Energy Commodities
: Price movements in futures contractsCommodity Futures held by the Master Fund in energy commodities, such as crude oil, heating oil and natural gas, are subject to risks due to frequent and often substantial fluctuations in energy commodity prices. In the past, the prices of natural gas and crude oil have been extremely volatile, and the Managing Owner expects this volatility to continue. The markets and prices for energy commodities are affected by many factors. Some of those factors include, but are not limited to:Changes in global supply and demand for oil and natural gas.
The price and quantity of imports and exports of oil and natural gas.
| • Changes in global supply and demand for oil and natural gas.
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Political conditions, including embargoes and war, in or affecting other oil producing activities. | • The price and quantity of imports and exports of oil and natural gas.
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The level of global oil and natural gas exploration and production. | • Political conditions, including embargoes and war, in or affecting other oil producing activities.
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The level of global oil and natural gas inventories, production or pricing. | • The level of global oil and natural gas exploration and production.
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Weather conditions. | • The level of global oil and natural gas inventories, production or pricing.
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Technological advances effecting energy consumption.The price and availability of alternative fuels. | • Technological advances effecting energy consumption.
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| • The price and availability of alternative fuels.
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None of these factors can be controlled by the Managing Owner.Owneror Sub-Adviser. Even if current and correct information as to substantially all factors are known or thought to be known, prices still will not always react as predicted. The profitability of the Fund and the Master Fund will depend on whether the Master Fund’s commodities portfolioPortfolio increases in value over time. If the value increases, the Fund will only be profitable if such increases exceed the fees and expenses of the Fund.Funds. If these values do not increase, the Fund will not be profitable and will incur losses.
Net Asset Value May Not Always Correspondmay not always correspond to Market Price and, as a Result, Baskets may be Created or Redeemed at a Value that Differs from the Market Pricemarket price of the Shares.
The Net Asset Value per share of the Shares will change as fluctuations occur in the market value of the Master Fund’s portfolio.Portfolio. Investors should be aware that the public trading price of a Basket of Shares may be different from the Net Asset Value of aper Basket of Shares (i.e., Shares may trade at a premium over, or a discount to, the Net Asset Value of aper Basket of Shares) and similarly the public trading market price per Share may be different from the Net Asset Value per Share. Consequently, an Authorized Participant may be able to create or redeem a Basket of Shares at a discount or a premium to Net Asset Value. This price difference may be due, in large part, to the fact that supply and demand forces are at work in the secondary trading market for Shares that is closely related to, but not identical to, the same forces
influencing the prices of the Index Commodities trading individually or in the aggregate at any point in time.
Investors also should note that the size of the Fund in terms of total assets held may change substantially over time and from time to time as Baskets are created and redeemed.
Authorized Participants or their clients or customers may have an opportunity to realize a riskless profit if they can purchase a Creation Basket at a discount to the public trading price of the Shares or can redeem a Redemption Basket at a premium over the public trading price of the Shares. The Managing Owner expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price to tracknot materially differ from the Net Asset Value per Share closely over time.
Your InvestmentIf the Fund issues all its registered Shares, it could Suffer inhave to cease creating new Baskets until additional shares are registered for sale.
Investors should be aware that if the EventFund issues all its registered Shares, it could have to cease creating new Baskets until additional shares are registered for sale. This could increase the possibility that Thomson Reuters America LLC Decides to Terminate the trading price of the Fund’s Shares may not accurately reflect the Index or the Net Asset Value of the Fund. As of December 31, 2017, there were 60,450,000 Shares available for issuance.
Moreover, soon after new Baskets are created and sold, there is a possibility that the availability of newly created Shares may (or may not) affect the trading price of the Shares already issued, and both current Shareholders and purchasers of newly created Shares could be adversely affected by falling trading prices.
The License Agreement Between Itselfbetween the Index Sponsor and the Managing Owner.
Thomson Reuters America LLCOwner could terminate.The Index Sponsor entered into a License Agreement, subsequently amended,license agreement with the Managing Owner whereby the Managing Owner was granted an exclusive license with respect to the development and creation of certain investment products, including U.S. exchange traded funds. The amendedcurrent license agreement granted to the Managing Owner hadhas a term through October 1, 2013,ending December 31, 2020, which waswill automatically renewedrenew for another two-year incrementan additional two years and will renew for successive two-yeartwo year terms thereafter. The term may be terminated under certain circumstances which could cause youran investment in the Shares to decline significantly in value. In addition, to that, because the license granted is an exclusive license with respect to a limited type of investment product, a different product could be created under the license agreement, which could also cause youran investment in the Shares to decline in value. If the license expires and is not renewed or is terminated, or a competitive product is created, then the Managing Owner couldmay seek shareholderShareholder approval to the extent required to either (i) liquidate the Master Fund and the FundFunds or (ii) approve a different index for the Master Fund to tracktrack.
The Index Sponsor could change the Index or experience system failures.
The Index Sponsor has the right to make adjustments to the Index without regard to the particular interests of the Funds or the Shareholders. In addition, if the computers or other facilities of the Index Sponsor or any Index calculation agent, data providers and/or relevant stock exchange malfunction for comparison purposes.
Your Investment could Sufferany reason, calculation and dissemination of Index values may be delayed and trading in the Event thatShares may be suspended for a period of time. Errors in Index data, Index computations and/or the Managing Owner Creates Another Product Under its Exclusive License Agreementconstruction of the Index may occur from time to time and may not be identified and/or corrected by the Index Sponsor for a period of time or at all, which Directly Competes with the Fund and Master Fund.
The License Agreement is between Thomson Reuters America LLC and the Managing Owner and not between Thomson Reuters America LLC and the Fund or Master Fund. Therefore, it is possible that the Managing Owner could create and manage another investment product that is substantially similar tomay have an adverse impact on the Fund and the Master Fund. If this wereShareholders. Any of the foregoing may lead to happen, then yourthe errors in the Index, which may lead to a different investment could suffer.
outcome than would have been the case had such events not occurred. The Managing Owner, throughthe Sub-Adviser, seeks to manage the Funds to correspond to the Index provided by the Index Sponsor. Consequently, losses or costs associated with the Index’s errors or other risks described above will generally be borne by the Funds and the Shareholders and neither the Managing Owner nor its affiliates or agents make any representations or warranties regarding the foregoing.Regulatory and Exchange Position Limitsexchange position limits and Other Rules May Restrictother rules may restrict the Creationcreation of Baskets and the Operationoperation of the Master Fund.
In the past the CFTC and the commodity exchange rules have imposedimpose speculative position limits in certain agricultural commodities on market participants, classed as “speculative”, which includedincluding the Master Fund, trading in certain agricultural commodities. These position limits prohibitedprohibit any person from holding a position of more than a specific number of such futures contracts. As part of the Dodd-Frank Wall Street Reform and Consumer Protection Act, these limits are being revised and expanded, and their final form is not yet known. The Managing Owner anticipates that suchthese position limits as well as accountability limits currently in place on
exchanges will not become more of an issue untilimpact the Master Fund reaches awhen the Net Asset Value in excess of US$1.5approaches $1.2 billion,, at which point the Fund would be approaching CME Group position limits on Platinum futures and the Managing Owner may either prevent the issuancecreation of additional creation unitsBaskets or may apply to the CFTC for relief from certain position limits.
If the Master Fund applies and is unable to obtain such relief, the Fund’s ability to issue new Baskets, or the Master Fund’s ability to reinvest income in these additional futures contracts,Commodity Futures, may be limited to the extent these activities would cause the Master Fund to exceed applicable position limits. Limiting the size of the Fund may affect the correlation between the price of the Shares, as traded on the NYSE, and the Net Asset Value of the Fund. That is, the inability to create additional Baskets could result in Shares trading at a premium or discount to the Net Asset ValueValue.
The Fund may not always be able exactly to replicate the performance of the Fund.
The Fund May Not Always Be Able to Exactly Replicate the Performance of the Index.
It is possible that the Fund may not fully replicate the performance of the Index due to disruptions in the markets for the Index Commodities or due to other extraordinary circumstances.circumstances, including, without limitation, the inability to create additional Baskets. In addition, the Fund is not able to replicate exactly the performance of the Index because the total return generated by the Master Fund is reduced by expenses and transaction costs, including those incurred in connection with the Master Fund’s trading activities, and increased by interest income from the Master Fund’s holdings of short-term high-quality fixed income securities.U.S. Treasuries. Tracking the Index requires rebalancing of the Master Fund’s portfolioPortfolio and is dependent upon the skills ofthe Managing OwnerSub-Adviser and its trading principals, among other factors.
If theThe Managing Owner Permitsmay permit the Master Fund to Control Commodity Positionscontrol commodity positions in Excessexcess of the Valuevalue of the Master Fund’s Assets, You could Lose All or Substantially All of your Investment.
assets.Commodity pools’ trading positions in futures contractsCommodity Futures or other commodity interests are typically required to be secured by the deposit of margin funds that represent only a small percentage of a futures contract’sCommodity Future’s (or other commodity interests’) entire market value. This feature permits commodity pools to increase their exposure to assets by purchasing or selling futures contractsCommodity Futures (or other commodity interests) with an aggregate value in excess of the commodity pool’s assets. While these actions can increase the pool’s profits, relatively small adverse movements in the price of the pool’s futures contractsCommodity Futures can cause significant or complete losses to the pool. Whilethe Managing Owner hasSub-Adviser is not and does not intendexpected to have exposure to futures contractsCommodity Futures in excess of the Master Fund’s collateral, the Fund isFunds are dependent upon the trading and management skills ofthe Managing OwnerSub-Adviser to maintain the proper position sizes.
The Master Fund Is Not Actively Managedis not actively managed and Will Trackwill track the Index During Periodsduring periods in which the Index Is Flatis flat or Decliningdeclining as well as when the Index Is Rising.
is rising.The Master Fund is not actively managed by traditional methods. Therefore, if positions in any one or more of the Index Commodities are declining in value, the Master Fund will not close out such positions, except in connection with a change in the composition or weighting of the Index.The Managing OwnerSub-Adviser will seek to cause the Net Asset Value to track the Index during periods in which the Index is flat or declining as well as when the Index is rising.
The Exchange May Halt TradingNYSE Arca may halt trading in the Shares Which Would Adversely Impact Your Ability to Sell Shares.
The Shares are listed for trading on the NYSE Arca platform under the market symbol “GCC.” Trading in Shares may be halted due to market conditions or, in light of NYSE Arca rules and procedures, for reasons that, in the view of the NYSE Arca, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline in the equity markets. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged. The Fund and the Master FundFunds will be terminated if the Shares are de-listed.
The Lack ofdelisted.There can be no guarantee that an Active Trading Marketactive trading market for the Shares May Result in Losses on Your Investment at the Time of Disposition of Your Shares.
will be maintained.Although the Shares are listed and traded on the NYSE Arca, platform, there can be no guarantee that an active trading market for the Shares will be maintained. If you need to sell yourInvestors that are successful in trading their Shares at a time when no active market for them exists the price you receive for your Shares, assuming that you are able to sell them, will likely bereceive a lower price than the price you would have received if an active market did exist.
The Shares’Funds and their service providers are subject to cyber security risks.
The Funds and their service providers may be susceptible to operational and information security risks resulting from a breach in cyber security, including cyber-attacks. A breach in cyber security, intentional or unintentional, may adversely impact the Funds in many ways, including, but not limited to, disruption of the Funds’ operational capacity, loss of proprietary information, theft or corruption of data maintained online ordigitally, denial-of-service attacks on websites or network resources, and the unauthorized release of confidential information. Cyber-attacks affecting the Funds’ third-party service providers, including the ManagingOwner, Sub-Adviser, Administrator, Distributor, Commodity Broker and other parties, may subject the Funds to many of the same risks associated with direct cyber security breaches and adversely impact the Funds. For instance, cyber-attacks may impact the Funds’ ability to calculate Net Asset Value, Could Decrease if Unanticipated Operationalcause the release of confidential business information, impede trading, cause the Funds to incur additional compliance costs associated with corrective measures, subject the Funds to regulatory fines or Trading Problems Arise.
other financial losses, and/or cause reputational damage to the Funds. Cyber security breaches of market makers, Authorized Participants, or the issuers of Commodity Futures in which the Funds invest could also have material adverse consequences on the Funds’ business operations and cause financial losses for the Funds and the Shareholders. While the Funds and their service providers have established business continuity plans and risk management systems designed to address cyber security risks, prevent cyber-attacks and mitigate the impact of cyber security breaches, there are inherent limitations on such plans and systems. In addition, the Funds have no control over the cyber security protections put in place by their service providers or any other third parties whose operations may affect the Funds or the Shareholders.The Funds and their service providers are subject to certain operational risks.
The Funds and their service providers, including the ManagingOwner, Sub-Adviser, Administrator, Distributor, and Commodity Broker, may experience disruptions that arise from human error, processing and communications errors, counterparty or third-party errors, or technology or systems failures, any of which may have an adverse impact on the Funds. Although the Funds and their service providers seek to mitigate these operational risks through their internal controls and operational risk management processes, these measures may not identify or may be inadequate to address all such risks.
The Shares are a relatively new securities product.
The mechanisms and procedures governing the creation, redemption and offering of the Shares are recently developed securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations and the trading of the Shares that could have a material adverse effect on an investment in the Shares. In addition, although the Master Fund is not actively “managed” by traditional methods, to the extent that unanticipated operational or trading problems or issues arise, the Managing Owner’s past experience and qualifications may not be suitable for solving these problems or issues.
Assolvable by the Managing Owner
and its Principals have Only Been Operating the Fundor Sub-Adviser.Investors should not rely on past performance in deciding whether to buy Shares.
The Funds’ and the Master Fund Since January 2008, their Experience may be Inadequate or Unsuitable to Manage the Fund or the Master Fund.
The Managing Owner was formed expressly to be the managing owner of the Fund and the Master Fund and has noIndex’s performance history of past performance apart from the history of the Fund and the Master Fund. The past performances of the Managing Owner’s management in other positions are no indication of its ability to manage an investment vehicle such as the Fund or the Master Fund. If the experience of the Managing Owner and its principals is not adequate or suitable to manage an investment vehicle such as the Fund and the Master Fund, the operations of the Fund and the Master Fund may be adversely affected.
You Should Not Rely on Past Performance in Deciding Whether to Buy Shares.
The past performance of the Index is not necessarily indicative of future results. Therefore, investors should not rely upon the futurepast performance of the Funds or the Index orin deciding whether to buy Shares in the Fund. Further, the past performance of the Fund orFunds through December 31, 2015, is a reflection of the Master Fund.
Price Volatility May Possibly Causeperformance associated with the Total Lossprior principals of Your Investment.
the Managing Owner (who are now principals ofthe Sub-Adviser) and new principals were installed as a result of the change in ownership of the Managing Owner. Such changes may impact future performance.Commodity Futures contracts haveare subject to a high degree of price volatility.
Commodity Futures are subject to a high degree of price variability and are subject to occasionaltherefore may experience rapid and substantial changes. Consequently, youchanges in price. These changes cannot be accurately predicted, and could lose all or substantially allmaterially and adversely affect the value of your investment in the Fund.
Master Fund’s Portfolio and the Shares.Fees are Charged Regardlesscharged regardless of Profitability and May Result in Depletion of Assets.
profitability.The Fund indirectly isFunds are subject to the fees and expenses described hereinin this Annual Report, which are payable irrespective of profitability. Such fees and expenses include asset-based fees of up to 0.85% per annum. Additional charges includeannum (which is currently 0.75% per annum after the Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum) payable to the Manager Owner and brokerage fees expectedequal to be approximately 0.20%0.10% per annum inbased on the aggregate.Fund’s Net Asset Value as of December 31, 2017. The Managing Owner assumes all routine operational, administrative and other ordinary expenses of the Funds, and will not be reimbursed for any such expenses. The Fund is expected to earn interest income at an annual rate of approximately 0.02%1.39% per annum, based upon the current yield on a three-monththree month U.S. Treasury bill.bill as of December 31, 2017. Consequently, it is expected that interest income exceeded the fees and costs incurred by the Funds for the year ended December 31, 2017, however there can be no assurance that this trend will not exceed fees unless short-term Treasury rates rise. Ifcontinue. The expenses of the Funds could, over time, increase or the interest rates remain below 1.05% as they are asincome of this filing, the Fund willcould, over time, decrease and the Fund may need to have positive performance in order to break-even (net of fees and expenses). Consequently, theIf expenses of the Master Fund, over time,increase or interest income decreases, these changes could result in significant losses to youran investment in the Shares. YouShares and a Shareholder may never achieve profits, significant or otherwise.
Possible Illiquid Markets May Exacerbate Losses.
illiquid markets may exacerbate losses.Futures positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position. Such periods of illiquidity and the events that trigger them are difficult to predict and there can be no assurance that the Managing Owneror Sub-Adviser will be able to do so.
There can be no assurance that market illiquidity will not cause losses for the Fund. The large size of the positions which the Master Fund may acquire on behalf of the Fund increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.
You May Be Adversely Affected by Redemption Orders that Are Subject To Postponement, Suspension Or Rejection Under Certain Circumstances.
The Distributororders may
in its discretion, and will when directed by thebe postponed, suspended or rejected under certain circumstances.The Managing Owner may suspend the right of redemption or postpone the redemption settlement date (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. In addition, the DistributorAdministrator will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect the redemption of a redeeming Authorized Participant.Basket. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the Net Asset Value of the Fund declines during the period of the delay. UnderThe Funds, the Distribution Services Agreement,Administrator, the Managing Owner and the Distributor maySub-Adviser disclaim any liability for any loss or damage that may result from any such suspension or postponement.
