millburn Ridgefield Corporation (the Corporation) as of December 31, 2011. The statement of financial
condition is the responsibility of the Corporation's management. Our responsibility is to express an opinion on the statement
of financial condition based on our audit.
We conducted our audit in accordance with
auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes
consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Corporation's internal control
over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe
that our audit provides a reasonable basis for our opinion.
In our opinion, the statement of financial
condition referred to above presents fairly, in all material respects, the financial position of Millburn Ridgefield Corporation
as of December 31, 2011 in conformity with accounting principles generally accepted in the United States of America.
Hunt Valley, Maryland
April 16, 2012
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
53
MILLBURN RIDGEFIELD CORPORATION
STATEMENT OF FINANCIAL CONDITION
December 31, 2011
ASSETS
Cash and cash equivalents
$
2,558,530
Commissions and fees receivable
7,679,617
Prepaid license fee to affiliated company
31,691
Loans receivable from stockholders and affiliates
641,913
Investments in sponsored funds
27,974,038
Investments in other funds
59,527
Redemptions receivable from sponsored funds
117,839
Redemptions receivable from other funds
228,758
Furniture, equipment and leasehold improvements net of accumulated depreciation of $496,136
191,069
Total assets
$
39,482,982
LIABILITIES
Accounts payable and accrued expenses
$
4,660,990
Stockholder distributions payable
525,105
Due to affiliated companies
5,371,156
Due to First Republic Bank
2,530,370
Total liabilities
13,087,621
STOCKHOLDERS' EQUITY
Common stock - $.005 par value, 300,000 shares authorized, 210,849 shares issued and outstanding
1,054
Additional paid-in capital
8,736,406
Retained earnings
17,657,901
Total stockholders' equity
26,395,361
Total liabilities and stockholders' equity
$
39,482,982
See accompanying notes.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
54
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION
Note 1.
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
A.
General
Millburn Ridgefield Corporation (the Corporation) was incorporated in the state of Delaware on
May 19, 1982. The Corporation earns commissions and fees as a Commodity Trading Advisor and Commodity Pool Operator and is registered
with, and subject to, the regulations of the Commodity Futures Trading Commission (CFTC), an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry. It is also subject to the rules of the National Futures
Association (NFA), an industry self-regulatory organization. In addition, the Corporation is registered with the United States
Securities and Exchange Commission as an Investment Adviser.
The Corporation's statement of financial condition is presented in accordance with accounting
principles generally accepted in the United States of America (U.S. GAAP). The Financial Accounting Standards Board (FASB) Accounting
Standards Codification (the Codification) is the single source of U.S. GAAP. The preparation of the statement of financial condition
in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results
could differ from those estimates, and those differences may be material to the statement of financial condition.
B.
Cash and Cash Equivalents
Cash and cash equivalents includes cash and investments in money market mutual funds.
C.
Investments in Sponsored Funds and Other Funds
The Corporation is the general partner, managing owner or managing member of various commodity
pools and investment funds (collectively, "sponsored funds") formed as limited partnerships, limited liability companies
or trusts. As the sponsor, the Corporation has a fiduciary responsibility to the sponsored funds and potential liability beyond
amounts recognized as an asset in the statement of financial condition. The Corporation has not consolidated the assets and liabilities
of its sponsored funds and other funds under the voting interest consolidation model due to the unaffiliated equity investors of
the sponsored funds and other funds holding kick-out rights.
Investments in sponsored funds and other funds (collectively, "funds") are reported
in the Corporation's statement of financial condition at fair value. Fair value ordinarily represents the Corporation's
proportionate share of each fund's net asset value determined for each fund in accordance with such fund's valuation
policies and reported at the time of the fund's valuation, which represents a market approach. Generally, the fair value
of the Corporation's investment in another fund represents the amount that the Corporation could reasonably expect to receive
from such fund if the Corporation's investment was redeemed at the date of the statement of financial condition, based on
information reasonably available at the time the valuation is made and that the Corporation believes to be reliable.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
55
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 1.
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (CONTINUED)
D.
Foreign Currency Translation
The Corporation's functional currency is the U.S. dollar; however, it transacts business
in currencies other than the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars
at quoted prices of such currencies at the date of the statement of financial condition.
E.
Revenue Recognition
Commission income is recognized when earned, in accordance with the related limited partnership
agreement or other governing agreement. Commission income from sponsored funds is based on a fixed percentage of the sponsored
funds' net asset value.
Incentive, management and other fees accrue based on the terms of the respective advisory agreement
or other governing agreement. Incentive fees are based on a percentage of the net profits experienced by the account. Management
fees are based on a fixed percentage of the assets under management.
F.
Income Taxes
The Corporation has elected S corporation
status under the Internal Revenue Code, pursuant to which the Corporation does not pay U.S. Corporate or state income tax on its
taxable income. Instead, the stockholders are liable for individual income tax on their share of the Corporation's taxable
income. The Corporation files U.S. federal and state tax returns. The 2008 through 2011 tax years generally remain subject to examination
by U.S. federal and most state tax authorities.
The Corporation applies the provisions of Codification Topic 740, Income Taxes, which prescribe
the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions
taken or expected to be taken by an entity before being measured and recognized in the financial statements. This accounting standard
requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Corporation's statement
of financial condition to determine whether the tax positions are "more-likely-than-not" of being sustained by the
applicable tax authority. Tax positions with respect to tax at the Corporation level not deemed to meet the "more-likely-than-not"
threshold would be recorded as a liability in the current year. The Corporation has concluded there are no liabilities related
to uncertainties in income tax positions at December 31, 2011.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
56
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 1.
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES (CONTINUED)
G.
Furniture, Equipment and Leasehold Improvements
Furniture and equipment are stated at cost, net of accumulated depreciation. Depreciation is charged
to operations over the estimated lives of the furniture and equipment, primarily five or seven years, utilizing accelerated methods.
Leasehold improvements are stated at cost, net of accumulated amortization. The amortization of
the leasehold improvements is charged to operations on a straight-line basis over the remaining term of the lease.
H.
Net Income Allocation
Net income is allocated and distributed to each stockholder on a pro rata basis.
I.
Recently Issued Accounting Pronouncement
In May 2011, the FASB issued Accounting Standards Update No. 2011-04 (ASU 2011-04) entitled
Fair
Value Measurement (Topic 820) – Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP
and IFRSs
. ASU 2011-04 was issued to converge fair value measurement and disclosure guidance in U.S. GAAP with the guidance
in the International Accounting Standards Board's currently issued International Financial Reporting Standards 13,
Fair
Value Measurement
. The amendments in ASU 2011-04 generally represent clarification to the
Fair Value Measurements and Disclosures
Topic of the Codification, but also include some instances where a particular principle or requirement for measuring fair value
or disclosing information about fair value measurements has changed. For non-public entities, ASU 2011-04 is effective for annual
reporting periods beginning after December 15, 2011. The Corporation is currently evaluating the impact that ASU 2011-04 will have
on its fair value measurements and disclosures, however, no material impact on the Corporation's statement of financial condition
is anticipated.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
57
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 2.
INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS
The Corporation has general partner interests, managing owner interests or managing member interests
in sponsored funds. The Corporation's investments in such sponsored funds as of December 31, 2011, is as follows:
Value at
Redemption
December 31, 2011
Investment Strategy
Provisions
Global Macro Trust
$
9,644,943
To achieve capital appreciation through trading a diversified portfolio
    of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.
Monthly with 10 days prior written notice
(1)
Millburn Multi-Markets Fund L.P.
3,463,814
To achieve capital appreciation through Investments in Millburn Multi-Markets Trading L.P.
    which engages in the speculative trading of futures and forward currency contracts to achieve capital appreciation.
Monthly with 15 days prior written notice
Nestor Partners
3,150,231
To achieve capital appreciation through trading a diversified portfolio of futures and forwards
    contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.
Monthly with 15 days prior written notice
Apollo Fund
2,250,446
To achieve capital appreciation through the speculative trading of futures and forwards contracts
    directly and indirectly through investments in other funds.
Monthly with 15 days prior written notice
Millburn MCo Partners L.P.
2,236,320
To achieve capital appreciation by allocating its capital among a number of independent investment
    advisors acting through investment funds and/or managed accounts.
Quarterly with 75 days prior written notice
(2)
Millburn Hedge Fund L.P.
1,883,808
To achieve capital appreciation by investing in publicly traded equity securities, exchange-traded
    funds and futures and forwards contracts.
Quarterly with 30 days prior written notice
Other investments in managed
3,036,920
To achieve capital appreciation through futures funds forwards contracts.
Monthly the speculative trading of futures and
Other investments in fund of funds
2,307,556
To achieve capital appreciation through investments in alternative funds, managed accounts
    and registered investment companies.
Quarterly with 75 days prior written notice
(3)
Total
$
27,974,038
(1)
The Corporation has currently agreed to maintain its investment at not less than 1% of the total outstanding capital contributions
in Global Macro Trust but in no event shall the Corporation's investment be less than $500,000.
(2)
Approximately $75,000 of the Corporation's investment is restricted from redemption due to Millburn MCo Partners L.P.
holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate when
the restrictions on redemption of these investments will be relieved.
(3)
Approximately $40,500 of the Corporation's investment is restricted from redemption due to Millburn Select Strategies
L.P. holding investments in funds for which redemptions are currently not available. The Corporation cannot reasonably estimate
when the restrictions on redemption of these investments will be relieved.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
58
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 2.
INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)
Summarized financial information for the more significant sponsored funds as of December 31, 2011,
is as follows:
Millburn
Nestor
Millburn MCo
Global
Multi-Markets
Partners
Partners L.P.
Macro Trust
Apollo Fund
Trading L.P.
Assets
$
161,640,222
$
142,148,208
$
782,343,935
$
80,745,819
$
418,986,624
Liabilities
5,021,926
8,567,932
29,156,541
3,393,103
9,485,267
Net asset value
$
156,618,296
$
133,580,276
$
753,187,394
$
77,352,716
$
409,501,357
The combined net asset value of other sponsored funds as of December 31, 2011 is $487,902,163.
As the sponsor, the Corporation conducts and manages the respective businesses of the sponsored
funds. The governing documents of the sponsored funds typically require the Corporation, as sponsor, to maintain a specified investment
in the respective fund. Such minimum investments generally are 1% of either net assets, total assets or total net contributions
or a minimum dollar amount (if greater). In addition, the governing documents for one of the sponsored funds require the Corporation
to maintain a minimum net worth equal to an amount determined by the total net contributions made to the entity that the Corporation
serves as the sponsor, not to exceed one million dollars. These requirements are defined in each of the respective governing documents
of the sponsored funds and the Corporation is in compliance with all such requirements.
For managing the businesses of the sponsored funds, the Corporation earns commissions and fees
based on the terms of the respective governing documents of the sponsored funds. As of December 31, 2011, the Corporation had a
receivable of $5,588,000 from the sponsored funds for such commissions and fees. The Corporation earns an incentive allocation
from certain sponsored funds, which are based on 20% of the sponsored fund's trading profits, as specified in the governing
documents of the sponsored funds.
The Corporation also receives administrative fees and reimbursements of certain costs from several
of the sponsored funds according to the governing documents of the sponsored funds for direct and indirect expenses paid on their
behalf by the Corporation. The Corporation records an expense when such amounts are incurred and records a receivable from the
funds as income when the amounts are due from the sponsored funds. As of December 31, 2011, the Corporation had a receivable of
$1,403,000 from the sponsored funds for such administrative expenses.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
59
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 2.
INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)
During 2011, the Corporation also invested in various other funds. At December 31, 2011, the value
of such investments is $59,527.
The Corporation has an investment
in a fund for which it serves as the investment adviser. Management fees from the fund of approximately $42,000 were outstanding
at year end. The Corporation receives reimbursements from the fund for certain direct expenses paid on its behalf. Revenue related
to reimbursements from the fund of approximately $45,000 was outstanding at year end. The Corporation earns an incentive allocation
from this fund, which is based on 20% of the fund's trading profits, as specified in the governing documents of the fund.
Generally, all investments in other funds can be redeemed from the other funds on a monthly basis.
In addition, these funds generally attempt to achieve capital appreciation through investing in stocks, futures contracts, forward
currency contracts and interest rate instruments.
At December 31, 2011, the Corporation has no explicit unfunded commitments related to its investments
in sponsored funds and other funds.
Note 3.
FAIR VALUE
Fair value, as defined in the
Fair Value Measurements and Disclosures
Topic of the Codification,
is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants
at the measurement date. The fair value hierarchy, as set forth in the
Fair Value Measurements and Disclosures
Topic of
the Codification, prioritizes the inputs to valuation techniques used to measure fair value into three broad levels: quoted market
prices in active markets for identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable
for the asset or liability, either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3).
If the inputs used to measure a financial instrument fall within different levels of the fair value hierarchy, the categorization
is based on the lowest level input that is significant to the measurement of that financial instrument. The Corporation recognizes
transfers between fair value hierarchy levels at the beginning of the reporting period. During the year ended December 31, 2011,
there were no transfers between fair value hierarchy levels.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
60
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 3.
FAIR VALUE (CONTINUED)
The
Fair Value Measurements and Disclosures
Topic of the Codification provides that if the
reporting entity has the ability to redeem its investment in another fund at net asset value at the measurement date, the investment
shall be categorized as a Level 2 fair value measurement, and if the reporting entity cannot redeem its investment in another fund
at net asset value at the measurement date but the investment may be redeemable at a future date, the reporting entity shall consider
the length of time until the investment will be redeemable in determining whether it will be categorized as a Level 2 or Level
3 fair value measurement. Accordingly, at December 31, 2011, the Corporation's investments in other funds are categorized
as Level 2 fair value measurements.
The following summarizes the Corporation's assets accounted for at fair value at December
31, 2011 using the fair value hierarchy:
December 31, 2011
Level 1
Level 2
Level 3
Total
Assets
Investments in sponsored funds
(1)
$
0
$
27,974,038
$
0
$
27,974,038
Investments in other funds
(1)
0
59,527
0
59,527
Total
$
0
$
28,033,565
$
0
$
28,033,565
(1)
See Note 2.
for the fair value of the more significant funds within this category.
Note 4.
RELATED PARTY TRANSACTIONS
The Corporation has extensive transactions and relationships with affiliated companies. The Millburn
Corporation (TMC) provides administrative, accounting, research and other services to the Corporation and the Corporation pays
TMC a consulting fee for these services. Additionally, CommInVest Research Limited Partnership (CIVR) owns the trading algorithms
used by the Corporation in managing client assets. The Corporation pays CIVR a licensing fee to use the trading algorithms. The
Corporation also pays fees to Millburn International (Europe) LLP and Millburn International, LLC for providing prospective investors
and interested parties with information about the Corporation and its investment and trading strategy. The Corporation owes $
5,365,456
to TMC at December 31, 2011 for consulting fees. The Corporation has prepaid license fees of $
31,691
to CIVR as of December 31, 2011.
The Corporation has loaned funds to TMC in connection with construction and furnishing costs incurred
by TMC for its offices located in New York City. The loan is due on demand with interest accruing at an annualized rate of 2.0%
above the three-month U.S. Treasury Bill rate. The outstanding balance of the loan is $
601,622
at December 31, 2011.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
61
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 5.
DUE TO FIRST REPUBLIC BANK
The Corporation has a $5 million
revolving credit facility (loan agreement) with First Republic Bank (the Bank). Borrowings under the loan are limited to the lesser
of $5 million or Total Anticipated Commissions, as defined in the loan agreement. The loan bears interest at the prime rate, as
announced by Bank of America, but was subject to a minimum interest rate of 4.50% for the period January 1, 2011 to September 15,
2011. During the year ended December 31, 2011, the interest rates on this loan agreement ranged from 3.25% to 4.50%. The loan matures
July 31, 2012. Repayment of the loan has been guaranteed by CIVR and certain stockholders of the Corporation. The Corporation is
required to remain in compliance with certain financial and other covenants throughout the term of the loan. The amount due to
the Bank under this loan agreement at December 31, 2011 is $
2,530,370
.
Note 6.
INVESTING ACTIVITIES AND RELATED RISKS
The Corporation's investments in sponsored funds and other funds are subject to the market
and credit risks of futures contracts, options on futures contracts, forward currency contracts and other financial instruments
(collectively, "derivatives"). Additionally, the sponsored funds and other funds invest in stocks and United States
government securities. As such, the Corporation is exposed, to the extent of its investments in sponsored funds and other funds,
to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract. The Corporation is subject to the risk of loss to the extent of
the fair value of its investments in sponsored funds and other funds and, in certain specific circumstances, distributions, dividends
and redemptions received.
For derivatives, risks arise from changes in the fair value of the contracts. Theoretically, the
Corporation is exposed, to the extent of its investments, to a market risk equal to the notional contract value of futures, forward
currency and other derivative contracts purchased and liability on such contracts sold short. As both a buyer and seller of options,
the sponsored funds and other funds receive a premium at the outset and then bear the risk of unfavorable changes in the price
of the contract underlying the option. Written options expose the Corporation, to the extent of its investments in sponsored funds
and other funds, to potential liability, and purchased options expose the Corporation, to the extent of its investments in sponsored
funds and other funds, to a risk of loss of the premiums paid. In addition, since forward currency contracts are traded in unregulated
markets between principals, the Corporation, to the extent of its investments in sponsored funds and other funds, also assumes
the risk of loss from counterparty non performance.
In addition, the Corporation, through its investments in sponsored funds and other funds, is exposed
to the extent of its investments, to various trading activities including investments in stocks that are typically traded on an
exchange or in the over-the-counter market. The sponsored funds and other funds also sell stock not owned at the time of sale (a
"short sale"). Risks arise from short sales due to the possible illiquidity of the securities markets and from potential
adverse movements in stock values. Theoretically, short sales expose the sponsored funds and other funds to potentially unlimited
liability as the sponsored funds' and other funds' ultimate obligation to purchase a stock sold short may exceed the
amount recorded.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
62
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 6.
INVESTING ACTIVITIES AND RELATED RISKS (CONTINUED)
The Corporation, through its investments in sponsored funds and other funds, is exposed to the
extent of its investments, to U.S. government securities. Risks arise from investments in U.S. government securities due to possible
illiquidity and the potential for default by the issuer. U.S. government securities are also particularly sensitive to changes
in interest rates, economic conditions and conditions specific to the issuer.
Lastly, the Corporation, through its investments in sponsored funds and other funds, invests in
fund of funds. The Corporation's investments in fund of funds are subject to the market and credit risk of securities and
financial instruments held or sold short by these entities.
The Corporation has established procedures to actively monitor market risk and minimize credit
risk of the sponsored funds and other funds, although there can be no assurance that it will, in fact, succeed in doing so.
The Corporation maintains its cash and cash equivalents at financial institutions. Balances on
deposit at such financial institutions are frequently in excess of available federal deposit insurance. In the event of a financial
institution's insolvency, recovery of the Corporation's assets on deposit may be limited to available federal deposit
insurance or other protection afforded such deposits.
Additionally, the Corporation, in its capacity as general partner, managing owner or managing member
of the sponsored funds, is subject to certain additional risks of loss and liability for the activities of the sponsored funds.
Note 7.
LEASE COMMITMENT
The Corporation has a noncancelable lease for office space in Greenwich, Connecticut. The term
of the lease is five years and expires on June 30, 2012; however, the Corporation amended the lease in April 2012 to extend terms
to December 31, 2017. The future minimum lease payments under this noncancelable lease are as follows:
2012
$
202,276
2013
264,131
2014
269,162
2015
274,190
2016
279,221
2017
284,249
$
1,573,229
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
63
MILLBURN RIDGEFIELD CORPORATION
NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)
Note 8.
INDEMNIFICATIONS
In the normal course of business, the Corporation enters into contracts and agreements that contain
a variety of representations and warranties and which provide general indemnifications. The Corporation's maximum exposure
under these arrangements is unknown, as this would involve future claims that may be made against the Corporation that have not
yet occurred. The Corporation expects the risk of any future obligation under these indemnifications to be remote.
Note 9.
EMPLOYEE BENEFIT PLAN
The Corporation sponsors a 401(k)
profit sharing and savings plan (the Plan) for the benefit of its employees. The Corporation is the Plan administrator of the Plan.
Under the terms of the Plan, employees may elect to defer a portion of their compensation and the Corporation may make discretionary
contributions to the Plan on behalf of its participants.
Note 10.
SUBSEQUENT EVENTS
In January 2012, the Corporation received contributions of $1,650,000 from stockholders'
as result of a capital call by the Corporation.
The Corporation has evaluated subsequent events through April 16, 2012, the date the statement
of financial condition was available to be issued, and determined there were no other subsequent events that require disclosure.
PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN
RIDGEFIELD CORPORATION
F-
64
EXHIBIT A
GLOBAL MACRO TRUST
FOURTH AMENDED AND RESTATED
DECLARATION OF TRUST AND TRUST AGREEMENT
Dated as of August 12, 2009
GLOBAL MACRO TRUST
FOURTH AMENDED AND RESTATED
DECLARATION OF TRUST AND TRUST AGREEMENT
TABLE OF CONTENTS
Page
1.
Declaration of Trust
TA-1
2.
The Trustee
TA-1
(a)
Term; Resignation
TA-1
(b)
Powers
TA-2
(c)
Compensation and Expenses of the Trustee
TA-2
(d)
Indemnification
TA-2
(e)
Successor Trustee
TA-2
(f)
Liability of the Trustee
TA-3
(g)
Reliance by the Trustee and the Managing Owner; Advice of Counsel
TA-4
(h)
Not Part of Trust Estate
TA-4
3.
Principal Office
TA-4
4.
Business
TA-4
5.
Term, Dissolution, Fiscal Year, Series of Units and Net Asset Value
TA-5
(a)
Term
TA-5
(b)
Dissolution
TA-5
(c)
Fiscal Year
TA-5
(d)
Series of Units
TA-5
(e)
Net Asset Value
TA-5
6.
Net Worth of Managing Owner
TA-6
7.
Capital Contributions; Units; Managing Owner's Liability
TA-7
(a)
Types of Beneficial Interests
TA-7
(b)
Managing Owner's Liability
TA-7
(c)
No Certificates
TA-7
(d)
Unitholder Consent
TA-7
8.
Allocation of Profits and Losses
TA-7
(a)
Capital Accounts and Allocations
TA-7
(b)
Allocation of Profit and Loss for Federal Income Tax Purposes
TA-10
(c)
Profit Share; New Profits Memo Account
TA-12
(d)
Expenses; Interest Income
TA-12
(e)
Limited Liability of Unitholders
TA-13
(f)
Return of Capital Contributions
TA-14
9.
Management of the Trust
TA-14
(a)
Authority of the Managing Owner
TA-14
(b)
Notification of Basic Changes
TA-14
(c)
Certain Agreements
TA-15
(d)
Fiduciary Duties
TA-15
(e)
Brokerage Arrangements
TA-15
(f)
Prohibited Activities
TA-15
(g)
Freedom of Action
TA-16
10.
Audits and Reports to Unitholders
TA-16
11.
Assignability of Units
TA-17
12.
Redemptions
TA-18
13.
Offering of Units
TA-19
14.
Special Power of Attorney
TA-20
15.
Withdrawal of a Unitholder
TA-20
16.
Benefit Plan Investors
TA-21
17.
Standard of Liability; Indemnification
TA-21
i
(a)
Standard of Liability for the Managing Owner
TA-21
(b)
Indemnification of the Managing Owner by the Trust
TA-21
(c)
Indemnification by the Unitholders
TA-22
18.
Amendments; Meetings
TA-23
(a)
Amendments with Consent of the Managing Owner
TA-23
(b)
Amendments and Actions without Consent of the Managing Owner
TA-23
(c)
Meetings; Other
TA-23
(d)
Consent by Trustee
TA-24
19.
Governing Law
TA-24
20.
Miscellaneous
TA-24
(a)
Notices
TA-24
(b)
Binding Effect
TA-24
(c)
Captions
TA-24
21.
Certain Definitions
TA-24
22.
No Legal Title to Trust Estate
TA-26
23.
Legal Title
TA-26
24.
Creditors
TA-26
Testimonium
Signatures
TA-27
Schedule A—Certificate of Trust
TA-28
Annex—Request for Redemption
RR-1
ii
GLOBAL MACRO TRUST
FOURTH AMENDED AND RESTATED
DECLARATION OF TRUST AND TRUST AGREEMENT
This FOURTH AMENDED AND RESTATED DECLARATION
OF TRUST AND TRUST AGREEMENT ("Declaration of Trust") of
Global Macro Trust
(the "Trust") is made
and entered into as of this 12th day of August, 2009 by and among
Millburn Ridgefield Corporation
, a Delaware corporation,
as managing owner (the "Managing Owner"),
Wilmington Trust Company
, a Delaware banking corporation, as trustee
(the "Trustee"), and each other party who shall execute a counterpart of this Declaration of Trust as an owner of a
unit ("Unit") of beneficial interest of the Trust or who becomes a party to this Declaration of Trust as a Unitholder
by execution of a Subscription Agreement and Power of Attorney Signature Page or otherwise and who is shown in the books and records
of the Trust as a Unitholder (individually, a "Unitholder" and, collectively, the "Unitholders").
WITNESSETH:
WHEREAS, the parties hereto desire to continue
the Trust for the business and purpose of issuing Units, the capital of which shall be used to engage in speculative trading, buying,
selling or otherwise acquiring, holding or disposing of futures and forward contracts on currencies, interest rate, energy and
agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon
or on physical commodities, with the objective of capital appreciation through speculative trading, and to amend and restate the
original Declaration of Trust and Trust Agreement of the Trust in its entirety.
NOW THEREFORE, the parties hereto agree
as follows:
1.
Declaration of Trust.
The Trustee hereby declares the investments
in the Trust shall be held in trust upon and subject to the conditions set forth herein for the use and benefit of the Unitholders.
It is the intention of the parties hereto that the Trust shall be a statutory trust under the Act, and that this Declaration of
Trust shall constitute the governing instrument of the Trust. The Trustee has filed the Certificate of Trust required by Section
3810 of the Delaware Statutory Trust Act, 12
Del. C.
§
3801,
et seq
., as amended from time to time (the
"Act").
Nothing in this Declaration of Trust shall
be construed to make the Unitholders partners or members of a joint stock association except to the extent that such Unitholders,
as constituted from time to time, are deemed to be partners under the Internal Revenue Code of 1986, as amended (the "Code"),
and applicable state and local tax laws. Notwithstanding the foregoing, it is the intention of the parties hereto that the Trust
be treated as a partnership for purposes of taxation under the Code and applicable state and local tax laws. Effective as of the
date hereof, the Trustee shall have all of the rights, powers and duties set forth herein and in the Act with respect to accomplishing
the purposes of the Trust.
2.
The Trustee.
(a)
Term; Resignation.
(i) Wilmington
Trust Company has been appointed and has agreed to serve as the Trustee of the Trust. The Trust shall have only one trustee unless
otherwise determined by the Managing Owner. The Trustee shall serve until such time as the Managing Owner removes the Trustee or
the Trustee resigns and a successor Trustee is appointed by the Managing Owner in accordance with the terms of Section 2(e) hereof.
TA-
1
(ii)         The
Trustee may resign at any time upon the giving of at least sixty (60) days' advance written notice to the Managing Owner;
provided, that such resignation shall not become effective unless and until a successor Trustee shall have been appointed by the
Managing Owner in accordance with Section 2(e) hereof. If the Managing Owner does not act within such sixty (60) day period, the
Trustee may apply to the Court of Chancery of the State of Delaware for the appointment of a successor Trustee.
(b)
Powers
. Except to the extent
expressly set forth in this Section 2, the duty and authority of the Trustee to manage the business and affairs of the Trust are
hereby delegated to the Managing Owner. The Trustee shall have only the rights, obligations or liabilities specifically provided
for herein and in the Act and shall have no implied rights, obligations or liabilities with respect to the business or affairs
of the Trust. The Trustee shall have the power and authority to execute, deliver, acknowledge and file all necessary documents,
including any amendments to or cancellation of the Certificate of Trust, and to maintain all necessary records of the Trust as
required by the Act. The Trustee shall provide prompt notice to the Managing Owner of its performance of any of the foregoing.
The Managing Owner shall keep the Trustee informed of any actions taken by the Managing Owner with respect to the Trust that affect
the rights, obligations or liabilities of the Trustee hereunder or under the Act.
(c)
Compensation and Expenses of the
Trustee.
The Trustee shall be entitled to receive from the Trust or, if the assets of the Trust are insufficient, from the
Managing Owner reasonable compensation for its services hereunder in accordance with a separate fee agreement between the Managing
Owner and the Trustee, and shall be entitled to be reimbursed by the Trust or, if the assets of the Trust are insufficient, by
the Managing Owner for reasonable out-of-pocket expenses incurred by the Trustee in the performance of its duties hereunder, including
without limitation, the reasonable compensation, out-of-pocket expenses and disbursements of counsel and such other agents as the
Trustee may employ in connection with the exercise and performance of its rights and duties hereunder, to the extent attributable
to the Trust.
(d)
Indemnification.
The Managing
Owner agrees, whether or not any of the transactions contemplated hereby shall be consummated, to assume liability for, and does
hereby indemnify, protect, save and keep harmless the Trustee and its successors, assigns, legal representatives, officers, directors,
agents, employees and servants (the "Indemnified Parties") from and against any and all liabilities, obligations, losses,
damages, penalties, taxes (excluding any taxes payable by the Trustee on or measured by any compensation received by the Trustee
for its services hereunder or as indemnity payments pursuant to this Section 2(d)), claims, actions, suits, costs, expenses or
disbursements (including legal fees and expenses) of any kind and nature whatsoever (collectively, "Expenses"), which
may be imposed on, incurred by or asserted against the Indemnified Parties in any way relating to or arising out of the formation,
operation or termination of the Trust, the execution, delivery and performance of any other agreements to which the Trust is a
party or the action or inaction of the Trustee hereunder or thereunder, except for Expenses resulting from the gross negligence
or willful misconduct of the Indemnified Parties. The indemnities contained in this Section 2(d) shall survive the termination
of this Declaration of Trust or the removal or resignation of the Trustee. In addition, the Indemnified Parties shall be entitled
to indemnification from any cash, net equity in any commodity futures, forward and option contracts, all funds on deposit in the
accounts of the Trust, any other property held by the Trust, and all proceeds therefrom, including any rights of the Trust pursuant
to any agreements to which the Trust is a party (the "Trust Estate") to the extent such expenses are attributable to
the formation, operation or termination of the Trust as set forth above, and to secure the same the Trustee shall have a lien against
the Trust Estate which shall be prior to the rights of the Managing Owner and the Unitholders to receive distributions from the
Trust Estate. The Trustee nevertheless agrees that it will, at its own cost and expense, promptly take all action as may be necessary
to discharge any liens on any part of the Trust Estate which result from claims against the Trustee personally that are not related
to the ownership or the administration of the Trust Estate or the transactions contemplated by any documents to which the Trust
is a party.
(e)
Successor Trustee.
Upon the resignation
or removal of the Trustee, the Managing Owner shall appoint a successor Trustee by delivering a written instrument to the outgoing
Trustee. Any successor Trustee must satisfy the requirements of Section 3807 of the Act. Any resignation or removal of the Trustee
and appointment of a successor Trustee shall not become effective until a written acceptance of appointment is delivered by the
successor Trustee to the outgoing Trustee and the Managing Owner and any fees and expenses due to the outgoing Trustee are paid.
Following compliance with the preceding sentence, the successor Trustee shall become fully vested with all of the rights, powers,
duties and obligations of the outgoing Trustee under this Declaration of Trust, with like effect as if originally named as Trustee,
and the outgoing Trustee shall be discharged of its duties and obligations under this Declaration of Trust.
TA-
2
(f)
Liability of the Trustee.
Except
as otherwise provided in this Section 2, in accepting the trust created hereby, Wilmington Trust Company acts solely as Trustee
hereunder and not in its individual capacity, and all persons having any claim against the Trustee by reason of the transactions
contemplated by this Declaration of Trust and any other agreement to which the Trust is a party shall look only to the Trust Estate
for payment or satisfaction thereof. The Trustee shall not be liable or accountable hereunder or under any other agreement to which
the Trust is a party, except for the Trustee's own gross negligence or willful misconduct. In particular, but not by way
of limitation:
(i)          the
Trustee shall have no liability or responsibility for the validity or sufficiency of this Declaration of Trust or for the form,
character, genuineness, sufficiency, value or validity of the Trust Estate;
(ii)         the
Trustee shall not be liable for any actions taken or omitted to be taken by it in accordance with the instructions of the Managing
Owner;
(iii)        the
Trustee shall not have any liability for the acts or omissions of the Managing Owner;
(iv)        the
Trustee shall not be liable for its failure to supervise the performance of any obligations of the Managing Owner, any commodity
broker or any selling agent;
(v)         no
provision of this Declaration of Trust shall require the Trustee to expend or risk funds or otherwise incur any financial liability
in the performance of any of its rights or powers hereunder if the Trustee shall have reasonable grounds for believing that repayment
of such funds or adequate indemnity against such risk or liability is not reasonably assured or provided to it;
(vi)        under
no circumstances shall the Trustee be liable for indebtedness evidenced by or other obligations of the Trust arising under this
Declaration of Trust or any other agreements to which the Trust is a party;
(vii)       the
Trustee shall be under no obligation to exercise any of the rights or powers vested in it by this Declaration of Trust, or to institute,
conduct or defend any litigation under this Declaration of Trust or any other agreements to which the Trust is a party, at the
request, order or direction of the Managing Owner or any Unitholders unless the Managing Owner or such Unitholders have offered
to the Trustee security or indemnity satisfactory to it against the costs, expenses and liabilities that may be incurred by the
Trustee (including, without limitation, the reasonable fees and expenses of its counsel) therein or thereby; and
(viii)      notwithstanding
anything contained herein to the contrary, the Trustee shall not be required to take any action in any jurisdiction other than
in the State of Delaware if the taking of such action will (a) require the consent or approval or authorization or order of or
the giving of notice to, or the registration with or taking of any action in respect of, any state or other governmental authority
or agency of any jurisdiction other than the State of Delaware, (b) result in any fee, tax or other governmental charge under the
laws of any jurisdiction or any political subdivision thereof in existence as of the date hereof other than the State of Delaware
becoming payable by the Trustee or (c) subject the Trustee to personal jurisdiction other than in the State of Delaware for causes
of action arising from personal acts unrelated to the consummation by the Trustee of the transactions contemplated hereby.
TA-
3
(g)
Reliance by the Trustee and the Managing
Owner; Advice of Counsel.
(i) In the absence of negligence or misconduct on the part of the Managing Owner or bad faith on
the part of the Trustee, the Trustee and the Managing Owner may conclusively rely upon certificates or opinions furnished to the
Trustee or the Managing Owner and conforming to the requirements of this Declaration of Trust in determining the truth of the statements
and the correctness of the opinions contained therein, and shall incur no liability to anyone in acting on any signature, instrument,
notice, resolution, request, consent, order, certificate, report, opinion, bond or other document or paper which is believed to
be genuine and believed to be signed by the proper party or parties, and need not investigate any fact or matter pertaining to
or in any such document; provided, however, that the Trustee or the Managing Owner shall have examined any certificates or opinions
so as to determine compliance of the same with the requirements of this Declaration of Trust. The Trustee or the Managing Owner
may accept a certified copy of a resolution of the board of directors or other governing body of any corporate party as conclusive
evidence that such resolution has been duly adopted by such body and that the same is in full force and effect. As to any fact
or matter the method of the determination of which is not specifically prescribed herein, the Trustee or the Managing Owner may
for all purposes hereof rely on a certificate, signed by the president or any vice-president or by the treasurer or other authorized
officers of the relevant party, as to such fact or matter, and such certificate shall constitute full protection to the Trustee
or the Managing Owner for any action taken or omitted to be taken by either of them in good faith in reliance thereon.
(ii)         In
the exercise or administration of the trust hereunder and in the performance of its duties and obligations under this Declaration
of Trust, the Trustee, at the expense of the Trust, (i) may act directly or through its agents, attorneys, custodians or nominees
pursuant to agreements entered into with any of them, and the Trustee shall not be liable for the conduct or misconduct of such
agents, attorneys, custodians or nominees if such agents, attorneys, custodians or nominees shall have been selected by the Trustee
with reasonable care and (ii) may consult with counsel, accountants and other skilled professionals to be selected with reasonable
care by the Trustee; provided that the Trustee shall not allocate any of its internal expenses or overhead to the account of the
Trust. The Trustee shall not be liable for anything done, suffered or omitted in good faith by it in accordance with the opinion
or advice of any such counsel, accountant or other such persons.
(h)
Not Part of Trust Estate.
Amounts
paid to the Trustee from the Trust Estate, if any, pursuant to this Section 2 shall not be deemed to be part of the Trust Estate
immediately after such payment.
3.
Principal Office.
The address of the principal office of the
Trust is c/o the Managing Owner, 411 West Putnam Avenue, Greenwich, Connecticut 06830; telephone: (203) 625-8211. The Trustee is
located at Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration.
The Trustee shall receive service of process on the Trust in the State of Delaware at the foregoing address. In the event Wilmington
Trust Company resigns or is removed as the Trustee, the Trustee of the Trust in the State of Delaware shall be the successor Trustee.
4.
Business.
The Trust's business and purpose is
to engage in speculative trading, buying, selling or otherwise acquiring, holding or disposing of futures and forward contracts
on currencies, interest rate, energy and agricultural products, metals, stock and stock indices, hybrid instruments, swaps, any
rights pertaining thereto and any options thereon or on physical commodities, and to engage in all activities necessary, convenient
or incidental thereto. The objective of the Trust's business is appreciation of its assets through speculative trading. The
Trust shall have the power to engage in all activities which are necessary, suitable, desirable, convenient or incidental to the
accomplishment to the foregoing business and purposes. The Trust shall do so under the direction of the Managing Owner.
TA-
4
5.
Term, Dissolution, Fiscal Year,
Series of Units and Net Asset Value.
(a)
Term.