BecauseThe positive performance of the Master Fund will not Acquire Any Asset with Intrinsic Value, the Positive Performance of Your Investment Is Wholly Dependent UponFund’s Portfolio is wholly dependent upon an Equalequal and Offsetting Loss Borneoffsetting loss borne by Unrelated Participantsunrelated participants in the Futures Market.
futures markets.Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. Unlike most alternative investments, an investment in Shares does not involve acquiring any asset with intrinsic value. Overall stock and bond prices could rise significantly and the economy as a whole could prosper while the Shares may trade below levels which are profitable to your holdings.
unprofitably.Shareholders Will Not Havewill not have the Protections Associated With Ownershipprotections associated with ownership of Sharesshares in an Investment Company Registered Underinvestment company registered under the Investment Company Act of 1940.
Neither the Fund nor the Master Fund is registered as an investment company under the Investment Company Act of 1940 and is not required to register under such act. Consequently, Shareholders will not have the regulatory protections provided to investors in registered investment companies.
Various Actualactual and Potential Conflictspotential conflicts of Interest May Be Detrimentalinterest may be detrimental to Shareholders.
The Funds are subject to actual and potential conflicts of interest involving the ManagingOwner, Sub-Adviser, various commodity futures brokers and Authorized Participants. The Managing Owner’s officers, directorsOwner,the Sub-Adviser and their respective principals, all of which are engaged in other investment or employeesrelated activities, are not required to devote substantially all of their time to the business of the Funds, which also presents the potential for numerous conflicts of interest with the Funds. As a result of these and other relationships, parties involved with the Funds have a financial incentive to act in a manner other than in the best interests of the Funds and the Shareholders. Investors will be dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although the respective parties attempt to monitor these conflicts, it is extremely difficult, if not impossible, for such parties to ensure that these conflicts do not, devote their time exclusivelyin fact, result in adverse consequences to managingthe Shareholders.
In addition, the Fund may be subject to certain conflicts with respect to its Commodity Broker, including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, and purchasing opposite or competing positions on behalf of third-party accounts traded through the Commodity Broker.
The Fund’s tax treatment depends onits status asapartnership for federal income tax purposes,as well as not being subject to a material amount of entity-level taxation by individual states. If theInternal Revenue Service(“IRS”)were to treatthe Fundas a corporation for federal income tax purposesorthe Fund becomes subject to material additional amounts of entity-level taxation for state tax purposes, thenthe amount of cash available for distribution would be substantially reduced.
The anticipated after-tax economic benefit of an investment in the Shares depends largely on the Funds being treated as partnerships for federal income tax purposes. No ruling from the IRS on this or any other tax matter affecting the Funds has been requested.
It is possible in certain circumstances an entity that would otherwise be classified as a partnership for U.S. federal income tax purposes, such as the Fund, to be treated as an association or a publicly traded partnership (that does not satisfy the exception set forth in Code Section 7704(c)) taxable as a corporation for U.S. federal income tax purposes. Although the Fund is not believed to be so treated based upon current operations, a change in the Fund’s business or a change in current law could cause the Fund to be treated as a corporation for federal income tax purposes or otherwise subject to taxation as an entity.
If the Fund was treated as a corporation for federal income tax purposes, it would pay federal income tax on taxable income at the corporate tax rate, and would likely pay state and local income tax at varying rates. Distributions would generally be taxed again as corporate dividends (to the extent of the Fund’s current and accumulated earnings and profits), and no income, gains, losses, deductions or credits would flow through to the Shareholders. Because a tax would be imposed upon the Fund as a corporation, the amount of cash available for distribution would be substantially reduced. Therefore, if the Fund was treated as a corporation for federal income tax purposes, there would be a material reduction in the anticipated cash flow and after-tax return to the Shareholders, likely causing a substantial reduction in the value of the Shares.
At the state level, several states are evaluating ways to subject partnerships to entity-level taxation through the imposition of state income, franchise and other forms of taxation. Imposition of such a tax on the Fund by any state will reduce the cash available for distributions to the Shareholders.
Recently enacted U.S. tax legislation, as well as potential legislative, judicial or administrative changes or differing interpretations, may have an adverse impact on the Fund and Master Fund. These persons are directors, officers or employeesShareholders.
On December 22, 2017, Public Law No. 115-97, informally titled the Tax Cuts and Jobs Act (the “Tax Act”), was enacted. The Tax Act significantly changed the U.S. Internal Revenue Code of other entities1986, as amended (the “Code”), including by (i) introducing a new deduction on certain pass-through income, (ii) repealing the partnership technical termination rule, and (iii) imposing a new limitation on the deductibility of interest expense.
The Tax Act will be fully effective in the 2018 fiscal year. The Tax Act is complex and its ultimate impact may differ from this description due to changes in interpretations, as well as additional regulatory guidance that may compete with the Funds for their services. They could have a conflict between their responsibilities to the Funds and to those other entities. In addition, the Managing Owner’s principals, officers, directors or employees may trade futures and related contracts for their own or others’ accounts.
Shareholders Will Be Subject to Taxation on Their Sharebe issued. Apart from enactment of the Master Fund’s Taxable Income, WhetherTax Act, tax laws and interpretations thereof are subject to change, possibly on a retroactive basis, and other legislative proposals or Not They Receive Cash Distributions.
administrative or judicial developments could also result in an increase in the amount of U.S. tax payable by the Fund or by Shareholders.Shareholders will be subject to United Statestaxation on their share of the Fund’s taxable income, whether or not they receive cash distributions.
Shareholders will be subject to U.S. federal income taxation and, in some cases, state, local, or foreign income taxation on their share of the Master Fund’s taxable income, whether or not they receive cash distributions from the Fund. Shareholders may not receive cash distributions equal to their share of the Master Fund’s taxable income or even the tax liability that results from such income.
Items of Income, Gain, Deduction, Lossincome, gain, deduction, loss and Creditcredit with respect to Fundthe Shares could be Reallocatedreallocated if the IRS does not Acceptaccept the Assumptionsassumptions or Conventions Usedconventions used by the Master FundFunds in Allocating Master Fund Tax Items.
allocating either Fund’s tax items.U.S. federal income tax rules applicable to partnerships are complex and often difficult to apply to publicly traded partnerships. The Master FundFunds will apply certain assumptions and conventions in an attempt to comply with applicable rules and to report income, gain, deduction, loss and credit to the Fund’s Shareholders in a manner that reflects the Shareholders’ beneficial shares of partnership items, but these assumptions and conventions may not be in compliance with all aspects of applicable tax requirements. It is possible that the IRS will successfully assert that the conventions and assumptions used by the Master FundFunds do not satisfy the technical requirements of the Internal Revenue Code, and/or the Treasury regulationsRegulations promulgated thereunder and could require that items of income, gain, deduction, loss or credit be adjusted or reallocated in a manner that adversely affects you.
Shareholders.If the IRS contests the U.S. federal income tax positions the Fund takes, the market for the Shares may be adversely impacted and the cost of any IRS contest will reduce the amount of cash available for distribution to the Shareholders.
No ruling from the IRS with respect to the Fund’s treatment as a partnership for U.S. federal income tax purposes or any other matter has been requested. The IRS may adopt positions that differ from the positions the Fund takes, and the IRS’s positions may ultimately be sustained. It may be necessary to resort to administrative or court proceedings to sustain some or all of the positions the Fund takes. A court may not agree with some or all of the positions the Fund takes. Any contest with the IRS, and the outcome of any IRS contest, may have a materially adverse impact on the market for the Shares and the price at which they trade. In addition, the costs of any contest with the IRS will be borne indirectly by the Shareholders because the costs will reduce the amount of cash available for distribution.
Tax gain or loss on the disposition of Shares could be more or less than expected.
If Shareholders sell Shares, they will recognize a gain or loss for federal income tax purposes equal to the difference between the amount realized and their tax basis in those Shares. Because distributions in excess of their allocable share of net taxable income decrease their tax basis in their Shares, the amount, if any, of such prior excess distributions with respect to the Shares a Shareholder sells will, in effect, become taxable income to the Shareholder if it sells such Shares at a price greater than its tax basis in those Shares, even if the price received is less than its original cost. In addition, because the amount realized includes a Shareholder’s share of nonrecourse liabilities, a Shareholder that sells common units may incur a tax liability in excess of the amount of cash received from the sale.
New rules regarding U.S. federal income tax liability arising from IRS audits could adversely affect Shareholders.
For tax years beginning after December 31, 2017, if the IRS makes audit adjustments to the Funds income tax returns, it (and some states) may assess and collect any taxes (including any applicable penalties and interest) resulting from such audit adjustments directly from the Fund. To the extent possible under the new rules, the Managing Owner may elect to either pay the taxes (including any applicable penalties and interest) directly to the IRS or, if the Fund is eligible, issue a revised information statement to each Shareholder and former Shareholder with respect to an audited and adjusted return. Although the Managing Owner may elect to have Shareholders and former Shareholders take such audit adjustment into account and pay any resulting taxes (including applicable penalties or interest) in accordance with their interests in the Fund during the tax year under audit, there can be no assurance that such election will be practical, permissible or effective in all circumstances. As a result, current Shareholders may bear some or all of the tax liability resulting from such audit adjustment, even if such Shareholders did not own Shares during the tax year under audit. If, as a result of any such audit adjustment, the Fund is required to make payments of taxes, penalties and interest, the amount of cash available for distribution to Shareholders might be reduced.
Tax-exempt entities face unique tax issues from owning Shares that may result in adverse tax consequences to them.
Investment in the Shares by tax-exempt entities, such as employee benefit plans and individual retirement accounts (known as IRAs) raises issues unique to them. For example, some or all of the Fund’s income allocated to organizations that are exempt from U.S. federal income tax, including IRAs and other retirement plans, may be unrelated business taxable income that is taxable to them. Tax-exempt entities should consult a tax advisor before investing in the Shares.
Non-U.S. Shareholders may be subject to U.S. taxes and withholding with respect to their income and gain from owning Shares.
Non-U.S. Shareholders are generally required to file U.S. income tax returns and pay tax on income effectively connected with a U.S. trade or business. Income allocated to Shareholders and any gain from the sale of Shares may be considered to be effectively connected income. As a result, distributions to a Non-U.S. Shareholder may be subject to withholding at the highest applicable effective tax rate and a Non-U.S. Shareholder who sells or otherwise disposes of a Share may also be subject to U.S. federal income tax on the gain realized from the sale or disposition of that Share.
The Tax Act imposes a withholding obligation of 10% of the amount realized upon a Non-U.S. Shareholder’s sale or exchange of an interest in a partnership that is engaged in a U.S. trade or business. However, due to challenges of administering a withholding obligation applicable to open market trading and other complications, the IRS has temporarily suspended the application of this withholding rule to open market transfers of interests in publicly traded partnerships pending promulgation of regulations or other guidance. The Fund believes that it is a publicly traded partnership for purposes of these rules and is eligible for the temporary suspension of these withholding provisions. It is not clear if or when such regulations or other guidance will be issued.
PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISERS AND COUNSEL WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN ANY SHARES; SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.
Failure or Lack of Segregationlack of Assets May Increase Losses.
segregation of assets may increase losses.The Commodity Exchange Act requires a clearing broker to segregate all funds received from customers from such broker’s proprietary assets. If thea Commodity Broker fails to do so, the assets of the Master Fund might not be fully protected in the event of the Commodity Broker’s bankruptcy. Furthermore, in the event of thea Commodity Broker’s bankruptcy, any Master Fund Units could be limited to recovering only apro ratashare of all available funds segregated on behalf of the Commodity Broker’s combined customer accounts, even though certain property specifically traceable to the Master Fund was held by the Commodity Broker. In addition, it is possible that in the event of a clearing broker’s bankruptcy, investors could experience a loss of all of their moneys, which would therefore imply that none offunds and assets held by the investments may be recovered, not just a pro rata share. The Commodity Broker may, from time-to-time, have been the subject of certain regulatory and private causes of action. Such material actions, if any, are described under “The Commodity Broker.” clearing broker.
In the event of a bankruptcy or insolvency of any exchange or a clearing house, the Master Fund could experience a loss of the funds deposited through its Commodity Broker as margin with the exchange or clearing house, a loss of any unrealized profits on its open positions on the exchange, and the loss of realized profits on its closed positions on the exchange.
Regulatory Changeschanges or Actions May Alteractions may alter the Naturenature of an Investmentinvestment in the Fund.
Considerable regulatory attention has been focusedon non-traditional investment pools which are publicly distributed in the United States.U.S.. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in the Fund or the ability of the Fund to continue to implement its investment strategy.
The futures markets are subject to comprehensive statutes, regulations and margin requirements. In addition, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures transactions in the United StatesU.S. is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.
Lack of Independent Experts Representing Investors.
The Managing Owner has consulted with counsel, accountants and other experts regarding the formation and operation of the Fund and the Master Fund. No counsel has been appointed to represent you in connection with your ownership of the Shares. Accordingly, you should consult your own legal, tax and financial advisers regarding the desirability of the Shares and making investments in Shares.
Possibility of Termination of the Fund May Adversely Affect Your Portfolio.
may adversely affect a Shareholder’s portfolio.The Managing Owner may withdraw from the Fund upon 120one hundred and twenty (120) days’ notice, which would cause the Fund and the Master Fund to terminate unless a substitute managing owner were obtained. Youis identified and instituted. Shareholders cannot be assured that the Managing Owner will be willing or able to continue to service the FundFunds for any length of time. In addition, owners of seventy-five percent (75%) of the Shares have the power to terminate the Fund. If the Managing Owner discontinues its activities on behalf of the Fund,Funds, or the Shareholders terminate the Fund, mayan investment in the Shares could be adversely affected. In addition, owners of 75% of the Shares
Shareholders do not have the power to terminate the Trust. If that right is exercised,rights enjoyed by investors who wished to continue to invest in the Index through the vehicle of the Trust would have to find another vehicle, and might not be able to find another vehicle that offers the same features as the Trust. Such detrimental developments could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the NFA of the Managing Owner or the Commodity Broker were revoked or suspended, such entity would no longer be able to provide services to the Fund and the Master Fund.
Shareholders Do Not Have the Rights Enjoyed by Investors in Certain Other Vehicles.
certain other vehicles.As interests in an investment trust, the Shares have none of the statutory rights normally associated with the ownership of common stock of a corporation (including, for example, the right to bring “oppression” or “derivative” actions). In addition, the Shares have limited voting and distribution rights (for example, Shareholders do not have the right to elect directors and the Fund is not required to pay regular dividends, although the Fund may pay dividends at the discretion of the Managing Owner).
An Investmentinvestment in the Shares May Be Adversely Affectedmay be adversely affected by Competition From Other Methodscompetition from other methods of Investinginvesting in Commodities.
commodities.The Fund and the Master FundFunds compete with other financial vehicles, including other commodity pools, hedge funds, traditional debt and equity securities issued by companies in the commodities industry, other securities backed by or linked to such commodities, and direct investments in the underlying commodities or commodity futures contracts. Market and financial conditions, and other conditions that are beyond the Managing Owner’s control, may make it more attractive to invest in other financial vehicles or to invest in such commodities directly, which could limit the market for the Shares and reduce the liquidity of the Shares.
Competing Claims Over Ownershipclaims over ownership of Intellectual Property Rights Related to the Fund Could Adversely Affect the Fund and an Investment in the Shares.
While the Managing Owner believes that all intellectual property rights
needed to operate the Fund are either owned by or licensedrelated to the
Managing Owner or have been obtained, thirdFunds could adversely affect the Funds and an investment in the Shares.Third parties may allege or assert ownership of intellectual property rights which may be related to the design, structure and operations of the Fund.Funds. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the negotiation, litigation or settlement of such claims, or the ultimate disposition of such claims in a court of law if a suit is brought, may adversely affect the FundFunds and an investment in the Shares, resulting in expensesShares.
The prices of Index Commodities may experience “Backwardation” or damages or the termination of the Fund.
An Absence of “Backwardation” in the Prices of Certain Commodities, or the Presence of “Contango” in the Prices of Certain Commodities, May Decrease the Price of Your Shares.
“Contango.”As the Master Fund’s futures contracts that underlie the Index near expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2015April 2018 may specify a January 2016June 2018 expiration. As that contract nears expiration, it may be replaced by selling the January 2016June 2018 contract and purchasing athe contract expiring in March 2016.August 2018. This process is referred to as “rolling.” At times,Historically, the prices of crude oil and heating oil have frequently been higher for contracts with shorter-term expirations are higher than for contracts with longer-term expirations, a condition knownwhich is referred to as “backwardation.” In these circumstances, absent other factors, the sale of a January 2016the June 2018 contract would take place at a price that is higher than the price at which a March 2016the August 2018 contract is purchased, thereby creating a gain in connection with rolling. While some commoditiescrude oil and heating oil have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The absence of backwardation in any of the commodities comprising the Indexcrude oil and heating oil could adversely affect the value of the Index and accordingly, decrease the value of your Shares.
Conversely, some other commodities such as precious metals contracts havegold, corn, soybeans and wheat historically tended to exhibit “contango” markets rather than backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors. Although some commoditiesgold, corn, soybeans and wheat have historically exhibited consistent periods of contango, contango maywill likely not exist in these markets at all times. The persistence of contango in any of the commodities comprising the Indexgold, corn, soybeans and wheat could adversely affect the value of the Index and accordingly, decrease the value of your Shares.
The Value of the Shares WillFunds may be Adversely Affected if the Fund or the Master Fund is Requiredrequired to Indemnifyindemnify the Trustee or the Managing Owner.
Under the Trust Declarations,Agreements, the Trustee and the Managing Owner have the right to be indemnified for any liability or expense it incursthey incur without negligence or misconduct. That meansAccordingly, the Managing Owner may require the assets of the Master FundFunds to be sold in order to cover losses or liability suffered by it or by the Trustee. Any such sale of that kind would reduce the Net Asset Value of the Master Fund and the value of the Shares.
Regulatory ReportingThe Funds are subject to extensive regulatory reporting and Compliance
compliance.The Fund isFunds are subject to changing regulation of corporate governance and public disclosure that have increased bothcould increase the Funds’ costs and the risk of non-compliance.
noncompliance.Because the Fund’s common sharesShares are publicly traded, it isthe Funds are subject to certain rules and regulations of federal, state and financial market exchange entities charged with the protection of investors and the oversight of companies whose securities are publicly traded. These entities, including the Public Company Accounting Oversight Board, the SEC and NYSE Arca, have in recent years issued new requirements and regulations.regulations, most notably the Sarbanes-Oxley Act of 2002. From time to time, since the adoption of the Sarbanes-Oxley Act of 2002, these authorities have continued to develop additional regulations or interpretations of existing regulations. The Fund’sFunds’ ongoing efforts to comply with these regulations and interpretations have resulted in, and are likely to continue resulting in, increased general and administrative expenses and diversion of management time and attention from revenue-generating activities to compliance activities.
The Fund isFunds are responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’sFunds’ internal control system is designed to provide reasonable assurance to its management and its board of directors regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.
The FundFunds have assessed the effectiveness of itstheir internal control over financial reporting as of December 31, 2014.2017. Based on thatits assessment, the FundFunds believes that, as of December 31, 2014,2017, their internal control over financial reporting is effective.
The Net Asset Value Calculation of the Master Fund May Be Overstatedcalculation may be overstated or Understated Dueunderstated due to the Valuation Method Employed Whenvaluation method employed when a Settlement Pricesettlement price is not Availableavailable on the Datedate of Net Asset Value Calculation.
such calculation.Calculating the Net Asset Value of the Master Fund (and, in turn, the Fund) includes, in part, any unrealized profits or losses on open commodity futures contracts.Commodity Futures. Under normal circumstances, the Net Asset Value of the Master Fund reflects the settlement price of open commodity futures contractsCommodity Futures on the date when the Net Asset Value is being calculated. However, if a commodity futures contractCommodity Futures traded on an exchange (both U.S.and non-U.S. exchanges) could not be liquidated on such day (due to the operation of daily limits or other rules of the exchange upon which that position is traded or otherwise), the settlement price on the most recent day on which the position could have been liquidated shall be the basis for determining the market value of such position for such day. In such a situation, there is a risk that the calculation of the Net Asset Value of the Master Fund on such day will not accurately reflect the realizable market value of such commodity futures contract.Commodity Futures. For example, daily limits are generally triggered in the event of a significant change in market price of a commodity futures contract.Commodity Future. Therefore, as a result of the daily limit, the current settlement price is unavailable. Because the settlement price on the most recent day on which the position could have been liquidated would be used in lieu of the actual settlement price on the date of determination, there is a risk that the resulting calculation of the Net Asset Value of the Master Fund (and, in turn, the Fund) could be underunderstated or overstated, perhaps to a significant degree.
ITEM Item 1B. | UNRESOLVED STAFF COMMENTSUnresolved Staff Comments. |
ITEM Item 2. | PROPERTIESProperties. |
Not applicable.
| Item 3. | Legal Proceedings. |
None.
| Item 4. | Mining Safety Disclosures. |
Not applicable.
PART II
| Item 5. | Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. |
Market Information
Share Price
The FundShares began trading on the American Stock Exchange on January 24, 2008 and have been traded on the Master Fund do not own or use physical properties inNYSE Arca since November 25, 2008. The following table sets forth the conductrange of their business. Their assets consist of futures contracts, cash, United States Treasury obligationsreported high and other high credit-quality short-term fixed income securities. The Managing Owner’s headquarters are located at 3340 Peachtree Road, Suite 1910, Atlanta, Georgia 30326.
Any value attributable to an implied or imputed use or sharinglow sales prices of the Managing Owner’s facilities is deemed to be included in other fees paid byShares as reported on the Fund toNYSE Arca, for the Managing Owner.None.
ITEM 4. | MINING SAFETY DISCLOSURES |
None.
| MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES |
Market Information
The Limited Shares of the Fund trade under the symbol “GCC”.
| 2014 Monthly Stock Price Data for GCC |
| Date | | Open | | | High | | | Low | | | Close | |
| December | | | 23.93 | | | | 24.36 | | | | 22.77 | | | | 22.86 | |
| November | | | 24.68 | | | | 24.74 | | | | 23.93 | | | | 23.96 | |
| October | | | 24.72 | | | | 25.22 | | | | 24.46 | | | | 24.69 | |
| September | | | 26.24 | | | | 26.24 | | | | 24.68 | | | | 24.75 | |
| August | | | 26.60 | | | | 26.73 | | | | 25.93 | | | | 26.26 | |
| July | | | 27.89 | | | | 27.94 | | | | 26.60 | | | | 26.61 | |
| June | | | 27.72 | | | | 28.31 | | | | 27.23 | | | | 27.93 | |
| May | | | 28.65 | | | | 28.76 | | | | 27.74 | | | | 27.77 | |
| April | | | 28.22 | | | | 28.93 | | | | 27.88 | | | | 28.75 | |
| March | | | 28.09 | | | | 30.14 | | | | 27.85 | | | | 28.18 | |
| February | | | 25.97 | | | | 27.90 | | | | 25.78 | | | | 27.83 | |
| January | | | 25.72 | | | | 25.93 | | | | 25.32 | | | | 25.83 | |
| 2013 Monthly Stock Price Data for GCC |
| Date | | Open | | | High | | | Low | | | Close | |
| December | | | 25.74 | | | | 26.02 | | | | 25.50 | | | | 25.70 | |
| November | | | 26.02 | | | | 26.10 | | | | 25.09 | | | | 25.80 | |
| October | | | 26.31 | | | | 26.90 | | | | 26.14 | | | | 26.17 | |
| September | | | 27.06 | | | | 27.14 | | | | 26.35 | | | | 26.39 | |
| August | | | 26.04 | | | | 27.21 | | | | 25.77 | | | | 26.86 | |
| July | | | 25.88 | | | | 26.66 | | | | 25.72 | | | | 26.02 | |
| June | | | 27.03 | | | | 27.28 | | | | 25.71 | | | | 25.79 | |
| May | | | 27.39 | | | | 27.75 | | | | 26.80 | | | | 26.80 | |
| April | | | 28.15 | | | | 28.15 | | | | 26.81 | | | | 27.67 | |
| March | | | 28.05 | | | | 28.58 | | | | 27.98 | | | | 28.22 | |
| February | | | 29.63 | | | | 29.73 | | | | 28.05 | | | | 28.20 | |
| January | | | 29.17 | | | | 29.59 | | | | 28.53 | | | | 29.55 | |
| 2012 Monthly Stock Price Data for GCC |
| Date | | Open | | | High | | | Low | | | Close | |
| December | | | 30.02 | | | | 30.12 | | | | 28.67 | | | | 28.83 | |
| November | | | 29.60 | | | | 30.12 | | | | 29.09 | | | | 29.85 | |
| October | | | 30.67 | | | | 30.80 | | | | 29.43 | | | | 29.49 | |
| September | | | 30.78 | | | | 31.61 | | | | 29.97 | | | | 30.50 | |
| August | | | 29.40 | | | | 30.42 | | | | 29.06 | | | | 30.37 | |
| July | | | 29.29 | | | | 29.99 | | | | 28.32 | | | | 29.61 | |
| June | | | 26.66 | | | | 28.44 | | | | 26.53 | | | | 28.36 | |
| May | | | 29.48 | | | | 29.61 | | | | 26.88 | | | | 26.93 | |
| April | | | 30.22 | | | | 30.64 | | | | 29.00 | | | | 29.47 | |
| March | | | 31.75 | | | | 32.36 | | | | 29.90 | | | | 30.28 | |
| February | | | 31.20 | | | | 32.14 | | | | 30.92 | | | | 31.69 | |
| January | | | 30.37 | | | | 31.90 | | | | 30.09 | | | | 31.29 | |
Price Range of Units
| Fiscal Year 2014 | | High | | | Low |
| 1st Quarter | | | 30.14 | | | | 25.32 |
| 2nd Quarter | | | 28.93 | | | | 27.23 |
| 3rd Quarter | | | 27.94 | | | | 24.68 |
| 4th Quarter | | | 25.22 | | | | 22.77 |
| Fiscal Year 2013 | | High | | | Low |
| 1st Quarter | | | 29.73 | | | | 27.98 |
| 2nd Quarter | | | 28.15 | | | | 25.71 |
| 3rd Quarter | | | 27.21 | | | | 25.72 |
| 4th Quarter | | | 26.90 | | | | 25.09 |
periods indicated below. | | | | | | | | |
Year Ended December 31, 2017 | | High | | | Low | |
First Quarter | | $ | 20.16 | | | $ | 19.02 | |
Second Quarter | | | 19.51 | | | | 17.92 | |
Third Quarter | | | 19.19 | | | | 18.38 | |
Fourth Quarter | | | 19.43 | | | | 18.37 | |
| | | | | | | | |
Year Ended December 31, 2016 | | High | | | Low | |
First Quarter | | $ | 19.21 | | | $ | 17.28 | |
Second Quarter | | | 20.75 | | | | 18.25 | |
Third Quarter | | | 20.80 | | | | 19.20 | |
Fourth Quarter | | | 20.24 | | | | 18.97 | |
Shares Outstanding
As of December 31, 2014,2017, the Fund had 11,700,0008,050,000 of its Limited Shares outstanding.
As of December 31, 2013,2016, the Fund had 12,450,00011,350,000 of its Limited Shares outstanding.
Dividends
The Fund made no distributions to its Shareholders during the fiscal years ended December 31, 2017 and December 31, 2016. The Fund has no obligation to make periodic distributions to its shareholders.
Holders
As of December 31, 2012, the Fund had 16,450,000 of its Limited Shares outstanding.
Distributions
There were no distributions during 2014, 2013, or 2012.
Holders
As of December 31, 2014,2017, there were 18,021 holders of the Fund’s Shares.
9,739 Shareholders.Sales and Redemptions
(a) There have been no unregistered sales of the Fund’s securities. No Fund securities are authorized for issuance by the Fund under equity compensation plans.
(b) The Fund filed with the SECcurrently has on file a Registration Statement on Form S-1S-3 (Registration No.: 333-138424)333-214153), which was declared effective by the SEC on December 5, 2007 (the “2007 Registration Statement”), and a Post-Effective Amendment 1October 28, 2016, pursuant to that Registrant’s Registration Statement which was declared effective on April 14, 2009. Under the 2007 Registration Statement, the Fund registered 4,000,000 Shares with the SEC.
61,000,000 (the “Registration Statement”). The Fund filed a secondprospectus under Rule 424b of the Exchange Act on October 26, 2017 to update certain information contained in the Registration Statement on Form S-1 (Registration No.: 333-158421), which was declared effective on April 24, 2009 (the “2009Statement. As of December 31, 2017, there were 60,450,000 Shares available for issuance under this Registration Statement”). Under the 2009 Registration Statement, the Fund registered an additional 21,000,000 Shares with the SEC.
The Fund filed a Registration Statement on Form S-3 (Registration No.: 333-170917) on December 2, 2010, which was declared effective on January 14, 2011 (the “2011 Registration Statement”). Under the 2011 Registration Statement, the Fund registered an additional 20,000,000 shares with the SEC.
The Fund filed a second Registration Statement on Form S-3 (Registration No.: 333-188743) on May 21, 2013, which was declared effective on September 19, 2013 (the “2013 Registration Statement”). Under the 2013 Registration Statement, the Fund registered an additional 61,000,000 shares with the SEC.
The Shares began trading on the American Stock Exchange on January 24, 2008 and have been traded on the NYSE-Arca since November 25, 2008.
Statement.The proceeds from the sale of the Shares are used to purchase Master Fund Limited Units. The Master Fund uses the proceeds from the sale of the Master Fund Limited Units for general corporate purposes in accordance with its investment objectives and policies.
During the year ended December 31, 2014, 1,550,0002017, 150,000 Limited Shares were created for $43,387,949$2,942,102 and 2,300,0003,450,000 Limited Shares were redeemed for $57,703,054.$66,194,330. For the three months ended December 31, 2014, 1,250,0002017, no Limited Shares were created and 500,000 Limited Shares were redeemed for $30,180,331.$9,435,886. On December 31, 2014, 11,700,0002017, 8,050,000 Limited Shares of the Fund were outstanding for a market capitalization of $267,462,000.
$154,721,000.During the year ended December 31, 2013, 900,0002016, 950,000 Limited Shares were created for $25,704,701$18,731,395 and 4,900,0001,700,000 Limited Shares were redeemed for $131,081,245.$32,454,202. For the three months ended December 31, 2013, 950,0002016, 400,000 Limited Shares were redeemedcreated for $24,625,895.$7,707,628 and no Limited Shares were redeemed. On December 31, 2013, 12,450,0002016, 11,350,000 Limited Shares of the Fund were outstanding for a market capitalization of $319,965,000.
During$219,395,500.| Item 6. | Selected Financial Data. |
FINANCIAL HIGHLIGHTS (FOR THE YEARS ENDED DECEMBER 31, 2017, 2016, 2015, 2014 AND 2013)
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | | | Year Ended
December 31,
2015 | | | Year Ended
December 31,
2014 | | | Year Ended
December 31,
2013 | |
Revenues (interest income) | | $ | 1,356,236 | | | $ | 476,315 | | | $ | 45,979 | | | $ | 44,304 | | | $ | 189,643 | |
Total assets | | | 155,053,392 | | | | 221,416,935 | | | | 224,714,040 | | | | 267,179,248 | | | | 320,361,211 | |
Net realized and unrealized gain (loss) on futures transactions and investments | | | (1,473,140 | ) | | | 10,687,283 | | | | (49,361,047 | ) | | | (35,320,782 | ) | | | (45,104,484 | ) |
Net gain (loss) | | | (1,452,058 | ) | | | 8,864,877 | | | | (51,936,150 | ) | | | (38,779,345 | ) | | | (49,238,972 | ) |
The Fund is presenting the yearfollowing Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the years ended December 31, 2012, 3,250,000 Limited Shares were created for $101,149,0752017, 2016, 2015, 2014 and 6,200,000 Limited Shares were redeemed for $180,296,699. 2013.
| | | | | | | | | | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | | | 2014 | | | 2013 | |
Net Asset Value | | | | | | | | | | | | | | | | | | | | |
Net asset value per Limited Share, beginning of year | | $ | 19.35 | | | $ | 18.56 | | | $ | 22.81 | | | $ | 25.70 | | | $ | 28.85 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | (0.10 | )(1) | | | 0.95 | | | | (4.04 | ) | | | (2.62 | ) | | | (2.88 | ) |
Net investment income/(loss)(2) | | | 0.00 | (3) | | | (0.16 | )(4) | | | (0.21 | )(4) | | | (0.27 | )(4) | | | (0.27 | )(4) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets from operations | | | (0.10 | ) | | | 0.79 | | | | (4.25 | ) | | | (2.89 | ) | | | (3.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value per Limited Share, end of year | | $ | 19.25 | | | $ | 19.35 | | | $ | 18.56 | | | $ | 22.81 | | | $ | 25.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return, at net asset value(5) | | | (0.52 | )% | | | 4.26 | % | | | (18.63 | )% | | | (11.25 | )% | | | (10.92 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000’s omitted) | | $ | 154,956 | | | $ | 219,661 | | | $ | 224,519 | | | $ | 266,898 | | | $ | 319,993 | |
Ratios to average net assets of: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.01 | % | | | (0.83 | )%(6) | | | (1.03 | )%(6) | | | (1.04 | )%(6) | | | (1.01 | )%(6) |
| | | | | | | | | | | | | | | | | | | | |
Expense, prior to expense waivers | | | 0.85 | % | | | 1.05 | %(6) | | | 1.05 | %(6) | | | 1.05 | %(6) | | | 1.05 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
Expenses, net of expense waivers | | | 0.75 | % | | | 1.05 | %(6) | | | 1.05 | %(6) | | | 1.05 | %(6) | | | 1.05 | %(6) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Includes brokerage fees/commissions of $0.02 per share for the year ended December 31, 2017. |
| (2) | Based on average shares outstanding. |
| (3) | Amount represents less than $0.01 per share. |
| (4) | Includes brokerage fees/commissions of $0.03, $0.03, $0.03, and $0.03 per share for the years ended December 31, 2016, 2015, 2014 and 2013, respectively. |
| (5) | For the year ended December 31, 2017, in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. |
| (6) | Includes brokerage fees/commissions of 0.13%, 0.14%, 0.11% and 0.10% (as a percentage of average net assets) for the years ended December 31, 2016, 2015, 2014 and 2013, respectively. |
The Fund did not pay any cash dividends in the three monthsyears ended December 31, 2012, 450,000 Limited Shares were created for $13,215,7672017, 2016, 2015, 2014 and 900,000 Limited Shares were redeemed for $26,709,067. On December 31, 2012, 16,450,000 Limited Shares of the Fund were outstanding for a market capitalization of $474,253,500.