The term of the Trust commenced
on the day on which the Certificate of Trust was filed with the Secretary of State of the State of Delaware pursuant to the provisions
of the Act. The Trust shall dissolve upon the first to occur of the following: (1) December 31, 2031; (2) receipt by the Managing
Owner of an approval to dissolve the Trust at a specified time by Unitholders owning Units representing more than fifty percent
(50%) of the total number of outstanding Units then owned by Unitholders, notice of which is sent by certified mail return receipt
requested to the Managing Owner not less than 90 days prior to the effective date of such dissolution; (3) death, insanity, bankruptcy,
retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner or any other event that causes
the Managing Owner to cease to be a managing owner unless, (i) at the time of such event there is at least one remaining managing
owner of the Trust who carries on the business of the Trust (and each remaining managing owner of the Trust is hereby authorized
to carry on the business of the Trust in such an event), or (ii) within 90 days after such event Unitholders owning at least fifty
percent (50%) of the total number of outstanding Units then owned by Unitholders agree in writing to continue the business of the
Trust and to the appointment, effective as of the date of such event, of one or more managing owners of the Trust pursuant to the
terms of Sections 18(b) and 18(c); (4) a decline in the aggregate Net Assets of the Trust to less than $250,000; (5) a decline
in the Net Asset Value per Unit to $250 or less; or (6) any other event which shall make it unlawful for the existence of the Trust
to be continued or shall require dissolution of the Trust.
(b)
Dissolution.
Upon the occurrence
of an event causing the dissolution of the Trust, the Trust shall be dissolved and its affairs wound up. Upon dissolution, the
New Profits Memo Account will be added to the Managing Owner's capital account.
Upon the dissolution of the Trust, the Managing
Owner (or, if the Managing Owner has withdrawn, such person as the Unitholders may, by majority vote of the Units, select) shall
wind up the Trust's affairs and, in connection therewith, shall distribute the Trust's assets in the following manner
and order:
(i)          FIRST
TO pay or make reasonable provision to pay (all claims of the Trustee and then all other claims and obligations, including all
contingent, conditional or unmatured claims and obligations, for which the Managing Owner (or its successor) may create a reserve,
known to the Trust (including claims of Unitholders) and all claims and obligations which are known to the Trust but for which
the identity of the claimant is unknown; and
(ii)         SECOND
TO distribution in cash of the remaining assets to the Unitholders in proportion to their capital accounts, after giving effect
to the allocations pursuant to Section 8 hereof as if the date of distribution were the end of a calendar year.
The Trust shall terminate when (i) all assets
of the Trust shall have been distributed in the manner provided for in this Agreement and (ii) the Certificate of Trust shall have
been canceled in the manner required by the Act.
(c)
Fiscal Year.
The fiscal year
of the Trust shall begin on January 1 of each year and end on the following December 31.
(d)
Series of Units
.
The
Units may be issued in series (each, a "Series"). The only difference between Units of each Series shall be the applicable
fees and expenses described herein. Otherwise, the Units of each Series shall be identical to the Units of the other Series and
shall share
pro rata
in the profits and losses of the Trust. "Series of Units" shall include outstanding Units
issued prior to the date hereof (unless the context dictates otherwise). The Series are not of a type contemplated by the last
sentence of Section 3804(a) of the Act.
(e)
Net Asset Value.
The Net Assets
of the Trust are its assets less its liabilities determined in accordance with generally accepted accounting principles. A Series'
Net Assets in aggregate are the Trust's assets attributable to that Series minus its liabilities attributable to that Series.
If a futures, forward or other contract cannot be liquidated on the day with respect to which Net Assets are being determined,
the settlement price on the first subsequent day on which the contract can be liquidated shall be the basis for determining the
liquidating value of such contract for such day, or such other value as the Managing Owner may deem fair and reasonable. The liquidating
value of a commodity futures or option contract not traded on a United States commodity exchange shall mean its liquidating value
as determined by the Managing Owner on a basis consistently applied for each different variety of contract.
TA-
5
The Brokerage Fee shall be charged to Series
1 Units at the basic rate of 7.0% per annum of the average month-end Net Assets of the Trust attributable to Series 1 Units (prior
to reduction for accrued but unpaid fees), and additional Series 1 Units shall be allocated to Series 1 Unitholders subject to
reduced Brokerage Fees as described in Section 8(a)(3) hereof. Brokerage Fees, accrued as well as paid, shall reduce Net Asset
Value of Series 1 Units. The Managing Owner compensates selling agents in connection with the sale of Series 1 Units out of the
Brokerage Fee in an amount up to 4% per annum of the Net Asset Value of Series 1 Units but not to exceed 9.5% of the purchase price
paid by purchasers of the Series 1 Units. Once the 9.5% threshold is reached with respect to a Series 1 Unit issued on or after
the date hereof, amounts that would otherwise be paid to the selling agent for that Series 1 Unit shall instead be rebated to the
Trust and shall be allocated equally among all Series 1 Units (inclusive of outstanding Units issued prior to the date hereof).
The Management Fee shall be charged to Series
2 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior
to reduction for accrued but unpaid fees). The Custodial Fee shall also be charged to Series 2 Units at the basic rate of 0.25%
per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior to reduction for accrued but unpaid
fees). The Custodial Fee shall be paid to brokers acting as custodian of Series 2 Units for the benefit of Series 2 Unitholders.
The maximum amount of Custodial Fees paid to brokers that act as custodian of Series 2 Units shall not exceed 3.1667% of the purchase
price paid by purchasers of Series 2 Units (or such lower amount as described in the Prospectus). Once the maximum threshold is
reached with respect to a Series 2 Unit, Custodial Fees that would otherwise be paid to the custodian for such Series 2 Unit shall
instead be rebated to the Trust and shall be allocated equally among all Series 2 Units. Series 2 Units shall also be subject to
their
pro rata
share of the Trust's routine charges incidental to trading (including, without limitation, brokerage
commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and
"give-up" fees). Management Fees, Custodial Fees and trading costs, accrued as well as paid, shall reduce Net Asset
Value of Series 2 Units.
The Management Fee shall be charged to Series
3 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 3 Units (prior
to reduction for accrued but unpaid fees). Series 3 Units shall also be subject to their
pro rata
share of the Trust's
routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse,
regulatory, floor brokerage, electronic platform trading costs and "give-up" fees). Management Fees and trading costs,
accrued as well as paid, shall reduce Net Asset Value of Series 3 Units.
Series 4 Units shall be subject to their
pro rata
share of the Trust's routine charges incidental to trading (including, without limitation, brokerage commissions,
prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and "give-up"
fees). Trading costs, accrued as well as paid, shall reduce Net Asset Value of Series 4 Units.
Accrued Profit Shares (as described in Section
8 hereof) shall reduce Net Asset Value, even though such Profit Shares may never, in fact, be paid. Accrued Profit Shares shall
be calculated on a basis which reflects any aggregate New Trading Profit (as defined in Section 8(c)), accrued equally in respect
of each Series 1 Unit (except as necessary to reflect the difference in the Brokerage Fees charged certain Unitholders) and accrued
equally in respect of the Series 2 and 3 Units in the aggregate (except as necessary to reflect the Custodial Fee charged to the
Series 2 Unitholders) but not in respect of the Series 4 Units, the Managing Owner's capital account or the New Profits Memo
Account (see Section 8(a)).
6.
Net Worth of Managing Owner.
The Managing Owner agrees that at all times
so long as it remains managing owner of the Trust, it will maintain its Net Worth at an amount not less than the greater of $50,000
or 5% of the total contributions to the Trust and to all other entities of which it is managing owner or general partner. In no
event shall the Managing Owner be required to maintain a net worth in excess of $1,000,000.
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7.
Capital Contributions; Units;
Managing Owner's Liability.
(a)
Types of Beneficial Interests.
The beneficial interests in the Trust shall consist of two types: a general liability interest and limited liability Units. The
Managing Owner shall acquire the general liability interest, and investors shall all acquire limited liability Units.
(b)
Managing Owner's Liability.
Upon the initial contribution by the Managing Owner to the Trust, the Managing Owner became the holder of the general liability
interest of the Trust. The Managing Owner's general liability interest shall be accounted for on a Unit-equivalent basis,
but may receive allocations on an aggregate basis so as to simplify the Trust's accounting. The Managing Owner's general
liability interest will not be subject to full Brokerage Fees, but rather only to actual execution costs, nor shall it be subject
to Management Fees, Custodial Fees or Profit Shares.
(c)
No Certificates.
No certificates
or other evidences of beneficial ownership of the Units will be issued.
(d)
Unitholder Consent.
Every Unitholder,
by virtue of having purchased or otherwise acquired Units, shall be deemed to have expressly consented and agreed to be bound by
the terms of this Declaration of Trust.
The Unitholders' respective capital
contributions to the Trust shall be as shown on the books and records of the Trust.
The Managing Owner shall have unlimited
liability for the repayment, satisfaction and discharge of all debts, liabilities and obligations of the Trust to the full extent,
and only to the extent, of the Managing Owner's assets.
The Managing Owner shall be liable for the
acts, omissions, obligations and expenses of the Trust, to the extent not paid out of the assets of the Trust, to the same extent
that the Managing Owner would be so liable if the Trust were a partnership under the Delaware Revised Uniform Limited Partnership
Act and the Managing Owner were a general partner of such partnership. The obligations of the Managing Owner under this paragraph
shall be evidenced by its ownership of the general liability interest.
The Managing Owner, so long as it is generally
liable for the obligations of the Trust, shall invest in the Trust, as a general liability interest, no less than 1% of the net
capital contributions to the Trust (including the Managing Owner's contributions) but in no event shall the Managing Owner
invest less than $500,000 of the total capital contributions to the Trust. The Managing Owner may withdraw any interest it may
have in excess of such requirement as of any month-end on the same terms as any Unitholder, provided the Managing Owner's
interest in the Trust remains equal to or greater than the greater of (i) 1% of the Trust's then current Net Assets or (ii)
$500,000.
Any Units acquired by the Managing Owner
or any of its principals or their respective affiliates will be non-voting, and will not be considered outstanding for purposes
of determining whether the majority approval of the outstanding Units has been obtained.
The general liability interest in the Trust
held by the Managing Owner will be non-voting.
8.
Allocation of Profits and Losses.
(a)
Capital Accounts and Allocations.
A capital account shall be established for each Unit of each Series and for the Managing Owner. In addition, a New Profits Memo
Account shall be established on the books of the Trust for bookkeeping purposes only. The initial balance of each capital account
shall be the amount contributed to the Trust in respect of a Unit or by the Managing Owner. As of the close of business (as determined
by the Managing Owner) on the last day of each month, the following determinations and allocations shall be made:
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(1)         The
Net Assets of the Trust will be determined without regard to Brokerage Fees, Management Fees, Custodial Fees, the Trust's
actual trade execution and clearing costs or Profit Shares.
(2)         Any
increase or decrease in the Trust's Net Assets (as determined pursuant to Paragraph 1 above), as compared to the last such
determination of Net Assets, shall then be credited or charged
pro rata
to the capital account of each Unit, to the capital
account of the Managing Owner and to the New Profits Memo Account.
(3)         Brokerage
Fees shall be charged equally to all Series 1 Units at the rate of 0.5833 of 1% of the month-end Trust assets (prior to reduction
for any accrued but unpaid fees or Profit Shares) allocable to such Series 1 Units (a 7.0% annual rate). Such Brokerage Fees shall
be paid out to the Managing Owner; provided that in respect of Series 1 Units which are subject to per annum Brokerage Fees of
6.5%, 6.0%, or 5.5% (or as otherwise reduced to reflect reduced sales commissions) of the average month-end Trust assets allocable
to such Series 1 Units, the difference between the 0.5833 of 1% Brokerage Fees charged and the reduced Brokerage Fee due as of
the end of each month shall not be paid out to the Managing Owner but shall instead be credited to a Suspense Account which shall
not be included in the Net Asset Value of the Series 1 Units, and shall be used solely as a means of efficiently accounting for
the reduction in the Brokerage Fee payable by such Series 1 Unitholders while maintaining a uniform Net Asset Value per Series
1 Unit.
Management Fees shall be charged
equally to all Series 2 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but
unpaid fees or Profit Shares) allocable to such Series 2 Units (a 2.0% annual rate) and Custodial Fees shall be charged equally
to all Series 2 Units at the rate of 0.0208 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid
fees or Profit Shares) allocable to such Series 2 units (a 0.25% annual rate). Actual costs of executing and clearing the Trust's
futures trades attributable to Series 2 Units, including prime brokerage fees in respect of currency forward contracts attributable
to Series 2 Units, shall also be charged equally to all Series 2 Units.
Management Fees shall be charged
equally to all Series 3 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but
unpaid fees or Profit Shares) allocable to such Series 3 Units (a 2% annual rate). Actual costs of executing and clearing the Trust's
futures trades attributable to Series 3 Units, including prime brokerage fees in respect of currency forward contracts attributable
to Series 3 Units, shall also be charged equally to all Series 3 Units.
Actual costs of executing and
clearing the Trust's futures trades attributable to Series 4 Units, including prime brokerage fees in respect of currency
forward contracts attributable to Series 4 Units, shall also be charged equally to all Series 4 Units.
Brokerage Fees, Management Fees
and Custodial Fees will not be charged to (or calculated on a basis of average month-end Trust assets which include) capital accounts
of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates or the New Profits Memo Account. The
capital accounts of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates and the New Profits
Memo Account shall be charged for their respective
pro rata
shares of the costs of executing and clearing the Trust's
futures trades as well as for prime brokerage fees in respect of currency forward contracts, but not for any Brokerage Fees, Management
Fees or Custodial Fees.
(4)         The
Managing Owner's Series 1 Profit Share will equal 20% of any Series 1 New Trading Profit (as defined in Section 8(c)). The
Managing Owner's Series 2/3 Profit Share will equal 20% of any aggregate Series 2 and Series 3 New Trading Profit (as defined
in Section 8(c)). As of the end of each month, the amount of any such Series 1 Profit Share or Series 2/3 Profit Share, as applicable,
shall be calculated and shall reduce the Net Asset Value per Unit of Series 1 or Series 2 and Series 3, as applicable,
pro rata
.
The Series 4 Units shall not be subject to a Profit Share. The amount of any such Profit Share shall be deducted from each Unit's
capital account (other than the Series 4 Units, as described above) and credited to the New Profits Memo Account, as a bookkeeping
entry only, as of the end of each calendar year. The capital accounts of the Managing Owner, its principals, their respective affiliates
and the New Profits Memo Account will not be subject to the Profit Share. (For the avoidance of doubt, the amount of any Series
1 Profit Share accrual reversal shall be credited to the Series 1 Units only and the amount of any Series 2/3 Profit Share accrual
reversal shall be credited,
pro rata
, to Series 2 and Series 3 Units only.)
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(5)         The
amounts credited to the Suspense Account as provided in Paragraph 3 above as of the end of any month shall be reduced by the 20%
Series 1 Profit Share if there is an accrued Profit Share in respect of the Series 1 Units as of the month-end that such amounts
are so credited. If such month-end is also a year-end, the amount of such Series 1 Profit Share shall be credited to the New Profits
Memo Account, as a bookkeeping entry only, and the remainder of the Suspense Account shall be reinvested in Series 1 Units as of
such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders. If such month-end is not also a year-end,
the Series 1 Profit Share accrual, as well as the remainder of the Suspense Account, shall be reinvested in Series 1 Units as of
such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders.
(6)         The
Managing Owner's Series 1 Profit Share or Series 2/3 Profit Share with respect to Units redeemed as of a month-end which
is not the end of a calendar year shall be computed as though such month-end were the end of a calendar year, and the amount of
the Series 1 Profit Share or Series 2/3 Profit Share so computed (if any) shall be deducted from the redeemed Units' capital
accounts and credited to the New Profits Memo Account, as a bookkeeping entry only.
(7)         When
Series 1 Units subject to reduced per annum Brokerage Fees are redeemed: (i) if a Series 1 Profit Share is then accrued, the difference
between the 7.0% per annum and reduced per annum Brokerage Fee attributable to such Series 1 Units for the month-end of redemption
shall be assessed a 20% Series 1 Profit Share which shall be credited to the New Profits Memo Account, as a bookkeeping entry only;
and (ii) the Series 1 Profit Share, if any, due in respect of such Series 1 Units shall be calculated on the same basis as in respect
of all other Series 1 Units, as set forth in Paragraph 4 above, and credited to the New Profits Memo Account, as a bookkeeping
entry only.
If no Series 1 Profit Share is
accrued as of the date of redemption, then no New Profits Memo Account credits shall be made in respect of any portion of the Series
1 Units redeemed.
(8)         The
amount of any distributions made in respect of a Unit as of the end of such month and any amount (not reduced by any early redemption
charges) paid upon partial redemption of Units or upon withdrawal of the Managing Owner's interest as of the end of such
month shall be charged against the capital account of such Unit or of the Managing Owner. The capital account of any Unit fully
redeemed shall be eliminated.
(9)         Brokerage
Fees, Management Fees and Custodial Fees shall be treated as if paid or payable to a third party and shall not be credited to the
capital account of the general liability interest held by the Managing Owner.
(10)        Persons
who make a net capital investment in the Series 1 Units, including both initial and subsequent investments and without regard to
profits or losses, of $100,000, $500,000, $1,000,000 or more or who acquired Series 1 Units through asset-based fee or fixed-fee
investment programs (such as broker or trust company "wrap accounts") shall be entitled to pay Brokerage Fees of 6.5%,
6.0%, 5.5% or 4% per annum, respectively, of the average month-end assets of their respective capital accounts; provided that,
if after any redemption of Series 1 Units, the aggregate net capital contributions for Series 1 Units (subscriptions less redemptions,
but assuming redemptions to be made first from accumulated net profits, not capital contributions) of an investor is less than
$100,000, $500,000 or $1,000,000, such Series 1 Unitholder will no longer be eligible for the level of per annum Brokerage Fee
such investor was paying but rather shall be subject to the higher Brokerage Fee applicable to the aggregate Net Asset Value of
such investor's Series 1 Units as if that amount were such investor's initial investment in the Series 1 Units. Should
such person subsequently make an additional subscription, if the amount of such subsequent subscription plus such Series 1 Unitholder's
remaining net capital contributions (subscriptions less redemptions, but assuming redemptions to be made first from accumulated
net profits, not capital contributions) equals $100,000, $500,000 or $1,000,000 or more, such person will pay the Brokerage Fee
applicable to such person's net capital investment in the Series 1 Units described in this Paragraph 10. Redemptions of Series
1 Units shall not cause investors who invest through asset-based fee or fixed-fee investment programs to pay increased Brokerage
Fees.
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Reduced Brokerage Fees apply
to a Series 1 Unitholder's entire capital account attributable to Series 1 Units, not just that part of such capital account
corresponding to capital contributions of $100,000, $500,000 and $1,000,000 or more.
(b)
Allocation of Profit and Loss for
Federal Income Tax Purposes.
Each of the parties hereto, by entering into this Declaration of Trust, (i) expresses its intention
that the Units will qualify under applicable tax law as though the Units were interests in a partnership which holds the Trust
Estate for their benefit, (ii) agrees that it will file its own federal, state and local income, franchise and other tax returns
in a manner that is consistent with the treatment of the Trust as though it were a partnership in which each of the Unitholders
is a partner and (iii) agrees to use reasonable efforts to notify the Managing Owner promptly upon a receipt of any notice from
any taxing authority having jurisdiction over such Unitholder with respect to the treatment of the Units as anything other than
interests in a partnership. As of the end of each fiscal year, income and expense and capital gain or loss of the Trust shall be
allocated among the Unitholders pursuant to the following provisions of this Section 8(b) for federal income tax purposes. Such
allocations shall be
pro rata
from short-term capital gain or loss and long-term capital gain or loss. For purposes of this
Section 8(b), capital gain and capital loss shall be allocated separately and not netted.
(1)      Items
of ordinary income and expenses attributable to the Trust (other than Brokerage Fees, Management Fees, Custodial Fees, and allocable
execution and clearing costs (including prime brokerage fees), which shall be allocated as set forth in Section 8(b)(2)), shall
be allocated
pro rata
among all Units of the Trust (based on Net Asset Value per Unit) outstanding as of the end of each
calendar month (including Units being then redeemed), and
pro rata
to the capital account of the Managing Owner.
(2)      Deductions
attributable to Brokerage Fees, Management Fees, Custodial Fees and allocable execution and clearing costs (including prime brokerage
fees) shall be allocated to each Unitholder and the Managing Owner in the same manner as such Brokerage Fees, Management Fees,
Custodial Fees and allocable execution and clearing costs are allocated for financial purposes pursuant to Section 8(a).
(3)      Capital
Gain or Loss (as defined in Section 8(b)(3)(H)) shall be allocated as follows:
(A)      There
shall be established a tax account with respect to each outstanding Unit and with respect to the Managing Owner. The initial balance
of each tax account shall be the net amount paid to the Trust for each Unit and the amount contributed to the Trust by the Managing
Owner. Amounts reinvested in Series 1 Units from the Suspense Account, as described in Section 8(a) hereof, shall not increase
the aggregate tax basis of the affected Series 1 Unitholders in their Series 1 Units; rather the Series 1 Units acquired upon reinvestment
will have an initial tax basis of $0. As of the end of each fiscal year:
(i)          Each
tax account for the Units and the Managing Owner shall be increased by the amount of income or gain allocated to such tax account
pursuant to Sections 8(b)(1), 8(b)(3)(B) and 8(b)(3)(D).
(ii)         Each
tax account for the Units shall be decreased by the amount of expense or loss allocated to each Unit pursuant to Sections 8(b)(1),
8(b)(2) and 8(b)(3)(F) and by the amount of any distributions paid out with respect to such Units other than upon redemption.
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(iii)        When
a Unit is redeemed, the tax account attributable to such Unit (determined after making all allocations described in this Section
8(b)) shall be eliminated.
(B)      The
Managing Owner shall be allocated Capital Gain, if any, up to the amount of any bookkeeping credit to the New Profits Memo Account,
including any credits made as of the end of the fiscal year of allocation. To the extent any such tax allocation is made, the balance
in the New Profits Memo Account shall be reduced, and the balance in the Managing Owner's capital account, for financial
purposes, correspondingly increased.
(C)      Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year)
shall be allocated Capital Gain, if any, up to the amount of the excess, if any, of the amount received in respect of the Units
so redeemed over the sum of the tax accounts (determined after making the allocation described in Sections 8(b)(1) and 8(b)(2),
but prior to making the allocations described in this Section 8(b)(3)(C)) allocable to such Units (an "Excess"). In
the event that the aggregate amount of Capital Gain available to be allocated pursuant to this Section 8(b)(3)(C) is less than
the aggregate amount of Capital Gain required to be so allocated, the aggregate amount of available Capital Gain shall be allocated
among all such Unitholders in the ratio which each such Unitholder's Excess bears to the aggregate Excess of all such Unitholders.
(D)      Capital
Gain remaining after the allocation described in Section 8(b)(3)(C) shall be allocated among all Unitholders who hold Units outstanding
as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose
capital accounts with respect to such Units are in excess of the related tax accounts (determined after making the allocations
described in Sections 8(b)(1) and 8(b)(2)) allocable to such Units, in the ratio that each such Unitholder's Excess bears
to the aggregate Excess of all such Unitholders. Capital Gain remaining after the allocation described in the preceding sentence
shall be allocated among all Unitholders described in said sentence in proportion to their holdings of such Units.
(E)      Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year)
shall be allocated Capital Loss, if any, up to the amount of the sum of the excess of the tax accounts (determined after making
the allocations described in Sections 8(b)(1) and 8(b)(2), but prior to making the allocations described in this Section 8(b)(3)(E))
allocable to the Units so redeemed over the amount received in respect of such Units (a "Negative Excess"). In the
event that the aggregate amount of available Capital Loss required to be allocated pursuant to this Section 8(b)(3)(E) is less
than the aggregate amount required to be so allocated, the aggregate amount of available Capital Loss shall be allocated among
all such Unitholders in the ratio that each such Unitholder's Negative Excess bears to the aggregate Negative Excess of all
such Unitholders.
(F)      Capital
Loss remaining after the allocation described in Section 8(b)(3)(E) shall be allocated among all Unitholders who hold Units outstanding
as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose
tax accounts with respect to such Units are in excess of their capital accounts (determined after making the allocations described
in Sections 8(b)(1) and 8(b)(2) with respect to such Units, in the ratio that each such Unitholder's Negative Excess bears
to the aggregate Negative Excess of all such Unitholders. Capital Loss remaining after the allocation described in the preceding
sentence shall be allocated among all Unitholders described in such sentence in proportion to their holdings of such Units.
(G)      For
purposes of this Section 8(b), the Managing Owner's interest in the Trust will be treated as if it were a single Unit.
(H)      For
purposes of this Section 8(b), "Capital Gain" or "Capital Loss" shall mean gain or loss characterized as
gain or loss from the sale or exchange of a capital asset by the Code, including, but not limited to, gain or loss required to
be taken into account pursuant to Section 1256 thereof.
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(4)         The
allocation of profit and loss for federal income tax purposes set forth herein allocates taxable profit and loss among the Unitholders
in the ratio and to the extent that financial profit and loss are allocated to such Unitholders and so as to eliminate, to the
maximum practicable extent, any disparity between a Unit's capital account and its tax account, consistent with principles
set forth in Section 704 of the Code, including without limitation a "Qualified Income Offset."
(5)         The
allocations of profit and loss to the Unitholders in respect of their Units shall not exceed the allocations permitted under Subchapter
K of the Code, as determined by the Managing Owner, whose determination shall be binding.
(c)
Profit Share; New Profits Memo Account.
The Managing Owner's Profit Share will equal 20% of any cumulative trading profits ("New Trading Profit"), not
including interest income, after deduction of all accrued but unpaid fees and expenses other than the Profit Share itself ("Trading
Profit"), over the highest level of such cumulative Trading Profit as of any previous calendar year-end, or $0, if higher
(the "Profit Share High Water Mark"). Profit Shares shall be determined separately (i) in respect of Series 1 Units
("Series 1 Profit Share") and (ii) in respect of Series 2 and 3 Units in the aggregate ("Series 2/3 Profit Share").
Trading Profit does not include profits allocable to the Managing Owner's capital account or to the New Profits Memo Account.
(For the avoidance of doubt, Series 1 Profit Shares will be calculated on Series 1 Units subject to reduced per annum as well as
on those subject to a 7.0% per annum Brokerage Fee in the manner described in Section 8(a) hereof.)
New Trading Profit is reduced by routine
administrative expenses.
If Series 1 Units are redeemed when there
is a loss carryforward for Series 1 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for
Series 1 is below the Profit Share High Water Mark for Series 1), such loss carryforward will be reduced in proportion to the proportion
of the total outstanding Series 1 Units. If Series 2 Units or Series 3 Units are redeemed when there is a loss carryforward for
Series 2/3 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for Series 2 and Series 3 is
below the Profit Share High Water Mark for Series 2 and Series 3), such loss carryforward will be reduced in proportion to the
proportion of the total Net Assets of Series 2 and Series 3 Units.
Neither any Unitholder nor the Managing
Owner shall have any interest in the New Profits Memo Account, except as described in Section 5(b) hereof. However, as described
in Section 8(b)(3)(B), bookkeeping entries in the New Profits Memo Account shall be reduced, and the Managing Owner's capital
account correspondingly increased to the extent that priority allocations of Capital Gain are made to the Managing Owner pursuant
to said Section 8(b)(3)(B).
In the event that the Net Asset Value per
Unit of any Series is less than $400 as of any calendar month-end, the balance of any bookkeeping entries to the New Profits Memo
Account then outstanding will be cancelled, and an amount equal to such balance shall be allocated
pro rata
among all outstanding
Units (based on Net Asset Value per Unit), but not to the Managing Owner's capital account.
(d)
Expenses; Interest Income.
The
Trust shall bear all of any taxes applicable to it. The Series 1 Units shall pay the Managing Owner a Brokerage Fee equal to 0.5833
of 1% (a 7.0% annual rate) of the month-end assets of the Trust (prior to reduction for any accrued but unpaid Brokerage Fees and
Series 1 Profit Shares) attributable to the Series 1 Units; provided that in the case of subscribers who invest $100,000, $500,000
or $1,000,000 or more in the Series 1 Units, such Brokerage Fee shall be reduced to 0.5417 of 1% (a 6.5% annual rate), 0.50 of
1% (a 6% annual rate) or 0.4583 of 1% (a 5.5% annual rate), respectively, of such month-end assets of the Trust attributable to
each such Series 1 Unitholder's capital account, as contemplated by Section 8(a)(10) above.
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The Series 2 Units and Series 3 Units shall
pay the Managing owner a Management Fee equal to 0.166 of 1% (a 2.0% annual rate) of the month-end assets of the Trust (prior to
any accrued but unpaid Custodial Fee, Management Fees and Profit Shares) attributable to the Series 2 Units and Series 3 Units,
respectively.
The Series 2 Units shall pay the Managing
Owner a Custodial Fee equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end assets of the Trust attributable to the Series
2 Units.
The Managing Owner shall pay all routine
charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse,
regulatory, floor brokerage, electronic platform trading costs and "give-up" fees) attributable to the Series 1 Units.
The Series 2 Units, Series 3 Units and Series 4 Units shall pay all routine charges incidental to trading (including, without limitation,
brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading
costs and "give-up" fees) attributable to the Series 2 Units, Series 3 Units and Series 4 Units, respectively. Any
extraordinary charges incidental to trading (for example, insurance or delivery charges) will be paid by the Trust.
The Trust's organizational and offering
expenses, including redemption fees, are limited to 15% of the capital contributions to the Trust.
The Trust will pay its ongoing administrative
expenses, including the fees of the Trustee. All of the expenses which are for the account of the Trust shall be billed directly
to the Trust. The Trust shall bear all of its own legal, accounting and administrative expenses, but none of the Managing Owner's
"overhead" expenses incurred in connection with the administration of the Trust (including, but not limited to, salaries
and rent) shall be charged to the Trust.
Appropriate reserves may be created, accrued
and charged against the Net Assets for contingent liabilities, if any, as of the date any such contingent liability becomes known
to the Managing Owner. Such reserves shall reduce Net Asset Value for all purposes.
Any goods and services provided to the Trust
by the Managing Owner shall be provided at rates and terms at least as favorable as those which may be obtained from third parties
in arm's-length negotiations.
In the event that the Trust shall be subject
to taxation by any state or local or by any foreign taxing authority, the Trust shall be obligated to pay such taxes to such jurisdiction.
In the event that the Trust shall be required to make payments to any federal, state or local or any foreign taxing authority in
respect of any Unitholder's allocable share of the Trust's income, the amount of such taxes shall be considered a loan
by the Trust to such Unitholder, and such Unitholder shall be liable for, and shall pay to the Trust, any taxes so required to
be withheld and paid over by the Trust within ten (10) days after the Managing Owner's request therefor. Such Unitholder
shall also be liable for (and the Managing Owner shall be entitled to redeem Units of such Unitholder as necessary to satisfy)
interest on the amount of taxes paid over by the Trust to the Internal Revenue Service ("IRS") or other taxing authority,
from the date of the Managing Owner's request for payment to the date of payment or redemption, as the case may be, at the
rate of two percent (2%) per annum over the prime rate charged from time to time by FBR National Bank & Trust, Bethesda, Maryland.
Any amount payable by the Trust to such Unitholder shall be reduced by any obligations owed to the Trust by the Unitholder, including,
without limitation, the amount of any taxes required to be paid over by the Trust to the IRS or other taxing authority and interest
thereon as aforesaid. Amounts, if any, deducted by the Trust from any actual distribution or redemption payment to such Unitholder
shall be treated as an actual distribution to such Unitholder for all purposes of this Declaration of Trust.
The Trust will receive all interest income
earned on its assets.
(e)
Limited Liability of Unitholders.
Each Unit, when purchased in accordance with this Declaration of Trust, shall, except as otherwise provided by law, be fully-paid
and nonassessable. Any provisions of this Declaration of Trust to the contrary notwithstanding, Unitholders (including the Managing
Owner, except to the extent otherwise provided herein) shall be entitled to the same limitation on personal liability extended
to stockholders of private corporations for profit organized under the General Corporation Law of the State of Delaware.
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The Trust will indemnify, to the full extent
permitted by law, each Unitholder (other than the Managing Owner in the event that the Managing Owner acquires Units) against any
claims of liability asserted against such Unitholder solely because such Unitholder is a beneficial owner of the Trust (other than
in respect of taxes due from such Unitholder as such a beneficial owner).
Every written note, bond, contract, instrument,
certificate or undertaking made or issued by the Managing Owner shall give notice to the effect that the same was executed or made
by or on behalf of the Trust and that the obligations of any of the foregoing are not binding upon the Unitholders individually
but are binding only upon the assets and property of the Trust, and that no resort shall be had to the Unitholders' personal
property for the satisfaction of any obligation or claim thereunder, and appropriate references may be made to this Declaration
of Trust and may contain any further recital which the Managing Owner deems appropriate, but the omission thereof shall not operate
to bind the Unitholders individually or otherwise invalidate any such note, bond, contract, instrument, certificate or undertaking.
(f)
Return of Capital Contributions.
No Unitholder or subsequent assignee shall have any right to demand the return of his or her capital contribution or any profits
added thereto, except through redeeming Units or upon dissolution of the Trust, in each case as provided herein. In no event shall
a Unitholder or subsequent assignee be entitled to demand or receive property other than cash.
9.
Management of the Trust.
(a)
Authority of the Managing Owner.
Pursuant to Section 3806 of the Act, the Trust shall be managed by the Managing Owner, and the conduct of the Trust's business
(including the maintenance of accounts and allocations) shall be controlled and conducted solely by the Managing Owner in accordance
with this Declaration of Trust.
The Managing Owner, to the exclusion of
all other Unitholders, shall control, conduct and manage the business of the Trust. The Managing Owner shall have sole discretion
in determining what distributions of profits and income, if any, shall be made to the Unitholders (subject to the allocation provisions
hereof), shall execute various documents on behalf of the Trust and the Unitholders pursuant to powers of attorney and shall supervise
the liquidation of the Trust if an event causing dissolution of the Trust occurs.
The Managing Owner may, in furtherance of
the business of the Trust, cause the Trust to buy, sell, hold or otherwise acquire or dispose of commodities, futures contracts,
forward contracts on currencies and options traded on exchanges or otherwise, swaps, hybrid instruments, arbitrage positions, repurchase
agreements, interest-bearing securities, deposit accounts and similar instruments and other assets, and cause the trading of the
Trust to be limited to only certain of the foregoing instruments.
The Managing Owner may take such other actions
on behalf of the Trust as the Managing Owner deems necessary or desirable to manage the business of the Trust.
The Managing Owner is hereby authorized
to perform all duties imposed by Sections 6221 through 6232 of the Code on the Managing Owner as the "tax matters partner"
of the Trust.
(b)
Notification of Basic Changes.
The Managing Owner shall send to all Unitholders and assignees prior notice of any change in the basic investment approach of the
Trust and of any increase in its charges. Such notifications shall contain a ballot and a description of Unitholder's voting
and redemption rights and a description of any material effect of such change or increase. The Managing Owner is hereby specifically
authorized to enter into, on behalf of the Trust, the Customer Agreements, the Selling Agreements and the Additional Selling Agent
Agreements as described in the Prospectus. For the avoidance of doubt, the business terms applicable to Units issued prior to the
date hereof including, but not limited to fee terms and redemption terms, shall continue with respect to such Units while such
Units remain outstanding.
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(c)
Certain Agreements.
In addition
to any specific contract or agreements described herein, the Trust, and the Managing Owner on behalf of the Trust, may enter into
any other contracts or agreements specifically described in or contemplated by the Prospectus without any further act, approval
or vote of any Unitholder other than the Managing Owner, notwithstanding any other provisions of this Declaration of Trust, the
Act or any applicable law, rule or regulations.
(d)
Fiduciary Duties.
The Managing
Owner shall be under a fiduciary duty to conduct the affairs of the Trust in the best interests of the Trust, provided that the
Managing Owner shall not be obligated to engage in any conduct on behalf of the Trust to the detriment of any other commodity pool
to which the Managing Owner owes similar fiduciary duties. The Unitholders will under no circumstances be deemed to have contracted
away the fiduciary obligations owed them by the Managing Owner under the common law. The Managing Owner's fiduciary duty
includes, among other things, the safekeeping of all funds and assets of the Trust and the use thereof for the benefit of the Trust.
The Managing Owner shall at all times act with integrity and good faith and exercise due diligence in all activities relating to
the conduct of the business of the Trust and in resolving conflicts of interest. The Managing Owner will take no actions with respect
to the property of the Trust which do not benefit the Trust, and the Managing Owner will not use the assets of the Trust as compensating
balances for the Managing Owner's exclusive benefit.
(e)
Brokerage Arrangements.
The Trust's
brokerage arrangements shall be non-exclusive, and the brokerage commissions paid by the Trust shall be competitive. Such brokerage
commissions may not exceed 14% annually of the average net assets of the Trust, excluding Trust assets not directly related to
trading activity. The Trust shall seek the best price and services available for its commodity transactions.
The Brokerage Fees (in respect of Series
1 Units) and Management Fees (in respect of Series 2 Units and Series 3 Units) paid by the Trust may not exceed the amount permitted
under applicable North American Securities Administrators Association, Inc. Guidelines for the Registration of Commodity Pool Programs
("Blue Sky Guidelines") in effect as of the date hereof.
(f)
Prohibited Activities.
The Trust
shall make no loans to any party, and the funds of the Trust will not be commingled with the funds of any other person or entity
(deposit of funds with a commodity broker, clearinghouse or forward dealer or entering into joint ventures or partnerships shall
not be deemed to constitute "commingling" for these purposes). The Managing Owner shall make no loans to the Trust.
The Trust shall not employ the trading technique
commonly known as "pyramiding." The Managing Owner taking into account the Trust's open trade equity on existing
positions in determining generally whether to acquire additional commodity positions on behalf of the Trust will not be considered
to be engaging in "pyramiding."
No person or entity may receive, directly
or indirectly, any advisory, management or incentive fees, or any profit-sharing allocation from joint ventures, partnerships or
similar arrangements in which the Trust participates, for investment advice or management who shares or participates in any per-trade
commodity brokerage commissions paid by the Trust; no broker may pay, directly or indirectly, rebates or give-ups to any trading
advisor or manager or to the Managing Owner or any of their respective affiliates; and such prohibitions may not be circumvented
by any reciprocal business arrangements.
The maximum period covered by any contract
entered into by the Trust, except for the various provisions of the Selling Agreement which survive, shall not exceed one year.