Dividends
The Fund has not made and does not intend to make cash distributions to its shareholders.
2013.2017 SELECTED QUARTERLY DATA (UNAUDITED)
| | | | | | | | | | | | | | | | |
| | | For the Three
Months Ended
March 31, 2017 | | | For the Three
Months Ended
June 30, 2017 | | | For the Three
Months Ended
September 30,
2017 | | | For the Three
Months
Ended
December 31,
2017 | |
Interest income | | $ | 247,150 | | | $ | 317,895 | | | $ | 374,774 | | | $ | 416,417 | |
Net investment income (loss) | | | (150,150 | ) | | | (11,907 | ) | | | 64,657 | | | | 118,482 | |
Net realized and unrealized gain (loss) on investments on futures contracts | | | (476,952 | ) | | | (5,507,657 | ) | | | 647,194 | | | | 3,864,275 | |
Net gain (loss) | | | (627,102 | ) | | | (5,519,564 | ) | | | 711,851 | | | | 3,982,757 | |
Increase (decrease) in Net Asset Value | | | (24,232,241 | ) | | | (30,068,468 | ) | | | (4,950,448 | ) | | | (5,453,129 | ) |
2016 SELECTED QUARTERLY DATA (UNAUDITED)
| | | | | | | | | | | | | | | | |
| | | For the Three
Months Ended
March 31, 2016 | | | For the Three
Months Ended
June 30, 2016 | | | For the Three
Months Ended
September 30,
2016 | | | For the Three
Months Ended
December 31,
2016 | |
Interest income | | $ | 89,300 | | | $ | 115,666 | | | $ | 128,793 | | | $ | 142,556 | |
Net investment income (loss) | | | (463,693 | ) | | | (467,317 | ) | | | (462,844 | ) | | | (428,552 | ) |
Net realized and unrealized gain (loss) on investments on futures contracts | | | 2,117,241 | | | | 19,701,888 | | | | (9,839,549 | ) | | | (1,292,297 | ) |
Net gain (loss) | | | 1,653,548 | | | | 19,234,571 | | | | (10,302,393 | ) | | | (1,720,849 | ) |
Increase (decrease) in Net Asset Value | | | (11,961,559 | ) | | | 14,124,929 | | | | (13,008,079 | ) | | | 5,986,779 | |
| Item 7. | SELECTED FINANCIAL DATAManagement’s Discussion and Analysis of Financial Condition and Results of Operations. |
| | | Year Ended December 31, 2014 | | | Year Ended December 31, 2013 | | | Year Ended December 31, 2012 | | | Year Ended December 31, 2011 | | | Year Ended December 31, 2010 | |
| Revenues (interest income) | | $ | 44,304 | | | $ | 189,643 | | | $ | 331,044 | | | $ | 335,677 | | | $ | 301,808 | |
| Total assets | | $ | 267,179,248 | | | $ | 320,361,211 | | | $ | 479,691,588 | | | $ | 584,077,695 | | | $ | 535,067,061 | |
| Net realized and unrealized gain (loss) on futures transactions and investments | | $ | (35,320,782 | ) | | $ | (45,104,484 | ) | | $ | (22,718,144 | ) | | $ | (66,905,929 | ) | | $ | 89,562,608 | |
| Net gain (loss) | | $ | (38,779,345 | ) | | $ | (49,238,972 | ) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | |
| Selected Quarterly Financial Data (Unaudited) | | For the Three Months Ended March 31, 2014 | | | For the Three Months Ended June 30, 2014 | | | For the Three Months Ended September 30, 2014 | | | For the Three Months Ended December 31, 2014 | |
| Interest Income | | $ | 10,011 | | | $ | 15,419 | | | $ | 8,256 | | | $ | 10,618 | |
| Net Investment Income (Loss) | | $ | (842,440 | ) | | $ | (917,973 | ) | | $ | (904,843 | ) | | $ | (793,307 | ) |
| Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | $ | 30,712,698 | | | $ | (2,892,040 | ) | | $ | (39,995,805 | ) | | $ | (23,145,635 | ) |
| Net Gain (Loss) | | $ | 29,870,258 | | | $ | (3,810,013 | ) | | $ | (40,900,648 | ) | | $ | (23,938,942 | ) |
| Increase (Decrease) in Net Asset Value | | $ | 28,190,820 | | | $ | 11,794,925 | | | $ | (38,960,923 | ) | | $ | (54,119,272 | ) |
| | | | | | | | | | | | | |
| Selected Quarterly Financial Data (Unaudited) | | For the Three Months Ended March 31, 2013 | | | For the Three Months Ended June 30, 2013 | | | For the Three Months Ended September 30, 2013 | | | For the Three Months Ended December 31, 2013 | |
| Interest Income | | $ | 84,009 | | | $ | 61,443 | | | $ | 30,080 | | | $ | 14,111 | |
| Net Investment Income (Loss) | | $ | (1,149,951 | ) | | $ | (1,110,863 | ) | | $ | (977,194 | ) | | $ | (896,480 | ) |
| Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | $ | (8,691,003 | ) | | $ | (39,362,444 | ) | | $ | 12,273,002 | | | $ | (9,324,039 | ) |
| Net Gain (Loss) | | $ | (9,840,954 | ) | | $ | (40,473,307 | ) | | $ | 11,295,808 | | | $ | (10,220,519 | ) |
| Increase (Decrease) in Net Asset Value | | $ | 5,758,576 | | | $ | (75,878,153 | ) | | $ | (49,649,526 | ) | | $ | (34,846,413 | ) |
| MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
The following discussion should be read in conjunction with the consolidated financial statementsFunds’ Financial Statements and the notes thereto ofrelated Notes to the FundFunds’ Financial Statements included elsewhere in this Annual Report on Form 10-K.
Forward-Looking Information
Report.This Annual Report, on Form 10-K, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Fund’sFunds’ actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Fund’sFunds’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the FundFunds cannot assure investors that these projections included in these forward-looking statements will come to pass. The Fund’sFunds’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.
The Fund hasFunds have based the forward-looking statements included in this Annual Report on Form 10-K on information available to it as close to the filing date of this Annual Report on Form 10-K as reasonably practicable, and the Fund assumesFunds assume no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the FundFunds may make directly to them or through reports that the Fund filesFunds file in the future with the SEC, including Annual Reports on Form10-K, Quarterly Reports on Form10-Q and Current Reports on Form8-K.
TheAs described in Part I above, the Fund and the Master Fund seek to track changes, whether positive or negative, in the level of the Thomson Reuters Continuous Commodity Index Total Return (the “Index”) over time, beforeplus the expensesexcess, if any, of the Fund and the Master Fund.Fund’s interest income from its holdings of U.S. Treasuries. The Shares are designed for investors who want a cost-effective and convenient way to invest in an equal-weight portfolio of commodity futures.
Commodity Futures.The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a portfolioPortfolio of exchange-traded futures contractsCommodity Futures on the commodities comprising the Index (the “Index Commodities”).Commodities. Through January 6, 2013, the Index Commodities were wheat, corn, soybeans, live cattle, lean hogs, gold, silver, platinum, copper, cotton, coffee, cocoa, orange juice, sugar, crude oil, heating oil, and natural gas. Following the tenth revision on January 7, 2013, orange juice was removed and soybean oil was added at an equivalent allocation.
The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. The Master Fund’s portfolioPortfolio also includes United States Treasury Obligations and other high credit-quality short-term fixed income securitiesU.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or Treasury ObligationsU.S. Treasuries on deposit towards satisfying any margin requirements related to the futures contractsCommodity Futures in the Master Fund’s futures account. The sponsorThomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC, is the owner, publisher and calculation agent of the Index. The Index is Thompson Reuters (the “Index Sponsor”). Thomson ReutersSponsor is not an affiliate of the Fund, the Master FundFunds or the Managing Owner.
Under the Trust Agreements, of each of the Fund and the Master Fund, Delaware Trust Company, (formerly CSC Trust of Delaware), the Trustee of the Fund and the Master Fund,Funds, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Fund and the Master Fund.Funds. The Trustee will havehas no duty or liability to supervise or monitor the performance of the Managing Owner, nor willdoes the Trustee have any liability for the acts or omissions of the Managing Owner.
The Index Sponsor obtains information for inclusion in, or for use in the calculation of, the Index from sources the Index Sponsor considers reliable. None of the Index Sponsor, the Managing Owner, the Fund, the Master Fund or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of the Index or any data included in the Index.
The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Master Fund’s portfolio.Portfolio. The market price of the Shares may not be identical to the Net Asset Value per Share, but these two valuations are expected to be very close.
The ticker symbol of the Fund is GCC.
listed on the NYSE Arca under the symbol “GCC.”Management’s Discussion of Results of Operations
Results of Operations. As of December 31, 2014,2017, the net unrealized lossgain on Futures Contractsfutures contracts owned or held on that day was $27,249,076$1,036,765 and the Fund had total assets of $267,179,248.$155,053,392. The ending Net Asset Value per Limited Unit NAVShare on December 31, 20142017 was $22.81.
$19.25. For the year ended December 31, 2017, the Fund’s net realized and change in net unrealized gain/loss on investments and futures contracts was a net loss of $1,473,140. Overall, the Fund recognized a net loss of $1,452,058 from operations for the year ended December 31, 2017.As of December 31, 2013,2016, the net unrealized loss on Futures Contractsfutures contracts owned or held on that day was $4,055,188$1,424,715 and the Fund had total assets of $320,361,211.$221,416,935. The ending Net Asset Value per Limited Unit NAVShare on December 31, 20132016 was $25.70.
As of$19.35. For the year ended December 31, 2012,2016, the Fund’s net realized and change in net unrealized gain/loss on Futures Contracts owned or held on that dayinvestments and futures contracts was $12,514,458 anda net gain of $10,687,283. Overall, the Fund had total assetsrecognized a net gain of $479,691,588. The ending per Limited Unit NAV on$8,864,877 from operations for the year ended December 31, 2012 was $28.85.
2016.Portfolio Expenses
. The Fund’s expenses consist of investment managementPrior to January 1, 2017, the Funds’ brokerage commissions and fees and brokerage fees. The Fund pays the Managing Owner a management fee of 0.85% of NAV on its net assets.
The Fund pays for all brokerage fees. The Managing Owner pays for all other expenses, including licensing fees for the use of intellectual property, ongoing registration or other fees paid to the SEC, FINRA and any other regulatory agency in connection with offers and sales of the Fund’s units and all legal, accounting, printing and other expenses associated therewith. Routineas well as routine operational, administrative and other ordinary expenses, are reimbursableincluding, but not limited to, the Managing Owner by the Fund. Since inception, the Fund has not paid any ongoing registration fees or other offering expenses. The Managing Owner is responsible for paying the fees and expenses including directors’ and officers’ liability insurance, of the independent directorsTrustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs, were accrued at a rate of 0.20% of the Net Asset Value per annum in the aggregate. Of the amounts so accrued, the Funds first paid brokerage commissions and fees, and secondly, from the remainder of the amounts so accrued, reimbursed the Managing Owner who are also its audit committee members.
The Fund also incurs commissions to brokers for the
purchaseFunds’ routine operational, administrative and
saleother ordinary expenses paid by the Managing Owner.Effective January 1, 2017, the Managing Owner has voluntarily agreed to assume all routine operational, administrative and other ordinary expenses of Futures Contractsthe Funds, and Treasuries. Totalwill not be reimbursed for any such expenses. As a result, the Funds will no longer accrue for such expenses. In addition, effective January 1, 2017, the Master Fund will pay its brokerage commissions and fees directly. As a result, the Funds will no longer accrue for such commissions and fees as an expense accrual, but will be included as a component of Net Realized Gain (Loss) on the Consolidated Statements of Income and Expenses. Accordingly, effective January 1, 2017, the Fund’s expense accrual of 0.20% of the Fund’s Net Asset Value for (i) brokerage commissions and fees, and (ii) routine operational, administrative and other ordinary expenses, was eliminated.
Brokerage commissions and fees were charged against the Fund’s assets on a per transaction basis. The brokerage commissions, trading fees and routine operational, administrative, and other ordinary expenses amounted to $667,213, $823,644,incurred were $178,822, $437,850, and $377,195$499,254 for the years ended December 31, 2014, 2013,2017, 2016, and 2012,2015, respectively.
The Funds pay all of their respective extraordinary fees and expenses generally, if any, as determined by the Managing Owner. Extraordinary fees and expenses are likely to includenon-recurring fees such as legal claims and liabilities, litigation costs and any permitted indemnification payments related thereto, if any; but the Managing Owner has discretion to treat other unanticipated expenses as extraordinary fees and expenses.
For the year ended December 31, 2017, the Funds paid the Managing Owner, monthly in arrears, a net Management Fee equal to 0.75% of the average annual Net Asset Value after deducting a 0.10% per annum voluntary Management Fee waiver. For the years ended December 31, 2016 and 2015, the Funds paid the Managing Owner a Management Fee equal to 0.85% of the average annual Net Asset Value. For the year ended December 31, 2017, the net Management Fee paid to the Managing Owner by the Funds was $1,335,154 after deducting the voluntary Management Fee waiver of $178,022. For the years ended December 31, 2016 and 2015, the Management Fee paid to the Managing Owner by the Funds was $1,860,871 and $2,121,828, respectively.
Interest Income.
The Fund does not borrow money in order to obtain leverage, so the Fund does not incur any interest expense. Rather, the Fund’s margin deposits are maintained in TreasuriesU.S. Treasury Obligations and short term investments and interest is earned on the Fund’s available assets. The Fund earned total interest income of $44,304, $189,643,$1,356,236, $476,315, and $331,044$45,979 for the years ended December 31, 2014, 2013,2017, 2016, and 2012,2015, respectively.
| 5 Year Performance Summary |
| Date | | NAV | | Total Shares | | Net Assets | | 1 Month | | 3 Months | | Year to Date | | Since Inception |
| 1/31/2010 | | $25.09 | | 9,850,050 | | $247,137,755 | | -4.31% | | 0.60% | | -4.31% | | -16.37% |
| 2/28/2010 | | $25.67 | | 9,400,050 | | $241,299,284 | | 2.31% | | -1.61% | | -2.10% | | -14.43% |
| 3/31/2010 | | $25.07 | | 9,550,050 | | $239,419,754 | | -2.34% | | -4.39% | | -4.39% | | -16.43% |
| 4/30/2010 | | $25.76 | | 9,650,050 | | $248,585,288 | | 2.75% | | 2.67% | | -1.75% | | -14.13% |
| 5/31/2010 | | $24.50 | | 9,650,050 | | $236,426,225 | | -4.89% | | -4.56% | | -6.56% | | -18.33% |
| 6/30/2010 | | $24.92 | | 9,750,050 | | $242,971,246 | | 1.71% | | -0.60% | | -4.96% | | -16.93% |
| 7/31/2010 | | $26.42 | | 10,200,050 | | $269,485,321 | | 6.02% | | 2.56% | | 0.76% | | -11.93% |
| 8/31/2010 | | $26.21 | | 11,250,050 | | $294,863,811 | | -0.79% | | 6.98% | | -0.04% | | -12.63% |
| 9/30/2010 | | $28.14 | | 11,100,050 | | $312,355,407 | | 7.36% | | 12.92% | | 7.32% | | -6.20% |
| 10/31/2010 | | $29.76 | | 13,000,050 | | $386,881,488 | | 5.76% | | 12.64% | | 13.50% | | -0.80% |
| 11/30/2010 | | $29.67 | | 14,900,050 | | $442,084,484 | | -0.30% | | 13.20% | | 13.16% | | -1.10% |
| 12/31/2010 | | $32.88 | | 16,250,050 | | $534,301,644 | | 10.82% | | 16.84% | | 25.40% | | 9.60% |
| 1/31/2011 | | $34.01 | | 17,650,050 | | $600,278,201 | | 3.44% | | 14.28% | | 3.44% | | 13.37% |
| 2/28/2011 | | $35.16 | | 19,600,050 | | $689,137,758 | | 3.38% | | 18.50% | | 6.93% | | 17.20% |
| 3/31/2011 | | $35.20 | | 23,250,050 | | $818,401,760 | | 0.11% | | 7.06% | | 7.06% | | 17.33% |
| 4/30/2011 | | $36.34 | | 23,800,050 | | $864,893,817 | | 3.24% | | 6.85% | | 10.52% | | 21.13% |
| 5/31/2011 | | $34.87 | | 22,000,050 | | $767,141,744 | | -4.05% | | -0.82% | | 6.05% | | 16.23% |
| 6/30/2011 | | $33.59 | | 21,850,050 | | $733,943,180 | | -3.67% | | -4.57% | | 2.16% | | 11.97% |
| 7/31/2011 | | $34.48 | | 21,000,050 | | $724,081,724 | | 2.65% | | -5.12% | | 4.87% | | 14.93% |
| 8/31/2011 | | $35.23 | | 20,700,050 | | $729,262,762 | | 2.18% | | 1.03% | | 7.15% | | 17.43% |
| 9/30/2011 | | $30.46 | | 20,600,050 | | $627,498,123 | | -13.54% | | -9.32% | | -7.36% | | 1.54% |
| 10/31/2011 | | $32.21 | | 19,200,050 | | $618,433,611 | | 5.74% | | -6.58% | | -2.04% | | 7.37% |
| 11/30/2011 | | $31.12 | | 20,300,050 | | $631,737,556 | | -3.38% | | -11.67% | | -5.35% | | 3.73% |
| 12/31/2011 | | $29.96 | | 19,400,050 | | $581,225,498 | | -3.73% | | -1.64% | | -8.88% | | -0.13% |
| 1/31/2012 | | $31.29 | | 19,550,050 | | $611,721,065 | | 4.44% | | -2.86% | | 4.44% | | 4.30% |
| 2/29/2012 | | $31.70 | | 21,350,050 | | $676,796,585 | | 1.31% | | 1.86% | | 5.81% | | 5.67% |
| 3/31/2012 | | $30.35 | | 21,250,050 | | $644,939,018 | | -4.26% | | 1.30% | | 1.30% | | 1.17% |
| 4/30/2012 | | $29.51 | | 20,550,050 | | $606,431,976 | | -2.77% | | -5.69% | | -1.50% | | -1.63% |
| 5/31/2012 | | $26.95 | | 18,300,050 | | $493,186,348 | | -8.68% | | -14.98% | | -10.05% | | -10.17% |
| 6/30/2012 | | $28.43 | | 18,000,050 | | $511,741,422 | | 5.49% | | -6.33% | | -5.11% | | -5.23% |
| 7/31/2012 | | $29.65 | | 17,100,050 | | $507,016,483 | | 4.29% | | 0.47% | | -1.03% | | -1.17% |
| 8/31/2012 | | $30.35 | | 16,650,050 | | $505,329,018 | | 2.36% | | 12.62% | | 1.30% | | 1.17% |
| 9/30/2012 | | $30.57 | | 16,900,050 | | $516,634,529 | | 0.72% | | 7.53% | | 2.04% | | 1.90% |
| 10/31/2012 | | $29.56 | | 16,600,050 | | $490,697,478 | | -3.30% | | -0.30% | | -1.34% | | -1.47% |
| 11/30/2012 | | $29.83 | | 16,750,050 | | $499,653,992 | | 0.91% | | -1.71% | | -0.43% | | -0.57% |
| 12/31/2012 | | $28.85 | | 16,450,050 | | $474,583,943 | | -3.29% | | -5.63% | | -3.70% | | -3.83% |
| 1/31/2013 | | $29.50 | | 16,450,050 | | $485,276,475 | | 2.25% | | -0.20% | | 2.25% | | -1.67% |
| 2/28/2013 | | $28.21 | | 16,500,050 | | $465,466,411 | | -4.37% | | -5.43% | | -2.22% | | -5.97% |
| 3/31/2013 | | $28.26 | | 17,000,050 | | $480,421,413 | | 0.18% | | -2.05% | | -2.05% | | -5.80% |
| 4/30/2013 | | $27.65 | | 16,800,050 | | $464,521,383 | | -2.16% | | -6.27% | | -4.16% | | -7.83% |
| 5/31/2013 | | $26.89 | | 16,200,050 | | $435,619,345 | | -2.75% | | -4.68% | | -6.79% | | -10.37% |
| 6/30/2013 | | $25.76 | | 15,700,050 | | $404,433,288 | | -4.20% | | -8.85% | | -10.71% | | -14.13% |
| 7/31/2013 | | $26.01 | | 14,900,050 | | $387,550,301 | | 0.97% | | -5.93% | | -9.84% | | -13.30% |
| 8/31/2013 | | $26.84 | | 13,550,050 | | $363,683,342 | | 3.19% | | -0.19% | | -6.97% | | -10.53% |
| 9/30/2013 | | $26.48 | | 13,400,050 | | $354,833,324 | | -1.34% | | 2.80% | | -8.21% | | -11.73% |
| 10/31/2013 | | $26.15 | | 13,300,050 | | $347,796,308 | | -1.25% | | 0.54% | | -9.36% | | -12.83% |
| 11/30/2013 | | $25.84 | | 13,300,050 | | $343,673,292 | | -1.19% | | -3.73% | | -10.43% | | -13.87% |
| 12/31/2013 | | $25.70 | | 12,450,050 | | $319,966,285 | | -0.54% | | -2.95% | | -10.92% | | -14.33% |
| 1/31/2014 | | $25.87 | | 11,900,050 | | $307,854,294 | | 0.66% | | -1.07% | | -10.33% | | -13.77% |
| 2/28/2014 | | $27.80 | | 12,350,050 | | $343,331,390 | | 7.46% | | 7.59% | | -3.64% | | -7.33% |
| 3/31/2014 | | $28.19 | | 12,350,050 | | $348,147,910 | | 1.40% | | 9.69% | | 9.69% | | -6.03% |
| 4/30/2014 | | $28.74 | | 12,500,050 | | $359,251,437 | | 1.95% | | 11.09% | | 11.83% | | -4.20% |
| 5/31/2014 | | $27.78 | | 12,800,050 | | $355,585,389 | | -3.34% | | -0.07% | | 8.09% | | -7.40% |
| 6/30/2014 | | $27.91 | | 12,900,050 | | $360,040,396 | | 0.47% | | -0.99% | | 8.60% | | -6.97% |
| 7/31/2014 | | $26.62 | | 13,150,050 | | $350,054,331 | | -4.62% | | -7.38% | | 3.58% | | -11.27% |
| 8/31/2014 | | $26.25 | | 13,150,050 | | $345,188,813 | | -1.39% | | -5.51% | | 2.14% | | -12.50% |
| 9/30/2014 | | $24.79 | | 12,950,050 | | $321,031,740 | | -5.56% | | -11.18% | | -3.54% | | -17.37% |
| 10/31/2014 | | $24.73 | | 12,750,050 | | $315,308,737 | | -0.24% | | -7.10% | | -3.77% | | -17.57% |
| 11/30/2014 | | $23.97 | | 12,250,050 | | $293,633,699 | | -3.07% | | -8.69% | | -6.73% | | -20.10% |
| 12/31/2014 | | $22.81 | | 11,700,050 | | $266,878,141 | | -4.84% | | -7.99% | | -11.25% | | -23.97% |
ComparisonFund Performance
The following table provides summary performance information for the Fund for the five years ended December 31, 2017.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
5 Year Performance Summary
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Date | | | Net Asset
Value per Share | | | Total Shares | | | Net Assets | | | 1 Month | | | 3 Months | | | Year to Date | | | Cumulative
Return Since
Inception | |
| | 1/31/2013 | | | $ | 29.50 | | | | 16,450,050 | | | $ | 485,228,210 | | | | 2.25 | % | | | -0.20 | % | | | 2.25 | % | | | -1.67 | % |
| | 2/28/2013 | | | $ | 28.21 | | | | 16,500,050 | | | $ | 465,398,977 | | | | -4.37 | % | | | -5.43 | % | | | -2.22 | % | | | -5.97 | % |
| | 3/31/2013 | | | $ | 28.26 | | | | 17,000,050 | | | $ | 480,366,427 | | | | 0.18 | % | | | -2.05 | % | | | -2.05 | % | | | -5.80 | % |
| | 4/30/2013 | | | $ | 27.65 | | | | 16,800,050 | | | $ | 464,578,302 | | | | -2.16 | % | | | -6.27 | % | | | -4.16 | % | | | -7.83 | % |
| | 5/31/2013 | | | $ | 26.89 | | | | 16,200,050 | | | $ | 435,577,235 | | | | -2.75 | % | | | -4.68 | % | | | -6.79 | % | | | -10.37 | % |
| | 6/30/2013 | | | $ | 25.76 | | | | 15,700,050 | | | $ | 404,488,312 | | | | -4.20 | % | | | -8.85 | % | | | -10.71 | % | | | -14.13 | % |
| | 7/31/2013 | | | $ | 26.01 | | | | 14,900,050 | | | $ | 387,484,507 | | | | 0.97 | % | | | -5.93 | % | | | -9.84 | % | | | -13.30 | % |
| | 8/31/2013 | | | $ | 26.84 | | | | 13,550,050 | | | $ | 363,732,451 | | | | 3.19 | % | | | -0.19 | % | | | -6.97 | % | | | -10.53 | % |
| | 9/30/2013 | | | $ | 26.48 | | | | 13,400,050 | | | $ | 354,838,812 | | | | -1.34 | % | | | 2.80 | % | | | -8.21 | % | | | -11.73 | % |
| | 10/31/2013 | | | $ | 26.15 | | | | 13,300,050 | | | $ | 347,770,766 | | | | -1.25 | % | | | 0.54 | % | | | -9.36 | % | | | -12.83 | % |
| | 11/30/2013 | | | $ | 25.84 | | | | 13,300,050 | | | $ | 343,662,899 | | | | -1.19 | % | | | -3.73 | % | | | -10.43 | % | | | -13.87 | % |
| | 12/31/2013 | | | $ | 25.70 | | | | 12,450,050 | | | $ | 319,992,548 | | | | -0.54 | % | | | -2.95 | % | | | -10.92 | % | | | -14.33 | % |
| | 1/31/2014 | | | $ | 25.87 | | | | 11,900,050 | | | $ | 307,883,915 | | | | 0.66 | % | | | -1.07 | % | | | 0.66 | % | | | -13.77 | % |
| | 2/28/2014 | | | $ | 27.80 | | | | 12,350,050 | | | $ | 343,355,140 | | | | 7.46 | % | | | 7.59 | % | | | 8.17 | % | | | -7.33 | % |
| | 3/31/2014 | | | $ | 28.19 | | | | 12,350,050 | | | $ | 348,183,222 | | | | 1.40 | % | | | 9.69 | % | | | 9.69 | % | | | -6.03 | % |
| | 4/30/2014 | | | $ | 28.74 | | | | 12,500,050 | | | $ | 359,209,409 | | | | 1.95 | % | | | 11.09 | % | | | 11.83 | % | | | -4.20 | % |
| | 5/31/2014 | | | $ | 27.78 | | | | 12,800,050 | | | $ | 355,553,581 | | | | -3.34 | % | | | -0.07 | % | | | 8.09 | % | | | -7.40 | % |
| | 6/30/2014 | | | $ | 27.91 | | | | 12,900,050 | | | $ | 359,978,141 | | | | 0.47 | % | | | -0.99 | % | | | 8.60 | % | | | -6.97 | % |
| | 7/31/2014 | | | $ | 26.62 | | | | 13,150,050 | | | $ | 350,041,597 | | | | -4.62 | % | | | -7.38 | % | | | 3.58 | % | | | -11.27 | % |
| | 8/31/2014 | | | $ | 26.25 | | | | 13,150,050 | | | $ | 345,220,665 | | | | -1.39 | % | | | -5.51 | % | | | 2.14 | % | | | -12.50 | % |
| | 9/30/2014 | | | $ | 24.79 | | | | 12,950,050 | | | $ | 321,017,239 | | | | -5.56 | % | | | -11.18 | % | | | -3.54 | % | | | -17.37 | % |
| | 10/31/2014 | | | $ | 24.73 | | | | 12,750,050 | | | $ | 315,332,090 | | | | -0.24 | % | | | -7.10 | % | | | -3.77 | % | | | -17.57 | % |
| | 11/30/2014 | | | $ | 23.97 | | | | 12,250,050 | | | $ | 293,666,858 | | | | -3.07 | % | | | -8.69 | % | | | -6.73 | % | | | -20.10 | % |
| | 12/31/2014 | | | $ | 22.81 | | | | 11,700,050 | | | $ | 266,898,134 | | | | -4.84 | % | | | -7.99 | % | | | -11.25 | % | | | -23.97 | % |
| | 1/31/2015 | | | $ | 21.83 | | | | 11,600,050 | | | $ | 253,276,499 | | | | -4.30 | % | | | -11.73 | % | | | -4.30 | % | | | -27.23 | % |
| | 2/28/2015 | | | $ | 22.21 | | | | 11,400,050 | | | $ | 253,156,514 | | | | 1.74 | % | | | -7.34 | % | | | -2.63 | % | | | -25.97 | % |
| | 3/31/2015 | | | $ | 21.20 | | | | 11,500,050 | | | $ | 243,765,407 | | | | -4.55 | % | | | -7.06 | % | | | -7.06 | % | | | -29.33 | % |
| | 4/30/2015 | | | $ | 21.90 | | | | 11,450,050 | | | $ | 250,728,635 | | | | 3.30 | % | | | 0.32 | % | | | -3.99 | % | | | -27.00 | % |
| | 5/31/2015 | | | $ | 21.51 | | | | 11,550,050 | | | $ | 248,405,407 | | | | -1.78 | % | | | -3.15 | % | | | -5.70 | % | | | -28.30 | % |
| | 6/30/2015 | | | $ | 22.08 | | | | 12,650,050 | | | $ | 279,283,550 | | | | 2.65 | % | | | 4.15 | % | | | -3.20 | % | | | -26.40 | % |
| | 7/31/2015 | | | $ | 20.14 | | | | 12,350,050 | | | $ | 248,781,672 | | | | -8.79 | % | | | -8.04 | % | | | -11.71 | % | | | -32.87 | % |
| | 8/31/2015 | | | $ | 19.89 | | | | 12,250,050 | | | $ | 243,701,247 | | | | -1.24 | % | | | -7.53 | % | | | -12.80 | % | | | -33.70 | % |
| | 9/30/2015 | | | $ | 19.48 | | | | 12,350,050 | | | $ | 240,610,264 | | | | -2.06 | % | | | -11.78 | % | | | -14.60 | % | | | -35.07 | % |
| | 10/31/2015 | | | $ | 19.80 | | | | 12,450,050 | | | $ | 246,482,902 | | | | 1.64 | % | | | -1.69 | % | | | -13.20 | % | | | -34.00 | % |
| | 11/30/2015 | | | $ | 18.65 | | | | 12,600,050 | | | $ | 234,930,303 | | | | -5.81 | % | | | -6.23 | % | | | -18.24 | % | | | -37.83 | % |
| | 12/31/2015 | | | $ | 18.56 | | | | 12,100,050 | | | $ | 224,518,525 | | | | -0.48 | % | | | -4.72 | % | | | -18.63 | % | | | -38.13 | % |
| | 1/31/2016 | | | $ | 18.08 | | | | 11,800,050 | | | $ | 213,290,323 | | | | -2.59 | % | | | -8.69 | % | | | -2.59 | % | | | -39.73 | % |
| | 2/29/2016 | | | $ | 17.95 | | | | 11,500,050 | | | $ | 206,423,399 | | | | -0.72 | % | | | -3.75 | % | | | -3.29 | % | | | -40.17 | % |
| | 3/31/2016 | | | $ | 18.73 | | | | 11,350,050 | | | $ | 212,556,966 | | | | 4.35 | % | | | 0.92 | % | | | 0.92 | % | | | -37.57 | % |
| | 4/30/2016 | | | $ | 19.83 | | | | 11,400,050 | | | $ | 226,055,159 | | | | 5.87 | % | | | 9.68 | % | | | 6.84 | % | | | -33.90 | % |
| | 5/31/2016 | | | $ | 19.61 | | | | 11,450,050 | | | $ | 224,548,529 | | | | -1.11 | % | | | 9.25 | % | | | 5.66 | % | | | -34.63 | % |
| | 6/30/2016 | | | $ | 20.42 | | | | 11,100,050 | | | $ | 226,681,895 | | | | 4.13 | % | | | 9.02 | % | | | 10.02 | % | | | -31.93 | % |
| | 7/31/2016 | | | $ | 19.83 | | | | 11,350,050 | | | $ | 225,092,558 | | | | -2.89 | % | | | 0.00 | % | | | 6.84 | % | | | -33.90 | % |
| | 8/31/2016 | | | $ | 19.33 | | | | 11,450,050 | | | $ | 221,349,718 | | | | -2.52 | % | | | -1.43 | % | | | 4.15 | % | | | -35.57 | % |
| | 9/30/2016 | | | $ | 19.51 | | | | 10,950,050 | | | $ | 213,673,816 | | | | 0.93 | % | | | -4.46 | % | | | 5.12 | % | | | -34.97 | % |
| | 10/31/2016 | | | $ | 19.62 | | | | 10,950,050 | | | $ | 214,888,405 | | | | 0.56 | % | | | -1.06 | % | | | 5.71 | % | | | -34.60 | % |
| | 11/30/2016 | | | $ | 19.39 | | | | 11,300,050 | | | $ | 219,111,876 | | | | -1.17 | % | | | 0.31 | % | | | 4.47 | % | | | -35.37 | % |
| | 12/31/2016 | | | $ | 19.35 | | | | 11,350,050 | | | $ | 219,660,595 | | | | -0.21 | % | | | -0.82 | % | | | 4.26 | % | | | -35.50 | % |
| | 1/31/2017 | | | $ | 19.82 | | | | 11,350,050 | | | $ | 224,901,754 | | | | 2.43 | % | | | 1.02 | % | | | 2.43 | % | | | -33.93 | % |
| | 2/28/2017 | | | $ | 19.70 | | | | 10,750,050 | | | $ | 211,819,623 | | | | -0.61 | % | | | 1.60 | % | | | 1.81 | % | | | -34.33 | % |
| | 3/31/2017 | | | $ | 19.25 | | | | 10,150,050 | | | $ | 195,428,354 | | | | -2.28 | % | | | -0.52 | % | | | -0.52 | % | | | -35.83 | % |
| | 4/30/2017 | | | $ | 18.93 | | | | 9,450,050 | | | $ | 178,936,038 | | | | -1.66 | % | | | -4.49 | % | | | -2.17 | % | | | -36.90 | % |
| | 5/31/2017 | | | $ | 18.85 | | | | 8,900,050 | | | $ | 167,788,181 | | | | -0.42 | % | | | -4.31 | % | | | -2.58 | % | | | -37.17 | % |
| | 6/30/2017 | | | $ | 18.68 | | | | 8,850,050 | | | $ | 165,359,886 | | | | -0.90 | % | | | -2.96 | % | | | -3.46 | % | | | -37.73 | % |
| | 7/31/2017 | | | $ | 19.15 | | | | 8,750,050 | | | $ | 167,534,220 | | | | 2.52 | % | | | 1.16 | % | | | -1.03 | % | | | -36.17 | % |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Date | | Net Asset
Value per Share | | | Total Shares | | | Net Assets | | | 1 Month | | | 3 Months | | | Year to Date | | | Cumulative
Return Since
Inception | |
| 8/31/2017 | | $ | 18.84 | | | | 8,750,050 | | | $ | 164,834,840 | | | | -1.62 | % | | | -0.05 | % | | | -2.64 | % | | | -37.20 | % |
| 9/30/2017 | | $ | 18.76 | | | | 8,550,050 | | | $ | 160,409,438 | | | | -0.42 | % | | | 0.43 | % | | | -3.05 | % | | | -37.47 | % |
| 10/31/2017 | | $ | 19.08 | | | | 8,400,050 | | | $ | 160,283,921 | | | | 1.71 | % | | | -0.37 | % | | | -1.40 | % | | | -36.40 | % |
| 11/30/2017 | | $ | 19.11 | | | | 8,200,050 | | | $ | 156,718,600 | | | | 0.16 | % | | | 1.43 | % | | | -1.24 | % | | | -36.30 | % |
| 12/31/2017 | | $ | 19.25 | | | | 8,050,050 | | | $ | 154,956,309 | | | | 0.73 | % | | | 2.61 | % | | | -0.52 | % | | | -35.83 | % |
The following charts present a comparison of theCCI-TR Index and the GreenhavenWisdomTree Continuous Commodity Index Fund Net Asset Value (“GCC NAV”) for the Years
Endedyears ended December 31, 2014, 2013,2017, 2016 and 2012 and For2015, for the Three Months Endedthree months ended December 31, 2014, 2013,2017, 2016 and 2012
2015 and a comparison of the Fund’s market price performance and the CCI-TR Index performance since the commencement of trading on January 24, 2008 to December 31, 2017.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
The Fund and the Master Fund seek to track changes in the Thomson Reuters Continuous Commodity Index – Total Return, or the Index over time. The Fund’s Net Asset Value relative performance versus the Index was -0.94%-1.03%, -0.81%-1.35%, and 1.61%-0.89%, net of fees for the years ended December 31, 2014, 20132017, 2016, and 2012,2015, respectively. The Fund’s Net Asset Value relative performance versus the Index was -0.25%-0.26%,-0.32%, and-0.27%, and 0.14% for the three months ended December 31, 2014, 2013,2017, 2016, and 2012,2015, respectively. Since the fundFund commenced trading on January 24, 2008 through December 31, 2014,2017, the Fund has returned -25.54%-37.39% as measured by its daily closing stock price and the Index has returned -30.78%-39.57%.