Any material change in the basic investment policies or structure of the Trust shall require the approval of Unitholders owning
Units representing more than fifty percent (50%) of the total outstanding Units owned by Unitholders as of a record date established
for a vote thereon. Any agreements between the Trust and the Managing Owner or any affiliate of the Managing Owner shall be terminable
by the Trust upon no more than 60 days' written notice.
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(g)
Freedom of Action.
The Managing
Owner is engaged, and may in the future engage, other business activities and shall not be required to refrain from any other activity
nor forego any profits from any such activity, whether or not in competition with the Trust. The Trustee and the Unitholders may
similarly engage in any such other business activities. The Managing Owner shall devote to the Trust such time as the Managing
Owner may deem advisable to the conduct of the Trust's business and affairs.
10.
Audits and Reports to Unitholders.
The Trust's books shall be audited
annually by an independent certified public accountant. The Trust will use its best efforts to cause each Unitholder to receive
(i) within 90, but in no event later than 120 days, after the close of each fiscal year certified financial statements for the
fiscal year then ended, (ii) within 90 days of the end of each fiscal year (but in no event later than March 15 of each year) such
tax information as is necessary for a Unitholder to complete his or her federal income tax return and (iii) such other annual and
monthly information as the Commodity Futures Trading Commission may by regulation require. Unitholders or their duly authorized
representatives may inspect the books and records of the Trust during normal business hours upon reasonable written notice to the
Managing Owner and obtain copies of such records upon payment of reasonable reproduction costs; provided, however, that upon request
by the Managing Owner, the requesting Unitholder shall represent that the inspection and/or copies of such records will not be
used for commercial purposes unrelated to such Unitholder's interest as an investor in the Trust.
The Managing Owner shall calculate the Net
Asset Value per Unit of each Series on a monthly basis and sell and redeem Units of each Series at such Net Asset Value.
The Brokerage Fees, Management Fees, Custodial
Fees and Profit Share may not be increased without prior written notice to any affected Unitholders within sufficient time for
the exercise of their redemption rights prior to any such increase becoming effective. The Brokerage Fees and the Profit Share
may not be increased during any period when a redemption charge is in effect with respect to any Series 1 Units.
The Managing Owner shall notify the Unitholders
of (i) changes to the trading method of the Managing Owner which the Managing Owner believes to be material, (ii) changes in Brokerage
Fees, Management Fee, Custodial Fees, Profit Share or other fees paid by the Trust or (iii) material changes in the basic investment
policies or structure of the Trust. The Managing Owner shall so notify Unitholders, by certified mail or other means of notification
providing for evidence of delivery, prior to any such change. Such notification shall set forth the Unitholders' voting and
redemption rights. The Managing Owner will send written notice to each Unitholder of a Series within seven days of any decline
in the Net Asset Value per Unit of such Series to 50% or less of such value as of the previous month-end. Any such notice shall
contain a description of the Unitholders' voting and redemption rights. The Managing Owner, not the Trust, shall pay the
cost of any notification delivered pursuant to this paragraph.
The Managing Owner shall prepare or cause
to be prepared and shall file on or before the due date (or any extension thereof) any federal, state or local tax returns required
to be filed by the Trust. The Managing Owner shall cause the Trust to pay any taxes payable by the Trust; provided, however, that
such taxes need not be paid if the Managing Owner or the Trust are in good faith and by appropriate legal proceedings contesting
the validity, applicability or amount thereof, and such contest does not materially endanger any right or interest of the Trust.
The Managing Owner shall maintain and preserve
all required records relating to the Trust for a period of not less than six (6) years from the receipt of such records.
In particular, and not by way of limitation,
the Managing Owner will retain all Subscription Agreement and Power of Attorney Signature Pages submitted by persons admitted as
Unitholders, and all other records necessary to substantiate that Units are sold only to purchasers for whom the Units are a suitable
investment, for at least six (6) years after Units are sold to such persons.
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The Managing Owner shall seek the best price
and services for the Trust's trading, and will, with the assistance of the Trust's commodity broker(s), make an annual
review of the commodity brokerage arrangements applicable to the Trust. Not by way of qualifying the Managing Owner's obligations
to ensure that the Trust's brokerage arrangements are competitive, but rather as a means of providing additional information
to the Unitholders, in connection with such review, the Managing Owner will ascertain, to the extent practicable, the commodity
brokerage rates charged to other major commodity pools whose trading and operations are, in the opinion of the Managing Owner,
comparable to those of the Trust, in order to assess whether the rates charged the Trust are reasonable in light of the services
it receives and the terms upon which the Trust was promoted to subscribers. If, as a result of such review, the Managing Owner
determines that such rates are unreasonable in light of the services provided to the Trust and the terms upon which the Trust was
promoted, the Managing Owner will notify the Unitholders, setting forth the rates charged to the Trust and several funds which
are, in the Managing Owner's opinion, comparable to the Trust. The Managing Owner shall also make an annual review of the
forward trading arrangements for the Trust in an attempt to determine whether such arrangements are competitive with those of other
comparable pools in light of the circumstances.
In addition to the undertakings in the preceding
paragraph, the Trust will seek the best price and services available on its commodity brokerage transactions. All brokerage transactions
will be effected at competitive rates. Brokerage commissions may not exceed the cap set forth in Section 9(e). The Managing Owner
will annually review the brokerage rates paid by the Trust to guarantee that the criteria set forth in this paragraph are followed.
The Managing Owner may not rely solely on the rates charged by other major commodity pools in complying with this paragraph.
11.
Assignability of Units.
Each Unitholder expressly agrees that he
or she will not assign, transfer or dispose of, by gift or otherwise, any of his or her Units or any part or all of his or her
right, title and interest in the capital or profits of the Trust in violation of any applicable federal or state securities laws
or without giving written notice to the Managing Owner. No assignment, transfer or disposition by an assignee of Units or of any
part of his or her right, title and interest in the capital or profits of the Trust shall be effective against the Trust, the Trustee
or the Managing Owner until the Managing Owner receives the written notice of the assignment; the Managing Owner shall not be required
to give any assignee any rights hereunder prior to receipt of such notice. The Managing Owner may, in its sole discretion, waive
any such notice. No such assignee, except with the consent of the Managing Owner (such consent to be withheld only in the event
that such assignment could give rise to negative legal or tax consequences), may become a substituted Unitholder, nor will the
estate or any beneficiary of a deceased Unitholder or assignee have any right to redeem Units from the Trust except by redemption
as provided in Section 12 hereof. Each Unitholder agrees that with the consent of the Managing Owner any assignee may become a
substituted Unitholder without need of the further act or approval of any Unitholder. If the Managing Owner withholds consent,
an assignee shall not become a substituted Unitholder, and shall not have any of the rights of a Unitholder, except that the assignee
shall be entitled to receive that share of capital and profits and shall have that right of redemption to which his or her assignor
would otherwise have been entitled. No assignment, transfer or disposition of Units shall be effective against the Trust, the Trustee
or the Managing Owner until the first business day of the calendar month following the month in which the Managing Owner receives
notice of such assignment, transfer or disposition. The Managing Owner will send written confirmation to both the transferors and
transferees of Units that the transfers in question have been duly recorded on the Trust's books and records. The Managing
Owner will not permit the assignment, transfer or disposition of Units where, after the assignment, transfer or disposition, either
the Unitholder or the assignee would hold less than the minimum number of Units equivalent to an initial minimum purchase (as stated
in the then-current prospectus in respect of the Units), except for assignments, transfers or dispositions by gift, inheritance,
intrafamily transfers, family dissolutions or transfers to Affiliates of the Unitholder.
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12.
Redemptions.
A Unitholder (including the Managing Owner
except to the extent that its power to redeem is limited by any other provision of this Declaration of Trust) or any assignee of
Units of whom the Managing Owner has received written notice, may redeem all or any of his or her Units, effective as of the close
of business (as determined by the Managing Owner) on the last business day of any calendar month, provided that (i) all liabilities,
contingent or otherwise, of the Trust (including the Trust's allocable share of the liabilities, contingent or otherwise,
of any entities in which the Trust invests), except any liability to Unitholders on account of their capital contributions, have
been paid or there remains property of the Trust sufficient to pay them and (ii) the Managing Owner shall have received a redemption
request at least ten business days prior to the date of redemption, or such later time as shall be acceptable to the Managing Owner.
Series 1 Unitholders who redeem Series 1 Units on or prior to the end of the first successive six-month and five-month periods
after such Series 1 Units are sold will be assessed redemption charges of 4% and 3%, respectively (3.5% and 2.5%, 3% and 2% and
2.5% and 1.5%, respectively, in the case of Series 1 Unitholders who have invested $100,000, $500,000 or $1,000,000 or more, respectively,
in the Trust), of their Series 1 Units' Net Asset Value as of the date of redemption. Series 1 Units purchased by the same
Series 1 Unitholder on different closing dates will be treated on a "first-in, first-out" basis for purposes of calculating
the foregoing six-month periods. Additional Series 1 Units issued to Series 1 Unitholders subject to a reduced rather than a 7.0%
annual Brokerage Fee will be deemed all to have been issued as of the date of the longest outstanding Series 1 Units held by a
particular Series 1 Unitholder. All redemption charges will be paid to the Managing Owner.
Redemption charges shall not apply to Series
2 Units, Series 3 Units or Series 4 Units.
Any number of whole Units may be redeemed.
Fractional Units may only be redeemed upon redemption of a Unitholder's entire interest in the Trust.
Redemption requests must be in writing unless
the Managing Owner determines otherwise.
The Managing Owner may declare additional
redemption dates upon notice to the Unitholders as well as to those assignees of whom the Managing Owner has received notice as
described above.
Redemption payments will be made (by mailing
a check or crediting a customer securities account) within 15 business days after the date of redemption, except that under special
circumstances, including, but not limited to, inability to liquidate commodity positions or default or delay in payments due from
commodity brokers, banks or other persons or entities, the Trust may in turn delay payment to Unitholders or assignees requesting
redemption of their Units of the proportionate part of the Net Asset Value of such Units equal to that proportionate part of the
aggregate Net Asset Value of the Trust represented by the sums which are the subject of such default or delay.
All redemptions will be made at Net Asset
Value as of the effective date of the redemption (the "Valuation Date").
The Managing Owner may require a Unitholder
to redeem all or a portion of such Unitholder's Units if the Managing Owner considers doing so to be desirable for the protection
of the Trust, and will use its best efforts to do so to the extent necessary to prevent the Trust from being deemed to hold "plan
assets" under the provisions of the Employee Retirement Income Security Act of 1974, as amended ("ERISA"), or
Section 4975 of the Code with respect to any "employee benefit plan" as defined in and subject to ERISA or with respect
to any "plan" as defined in Section 4975 of the Code.
If at the close of business (as determined
by the Managing Owner) on any business day, the Net Asset Value per Unit of a Series has decreased to (i) $500 or less or (ii)
less than 50% of the Net Asset Value per Unit of such Series on the most recent Valuation Date, after adding back all distributions,
whichever is greater, the Trust will liquidate all open positions as expeditiously as possible and suspend trading. Within 7 business
days after any such suspension of trading, the Managing Owner shall declare a "Special Redemption Date." Such Special
Redemption Date shall be a business day within 30 business days from the date of suspension of trading by the Trust, and the Managing
Owner shall mail notice of such date to each Unitholder and assignee of Units of whom it has received written notice, by first
class mail, postage prepaid, not later than 7 business days of the date of the decline of the Net Asset Value of the applicable
Series precipitating such Special Redemption Date, together with instructions as to the procedure such Unitholder or assignee must
follow to have such Unitholder's or assignee's interest (only entire, not partial, interests may be so redeemed unless
otherwise determined by the Managing Owner) in the Trust redeemed on such date. Upon redemption pursuant to a Special Redemption
Date, a Unitholder or any other assignee of whom the Managing Owner has received written notice, shall receive from the Trust an
amount equal to the Net Asset Value of such Unitholder's interest, determined as of the close of business (as determined
by the Managing Owner) on such Special Redemption Date. No redemption charges shall be assessed on any such Special Redemption
Date. As in the case of a regular redemption, an assignee shall not be entitled to redemption on any Special Redemption Date until
the Managing Owner has received written notice (see Section 11) of the assignment, transfer or disposition under which the assignee
claims an interest in the Units to be redeemed. If, after such Special Redemption Date, the Net Assets of the Trust are at least
$250,000 and the Net Asset Value per Unit of each Series is in excess of $250, the Trust may, in the discretion of the Managing
Owner, resume trading. If the preceding conditions are not met or the Managing Owner determines not to resume trading, the Trust
will be dissolved and terminated.
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The Managing Owner may declare additional
Special Redemption Dates upon notice to the Unitholders and assignees of whom the Managing Owner has received notice. In the event
the Managing Owner does, in its discretion, declare a Special Redemption Date, the Managing Owner may, in its notice of such Special
Redemption Date modify the circumstances under which the Managing Owner is again required to declare a Special Redemption Date,
as set forth in the preceding paragraph.
13.
Offering of Units.
The Managing Owner on behalf of the Trust
shall (i) cause to be filed from time to time a Registration Statement or Registration Statements, and such amendments thereto
as the Managing Owner may deem advisable, with the Securities and Exchange Commission for the registration and ongoing public offering
of Units, (ii) use its best efforts to qualify Units for sale from time to time under the securities laws of such states of the
United States or other jurisdictions as the Managing Owner shall deem advisable and (iii) take such action with respect to the
matters described in (i) and (ii) as the Managing Owner shall deem advisable or necessary.
The Managing Owner shall not accept any
subscriptions for Units if doing so would cause the Trust to be considered to hold "plan assets" for any purpose of
ERISA or Section 4975 of the Code with respect to any "employee benefit plan" as defined in and subject to ERISA or
with respect to any "plan" as defined in and subject to Section 4975 of the Code.
All Units subscribed for upon transfer of
funds from a subscriber's account (or receipt of a check in the subscription amount) are issued subject to the collection
of the funds represented by such transfer (or check). In the event that a transfer (or check) of a subscriber is not honored, the
Trust shall cancel the Units issued to such subscriber in consideration of such dishonored transfer (or check); provided that the
Managing Owner may waive such cancellation upon receipt of what it believes to be reasonable assurances that such transfer (or
check) will be honored or replaced by another transfer (or check) which will be honored within 10 business days of original dishonor.
Any losses or profits sustained by the Trust in connection with its trading allocable to cancelled Units shall be deemed an increase
or decrease in the Net Assets of the Trust and allocated as described above in Section 8, not a liability of the Managing Owner.
Each subscriber agrees to reimburse the Trust for any expense or losses incurred in connection with any such cancellation of Units
issued to him or her.
Units will be sold as of the first day of
each calendar month subject to the Managing Owner's discretion to hold intra-month closings and to suspend or terminate the
offering of Units.
Each Unitholder consents, by the act of
purchasing Units, to the Trust issuing to such Unitholder additional Units of the same Series purchased (in fractions calculated
up to three decimal places) in lieu of all interest earned on such Unitholder's subscription while held pending investment
in the Units.
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14.
Special Power of Attorney.
Each Unitholder by virtue of having purchased
or otherwise acquired Units does hereby irrevocably constitute and appoint the Managing Owner and each officer of the Managing
Owner, with full power of substitution, as his or her true and lawful attorney-in-fact, in his or her name, place and stead, to
execute, acknowledge, swear to (and deliver as may be appropriate) on his or her behalf and file and record in the appropriate
public offices and publish (as may in the reasonable judgment of the Managing Owner be required by law): (i) this Declaration of
Trust, including any amendments and/or restatements hereto duly adopted as provided herein; (ii) certificates in various jurisdictions,
and amendments and/or restatements thereto; (iii) all conveyances and other instruments which the Managing Owner deems appropriate
to qualify or continue the Trust in the State of Delaware and the jurisdictions in which the Trust may conduct business, or which
may be required to be filed by the Trust or the Unitholders under the laws of any jurisdiction or under any amendments or successor
statutes to the Act, to reflect the dissolution or termination of the Trust or the Trust being governed by any amendments or successor
statutes to the Act or to reorganize or refile the Trust in a different jurisdiction; and (iv) to file, prosecute, defend, settle
or compromise litigation, claims or arbitrations on behalf of the Trust. The Power of Attorney granted herein shall be irrevocable
and deemed to be a power coupled with an interest (including, without limitation, the interest of the other Unitholders in the
Managing Owner being able to rely on the Managing Owner's authority to act as contemplated by this Section 14) and shall
survive and shall not be affected by the subsequent incapacity, disability or death of a Unitholder.
15.
Withdrawal of a Unitholder.
The Trust shall be dissolved upon the death,
insanity, bankruptcy, retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner, or any other
event that causes the Managing Owner to cease to be the managing owner of the Trust, unless the Trust is continued pursuant to
the terms of Section 5(a)(3). In addition, the Managing Owner may withdraw from the Trust, without any breach of this Declaration
of Trust, at any time upon 120 days' written notice by first class mail, postage prepaid, to the Trustee, each Unitholder
and each assignee of whom the Managing Owner has notice. In the event of the Managing Owner's removal or withdrawal from
the Trust, the Managing Owner shall be entitled to a redemption of its interest in the Trust at its Net Asset Value as of the close
of business on the last business day of the month following the date of removal or withdrawal. If the Managing Owner withdraws
from the Trust and the Trust's business is continued, the withdrawing Managing Owner shall pay all expenses incurred as a
result of its withdrawal.
The Managing Owner may not assign its general
liability interest or its obligation to direct the trading of the Trust without the consent of each Unitholder. The Managing Owner
will notify all Unitholders of any change in the principals of the Managing Owner.
The death, incompetency, withdrawal, insolvency
or dissolution of a Unitholder or any other event that causes a Unitholder to cease to be a beneficial owner (within the meaning
of the Act) in the Trust shall not terminate or dissolve the Trust, and a Unitholder, his or her estate, custodian or personal
representative shall have no right to redeem or value such Unitholder's interest except as provided in Section 12 hereof.
Each Unitholder expressly agrees that in the event of his or her death, he or she waives on behalf of himself or herself and his
or her estate, and directs the legal representatives of his or her estate and any person interested therein to waive, the furnishing
of any inventory, accounting or appraisal of the assets of the Trust and any right to an audit or examination of the books of the
Trust. Nothing in this Section 15 shall, however, waive any right given elsewhere in this Declaration of Trust for a Unitholder
to be informed of the Net Asset Value of his or her Units, to receive periodic reports, audited financial statements and other
information from the Managing Owner or the Trust or to redeem or transfer Units.
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16.
Benefit Plan Investors.
Each Unitholder that is an "employee
benefit plan" as defined in, and subject to the fiduciary responsibility provisions of, ERISA or a "plan" as
defined in and subject to Section 4975 of the Code (each such employee benefit plan and plan, a "Plan"), and each fiduciary
thereof who has caused the Plan to become a Unitholder (a "Plan Fiduciary"), represents and warrants that: (a) the
Plan Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; (b) the Plan Fiduciary
has determined that, in view of such considerations, the investment in the Trust by such Plan is consistent with such Plan Fiduciary's
responsibilities under ERISA; (c) the investment in the Trust by the Plan does not violate and is not otherwise inconsistent with
the terms of any legal document constituting the Plan or any trust agreement entered into thereunder; (d) the Plan's investment
in the Trust has been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any selling agent,
Morgan Stanley & Co. Inc., Deutsche Bank AG, any wholesaler, any clearing broker, the Trustee, any of their respective affiliates
or any of their respective agents or employees: (i) has investment discretion with respect to the investment of the assets of the
Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with respect to the assets
of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary
basis for investment decisions with respect to the Plan and that such advice will be based on the particular investment needs of
the Plan; or (iii) is an employer maintaining or contributing to the Plan
, except in the case of a Plan
where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived and the purchase and
holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code
; and (f) the Plan
Fiduciary: (i) is authorized to make, and is responsible for, the decision for the Plan to invest in the Trust, including the determination
that such investment is consistent with the requirement imposed by Section 404 of ERISA that Plan investments be diversified so
as to minimize the risks of large losses; (ii) is independent of the Managing Owner, each selling agent, Morgan Stanley & Co.
Inc., Deutsche Bank AG, each wholesaler, each clearing broker, the Trustee, and each of their respective affiliates
,
except in the case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of
Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code
; and (iii) is qualified to make
such investment decision.
17.
Standard of Liability; Indemnification.
(a)
Standard of Liability for the Managing
Owner
. The Managing Owner and its Affiliates, as defined below, shall have no liability to the Trust or to any Unitholder for
any loss suffered by the Trust which arises out of any action or inaction of the Managing Owner or its Affiliates, if the Managing
Owner, in good faith, determined that such course of conduct was in the best interests of the Trust, and such course of conduct
did not constitute negligence or misconduct of the Managing Owner or its Affiliates.
(b)
Indemnification of the Managing Owner
by the Trust.
To the fullest extent permitted by law, subject to this Section 17, the Managing Owner and its Affiliates shall
be indemnified by the Trust, solely from the assets of the Trust, against any losses, judgments, liabilities, expenses and amounts
paid in settlement of any claims sustained by them in connection with the Trust; provided that such claims were not the result
of negligence or misconduct on the part of the Managing Owner or its Affiliates, and the Managing Owner, in good faith, determined
that such conduct was in the best interests of the Trust; and provided further that Affiliates of the Managing Owner shall be entitled
to indemnification only for losses incurred by such Affiliates in performing the duties of the Managing Owner and acting wholly
within the scope of the authority of the Managing Owner.
Notwithstanding anything to the contrary
contained in the preceding two paragraphs, the Managing Owner and its Affiliates and any persons acting as selling agent for the
Units shall not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of federal or
state securities laws unless (1) there has been a successful adjudication on the merits of each count involving alleged securities
law violations as to the particular indemnitee and the court approves indemnification of the litigation costs, or (2) such claims
have been dismissed with prejudice on the merits by a court of competent jurisdiction as to the particular indemnitee and the court
approves indemnification of the litigation costs, or (3) a court of competent jurisdiction approves a settlement of the claims
against a particular indemnitee and finds that indemnification of the settlement and related costs should be made.
In any claim for indemnification for federal
or state securities law violations, the party seeking indemnification shall place before the court the position of the Securities
and Exchange Commission, the California Department of Corporations, the Massachusetts Securities Division, the Pennsylvania Securities
Commission, the Tennessee Securities Division, the Texas Securities Board and any other state or applicable regulatory authority
with respect to the issue of indemnification for securities law violations.
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The Trust shall not bear the cost of that
portion of any insurance which insures any party against any liability the indemnification of which is herein prohibited.
For the purposes of this Section 17, the
term "Affiliates" shall mean any person acting on behalf of or performing services on behalf of the Trust who: (1)
directly or indirectly controls, is controlled by, or is under common control with the Managing Owner; or (2) owns or controls
10% or more of the outstanding voting securities of the Managing Owner; or (3) is an officer or director of the Managing Owner;
or (4) if the Managing Owner is an officer, director, partner or trustee, is any entity for which the Managing Owner acts in any
such capacity.
Advances from the funds of the Trust to
the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of any legal action initiated against
the Managing Owner by a Unitholder are prohibited.
Advances from the funds of the Trust to
the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of a legal action will be made only
if the following three conditions are satisfied: (1) the legal action relates to the performance of duties or services by the Managing
Owner or its Affiliates on behalf of the Trust; (2) the legal action is initiated by a third party who is not a Unitholder; and
(3) the Managing Owner or its Affiliates undertake to repay the advanced funds, with interest from the initial date of such advance,
to the Trust in cases in which they would not be entitled to indemnification under the standard of liability set forth in Section
17(a).
In no event shall any indemnity or exculpation
provided for herein be more favorable to the Managing Owner or any Affiliate than that contemplated by the Blue Sky Guidelines
as in effect on the date of this Declaration of Trust.
In no event shall any indemnification permitted
by this subsection (b) of Section 17 be made by the Trust unless all provisions of this Section for the payment of indemnification
have been complied with in all respects. Furthermore, it shall be a precondition of any such indemnification that the Trust receive
a determination of qualified independent legal counsel in a written opinion that the party which seeks to be indemnified hereunder
has met the applicable standard of conduct set forth herein. Receipt of any such opinion shall not, however, in itself, entitle
any such party to indemnification unless indemnification is otherwise proper hereunder. Any indemnification payable by the Trust
hereunder shall be made only as provided in the specific case.
In no event shall any indemnification obligations
of the Trust under this subsection (b) of Section 17 subject a Unitholder to any liability in excess of that contemplated by subsection
(e) of Section 8 hereof.
(c)
Indemnification by the Unitholders.
In the event that the Trust is made a party to any claim, dispute or litigation or otherwise incurs any loss or expense as a result
of or in connection with any activities of a Unitholder, obligations or liabilities unrelated to the business of the Trust or as
a result of or in connection with a transfer, assignment or other disposition or an attempted transfer, assignment or other disposition
by a Unitholder or an assignee of its Units or of any part of its right, title and interest in the capital or profits of the Trust
in violation of this Declaration of Trust, such Unitholder shall indemnify and reimburse the Trust for all loss and expense incurred,
including reasonable attorneys' fees.
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18.
Amendments; Meetings.
(a)
Amendments with Consent of the Managing
Owner.
If at any time during the term of the Trust the Managing Owner shall deem it necessary or desirable to amend this Declaration
of Trust, the Managing Owner may proceed to do so, provided that such amendment shall be effective only if embodied in an instrument
approved by the Managing Owner and, pursuant to a vote called by the Managing Owner, by the holders of Units representing a majority
of the outstanding Units. Such vote shall be taken at least 30 but not more than 60 days after delivery by the Managing Owner to
each Unitholder of record by certified mail of notice of the proposed amendment and voting procedures. Notwithstanding the foregoing,
the Managing Owner may amend this Declaration of Trust without the consent of the Unitholders in order (i) to clarify any clerical
inaccuracy or ambiguity or reconcile any inconsistency (including any inconsistency between this Declaration of Trust and the Prospectus),
(ii) to effect the intent of the allocations proposed herein to the maximum extent possible in the event of a change in the Code
or the interpretations thereof affecting such allocations, (iii) to attempt to ensure that the Trust is not treated as an association
taxable as a corporation for federal income tax purposes, (iv) to qualify or maintain the qualification of the Trust as a trust
in any jurisdiction, (v) to delete or add any provision of or to this Declaration of Trust required to be deleted or added by the
Staff of the Securities and Exchange Commission or any other federal agency or any state "Blue Sky" or similar official
or in order to opt to be governed by any amendment or successor statute to the Act, (vi) to make any amendment to this Declaration
of Trust which the Managing Owner deems advisable, provided that such amendment is for the benefit of and not adverse to the Unitholders
or the Trustee, or that is required by law, (vii) to make any amendment that is appropriate or necessary, in the opinion of the
Managing Owner, to prevent the Trust or the Managing Owner or its directors, officers or controlling persons from in any manner
being subjected to the provisions of the Investment Company Act of 1940, as amended, and (viii) to make any amendment that is appropriate
or necessary, in the opinion of the Managing Owner, to avoid causing the assets of the Trust from being considered for any purpose
of ERISA or Section 4975 of the Code to constitute assets of any Plan, or to avoid the Trust's engaging in a prohibited transaction
as defined in Section 406 of ERISA or Section 4975(c) of the Code.
(b)
Amendments and Actions without Consent
of the Managing Owner.
In any vote called by the Managing Owner or pursuant to subsection (c) of this Section 18, upon the
affirmative vote (which may be in person or by proxy) of more than fifty percent (50%) of the Units then owned by Unitholders,
the following actions may be taken with respect to the Trust, irrespective of whether the Managing Owner concurs: (i) this Declaration
of Trust may be amended, provided, however, that approval of all Unitholders shall be required in the case of amendments changing
or altering this Section 18, extending the term of the Trust, or materially changing the Trust's basic investment policies
or structure; in addition, reduction of the capital account of any Unitholder or assignee or modification of the percentage of
profits, losses or distributions to which a Unitholder or an assignee is entitled hereunder shall not be effected by any amendment
or supplement to this Declaration of Trust without such Unitholder's or assignee's written consent; (ii) the Trust
may be dissolved; (iii) the Managing Owner may be removed and replaced; (iv) a new managing owner or managing owners may be elected
if the Managing Owner withdraws from the Trust; (v) the sale of all or substantially all of the assets of the Trust may be approved;
and (vi) any contract with the Managing Owner or any affiliate thereof may be disapproved and, as a result, terminated upon 60
days' notice.
(c)
Meetings; Other.
Any Unitholder
upon request addressed to the Managing Owner shall be entitled to obtain from the Managing Owner, upon payment in advance of reasonable
reproduction and mailing costs, a list of the names and addresses of record of all Unitholders and the number of Units held by
each (which shall be mailed by the Managing Owner to the Unitholder within ten days of the receipt of the request); provided, that
the Managing Owner may require any Unitholder requesting such information to submit written confirmation that such information
will not be used for commercial purposes. Upon receipt of a written proposal, signed by Unitholders owning Units representing at
least 10% of all Units then owned by Unitholders, that a meeting of the Trust be called to vote upon any matter upon which the
Unitholders may vote pursuant to this Declaration of Trust, the Managing Owner shall, by written notice to each Unitholder of record
sent by certified mail within 15 days after such receipt, call a meeting of the Trust. Such meeting shall be held at least 30 but
not more than 60 days after the mailing of such notice, and such notice shall specify the date of, a reasonable place and time
for, and the purpose of such meeting. Such notice shall establish a record date for Units entitled to vote at the meeting, which
shall be not more than 15 days prior to the date established for such meeting.
The Managing Owner may not restrict the
voting rights of Unitholders as set forth herein.
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In the event that the Managing Owner or
the Unitholders vote to amend this Declaration of Trust in any material respect, the amendment will not become effective prior
to all Unitholders having an opportunity to redeem their Units.
(d)
Consent by Trustee.
The Trustee's
written consent to any amendment of this Declaration of Trust shall be required, such consent not to be unreasonably withheld;
provided, however, that the Trustee may, in its sole discretion, withhold its consent to any such amendment that would adversely
affect any right, duty or liability of, or immunity or indemnity in favor of, the Trustee under this Declaration of Trust or any
of the documents contemplated hereby to which the Trustee is a party, or would cause or result in any conflict with or breach of
any terms, conditions or provisions of, or default under, the charter documents or by-laws of the Trustee or any document contemplated
hereby to which the Trustee is a party; provided further, that the Trustee may not withhold consent for any action listed in subsections
18(b)(ii)-(vi). Notwithstanding anything to the contrary contained in this Declaration of Trust, the Trustee may immediately resign
if, in its sole discretion, the Trustee determines that the Unitholders' actions pursuant to subsections 18(b)(i)-(vi) would
adversely affect the Trustee in any manner.
19.
Governing Law.
The validity and construction of this Declaration
of Trust shall be determined and governed by the laws of the State of Delaware without regard to principles of conflicts of law;
provided, that the foregoing choice of law shall not restrict the application of any state's securities laws to the sale
of Units to its residents or within such state.
20.
Miscellaneous.
(a)
Notices.
All notices under this
Declaration of Trust shall be in writing and shall be effective upon personal delivery, or if sent by first class mail, postage
prepaid, addressed to the last known address of the party to whom such notice is to be given, upon the deposit of such notice in
the United States mails.
(b)
Binding Effect.
This Declaration
of Trust shall inure to and be binding upon all of the parties, their successors and assigns, custodians, estates, heirs and personal
representatives. For purposes of determining the rights of any Unitholder or assignee hereunder, the Trust and the Managing Owner
may rely upon the Trust records as to who are Unitholders and assignees, and all Unitholders and assignees agree that their rights
shall be determined and they shall be bound thereby.
(c)
Captions.
Captions in no way
define, limit, extend or describe the scope of this Declaration of Trust nor the effect of any of its provisions. Any reference
to "persons" in this Declaration of Trust shall also be deemed to include entities, unless the context otherwise requires.
21.
Certain Definitions.
This Declaration of Trust contains certain
provisions required by the Blue Sky Guidelines. The terms used in such provisions are defined as follows (the following definitions
are included
verbatim
from such Guidelines and, accordingly, may not in all cases be relevant to this Declaration of Trust):
Administrator.
The official
or agency administering the securities laws of a state.
Advisor.
Any Person who
for any consideration engages in the business of advising others, either directly or indirectly, as to the value, purchase, or
sale of Commodity Contracts or commodity options.
Affiliate.
An Affiliate
of a Person means: (a) any Person directly or indirectly owning, controlling or holding with power to vote 10% or more of the outstanding
voting securities of such Person; (b) any Person 10% or more of whose outstanding voting securities are directly or indirectly
owned, controlled or held with power to vote, by such Person; (c) any Person, directly or indirectly, controlling, controlled by,
or under common control of such Person; (d) any officer, director or partner of such Person; or (e) if such Person is an officer,
director or partner, any Person for which such Person acts in any such capacity.
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Capital Contributions.
The total investment in a Program by a Participant or by all Participants, as the case may be.
Commodity Broker.
Any
Person who engages in the business of effecting transactions in Commodity Contracts for the account of others or for his or her
own account.
Commodity Contract.
A
contract or option thereon providing for the delivery or receipt at a future date of a specified amount and grade of a traded commodity
at a specified price and delivery point.
Cross Reference Sheet.
A compilation of the Guidelines sections, referenced to the page of the prospectus, Program agreement, or other exhibits, and justification
of any deviation from the Guidelines.
Net Assets.
The total
assets, less total liabilities, of the Program determined on the basis of generally accepted accounting principles. Net Assets
shall include any unrealized profits or losses on open positions, and any fee or expense including Net Asset fees accruing to the
Program.
Net Asset Value Per Program
Interest.
The Net Assets divided by the number of Program Interests outstanding.
Net Worth.
The excess
of total assets over total liabilities as determined by generally accepted accounting principles. Net Worth shall be determined
exclusive of home, home furnishings and automobiles.
New Trading Profits.
The
excess, if any, of Net Assets at the end of the period over Net Assets at the end of the highest previous period or Net Assets
at the date trading commences, whichever is higher, and as further adjusted to eliminate the effect on Net Assets resulting from
new Capital Contributions, redemptions, or capital distributions, if any, made during the period decreased by interest or other
income, not directly related to trading activity, earned on Program assets during the period, whether the assets are held separately
or in a margin account.
Organizational and Offering
Expenses.
All expenses incurred by the Program in connection with and in preparing a Program for registration and subsequently
offering and distributing it to the public, including, but not limited to, total underwriting and brokerage discounts and commissions
(including fees of the underwriters' attorneys), expenses for printing, engraving, mailing, salaries of employees while engaged
in sales activity, charges of transfer agents, registrars, trustees, escrow holders, depositories, experts, expenses of qualification
of the sale of its Program Interest under federal and state law including taxes and fees, accountants' and attorneys'
fees. (Organizational and Offering Expenses as used in this Declaration of Trust does not include selling commissions).
Participant.
The holder
of a Program Interest.
Person.
Any natural Person,
partnership, corporation, association or other legal entity.
Pit Brokerage Fee.
Pit
Brokerage Fee shall include floor brokerage, clearing fees, National Futures Association fees, and exchange fees.
Program.
A limited partnership,
joint venture, corporation, trust or other entity formed and operated for the purpose of investing in Commodity Contracts.
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Program Broker.
A Commodity
Broker that effects trades in Commodity Contracts for the account of a Program.
Program Interest.
A limited
partnership interest or other security representing ownership in a Program.
Pyramiding.
A method of
using all or a part of an unrealized profit in a Commodity Contract position to provide margin for any additional Commodity Contracts
of the same or related commodities.
Sponsor.
Any Person directly
or indirectly instrumental in organizing a Program or any Person who will manage or participate in the management of a Program,
including a Commodity Broker who pays any portion of the Organizational and Offering Expenses of the Program, and the general partner(s)
and any other Person who regularly performs or selects the Persons who perform services for the Program. Sponsor does not include
wholly independent third parties such as attorneys, accountants and underwriters whose only compensation is for professional services
rendered in connection with the offering of the units. The term "Sponsor" shall be deemed to include its Affiliates.
Valuation Date.
The date
as of which the Net Assets of the Program are determined.
Valuation Period.
A regular
period of time between Valuation Dates.
Certain terms not defined herein are used
with the respective meanings set forth in the Prospectus.
22.
No Legal Title to Trust Estate.
The Unitholders shall not have legal title
to any part of the Trust Estate.
23.
Legal Title.
Legal title to all the Trust Estate shall
be vested in the Trust as a separate legal entity; except where applicable law in any jurisdiction requires any part of the Trust
Estate to be vested otherwise, the Managing Owner (or the Trustee, if required by law) may cause legal title to the Trust Estate
of any portion thereof to be held by or in the name of the Managing Owner or any other person as nominee.
24.
Creditors.
No creditors of any Unitholders shall have
any right to obtain possession of, or otherwise exercise legal or equitable remedies with respect to, the Trust Estate.
*********
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IN WITNESS WHEREOF, the undersigned have
duly executed this Fourth Amended and Restated Declaration of Trust and Trust Agreement as of the day and year first above written.
WILMINGTON TRUST COMPANY, not in its
individual capacity but solely as Trustee
By:
/s/ JOSEPH B. FEIL
Name: Joseph B. Feil
Title: Vice President
MILLBURN RIDGEFIELD CORPORATION as
Managing Owner
By:
/s/ HARVEY BEKER
Harvey Beker
Co-Chief Executive Officer and Co-Chairman
All Unitholders admitted as Unitholders
of the Trust, pursuant to powers of attorney
executed in favor of, and granted and delivered to,
the Managing Owner.
MILLBURN RIDGEFIELD CORPORATION as
Attorney-in-Fact
By:
/s/ GEORGE E. CRAPPLE
George E. Crapple
Co-Chief Executive Officer and Co-Chairman
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Schedule A
CERTIFICATE OF TRUST
OF
GLOBAL MACRO TRUST
THIS Certificate of Trust of GLOBAL MACRO
TRUST (the "Trust"), dated July 23, 2001, is being duly executed and filed by Wilmington Trust Company, a Delaware
banking corporation, as trustee, to form a business trust under the Delaware Business Trust Act (12
Del.C
. § 3801
et seq
.).
1.
Name.
The name of the business
trust formed hereby is GLOBAL MACRO TRUST.
2.
Delaware Trustee.
The name and
business address of the trustee of the Trust in the State of Delaware is Wilmington Trust Company, Rodney Square North, 1100 North
Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration.
IN WITNESS WHEREOF, the undersigned, being
the sole trustee of the Trust, has executed this Certificate of Trust as of the date first above written.