TheOn October 28, 2016, the Fund registered 4,000,000 shares on December 5, 2007 and commenced investment operations on January 23, 2008. An additional 21,000,000 shares were publicly registered on May 14, 2009, an additional 20,000,000 shares were publicly registered on January 14, 2011, and an additional 61,000,000 shares were publicly registeredShares. On October 26, 2017, the Fund filed a prospectus under Rule 424b of the Exchange to update certain information contained in September 13, 2013.the Registration Statement. As of December 31, 2014,2017, there were 60,450,000 Shares available for issuance under this Registration Statement.
As of December 31, 2017, the Fund had 11,700,0008,050,000 Limited Shares outstanding.
The Administrator calculates a Net Asset Value per shareShare of the Fund daily, based on closing prices of the underlying futures contracts. The first such calculation was as of market close on January 24, 2008, the first day of trading.
Values of the underlying Index are computed by Thomson Reuters America, LLC,the Index Sponsor and disseminated by the NYSE Arca every fifteen (15)15 seconds during the trading day. Only settlement and last-sale prices are used in the Index’s calculation, bids and offers are not recognized – includinglimit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Index value is based on the settlement prices of the component commodities, and explains why the underlying Index often closes at or near the high or low for the day.Critical Accounting Policies and Estimates
Critical accounting policies for the Fund and Master FundFunds are as follows:
Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. Both the Fund and the Master Fund apply these policies that involve judgments and actual results may differ from the estimates used.
The Master Fund holds a significant portion of its assets in futures contractsCommodity Futures and United States Treasury Obligations,U.S. Treasuries, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statements of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Fund’s consolidated financial statements. The fair value of a financial instrument is the amount 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 exit price).
When market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.
Interest income on United States Treasury ObligationsU.S. Treasuries is recognized on an accrual basis when earned. Discounts and premiums are amortized or accreted over the life of the United States Treasury Obligations.
U.S. Treasuries.Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the consolidated statements of income and expenses in the period in which the contract is closed or the changes occur, respectively.
The Fund records its futures contractsCommodity Futures and United States Treasury ObligationsU.S. Treasuries on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses.
In determining fair value of United States Treasury ObligationsU.S. Treasuries and commodity futures contracts,Commodity Futures, the Fund uses unadjusted quoted market prices in active markets and a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. See Note 4 to the financial statements for further information regarding this accounting policy.
See Section 1A – Risk Factors and Section 7A – Quantitative and Qualitative Disclosures About Market Risk for a complete discussion of market risk
The Master Fund holds two types of investments. The first is long positions in futures contractsCommodity Futures on the seventeen commodities in the Index.17 Index Commodities. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the futures contractsCommodity Futures is divided equally among the components. Each of the component commoditiesIndex Commodities is traded on the CME Group or ICE exchanges.
The CME Group and ICE exchanges guarantee the performance of its outstanding futures contracts. Each exchange is also publicly traded and, in management’s opinion, well-capitalized. Each uses a system of margining and daily cash settlement of unrealized gains and losses in open positions, which reduces counterparty risk for market participants. Hence, management believes that the Fund faces minimal credit or counterparty risk in its futures trading and contract positions.
The Master Fund will also hold significant cash balances representing the excess of invested funds above the margin requirements for its futures positions. To the extent practical, the Fund will hold this excess cash in short-term obligations of the United States Treasury.U.S. Treasuries. Hence, management assigns no counterparty risk to such holdings.
Trading in Shares may be halted due and Capital ResourcesThe Funds do not anticipate making use of borrowings or other lines of credit to market conditions or, in light of NYSE rules and procedures, for reasons that,meet their obligations. The Master Fund meets liquidity needs in the viewnormal course of from cash, cash equivalents, and/or the sale of U.S. Treasuries it holds. The Funds’ liquidity needs include: redeeming Shares, providing margin deposits for existing Commodity Futures, the purchase of additional Commodity Futures and paying expenses.
The Funds generate cash primarily from (i) the sale of creation Baskets and (ii) interest earned on cash, cash equivalents and investments in collateralizing U.S. Treasuries. Substantially all of the NYSE, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline in the equity markets. There can be no assurance that the requirements necessary to maintain the listingnet assets of the Shares will continue to be met or will remain unchanged. The Fund and the Master Fund are allocated to trading in Commodity Futures. Most of the assets of the Master Fund are held in U.S. Treasuries, cash and/or cash equivalents that could or are used as margin or collateral for trading in Commodity Futures. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Commodity Futures change. Interest earned on interest-bearing assets of the Master Fund is paid to the Master Fund.
The investments of the Master Fund in Commodity Futures could be terminated ifsubject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Shares are de-listed.
Master Fund from promptly liquidating a position in Commodity Futures.Contractual Obligations
The Fund and Master Fund’sFunds contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of the Master Fund’s Net Asset Value. Commissions paid by the Fund to the Commodity Broker are on a per contract half-turn basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to half-turns or round-turns that will be required under these arrangements for future periods as Net Asset Values are not known until athe amount and level of future date.
trading activity is unknown.Off-Balance Sheet Risk
In the normal course of its business, the Fund isFunds are party to financial instruments withoff-balance sheet risk. The term “off-balance“off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the FundFunds are standardized commodity futures contracts traded on regulated exchanges and are recognized on the balance sheet at fair value pursuant to the accounting standards for derivatives and hedging activities, “Accounting for Derivative Instruments and Hedging Activities”.Activities.” As of the balance sheet date, therefore, the Fund hasFunds have no unrecorded liabilities relating to futures contracts. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.
ITEMItem 7A. | Quantitative and Qualitative Disclosures about Market Risk. |
INTRODUCTION
Introduction
The Fund isFunds are designed to replicate a commodity index. The market-sensitive instruments held by itthe Master Fund are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Fund’sFunds’ main line of business.
Market movements can produce frequent changes in the fair market value of the Master Fund’s open positions and, consequently, in its earnings and cash flows. The Fund’sFunds’ market risk is primarily influenced by changes in the price of commodities.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
General
Qualitative Disclosures RegardingNon-Trading Risk Exposure
The Fund isFunds are unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. These special circumstances, for example, include the unavailability of the Index or certain natural orman-made disasters. The Managing Owner does not apply risk management techniques. The Master Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.
Accordingly, tabular presentationsQuantitative Disclosures
Commodity Price Sensitivity and Interest Rate Sensitivity
The Fund is exposed to commodity price risk through its holdings of Market Risk or Sensitivity or Value-at-Risk analyses thereof are not applicable.
commodity futures contracts and interest rate risk through its holdings of short-term U.S. Treasury bills. The following tables provides information about the Fund’s investments, which were sensitive to both commodity price and interest rate risk.As of December 31, 2017, the Fund’s long exposure futures contract positions subject to commodity price risk were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Range of Expiration Dates | | | Number of
Contracts | | | Weighted-
Average
Price
per
Contract | | | Contract
Multiple | | | Notational
Value | | | Unrealized
Appreciation/
(Depreciation) | |
Energy | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas | | | January 2018 - May 2018 | | | | 323 | | | $ | 2.82 | | | | 10,000 | | | $ | 9,120,710 | | | $ | (496,430 | ) |
NY Harbor ULSD | | | January 2018 - May 2018 | | | | 107 | | | | 2.02 | | | | 42,000 | | | | 9,072,172 | | | | 1,108,246 | |
WTI Crude Oil | | | January 2018 - May 2018 | | | | 151 | | | | 60.32 | | | | 1,000 | | | | 9,108,120 | | | | 1,093,160 | |
Grains | | | | | | | | | | | | | | | | | | | | | | | | |
Corn | | | March 2018 - July 2018 | | | | 507 | | | | 3.59 | | | | 5,000 | | | | 9,100,650 | | | | (550,375 | ) |
Soybean | | | March 2018 - July 2018 | | | | 187 | | | | 9.73 | | | �� | 5,000 | | | | 9,093,888 | | | | (173,587 | ) |
Soybean Oil | | | March 2018 - July 2018 | | | | 454 | | | | 0.33 | | | | 60,000 | | | | 9,108,042 | | | | (428,562 | ) |
Wheat | | | March 2018 - July 2018 | | | | 413 | | | | 4.40 | | | | 5,000 | | | | 9,088,787 | | | | (815,850 | ) |
Livestock | | | | | | | | | | | | | | | | | | | | | | | | |
Lean Hogs | | | February2018 - July 2018 | | | | 289 | | | | 0.79 | | | | 40,000 | | | | 9,105,750 | | | | 380,940 | |
Live Cattle | | | February 2018 - June 2018 | | | | 191 | | | | 1.19 | | | | 40,000 | | | | 9,106,230 | | | | 111,780 | |
Metals | | | | | | | | | | | | | | | | | | | | | | | | |
Copper | | | March 2018 - July 2018 | | | | 110 | | | | 3.31 | | | | 25,000 | | | | 9,114,537 | | | | 738,100 | |
Gold 100 Ounce | | | February 2018 - June 2018 | | | | 69 | | | | 1,314.00 | | | | 100 | | | | 9,066,600 | | | | 178,010 | |
Platinum | | | April 2018 - July 2018 | | | | 194 | | | | 941.10 | | | | 50 | | | | 9,128,670 | | | | (183,755 | ) |
Silver | | | March 2018 - July 2018 | | | | 106 | | | | 17.22 | | | | 5,000 | | | | 9,126,225 | | | | 37,980 | |
Softs | | | | | | | | | | | | | | | | | | | | | | | | |
Cocoa | | | March 2018 - July 2018 | | | | 480 | | | | 1,895.33 | | | | 10 | | | | 9,097,600 | | | | (695,190 | ) |
Coffee “C” | | | March 2018 - July 2018 | | | | 189 | | | | 1.29 | | | | 37,500 | | | | 9,112,163 | | | | (590,194 | ) |
Cotton No. 2 | | | March 2018 - July 2018 | | | | 230 | | | | 0.79 | | | | 50,000 | | | | 9,078,335 | | | | 1,015,915 | |
Sugar No. 11 | | | February 2018 - June 2018 | | | | 540 | | | | 0.15 | | | | 112,000 | | | | 9,116,352 | | | | 306,577 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 154,744,831 | | | $ | 1,036,765 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
As of December 31, 2017, the Fund’s aggregate position in short-term U.S. Treasury bills subject to interest rate risk were as follows:
| | | | | | | | | | | | | | | | | | | | |
Description | | Range of
Discount Rates | | | Range of Maturity Dates | | | Face Amount | | | Fair Value | | | Unrealized
Appreciation/
(Depreciation) | |
U.S. Treasury Obligations | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | 1.08% - 1.37% | | | | January 2018 - March 2018 | | | $ | 143,000,000 | | | $ | 142,783,635 | | | $ | 435 | |
ITEMItem 8. | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATAFinancial Statements and Supplementary Data. |
IndexSee the “Index to Financial Statements” on pageF-1 for a list of the financial statements being filed as part of this Annual Report. Those Financial Statements,
and the notes and schedules related thereto, are incorporated by reference into this Item 8.Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. |
As reported in the Funds’ Current Report on Form8-K filed with the SEC on April 12, 2016, on April 7, 2016, the Managing Owner dismissed the Funds’ independent registered public accounting firm, Grant Thornton LLP (“Grant Thornton”) and on April 8, 2016, approved the engagement of Ernst & Young LLP (“EY”) as the new independent registered public accounting firm for the Funds.
| Item 9A. | Controls and Procedures. |
Disclosure Controls and Procedures
For purposes of this Item 9A, references to the “Fund” and “our” include both the Fund and the Master Fund. Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Fund carried out an evaluation of the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule13a-15(f)) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures with respect to the Fund were effective as of the end of the period covered by this Annual Report.
Internal Control over Management’s Financial Reporting
The Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. The Managing Owner’s internal control system is designed to provide reasonable assurance to the Fund’s management regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.
The Managing Owner assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2017. In making this assessment, the Managing Owner used the criteria set forth in the 2013 Internal Controls – Integrated Framework by the Committee of Sponsoring Organizations of the Treadway Commission. Based on their assessment, the Managing Owner believes that, as of December 31, 2017, its internal control over financial reporting is effective.
Ernst & Young LLP, the independent registered public accounting firm that audited the Fund’s consolidated financial statements included in this Annual Report, has issued attestation reports on the Fund’s internal control over financial reporting, which accompany this Annual Report.
The Managing Owner evaluated whether there was a change in the Fund’s internal control over financial reporting during the three months ended December 31, 2017 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting. Based on this evaluation, Management believes that there was no such change during the three months ended December 31, 2017.
| Item 9B. | Other Information. |
Not applicable.
PART III
| Item 10. | Managers and Executive Officers of the Registrant. |
The Managing Owner and theSub-Adviser; Management
WisdomTree Commodity Services, LLC serves as the commodity pool operator and Managing Owner of the Funds, and GreenHaven Advisors LLC serves as the commodity trading advisor andSub-Adviser of the Funds. The Funds have no officers or directors. The Funds do not directly compensate any of the executive officers noted below. Such individuals are compensated by the Managing Owner or theSub-Adviser, as applicable, for the work they perform on behalf of the Funds. The Funds do not reimburse the Managing Owner orSub-Adviser for, and the Funds do not set the amount or form of any portion of, the compensation paid to such individuals by the Managing Owner orSub-Adviser, as applicable. However, a portion of the fee that is received for the services provided by the Managing Owner and theSub-Adviser, as applicable, may be used for payment of compensation to such individuals.
Officers of the Managing Owner are subject to a Code of Conduct which is designed to, among other things, promote honest and ethical conduct and promote compliance with applicable laws and regulations.
Set forth below is a description of the officers and key decision-makers of the Managing Owner and theSub-Adviser as of the date of this Annual Report.
Executive Officers of the Managing Owner
| | |
Name | | Position |
Gregory Barton | | President and Chief Executive Officer |
David Castano | | Chief Financial Officer and Treasurer |
Terry Feld | | Chief Compliance Officer |
Peter Ziemba | | Executive Vice President, Chief Legal Officer and Secretary |
The following is a biographical summary of the business experience of the executive officers of the Managing Owner as of the date of this Annual Report.