WILMINGTON TRUST COMPANY, as Trustee
By:
/s/ PATRICIA A. EVANS
Patricia A. Evans
Senior Financial Services Officer
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ANNEX
GLOBAL MACRO TRUST
REQUEST FOR REDEMPTION
GLOBAL MACRO TRUST
c/o
Millburn Ridgefield Corporation
Date
Managing Owner
411 West Putnam Avenue
Greenwich, Connecticut 06830
Dear Sirs:
The undersigned (trust account number GM-______)
hereby requests redemption subject to all the terms and conditions of the Declaration of Trust and Trust Agreement (the "Declaration
of Trust") of GLOBAL MACRO TRUST (the "Trust") of ______ Series ______ Units of Beneficial Interest ("Units")
in the Trust.
(Insert number of whole Units to be redeemed and the Series of Units to be redeemed; subscribers may redeem any
number of whole Units, they need not redeem all or any minimum number of their Units in order to redeem certain of their Units;
however, if no number is indicated, all Units held of record by the undersigned will be redeemed; fractional Units may only be
redeemed upon complete redemption of the undersigned's interest in the Trust.)
Units of a Series are redeemed at the
Net Asset Value per Unit of such Series, as defined in the Declaration of Trust, less any applicable redemption charge (see below).
Redemption shall be effective as of the end of the current calendar month; provided that this Request for Redemption is received
at least ten (10) days prior to the end of such month. Payment of the redemption price of Units will generally be made within fifteen
(15) business days of the date of redemption.
The undersigned hereby represents and warrants
that the undersigned is the true, lawful and beneficial owner of the Units to which this Request for Redemption relates, with full
power and authority to request redemption of such Units. Such Units are not subject to any pledge or otherwise encumbered in any
fashion.
Redemption charges of 4% and 3% (3.5% and
2.5%, 3% and 2%, and 2.5% and 1.5% in the case of subscriptions for $100,000, $500,000 or $1,000,000 or more, respectively) of
the Net Asset Value of Series 1 Units redeemed on or before the end of the 6th and after the end of the 6th but on or before the
end of the 11th full calendar months, respectively, after the undersigned has purchased the Series 1 Units being redeemed will
be deducted from the redemption price of all such Series 1 Units and paid to the Managing Owner. If the undersigned has purchased
Units at more than one closing, such Series 1 Units will be treated on a first-in/first-out basis for purposes of determining whether
redemption charges continue to be applicable to such Series 1 Units. Redemption charges do not apply to Series 2 Units, Series
3 Units or Series 4 Units.
Signatures must be identical to name(s)
in which units are registered
Credit my customer securities account
Send to the address below
Name
Street
City, State and Zip Code
Entity Unitholder
Individual Unitholder(s)
(or assignee)
(or assignee(s))
(Name of Entity)
By:
(Authorized corporate officer, partner or trustee)
(Signature(s) of all Unitholder(s) or assignee(s))
Social Security or Taxpayer ID Number________
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EXHIBIT B
GLOBAL MACRO TRUST
SUBSCRIPTION REQUIREMENTS
By executing a Subscription Agreement Signature
Page for
Global Macro Trust (the "Trust")
, each
purchaser ("Purchaser")
of
units of beneficial
interest ("Units")
of a
series (a "Series")
in the Trust irrevocably subscribes for Units of
the applicable Series at the Net Asset Value per Unit of such Series, as described in the Trust's
Prospectus dated [ ]
(the "Prospectus")
. The minimum initial subscription is $5,000; $2,000 for trustees or custodians of employee benefit
plans. Units are sold in fractions calculated to three decimal places.
Purchaser is herewith delivering to Purchaser's
Selling Agent (hereinafter, "Selling Agent") an executed Subscription Agreement Signature Page and either (i) delivering
a check in the full amount of the Purchaser's subscription or (ii) hereby authorizing such Selling Agent to debit Purchaser's
customer securities account maintained with such Selling Agent for the full amount of Purchaser's subscription in accordance
with the procedures described under "Plan of Distribution — Subscription Procedure" in the Prospectus. If Purchaser's
Subscription Agreement is accepted, Purchaser agrees to contribute Purchaser's subscription to the Trust and to be bound
by the terms of the Trust's Fourth Amended and Restated Declaration of Trust and Trust Agreement (Exhibit A to the Prospectus).
Purchaser agrees to reimburse the Trust and
Millburn Ridgefield Corporation (the "Managing Owner")
for any expense
or loss incurred by either as a result of the cancellation of Purchaser's Units due to a failure of the Purchaser to deliver
good funds in the amount of the subscription price of any or all of such Units.
If Purchaser is, or is acting on behalf
of, an "employee benefit plan," as defined in, and subject to the fiduciary responsibility provisions of, the Employee
Retirement Income Security Act of 1974, as amended ("ERISA"), or a "plan," as defined in and subject to
Section 4975 of the Internal Revenue Code of 1986, as amended (the "Code") (such an "employee benefit plan"
or a "plan" being hereinafter referred to as the "Plan") or an entity ("Plan Assets Entity")
deemed for any purpose of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following must be
true with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing the Subscription Agreement
on behalf of the Purchaser hereby represents and warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing
Units (the "Plan Fiduciary") that: the Plan Fiduciary has considered an investment in the Trust for such Plan in light
of the risks relating thereto; the Plan Fiduciary has determined that, in view of such considerations, the Plan's investment
in the Trust is consistent with the Plan Fiduciary's responsibilities under ERISA; the Plan's investment in the Trust
does not violate and is not otherwise inconsistent with the terms of any legal document constituting the Plan or any trust agreement
thereunder; the Plan's investment in the Trust has been duly authorized and approved by all necessary parties; none of the
Managing Owner, any clearing broker, Wilmington Trust Company, Morgan Stanley & Co., LLC, Deutsche Bank AG, Barclays Bank
PLC, any selling agent, any wholesaler, any of their respective affiliates or any of their respective agents or employees: (a)
has investment discretion with respect to the investment of the assets of the Plan used to purchase Units; (b) has authority or
responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase Units for a fee
and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect
to the Plan and that such advice will be based on the particular investment needs of the Plan; or (c) is an employer maintaining
or contributing to the Plan
, except in the case of a Plan where the Managing Owner is described in clause
(a), (b) or (c), the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a
prohibited transaction under ERISA and Section 4975 of the Code
, and the Plan Fiduciary (i) is authorized to make, and responsible
for, the decision to invest in the Trust, including the determination that such investment is consistent with the requirement imposed
by Section 404 of ERISA that Plan investments be diversified so as to minimize the risks of large losses, (ii) is independent of
the Managing Owner, Wilmington Trust Company, each clearing broker, Morgan Stanley & Co., LLC, Deutsche Bank AG, Barclays
Bank PLC, each selling agent, each wholesaler and each of their respective affiliates
, except in the
case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of Units would
not result in a prohibited transaction under ERISA and Section 4975 of the Code
, and (iii) is qualified to make such investment
decision. The Purchaser understands that it must, at the request of the Managing Owner, furnish the Managing Owner with such information
as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does not violate any provision
of ERISA or the Code including, without limitation, those provisions relating to "prohibited transactions" by "parties
in interest" or "disqualified persons," as defined therein.
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Prevention of Money Laundering
By submitting an executed Subscription Agreement
Signature Page, Purchaser represents and warrants to the Trust, the Managing Owner, Purchaser's Selling Agent and their respective
affiliates as follows: Purchaser's subscription funds were not derived from activities that may contravene United States
(federal or state) or international anti-money laundering laws and regulations. Purchaser is not (i) an individual, entity or organization
named on a United States Office or Foreign Assets Control ("OFAC") "watch list" and does not have any affiliation
with any kind of such individual, (ii) a foreign shell bank, (iii) a person or entity resident in or whose subscription funds are
transferred from or through a jurisdiction identified as non-cooperative by the U.S. Financial Action Task Force, or (iv) a senior
foreign political figure, an immediate family member or close associate of a senior foreign political figure. Purchaser agrees
to promptly notify the Managing Owner should the Purchaser become aware of any change in the information set forth in this representation.
Purchaser acknowledges that, by law, the Managing Owner may be obligated to "freeze" Purchaser's account, either
by prohibiting additional subscriptions, declining any redemption requests and/or segregating the assets in the account in compliance
with governmental regulations, and the Managing Owner may also be required to report such action and to disclose Purchaser's
identity to OFAC. Purchaser represents and warrants that all of the information which Purchaser has provided to the Trust in connection
with the Subscription Agreement is true and correct, and Purchaser agrees to provide any information the Managing Owner or its
agents, including the Selling Agents, deem necessary to comply with their anti-money laundering and related responsibilities from
time to time. If Purchaser has indicated in the Subscription Agreement that Purchaser is an intermediary subscribing in the Trust
as a record owner in the Purchaser's capacity as agent, representative or nominee on behalf of one or more underlying investors
("Underlying Investors"), Purchaser agrees that the representations, warranties and covenants are made by the Purchaser
on behalf of Purchaser and the Underlying Investors.
For purposes of the preceding paragraph,
the following definitions shall apply:
A "senior foreign political figure"
means a senior official in the executive, legislative, administrative, military or judicial branches of a non-U.S. government (whether
elected or not), a senior official of a major non-U.S. political party, or a senior executive of a non-U.S. government-owned corporation.
In addition, a "senior foreign political figure" includes any corporation, business or other entity that has been formed
by, or for the benefit of, a senior foreign political figure.
"Immediate family" of a senior
foreign political figure includes the figure's parents, siblings, spouse, children and in-laws.
A "close associate" of a senior
foreign political figure is a person who is widely and publicly known to maintain an unusually close relationship with the senior
foreign political figure, and includes a person who is in a position to conduct substantial domestic and international financial
transactions on behalf of the senior foreign political figure.
Investor Suitability
Purchaser understands that the purchase
of Units may be made only by persons who, at a minimum have (i) a net worth of at least $250,000 (exclusive of home, furnishings
and automobiles) or (ii) an annual gross income of at least $70,000 and a net worth of at least $70,000 (similarly calculated).
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2
Residents of the following states must
meet the specific requirements set forth below (net worth, is in all cases, to be calculated exclusive of home, furnishings and
automobiles). No Purchaser should invest more than 10% of his or net worth (exclusive of home, furnishings and automobiles) in
the Units. No entity, including ERISA plans, should invest more than 10% of its liquid net worth (readily marketable securities)
in the Units.
1.          Iowa
— Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000.
2.          Kansas
— The Office of the Kansas Securities Commissioner recommends that you should limit your aggregate investment in the Trust
and other managed futures investments to not more than 10% of your liquid net worth. "Liquid net worth" is that portion
of your total net worth (total assets minus liabilities) that is comprised of cash, cash equivalents and readily marketable securities.
3.          Kentucky
— Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000. Kentucky investors
should limit their investment in any commodity pool program to not more than 10% of their liquid net worth (cash, cash equivalents
and readily marketable securities).
4.          Minnesota
— Minnesota investors are deemed not to (i) represent that they are legally competent to execute the Subscription Agreement
and (ii) make the representation in respect of risk tolerance in Section 2 on page SA-1.
5.          New
Hampshire — Net worth of at least $250,000 or a net worth of at least $125,000 and an annual taxable income of at least $70,000.
6.          Pennsylvania
— Net worth of at least $250,000 or a net worth of at least $100,000 and an annual income of at least $70,000.
7.          South
Carolina — Net worth of at least $250,000 or a net income in the preceding year some portion of which was subject to maximum
federal and state income tax.
In the case of IRA and SEP plans, the foregoing
suitability standards are applicable to the beneficiary of the plan for whose account the Units are being acquired.
The foregoing suitability standards are
regulatory minimums only. Merely because Purchaser meets such requirements does not necessarily mean that a high risk, speculative
and illiquid investment such as the Units is, in fact, suitable for the Purchaser.
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EXHIBIT C
The execution copy of the Subscription
Agreement accompanies this Prospectus as a separate document.
GLOBAL MACRO TRUST
UNITS OF BENEFICIAL INTEREST
By executing this Subscription Agreement,
subscribers are not waiving any rights under the
federal securities laws.
SUBSCRIPTION AGREEMENT
GLOBAL MACRO TRUST
c/o Millburn Ridgefield Corporation
Managing Owner
411 West Putnam Avenue, Suite 305
Greenwich, Connecticut 06830
Dear Sirs:
1.
Subscription for Units.
I hereby
subscribe for the dollar amount of
units of beneficial interest ("Units")
in such
series ("Series")
in
Global Macro Trust
(the "Trust")
set forth in the Subscription Agreement Signature Page attached hereto
(minimum $5,000; $2,000 for trustees or custodians of employee benefit plans), at a purchase price per Unit of Net Asset Value
of the relevant Series. Fractional Units will be issued to three decimal places. The terms of the offering of the Units are described
in the current Prospectus of the Trust (the "Prospectus") dated [ ]. I have either (i) authorized my selling agent
to debit my customer securities account in the amount of my subscription or (ii) delivered a check to my selling agent made out
to
"Global Macro Trust."
If I have chosen to subscribe by account debit, I acknowledge that I must have my subscription
payment in such account no later than such time as required by my selling agent. My registered representative ("Registered
Representative") shall inform me of such settlement date, on which date my account will be debited and the amounts so debited
will be transmitted, in the form of a selling agent check or wire transfer made out to
"Global Macro Trust"
directly to the Trust's account at First Republic Bank (for wire instructions, contact Eileen Grace at 203-625-8216).
Millburn
Ridgefield Corporation (the "Managing Owner")
may, in its sole and absolute discretion, accept or reject this subscription
in whole or in part.
Subscriptions are revocable for five business days after submission. All Units are offered subject to prior
sale.
Subscriptions generally must be submitted
no later than five business days prior to the end of a month in order to be invested in the Units as of the beginning of the immediately
following month.
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2.
Representations and Warranties of
Subscriber.
I have received the current Prospectus together with a recent Monthly Report of the Trust. I am of legal age and
am legally competent to execute this Subscription Agreement. I understand that certain investor suitability standards must be met
as a condition of my investment in the Units. I acknowledge that I satisfy the applicable requirements relating to net worth and
annual income and, if applicable, indicated risk tolerance, as set forth in "Exhibit B — Subscription Requirements"
to the Prospectus. If the undersigned is, or is acting on behalf of, an "employee benefit plan," as defined in, and
subject to the fiduciary responsibility provisions of, the Employee Retirement Income Security Act of 1974, as amended ("ERISA"),
or a "plan," as defined in, and subject to, Section 4975 of the Internal Revenue Code of 1986, as amended (the "Code")
(each employee benefit plan and plan, a "Plan"), or an entity ("Plan Assets Entity") deemed for any purpose
of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following representations and warranties
are made with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing below represents and
warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing Units (the "Plan Fiduciary") that:
(a) the Plan Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; (b) the
Plan Fiduciary has determined that, in view of such considerations, this investment in the Trust is consistent with the Plan Fiduciary's
responsibilities under ERISA; (c) the Plan's investment in the Trust neither violates nor is inconsistent with the terms
of any legal document constituting the Plan or any trust agreement thereunder; (d) the Plan's investment in the Trust has
been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any clearing broker, Wilmington Trust
Company, Morgan Stanley & Co., LLC, Deutsche Bank AG, Barclays Bank PLC, any selling agent, any wholesaler, any of their
respective affiliates or any of their respective agents or employees (i) has investment discretion with respect to the investment
of assets of the Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with
respect to the assets of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice
will serve as a primary basis for investment decisions with respect to the Plan and that such advice will be based on the particular
investment needs of the Plan; or (iii) is an employer maintaining or contributing to the Plan
, except
in the case of a Plan where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived
and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code
;
and (f) the Plan's Fiduciary (i) is authorized and qualified to make, and is responsible for, the decision to invest in the
Trust including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that
Plan investments be diversified so as to minimize the risks of large losses, and (ii) is independent of the Managing Owner, each
clearing broker, Wilmington Trust Company, Morgan Stanley & Co., LLC, Deutsche Bank AG, Barclays Bank PLC, each selling agent,
each wholesaler, and each of their respective affiliates
, except in the case of the Managing Owner where
the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction
under ERISA and Section 4975 of the Code
. The undersigned will, at the request of the Managing Owner, furnish the Managing
Owner with such information as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does
not violate any provision of ERISA or the Code, including, without limitation, those provisions relating to "prohibited transactions"
by "parties in interest" or "disqualified persons," as defined therein. If subscriber is not an individual,
the person signing the Subscription Agreement Signature Page on behalf of subscriber is duly authorized to execute such Signature
Page and subscriber has full power and authority to purchase the Units. This subscription, if made as custodian for a minor, is
a gift I have made to such minor, or if not a gift, such minor satisfies the requirements relating to net worth and annual income
set forth in "Exhibit B — Subscription Requirements." I am not required to be registered with the Commodity Futures
Trading Commission ("CFTC") or to be a member of the National Futures Association ("NFA") or, if required
to be so registered, I am duly registered with the CFTC and am a member in good standing of the NFA, and I agree to provide the
Managing Owner with such information as the Managing Owner may request to verify the foregoing statement. I understand that by
submitting this Subscription Agreement, I am making the representations and warranties set forth in Exhibit B, "Subscription
Requirements," to the Prospectus with respect to the prevention of money laundering. I covenant that I will (i) provide any
form, certification or other information reasonably requested by and acceptable to the Trust that is necessary for the Trust to
(A) prevent withholding or qualify for a reduced rate of withholding or backup withholding in any jurisdiction from or through
which the Trust receives payments or (B) satisfy reporting or other obligations under the Code and the U.S. Treasury regulations,
(ii) update or replace such form, certification or other information in accordance with its terms or subsequent amendments or as
requested by the Trust, and (iii) otherwise comply with any reporting obligations imposed by the United States or any other jurisdiction,
including reporting obligations that may be imposed by future legislation.  The information set forth on the
Subscription Agreement Signature Page is correct and complete as of the date of such Subscription Agreement, and, should there
be any material change in such information prior to my admission to the Trust as a Unitholder, I will immediately furnish revised
or corrected information to the Managing Owner.
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3.
Acceptance of Trust Agreement.
I hereby agree to each and every term of the Trust's Fourth Amended and Restated Declaration of Trust and Trust Agreement
dated August 12, 2009, as amended or supplemented from time to time (the "Trust Agreement"), a copy of which has been
provided to me together with the Trust's Prospectus. By execution of this Subscription Agreement, I agree that I shall be
deemed to have executed the Trust Agreement.
4.
Governing Law.
Subscriber hereby
acknowledges and agrees that this Subscription Agreement shall be governed by and be interpreted in accordance with the laws of
the State of Delaware, without regard to principles of conflicts of laws; provided, that the foregoing choice of law shall not
restrict the application of any state's securities laws to the sale of Units to its residents or within such state.
5.
Risks.
(i) The Trust is speculative.
You may lose all or substantially all of your investment in the Trust; (ii) the Trust is leveraged. Leverage magnifies the impact
of both profit and loss; (iii) the performance of the Trust is expected to be volatile; (iv) you will sustain losses if the Trust
is unable to generate sufficient trading profits and interest income to offset its fees and expenses; and (v) the Units are not
liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. No investor should invest more
than 10% of his or her net worth (exclusive of home, furnishings and automobiles) in the Trust.
See the section titled "The Risks
You Face" in the Prospectus beginning at page 11.