Gregory Barton - President and Chief Executive Officer. Mr. Barton has served as the Chief Executive Officer of the Managing Owner in charge of managing its business since January 2016. He became a registered Associated Person and Principal of the Managing Owner in January 2016. Mr. Barton served as the Executive Vice President-Operations and Chief Operating Officer of WisdomTree Investments, Inc. from October 2012 through December 2017 overseeing its operations and Executive Vice President-Chief Legal Officer of WisdomTree Investments, Inc. since January 2018 in charge of legal affairs. Mr. Barton was also a registered Associated Person and Principal of WisdomTree Coal Services, LLC, the Sponsor of the WisdomTree Coal Fund (liquidated in September 2016), from January 2016 through June 2017, and became a registered Associated Person and Principal of WisdomTree Asset Management, Inc., in February 2013 and December 2012, respectively. Mr. Barton is 56 years old.
David Castano – Chief Financial Officer and Treasurer. Mr. Castano has served as the Chief Financial Officer and Treasurer of the Managing Owner in charge of financial reporting and recording since January 2016. Mr. Castano became a Principal of the Managing Owner in March 2016. Mr. Castano has served as Director of Fund Accounting & Administration of WisdomTree Asset Management, Inc. (overseeing accounting and administration matters) since June 2011 and Treasurer/Principal Financial Officer of the WisdomTree Trust (overseeing accounting and administration matters) since January 2013 . Mr. Castano was also registered as a Principal of WisdomTree Coal Services, LLC from March 2016 through June 2017. Mr. Castano is 46 years old.
Terry Feld – Chief Compliance Officer. Ms. Feld has served as the Chief Compliance Officer of the Managing Owner since March 2017, overseeing regulatory compliance matters. Ms. Feld was registered as a Principal of the Managing Owner from January 2016 to February 2016. She again became a Principal of the Managing Owner in March 2017. Ms. Feld served as a Senior Compliance Officer of WisdomTree Asset Management from October 2011 to October 2012 (assisting in oversight of compliance matters) and has served as Head of Compliance and Chief Compliance Officer of WisdomTree Asset Management, Inc. since October 2012 (overseeing compliance matters). Ms. Field has served as a Principal of WisdomTree Asset Management, Inc. since January 2013. Ms. Feld was also registered as a Principal of WisdomTree Coal Services, LLC from January 2016 through February 2016. Ms. Feld is 57 years old.
Peter Ziemba – Executive Vice President, Chief Legal Officer and Secretary. Mr. Ziemba has served as the Executive Vice President, Chief Legal Officer and Secretary of the Managing Owner in charge of legal affairs since January 2016. Mr. Ziemba served as WisdomTree Investments, Inc.’s Executive Vice President – Business and Legal Affairs from January 2008 through December 2017 and Chief Legal Officer from March 2011 through December 2017 (overseeing legal matters) and Executive Vice President-Senior Advisor to the CEO, Chief Administrative Officer of WisdomTree Investments, Inc. since January 2018. Mr. Ziemba has served as a Principal of WisdomTree Asset Management, Inc. since April 2016. Mr. Ziemba is 60 years old.
Executive Officers and Significant Employees of theSub-Adviser
| | |
Name | | Position |
Ashmead Pringle | | Chief Executive Officer |
Cooper Anderson | | Chief Financial Officer |
Scott Glasing | | Trader |
Tom Fernandes | | Partner |
The following is a biographical summary of the business experience of the executive officers and significant employees of theSub-Adviser as of the date of this Annual Report.
Ashmead Pringle – Chief Executive Officer. Mr. Pringlefounded the Sub-Adviser and has served as its Chief Executive Officer in charge of managing its business since November 2015. He became a registered Associated Person and Principalof the Sub-Adviser in November 2015. Mr. Pringle also founded Grain Service Corporation (“GSC”), a commodity research and trading company, and has served as its President since October 1984. He became a Principal of GSC in June of 1985 and a registered Associated Person of GSC in October 1985. Mr. Pringle also founded the Managing Owner and served as its Chief Executive Officer in charge of managing its business from November 2006 to January 2016. He was a registered Associated Person and Principal of the Managing Owner from November 2006 to January 2016. Mr. Pringle also founded GreenHaven LLC, the former holding company of the Managing Owner, and managed its business operations from September 2006 to February 2011. Mr. Pringle was a registered Associated Person of GreenHaven LLC from September 2006 to February 2011 and was a Principal from November 2006 to February 2011. Mr. Pringle also founded the WisdomTree Coal Services, LLC (formerly known as GreenHaven Coal Services, LLC), and served as its President in charge of managing its business from August 2012 to January 2016. He was a registered Associated Person and Principal of WisdomTree Coal Services, LLC from August 2012 to January 2016. Mr. Pringle is 71 years old.
Cooper Anderson – Chief Financial Officer. Mr. Anderson is a traderfor the Sub-Adviser and is responsible for daily futures trading, cash flow management, treasury portfolio management, and quantitative analysis for the Fund. He became a registered Associated Person and Principalof the Sub-Adviser in November 2015. From May 2007 to February 2011, Mr. Anderson was a managing partner and registered Associated Person of GreenHaven LLC, the former holding company of the Managing Owner. From November 2009 to January 2016, Mr. Anderson was a trader and Chief Financial Officer, and registered Associated Person and Principal of the Managing Owner. From May 2012 to January 2016, Mr. Anderson was the Chief Financial Officer of WisdomTree Coal Services, LLC, and a Principal of WisdomTree Coal Services, LLC. Mr. Anderson was registered as an Associated Person of WisdomTree Coal Services, LLC from June 2012 to January 2016. Mr. Anderson is 38 years old.
Scott Glasing – Trader. Mr. Glasing is a traderfor the Sub-Adviser and is responsible for daily futures trading. He became a registered Associated Person and Principalof the Sub-Adviser in November 2015. Since February 1998, Mr. Glasing has worked for GSC as a trader responsible for daily futures trading. He became a registered Associated Person of GSC in April 1998 and a Principal of GSC in March 1998. From September 2006 to February 2011, Mr. Glasing was a trader responsible for daily futures trading and a registered Associated Person of GreenHaven LLC. From November 2006 to January 2016, Mr. Glasing was a trader responsible for daily futures trading and a registered Associated Person of the Managing Owner and was a Principal from November 2009 to January 2016. From August 2012 to January 2016, Mr. Glasing was a trader responsible for daily futures trading and a registered Associated Person and Principal of WisdomTree Coal Services, LLC. Mr. Glasing is 55 years old.
Tom Fernandes – Partner. Mr. Fernandes is a managing partnerof the Sub-Adviser in charge of managing its business. He became a registered Associated Person and Principalof the Sub-Adviser in November 2015. From October 2006 to August 2012, Mr. Fernandes served as Chief Financial Officer of the Managing Owner and was responsible for managing regulatory compliance, financial reporting, and risk management. Mr. Fernandes was a registered Associated Person of the Managing Owner from November 2006 until February 2016 and was a registered Principal of the Managing Owner from October 2006 until August 2012. From August 2006 to February 2011, Mr. Fernandes was a managing partner and Principal of GreenHaven LLC in charge of managing its business and was a registered Associated Person from September 2006 to February 2011. From August 2012 to October 2014, Mr. Fernandes was Chief Operating Officer and a registered Associated Person and Principal of WisdomTree Coal Services, LLC and was responsible for general corporate strategy and regulatory compliance. Since August 2012, Mr. Fernandes has served as Chief Executive Officer of GSC Agribusiness in charge of managing its business. GSC Agribusiness is a livestock served as Chief Executive Officer of GSC Agribusiness, a livestock producer. Mr. Fernandes is 44 years old.
| Item 11. | Executive Compensation. |
The Fund has no employees, officers or directors and is managed by the Managing Owner. None of the directors or officers of the Managing Owner receive compensation from the Fund. The Managing Owner receives a monthly management fee of 1/12 of 0.85% (0.85% annually) of the average daily net assets of the Fund during the preceding month. During 2017, 2016, and 2015, the Fund incurred management fees of $1,513,176, $1,860,871, and $2,121,828, respectively. Effective January 1, 2017, the Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Fund. During 2017, the waiver amounted to $178,022.
| Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. |
The Fund has no officers or directors. The following table sets forth certain information regarding beneficial ownership of the Fund’s General Shares and Limited Shares as of December 31, 2017, by the Managing Owner. No person is known by us to own beneficially more than 5% of the outstanding shares of such class.
| | | | |
Title of Class | | Name/Address of Beneficial Owner | | Amount/Nature of Beneficial Ownership |
General Shares | | WisdomTree Commodity Services, LLC 245 Park Avenue, 35th Floor New York, New York 10167 | | 50 Shares |
| Item 13. | Certain Relationships and Related Transactions and Director Independence. |
None.
| Item 14. | Principal Accountant Fees and Services. |
Audit andNon-Audit Fees
Fees for services performed by EY for the years ended December 31, 2017 and December 31, 2016 are set forth in the chart below.
| | | | | | | | |
| | | 2017 | | | 2016 | |
Audit fees | | $ | 265,000 | | | $ | 75,000 | |
Audit-related fees | | | — | | | | — | |
Tax fees | | | — | | | | — | |
All other fees | | | — | | | | — | |
| | | | | | | | |
Total | | $ | 265,000 | | | $ | 75,000 | |
| | | | | | | | |
Approval of Independent Registered Public Accounting Firm Services and Fees
The Managing Owner approved 100% of the services provided by the Funds’ independent registered public accounting firm described above. For the year ended December 31, 2017, the Managing Ownerpre-approved all audit and allowednon-audit services of the Fund’s independent registered public accounting firm, including all engagement fees and terms.
PART IV
| Item 15. | Exhibits, Financial Statement Schedules. |
See “Index to Financial Statements” on pageF-1 for a list of the financial statements being filed as part of this Annual Report. Schedules may have been omitted since they are either not required, not applicable, or the information has otherwise been included.
| (1) | Incorporated by reference to Exhibit 3.1 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (2) | Incorporated by reference to Exhibit 3.3 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (3) | Incorporated by reference to ExhibitA-2 of the Fund’spre-effective Registration Statement on FormS-1 filed November 3, 2006. |
| (4) | Incorporated by reference to Exhibit 3.2 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (5) | Incorporated by reference to ExhibitA-1 of the Fund’spre-effective Registration Statement on FormS-1 filed November 3, 2006. |
| (6) | Incorporated by reference to Exhibit 3.4 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (7) | Incorporated by reference to Exhibit 10.1 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (8) | Incorporated by reference to Exhibit 10.2 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (9) | Incorporated by reference to Exhibit 10.3 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (10) | Incorporated by reference to Exhibit 10.4 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (11) | Incorporated by reference to Exhibit 10.5 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (12) | Incorporated by reference to Exhibit 10.6 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
| (13) | Incorporated by reference to Exhibit 10.7 of the Fund’s Current Report on Form8-K filed January 4, 2016. |
The Funds have elected not to include a summary of information required by Form10-K.
WisdomTree Continuous Commodity Index Fund
WisdomTree Continuous Commodity Index Master Fund
Index to Financial Statements
| | | | |
| | | Page | |
| | 48 |
| | | F - 2 | |
| |
Report of Independent Registered Public Accounting Firm on the GreenHaven(WisdomTree Continuous Commodity Index Fund) | | | F - 3 | |
| |
Report of Independent Registered Public Accounting Firm (WisdomTree Continuous Commodity Index Fund) | | | F - 4 | |
| |
Report of Independent Registered Public Accounting Firm (WisdomTree Continuous Commodity Index Master FundFund) | | 49 |
| | | F - 5 | |
| |
GreenHavenReport of Independent Registered Public Accounting Firm (WisdomTree Continuous Commodity Index Master Fund)
| | | F - 6 | |
| |
Report of Independent Registered Public Accounting Firm (WisdomTree Continuous Commodity Index Master Fund) | | | F - 7 | |
| |
WisdomTree Continuous Commodity Index Fund Financial Statements | | |
| F - 8 | |
| |
Consolidated Statements of Financial Condition as of December 31, 20142017 and 20132016 | | 50 |
| | | F - 8 | |
| |
Consolidated Schedule of Investments as of December 31, 20142017 | | 51 |
| | | F - 9 | |
| |
Consolidated Schedule of Investments as of December 31, 20132016 | | 52 |
| | | F - 11 | |
| |
Consolidated Statements of Income and Expenses for the years ended December 31, 2014, 20132017, 2016 and 20122015 | | 53 |
| | | F - 13 | |
| |
Consolidated Statement of Changes in Shareholders’ Equity for the year ended December 31, 20142017 | | 54 |
| | | F - 14 | |
| |
Consolidated Statement of Changes in Shareholders’ Equity for the year ended December 31, 20132016 | | 55 |
| | | F - 15 | |
| |
Consolidated Statement of Changes in Shareholders’ Equity for the year ended December 31, 20122015 | | 56 |
| | | F - 16 | |
| |
Consolidated Statements of Cash Flows for the years ended December 31, 2014, 20132017, 2016 and 20122015 | | 57 |
| | | F - 17 | |
| |
GreenHavenWisdomTree Continuous Commodity Index Master Fund Financial Statements
| | |
| F - 18 | |
| |
Statements of Financial Condition as of December 31, 20142017 and 20132016 | | 58 |
| | | F - 18 | |
| |
Schedule of Investments as of December 31, 20142017 | | 59 |
| | | F - 19 | |
| |
Schedule of Investments as of December 31, 20132016 | | 60 |
| | | F - 21 | |
| |
Statements of Income and Expenses for the years ended December 31, 2014, 2013,2017, 2016 and 20122015 | | 61 |
| | | F - 23 | |
| |
Statement of Changes in Shareholders’ Equity for the yearyears ended December 31, 20142017 | | 62 |
| | | F - 24 | |
| |
Statement of Changes in Shareholders’ Equity for the yearyears ended December 31, 20132016 | | 63 |
| | | F - 25 | |
| |
Statement of Changes in Shareholders’ Equity for the yearyears ended December 31, 20122015 | | 64 |
| | | F - 26 | |
| |
Statements of Cash Flows for the years ended December 31, 2014, 2013,2017, 2016 and 20122015 | | 65 |
| | | F - 27 | |
| |
Notes to the Consolidated Financial Statements | | 66 | F - 28 | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
BoardReport of ManagersIndependent Registered Public Accounting Firm
To the Managing Owner and Shareholders of
GreenHaven WisdomTree Continuous Commodity Index Fund:Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statements of financial condition, including the consolidated schedules of investments, of GreenHavenWisdomTree Continuous Commodity Index Fund (a Delaware Statutory Trust) and subsidiary(the “Fund”) as of December 31, 20142017 and 2013,2016, and the related consolidated statements of income and expenses, changes in shareholders’ equity and cash flows for each of the threetwo years in the period ended December 31, 2014. 2017, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund at December 31, 2017 and 2016, and the consolidated results of its operations and its cash flows for each of the two years in the period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the Fund’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control-Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework), and our report dated February 28, 2018 expressed an unqualified opinion thereon.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
/s/ ERNST & YOUNG LLP
We have served as the Fund’s auditor since 2016.
New York, NY
February 28, 2018
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Managing Owner and Shareholders of the
WisdomTree Continuous Commodity Index Fund
(f/k/a GreenHaven Continuous Commodity Index Fund):
We have audited the accompanying consolidated statement of financial condition, including the consolidated schedule of investments, of the WisdomTree Continuous Commodity Index Fund (a Delaware Statutory Trust) and subsidiary (collectively, the “Fund”), as of December 31, 2015 (not presented herein), and the related consolidated statements of income and expenses, changes in shareholders’ equity, and cash flows for the year ended December 31, 2015. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.audit.
We conducted our auditsaudit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. 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 audits provideaudit provides a reasonable basis for our opinion.
In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of GreenHaventhe WisdomTree Continuous Commodity Index Fund and subsidiary, as of December 31, 2014 and 2013,2015 (not presented herein), and the results of their operations and their cash flows for each of the three years in the periodyear ended December 31, 20142015 in conformity with accounting principles generally accepted in the United States of America.
/s/ GRANT THORNTON LLP
Atlanta, Georgia
March 15, 2016
Report of Independent Registered Public Accounting Firm
To the Managing Owner and Shareholders of WisdomTree Continuous Commodity Index Fund
Opinion on Internal Control over Financial Reporting
We have audited WisdomTree Continuous Commodity Index Fund’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) (the COSO criteria). In our opinion, WisdomTree Continuous Commodity Index Fund (the “Fund”) maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017, based on the COSO criteria.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the GreenHaven Continuous Commodity Index Fund’s internal control over financial reporting as of December 31, 2014, based on criteria established in the 2013Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated March 6, 2015 expressed an unqualified opinion thereon.
/s/ GRANT THORNTON LLP
Atlanta, Georgia
March 6, 2015
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMBoard of Managers and Shareholders of
GreenHaven Continuous Commodity Index Master Fund:
We have audited the accompanying consolidated statements of financial condition, including the consolidated schedules of investments of GreenHaven Continuous Commodity Index Master Fund (a Delaware Statutory Trust) as of December 31, 20142017 and 2013, and2016, the related consolidated statements of income and expenses, changes in shareholders’ equity and cash flows for each of the threetwo years in the period ended December 31, 2014. These financial statements are2017, and the responsibility of GreenHaven Continuous Commodity Index Master Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standardsrelated notes of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. 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 audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of GreenHaven Continuous Commodity Index Master Fund as of December 31, 2014 and 2013, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2014 in conformity with accounting principles generally accepted in the United States of America.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the GreenHaven Continuous Commodity Index Master Fund’s internal control over financial reporting as of December 31, 2014, based on criteria established in the 2013Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated March 6, 2015February 28, 2018 expressed an unqualified opinion thereon.