Please complete the separate Subscription
Agreement Signature Page which accompanies this prospectus carefully, and ensure that your Registered Representative knows whether
you are subscribing by check or account debit.
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Not For Use After [     ]
(Unless the Prospectus has been Supplemented)
GLOBAL MACRO TRUST
Units of Beneficial Interest
Subscription Agreement
Specimen Signature Page (not to be completed)
Please complete the separate Subscription Agreement Signature Page which
accompanies this prospectus.
The investor named below, by execution and delivery of this
Subscription Agreement Signature Page for purchase of Units in
the Trust
—
and by either (i) enclosing a check payable to Global Macro Trust or (ii) authorizing the selling agent ("Selling Agent")
to debit investor's securities account in the amount set forth below — hereby subscribes for the purchase of Units,
at the price of the Net Asset Value per Unit.
The named investor further acknowledges receipt of the Prospectus
together with a recent Monthly Report of the Trust. The Prospectus includes the Trust's Fourth Amended and Restated Declaration
of Trust and Trust Agreement, the Subscription Requirements and the Subscription Agreement, the terms of which govern the investment
in the Units being subscribed for hereby.
By my signature below, I represent that I satisfy the requirements
relating to net worth and annual income and, if applicable, indicated risk tolerance as set forth in Exhibit B to the Prospectus
and acknowledge that I am making the representations in Exhibit B regarding the prevention of money laundering.
1)
Total $ Amount ___________________________ (minimum of
2)
Series of Units:
¨
Series
    1
¨
Series
    2
$5,000, except $2,000 minimum for IRAs and other qualified
¨
Series
    3
¨
Series
    4
accounts)
¨
check here if this is an addition to an existing investment
3)
Account # _____________________ (must be completed)
¨
if payment is to be made by debit from investor's securities account, check
    box
4)
¨
Taxable Investors
(check only one):
¨
Individual Ownership/Sole Proprietor
¨
Trust other than a Grantor or Revocable Trust
¨
Joint Tenants with Right of Survivorship
¨
Estate
¨
UGMA/UTMA (Minor)
¨
Tenants in Common
¨
Community Property
¨
Partnership
¨
Grantor or Other Revocable Trust
¨
C Corporation
¨
Limited Liability Company (Enter the tax classification (C=C Corporation, S=S
    Corporation, P=Partnership)  ________))
¨
Other (specify)
¨
S Corporation
¨
Non-Taxable Investors (check only one)
¨
IRA
¨
Profit Sharing
¨
Defined Benefit
¨
Pension
¨
SEP
¨
Other (specify)
¨
Exempt payee (check this box if the investor is exempt from backup withholding)
5)
Form PF Information Certification
(i)
Individuals
_________
initial
_________
initial
The investor (or each investor
    if the subscription is by joint tenants or tenants in common) hereby certifies that he/she is a natural person resident in
    the United States.
(ii)
Entities
Please check the type of organization of entity investor. (
If the investoris
    acting as trustee, agent, representative or nominee for a beneficial owner, please check the item that best describes the
    beneficial owner
).
Please check one
:
¨
Broker-dealer
¨
Insurance company
¨
Investment company registered with the Securities and Exchange Commission
¨
Private fund (the term "private fund" means any issuer that would
    be an investment company as defined in Section 3 of the Company Act but for Section 3(c)(1) or 3(c)(7) of the Company Act.
¨
Non-profit
¨
Pension plan (other than a governmental pension plan)
¨
Banking or thrift institution (proprietary)
¨
State or municipal government entity (for purposes of determining whether the
    subscriber is a state or municipal government entity, the term "government entity" means any state (including
    any U.S. state, the District of Columbia, Puerto Rico, the U.S. Virgin Islands or any other possession of the United States)
    or political subdivision of a state or political subdivision of a state, including: (i) any agency, authority, or instrumentality
    of the state or political subdivision; (ii) a plan or pool of assets controlled by the state or political subdivision or any
    agency, authority, or instrumentality thereof; and (iii) any officer, agent, or employee of the state or political subdivision
    or any agency, authority, or instrumentality thereof, acting in their official capacity.  However, please note that if
    you are a governmental pension plan, you should check the box for "State or municipal governmental pension plan"
    and not "State or municipal governmental entity." (other than a governmental pension plan)
¨
State or municipal governmental pension plan
¨
Trust of a natural person resident in the United States
¨
Other (please describe): ____________________________________
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6)
Investor's Name
Telephone No.
Social Security #
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Taxpayer ID#
-
Business Name /disregarded entity name, if different from above
7)
Additional Information (for Estates, Partnerships, LLCs, Trusts and Corporations
    — name and title of authorized signatures, date of trust, etc.)
8)
Resident Address
of Investor
Street (P.O. Box not acceptable)
City
State
Zip Code
9)
Mailing Address
(if different)
Street
City
State
Zip Code
10)
Custodian Name
and Mailing Address
Name
Street
City
State
Zip Code
11)
o
The Commodity Futures Trading Commission requires the Trust to provide you with
                     annual audited financial statements and unaudited interim account statements, and to provide other investor
                     notices as well. I hereby consent to have the required annual audited financial statements and unaudited
                     interim account statements (as well as such other required investor notices) made available to me via e-mail
                     (at the address provided below) or at the Managing Owner's secure website (at such time as secure website
                     access is available) rather than in hardcopy. I understand that my consent shall be effective until revoked
                     and that I may revoke this consent and receive such statements in hardcopy at any time by written notice
                     to the Managing Owner. My e-mail address is __________________________________________________.
12)
If the investor is making an investment in the Trust as part of the investor's
    participation in a registered investment adviser's asset-based fee or fixed fee advisory program through which the investor's
    investment adviser recommended a portfolio allocation to the Trust, the investor must provide the name and address of the
    investor's investment adviser.  The investor will accordingly be issued Series 2 or Series 3 Units.
Adviser Name
and Mailing Address
Name
Street
City
State
Zip Code
United States investors should cross out the language under
        the heading "NON-UNITED STATES INVESTORS ONLY," below. Non-United States investors should cross out the language under
        the heading "UNITED STATES INVESTORS ONLY," below.
UNITED STATES INVESTORS ONLY
Under penalties of perjury, I certify that: (1) The number
        shown on this form is my correct taxpayer identification number (or I am waiting for a number to be issued to me), and (2) I am
        not subject to backup withholding because: (a) I am exempt from backup withholding, or (b) I have not been notified by the Internal
        Revenue Service ("IRS") that I am subject to backup withholding as a result of a failure to report all interest or
        dividends, or (c) the IRS has notified me that I am no longer subject to backup withholding, and (3) I am a U.S. citizen or other
        U.S. person (defined in the instructions).
You must cross out item (2) above if you have been notified
        by the IRS that you are currently subject to backup withholding because you have failed to report all interest and dividends on
        your tax return.
NON-UNITED STATES INVESTORS ONLY
I hereby certify that (i) (a) I am not a citizen or resident
        of the United States or (b) (in the case of an investor which is not an individual) the investor is not a United States corporation,
        partnership, estate or trust and (ii) I have herewith delivered my W-8 (if an individual) or delivered the investor's W-8
        (if not an individual).
SIGNATURE(S) — Do not sign without familiarizing yourself
        with the information in the Prospectus, including: (i) the fundamental risks and financial hazards of this investment, including
        the risk of losing your entire investment; (ii) the Trust's substantial charges; (iii) the Trust's highly leveraged
        trading activities; (iv) the lack of liquidity of the Units; (v) the existence of actual and potential conflicts of interest in
        the structure and operation of the Trust; (vi) that unitholders may not take part in the management of the Trust; and (vii) the
        tax consequences of an investment in the Trust.
The Internal Revenue Service does not require your consent
        to any provision of this document other than the certifications required to avoid backup withholding.
INVESTOR(S) MUST SIGN
13)
X
____________________________________________________
X
__________________________________________________________
Signature of Investor
Date
Signature of Joint Investor (if any)
Date
Executing and delivering this Subscription Agreement shall in no respect be deemed
    to constitute a waiver of any rights under the Securities Act of 1933, as amended, or under the Securities Exchange Act of
    1934, as amended.
REGISTERED REPRESENTATIVE MUST SIGN
14)
I hereby certify that I have informed the investor of all pertinent facts relating
    to     the:  risks; tax consequences; liquidity and marketability; management; and control of the Managing Owner with
    respect to an investment in the Units, as set forth in the Prospectus.  I have also informed the investor of the
    unlikelihood of a public trading market developing for the Units.  I do not have discretionary authority over the account of the investor.
I have reasonable grounds to believe, based on information obtained from the
    investor     concerning his/her investment objectives, other investments, financial situation and needs and any other
    information known by me, that an investment in the Trust is suitable for such investor in light of his/her financial
    position, net worth and other suitability characteristics.
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The Registered Representative MUST sign below in order to substantiate compliance
    with FINRA Rule 2310.
X
X
Registered Representative Signature
Date
Office Manager Signature
Date
(if required by Selling Agent procedures)
15)
Selling Agent
Registered Representative
Name (please print)
First
M.I.
Last
Reg. Rep. Number
Registered Representative
Address
(for confirmations)
Street (P.O. Box not acceptable)
City
State
Zip Code
Registered Representative
Phone and E-Mail
Phone Number
E-Mail Address
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No dealer, salesman
or any other person has been authorized to give any information or to make any representation not contained in this Prospectus,
and, if given or made, such other information or representation must not be relied upon as having been authorized by Millburn Ridgefield
Corporation or any other person. This Prospectus does not constitute an offer to sell or a solicitation of an offer to buy the
securities offered hereby to any person or by anyone in any jurisdiction in which such offer or solicitation may not be lawfully
made. The delivery of this Prospectus at any time does not imply that the information contained herein is correct as of any time
subsequent to the date of its issue.
All selling agents
must deliver to prospective investors any supplemented or amended Prospectus issued by Global Macro Trust during the ongoing offering
period.
PART II
INFORMATION NOT REQUIRED IN PROSPECTUS
Item 13. Other Expenses of Issuance and Distribution.
The following is an estimate of the costs
incurred in connection with preparing and filing this Registration Statement. Such costs to be borne by the Issuer.
Approximate
Amount
Financial Industry Regulatory Authority Filing Fee
500*
Printing Expenses
100,000
Fees of Certified Public Accountants
50,000
Blue Sky Expenses (Excluding Legal Fees)
75,000
Fees of Counsel
100,000
Miscellaneous Offering Costs
2,000
Total
327,500
*Actual, not estimated.
Item 14. Indemnification of Directors and Officers.
Section 17 of the Issuer's Fourth
Amended and Restated Declaration of Trust and Trust Agreement (a form of which is attached as Exhibit A to the Prospectus which
forms a part of this Registration Statement), as may be amended from time to time, provides for the indemnification of the Managing
Owner, certain of its affiliates and certain of its directors, officers and controlling persons by the registrant (the "Registrant")
in certain circumstances. Such indemnification is limited to claims sustained by such persons in connection with the Registrant;
provided that such claims were not the result of negligence or misconduct on the part of a Managing Owner or its affiliates, directors,
officers and controlling persons. The Registrant is prohibited from incurring the cost of any insurance covering any indemnification
prohibited by the Fourth Amended and Restated Declaration of Trust and Trust Agreement. Advances of Registrant funds to cover legal
expenses and other costs incurred as a result of any legal action initiated against the Managing Owner by a Unitholder are prohibited.
Item 15. Recent Sales of Unregistered Securities.
There have been no sales of unregistered
securities of the Registrant within the past three years.
Item 16. Exhibits and Financial Statement Schedules.
The following documents (unless indicated)
are filed herewith and made a part of this Registration Statement.
(a)          Exhibits.
Exhibit Number
Description of Document
3.01
Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).
3.03
Fourth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included as Exhibit A to
    the     Prospectus).
5.01
Opinion of Richards, Layton & Finger, P.A. relating to the legality of the Units.
8.01
Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.
10.01
Form of Subscription Agreement (included as Exhibit C to the Prospectus).
23.01
(a)
Consent of Sidley Austin LLP (included in Exhibit 8.01).
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23.01
(b)
Consent of Richards, Layton & Finger, P.A. (included in Exhibit 5.01).
23.02
Consent of Arthur F. Bell, Jr. & Associates, L.L.C.
23.03
Consent of Deloitte & Touche LLP.
101.01
Interactive Data File
The following exhibit is incorporated by
reference herein from the exhibit of the same description and number filed on November 25, 2008 with Registrant's Registration
Statement on Form S-1 (Reg. No. 333-155651).
1.01
Form of Selling Agreement (Series 1 Units).
The following exhibits are incorporated
by reference herein from the exhibits of the same description and number filed on June 4, 2009 with Registrant's Amendment
No.1 to Registration Statement on Form S-1 (Reg. No. 333-155651).
1.02
Form of Selling Agreement (Series 2 Units and Series 3 Units).
10.02
Form of Services Agreement.
Item 17. Undertakings.
The undersigned registrant hereby undertakes:
(a)                   	(1)         To
file, during any period in which offers or sales are being made, a post effective amendment to this registration statement;
(i)       To
include any prospectus required by Section 10(a)(3) of the Securities Act of 1933;
(ii)      To
reflect in the prospectus any facts or events arising after the effective date of the registration statement (or the most recent
post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set
forth in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if
the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or high
and of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule
424(b) if, in the aggregate, the changes in volume and price represent no more than a 20 percent change in the maximum aggregate
offering price set forth in the "Calculation of Registration Fee" table in the effective registration statement.
(iii)     To
include any material information with respect to the plan of distribution not previously disclosed in the registration statement
or any material change to such information in the registration statement.
(A) Paragraphs (a)(1)(i) and
(a)(1)(ii) of this section do not apply if the registration statement is on Form S-8, and the information required to be included
in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant
pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934, as amended ("Securities Exchange Act of 1934")
(15 U.S.C. 78m or 78o(d)) that are incorporated by reference in the registration statement; and
(B) Paragraphs (a)(1)(i), (a)(1)(ii)
and (a)(1)(iii) of this section do not apply if the registration statement is on Form S-3 or Form F-3 and the information required
to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission
by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference
in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration
statement.
(2)         That,
for the purpose of determining any liability under the Securities Act of 1933, as amended ("Securities Exchange Act of 1933")
each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein,
and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof.
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(3)         To
remove from registration by means of a post-effective amendment any of the securities being registered which remain unsold at the
termination of the offering.
(4)         That,
for the purpose of determining any liability under the Securities Act of 1933, each Prospectus filed pursuant to Rule 424(b) as
part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than
Prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the
date it is first used after effectiveness.
Provided, however,
that no statement made in a registration statement or Prospectus
that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration
statement or Prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior
to such first use, supersede or modify any statement that was made in the registration statement or Prospectus that was part of
the registration statement or made in any such document immediately prior to such date of first use.
(5)         That,
for the purpose of determining liability under the Securities Act of 1933 to any purchaser:
(ii)       If
the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule 424(b) as part of a registration statement relating
to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A,
shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided,
however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in
a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration
statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that
was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately
prior to such date of first use.
(6)         That,
for the purpose of determining liability of the registrant under the Securities Act of 1933 to any purchaser in the initial distribution
of the securities: The undersigned registrant undertakes that in a primary offering of securities of the undersigned registrant
pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if
the securities are offered or sold to such purchaser by means of any of the following communications, the undersigned registrant
will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:
(i)        Any
preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed pursuant to Rule
424;
(ii)       Any
free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or used or referred to
by the undersigned registrant;
(iii)      The
portion of any other free writing prospectus relating to the offering containing material information about the undersigned registrant
or its securities provided by or on behalf of the undersigned registrant; and
(iv)      Any
other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
(b)   The
undersigned registrant hereby undertakes that:
(1)         For
purposes of determining any liability under the Securities Act of 1933, the information omitted from the form of prospectus filed
as part of this registration statement in reliance upon Rule 430A and contained in a form of prospectus filed by the registrant
pursuant to Rule 424(b)(1) or (4), or 497(h) under the Securities Act shall be deemed to be part of this registration statement
as of the time it was declared effective.
(2)         For
the purpose of determining any liability under the Securities Act of 1933, each post-effective amendment that contains a form of
prospectus shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such
securities at that time shall be deemed to be the initial bona fide offering thereof.
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(c)  Insofar
as indemnification for liabilities under the Securities Act of 1933 may be permitted to directors, officers and controlling persons
of the Registrant pursuant to the provisions described in Item 14 above, or otherwise, the Registrant had been advised that in
the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Securities
Act of 1933 and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than
the payment by the Registrant of expenses incurred or paid by a director, officer or controlling person of the Registrant in the
successful defense of any such action, suit or proceeding) is asserted by such director, officer or controlling person in connection
with the securities being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by
controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against
public policy as expressed in the Securities Act of 1933 and will be governed by the final adjudication of such issue.
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SIGNATURES
Pursuant to the requirements of the Securities
Act of 1933, the Managing Owner of the Registrant has duly caused this Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of Greenwich in the State of Connecticut on the 9th day of
August, 2012.
GLOBAL MACRO TRUST
By:
Millburn Ridgefield Corporation
Managing Owner
By
/s/ HARVEY BEKER
Harvey Beker
Co-Chief Executive Officer
Pursuant to the requirements of the Securities
Act of 1933, this Registration Statement has been signed below by the following persons on behalf of Millburn Ridgefield Corporation,
Managing Owner of the Registrant, in the capacities and on the date indicated.
/s/ GEORGE E. CRAPPLE
Co-Chief Executive Officer
August 9, 2012
George E. Crapple
and Co-Chairman (Principal
Executive Officer)
/s/ HARVEY BEKER
Co-Chief Executive Officer
August 9, 2012
Harvey Beker
and Co-Chairman (Principal
Executive Officer)
/s/ GREGG R. BUCKBINDER
Senior Vice President
August 9, 2012
Gregg R. Buckbinder
(Principal Financial Officer)
/s/ TOD A. TANIS
Vice President (Principal
August 9, 2012
Tod A. Tanis
Accounting Officer)
(Being the principal executive officers,
principal financial officer, principal accounting officer and a majority of the directors of Millburn Ridgefield Corporation.)
EXHIBIT INDEX
Exhibit Number
Description of Document
3.01
Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).
3.03
Fourth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included as Exhibit A to
    the     Prospectus).
5.01
Opinion of Richards, Layton & Finger, P.A. relating to the legality of the Units.
8.01
Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.
10.01
Form of Subscription Agreement (included as Exhibit C to the Prospectus).
23.01
(a)
Consent of Sidley Austin LLP (included in Exhibit 8.01).
23.01
(b)
Consent of Richards, Layton & Finger, P.A. (included in Exhibit 5.01).
23.02
Consent of Arthur F. Bell, Jr. & Associates, L.L.C.
23.03
Consent of Deloitte & Touche LLP.
101.01
Interactive Data File
The following exhibit is incorporated by
reference herein from the exhibit of the same description and number filed on November 25, 2008 with Registrant's Registration
Statement on Form S-1 (Reg. No. 333-155651).
1.01
Form of Selling Agreement (Series 1 Units).
The following exhibits are incorporated
by reference herein from the exhibits of the same description and number filed on June 4, 2009 with Registrant's Pre-Effective
Amendment No.1 to Registration Statement on Form S-1 (Reg. No. 333-155651).
1.02
Form of Selling Agreement (Series 2 Units and Series 3 Units).
10.02
Form of Services Agreement.