/s/ GRANT THORNTON LLPBasis for Opinion
Atlanta, Georgia
March 6, 2015
December 31, 2014 and 2013
| | | | | | | |
| | | 2014 | | | 2013 | |
| Assets | | | | | | |
| Equity in broker trading accounts: | | | | | | |
Short-term investments (cost $199,994,069 and $199,996,365 as of 2014 and 2013, respectively) | | $ | 199,995,250 | | | $ | 199,998,800 | |
| Cash held by broker | | | 94,433,074 | | | | 124,417,599 | |
| Net unrealized depreciation on futures contracts | | | (27,249,076 | ) | | | (4,055,188 | ) |
| Total assets | | $ | 267,179,248 | | | $ | 320,361,211 | |
| | | | | | | | | |
| Liabilities and shareholders’ equity | | | | | | | | |
| Management fee payable to related party | | | 205,492 | | | | 241,143 | |
| Accrued brokerage fees and expenses payable | | | 75,622 | | | | 127,484 | |
| Total liabilities | | | 281,114 | | | | 368,627 | |
| | | | | | | | | |
| Shareholders’ equity | | | | | | | | |
| General Units: | | | | | | | | |
| Paid in capital - 50 units issued | | | 1,500 | | | | 1,500 | |
| Accumulated deficit | | | (360 | ) | | | (215 | ) |
| Total General Units | | | 1,140 | | | | 1,285 | |
| Limited Units: | | | | | | | | |
Paid in capital - 11,700,000 and 12,450,000 redeemable shares issued and outstanding as of 2014 and 2013, respectively | | | 350,523,308 | | | | 364,838,413 | |
| Accumulated deficit | | | (83,626,314 | ) | | | (44,847,114 | ) |
| | | | | | | | | |
| Total Limited Units | | | 266,896,994 | | | | 319,991,299 | |
| | | | | | | | | |
| Total shareholders’ equity | | | 266,898,134 | | | | 319,992,584 | |
| Total liabilities and shareholders’ equity | | $ | 267,179,248 | | | $ | 320,361,211 | |
| | | | | | | | | |
| Net asset value per share | | | | | | | | |
| | | | | | | | | |
| General Units | | $ | 22.80 | | | $ | 25.70 | |
| | | | | | | | | |
| Limited Units | | $ | 22.81 | | | $ | 25.70 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
December 31, 2014
| | | | | | | | | | |
| | | Percentage | | | Fair | | | Face | |
| Description | | of Net Assets | | | Value | | | Value | |
| U.S. Treasury Obligations | | | | | | | | | |
| U.S. Treasury Bills, 0.01% due January 22, 2015 | | | 37.47 | % | | $ | 99,998,600 | | | $ | 100,000,000 | |
| U.S. Treasury Bills, 0.03% due March 12, 2015 | | | 18.73 | | | | 49,998,100 | | | | 50,000,000 | |
| U.S. Treasury Bills, 0.06% due March 26, 2015 | | | 18.73 | | | | 49,998,550 | | | | 50,000,000 | |
| Total U.S. Treasury Obligations (cost $199,994,069) | | | 74.93 | % | | $ | 199,995,250 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | |
| | | Percentage | | | Fair | | | Notional | |
| Description | | of Net Assets | | | Value | | | Value | |
| Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
| Cocoa (181 contracts, settlement date July 16, 2015) | | | 0.03 | % | | $ | 83,950 | | | $ | 5,229,090 | |
| Cocoa (181 contracts, settlement date May 13, 2015) | | | (0.13 | ) | | | (334,480 | ) | | | 5,234,520 | |
| Cocoa (181 contracts, settlement date March 16, 2015) | | | (0.12 | ) | | | (316,920 | ) | | | 5,267,100 | |
| Coffee (82 contracts, settlement date July 21, 2015) | | | (0.25 | ) | | | (671,513 | ) | | | 5,285,925 | |
| Coffee (82 contracts, settlement date May 18, 2015) | | | (0.27 | ) | | | (719,438 | ) | | | 5,205,975 | |
| Coffee (83 contracts, settlement date March 19, 2015) | | | (0.28 | ) | | | (747,038 | ) | | | 5,185,425 | |
| Copper (74 contracts, settlement date July 29, 2015) | | | (0.12 | ) | | | (320,262 | ) | | | 5,227,175 | |
| Copper (74 contracts, settlement date May 27, 2015) | | | (0.22 | ) | | | (584,150 | ) | | | 5,223,475 | |
| Copper (74 contracts, settlement date March 27, 2015) | | | (0.21 | ) | | | (559,600 | ) | | | 5,227,175 | |
| Corn (258 contracts, settlement date July 14, 2015) | | | 0.04 | | | | 101,863 | | | | 5,321,250 | |
| Corn (258 contracts, settlement date May 14, 2015) | | | 0.09 | | | | 250,975 | | | | 5,234,175 | |
| Corn (259 contracts, settlement date March 13, 2015) | | | 0.09 | | | | 242,600 | | | | 5,141,150 | |
| Cotton (171 contracts, settlement date July 09, 2015) | | | 0.00 | * | | | 5,610 | | | | 5,301,000 | |
| Cotton (171 contracts, settlement date May 06, 2015) | | | (0.12 | ) | | | (316,150 | ) | | | 5,221,485 | |
| Cotton (171 contracts, settlement date March 09, 2015) | | | (0.27 | ) | | | (716,905 | ) | | | 5,153,085 | |
| Gold (44 contracts, settlement date June 26, 2015) | | | 0.03 | | | | 88,470 | | | | 5,215,760 | |
| Gold (44 contracts, settlement date April 28, 2015) | | | (0.17 | ) | | | (446,860 | ) | | | 5,213,560 | |
| Gold (44 contracts, settlement date February 25, 2015) | | | (0.13 | ) | | | (335,420 | ) | | | 5,210,040 | |
| Lean Hogs (113 contracts, settlement date July 15, 2015) | | | (0.07 | ) | | | (176,480 | ) | | | 4,098,510 | |
| Lean Hogs (113 contracts, settlement date June 12, 2015) | | | (0.07 | ) | | | (188,950 | ) | | | 4,138,060 | |
| Lean Hogs (113 contracts, settlement date April 15, 2015) | | | (0.07 | ) | | | (197,270 | ) | | | 3,764,030 | |
| Lean Hogs (113 contracts, settlement date February 13, 2015) | | | (0.12 | ) | | | (315,750 | ) | | | 3,670,240 | |
| Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | | | (0.33 | ) | | | (893,390 | ) | | | 3,172,050 | |
| Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015) | | | (0.38 | ) | | | (1,019,440 | ) | | | 3,187,680 | |
| Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015) | | | (0.57 | ) | | | (1,532,690 | ) | | | 3,147,080 | |
| Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015) | | | (0.58 | ) | | | (1,560,200 | ) | | | 3,114,600 | |
| Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015) | | | (0.58 | ) | | | (1,550,530 | ) | | | 3,089,660 | |
| Live Cattle (82 contracts, settlement date June 30, 2015) | | | (0.04 | ) | | | (114,190 | ) | | | 5,080,720 | |
| Live Cattle (81 contracts, settlement date April 30, 2015) | | | 0.08 | | | | 218,730 | | | | 5,261,760 | |
| Live Cattle (81 contracts, settlement date February 27, 2015) | | | 0.09 | | | | 242,130 | | | | 5,299,020 | |
| Natural Gas (108 contracts, settlement date May 27, 2015) | | | (0.25 | ) | | | (668,300 | ) | | | 3,189,240 | |
| Natural Gas (108 contracts, settlement date April 28, 2015) | | | (0.26 | ) | | | (694,840 | ) | | | 3,136,320 | |
| Natural Gas (108 contracts, settlement date March 27, 2015) | | | (0.29 | ) | | | (786,680 | ) | | | 3,111,480 | |
| Natural Gas (108 contracts, settlement date February 25, 2015) | | | (0.37 | ) | | | (1,000,490 | ) | | | 3,127,680 | |
| Natural Gas (108 contracts, settlement date January 28, 2015) | | | (0.40 | ) | | | (1,071,100 | ) | | | 3,120,120 | |
| NY Harbor ULSD (42 contracts, settlement date May 29, 2015) | | | (0.33 | ) | | | (873,041 | ) | | | 3,200,602 | |
| NY Harbor ULSD (41 contracts, settlement date April 30, 2015) | | | (0.32 | ) | | | (861,353 | ) | | | 3,105,627 | |
| NY Harbor ULSD (41 contracts, settlement date March 31, 2015) | | | (0.50 | ) | | | (1,337,461 | ) | | | 3,104,594 | |
| NY Harbor ULSD (41 contracts, settlement date February 27, 2015) | | | (0.53 | ) | | | (1,409,974 | ) | | | 3,129,218 | |
| NY Harbor ULSD (41 contracts, settlement date January 30, 2015) | | | (0.50 | ) | | | (1,333,559 | ) | | | 3,157,459 | |
| Platinum (130 contracts, settlement date July 29, 2015) | | | 0.01 | | | | 33,995 | | | | 7,871,500 | |
| Platinum (129 contracts, settlement date April 28, 2015) | | | 0.01 | | | | 20,485 | | | | 7,801,275 | |
| Silver (66 contracts, settlement date July 29, 2015) | | | (0.02 | ) | | | (47,050 | ) | | | 5,168,460 | |
| Silver (67 contracts, settlement date May 27, 2015) | | | (0.35 | ) | | | (940,295 | ) | | | 5,236,720 | |
| Silver (67 contracts, settlement date March 27, 2015) | | | (0.34 | ) | | | (913,105 | ) | | | 5,225,665 | |
| Soybean (101 contracts, settlement date July 14, 2015) | | | (0.03 | ) | | | (92,050 | ) | | | 5,236,850 | |
| Soybean (101 contracts, settlement date May 14, 2015) | | | (0.07 | ) | | | (199,812 | ) | | | 5,204,025 | |
| Soybean (102 contracts, settlement date March 13, 2015) | | | (0.06 | ) | | | (163,712 | ) | | | 5,219,850 | |
| Soybean Oil (269 contracts, settlement date July 14, 2015) | | | (0.04 | ) | | | (102,582 | ) | | | 5,253,570 | |
| Soybean Oil (269 contracts, settlement date May 14, 2015) | | | (0.13 | ) | | | (336,222 | ) | | | 5,221,290 | |
| Soybean Oil (270 contracts, settlement date March 13, 2015) | | | (0.13 | ) | | | (337,578 | ) | | | 5,206,680 | |
| Sugar (314 contracts, settlement date June 30, 2015) | | | (0.17 | ) | | | (441,795 | ) | | | 5,363,120 | |
| Sugar (315 contracts, settlement date April 30, 2015) | | | (0.31 | ) | | | (834,389 | ) | | | 5,263,776 | |
| Sugar (315 contracts, settlement date February 27, 2015) | | | (0.39 | ) | | | (1,039,808 | ) | | | 5,122,656 | |
| Wheat (176 contracts, settlement date July 14, 2015) | | | 0.12 | | | | 314,688 | | | | 5,258,000 | |
| Wheat (176 contracts, settlement date May 14, 2015) | | | 0.04 | | | | 106,325 | | | | 5,231,600 | |
| Wheat (176 contracts, settlement date March 13, 2015) | | | 0.05 | | | | 143,925 | | | | 5,189,800 | |
| Net Unrealized Depreciation on Futures Contracts | | | (10.21 | )% | | $ | (27,249,076 | ) | | $ | 266,577,952 | |
* | Denotes greater than 0.000% yet less than 0.005% |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
December 31, 2013
| | | | | | | | | | |
| | | Percentage | | | Fair | | | Face | |
| Description | | of Net Assets | | | Value | | | Value | |
| U.S. Treasury Obligations | | | | | | | | | |
| U.S. Treasury Bills, 0.01% due January 16, 2014 | | | 15.62 | % | | $ | 49,999,850 | | | $ | 50,000,000 | |
| U.S. Treasury Bills, 0.01% due January 23, 2014 | | | 46.88 | | | | 149,998,950 | | | | 150,000,000 | |
| Total U.S. Treasury Obligations (cost $199,996,365) | | | 62.50 | % | | $ | 199,998,800 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | |
| | | Percentage | | | Fair | | | Notional | |
| Description | | of Net Assets | | | Value | | | Value | |
| Unrealized Appreciation/(Depreciation) on Futures Contracts | | | �� | | | | | | | | | |
| Cocoa (231 contracts, settlement date July 16, 2014) | | | 0.01 | % | | $ | 35,760 | | | $ | 6,292,440 | |
| Cocoa (231 contracts, settlement date May 14, 2014) | | | 0.13 | | | | 411,440 | | | | 6,273,960 | |
| Cocoa (231 contracts, settlement date March 14, 2014) | | | 0.12 | | | | 381,180 | | | | 6,257,790 | |
| Coffee (148 contracts, settlement date July 21, 2014) | | | 0.07 | | | | 216,881 | | | | 6,388,050 | |
| Coffee (148 contracts, settlement date May 19, 2014) | | | (0.17 | ) | | | (536,812 | ) | | | 6,268,725 | |
| Coffee (148 contracts, settlement date March 19, 2014) | | | (0.17 | ) | | | (545,550 | ) | | | 6,143,850 | |
| Copper (74 contracts, settlement date July 29, 2014) | | | 0.06 | | | | 200,375 | | | | 6,240,975 | |
| Copper (74 contracts, settlement date May 28, 2014) | | | 0.07 | | | | 207,963 | | | | 6,262,250 | |
| Copper (74 contracts, settlement date March 27, 2014) | | | 0.08 | | | | 240,550 | | | | 6,283,525 | |
| Corn (292 contracts, settlement date July 14, 2014) | | | (0.05 | ) | | | (170,225 | ) | | | 6,380,200 | |
| Corn (292 contracts, settlement date May 14, 2014) | | | (0.19 | ) | | | (618,075 | ) | | | 6,281,650 | |
| Corn (292 contracts, settlement date March 14, 2014) | | | (0.20 | ) | | | (625,900 | ) | | | 6,161,200 | |
| Cotton (149 contracts, settlement date July 09, 2014) | | | 0.09 | | | | 301,180 | | | | 6,256,510 | |
| Cotton (149 contracts, settlement date May 07, 2014) | | | 0.00 | * | | | (10,605 | ) | | | 6,287,800 | |
| Cotton (148 contracts, settlement date March 07, 2014) | | | (0.02 | ) | | | (59,930 | ) | | | 6,263,360 | |
| Gold (52 contracts, settlement date June 26, 2014) | | | (0.15 | ) | | | (487,650 | ) | | | 6,258,720 | |
| Gold (52 contracts, settlement date April 28, 2014) | | | (0.15 | ) | | | (482,440 | ) | | | 6,255,600 | |
| Gold (52 contracts, settlement date February 26, 2014) | | | (0.17 | ) | | | (529,510 | ) | | | 6,251,960 | |
| Lean Hogs (125 contracts, settlement date July 15, 2014) | | | 0.02 | | | | 72,180 | | | | 4,942,500 | |
| Lean Hogs (125 contracts, settlement date June 13, 2014) | | | 0.01 | | | | 46,480 | | | | 5,007,500 | |
| Lean Hogs (125 contracts, settlement date April 14, 2014) | | | 0.07 | | | | 229,450 | | | | 4,533,750 | |
| Lean Hogs (126 contracts, settlement date February 14, 2014) | | | 0.00 | ** | | | 9,330 | | | | 4,305,420 | |
| Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014) | | | 0.04 | | | | 136,060 | | | | 3,793,920 | |
| Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014) | | | 0.05 | | | | 144,650 | | | | 3,723,620 | |
| Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014) | | | 0.02 | | | | 55,240 | | | | 3,740,720 | |
| Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014) | | | 0.01 | | | | 31,670 | | | | 3,744,900 | |
| Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014) | | | 0.00 | ** | | | 5,710 | | | | 3,739,960 | |
| Live Cattle (118 contracts, settlement date June 30, 2014) | | | 0.01 | | | | 44,040 | | | | 6,108,860 | |
| Live Cattle (117 contracts, settlement date April 30, 2014) | | | 0.06 | | | | 187,100 | | | | 6,332,040 | |
| Live Cattle (118 contracts, settlement date February 28, 2014) | | | 0.10 | | | | 335,300 | | | | 6,354,300 | |
| Natural Gas (91 contracts, settlement date May 28, 2014) | | | 0.12 | | | | 397,390 | | | | 3,743,740 | |
| Natural Gas (91 contracts, settlement date April 28, 2014) | | | 0.13 | | | | 412,180 | | | | 3,726,450 | |
| Natural Gas (91 contracts, settlement date March 27, 2014) | | | 0.11 | | | | 362,890 | | | | 3,735,550 | |
| Natural Gas (90 contracts, settlement date February 26, 2014) | | | 0.12 | | | | 383,380 | | | | 3,773,700 | |
| Natural Gas (90 contracts, settlement date January 29, 2014) | | | 0.12 | | | | 395,000 | | | | 3,807,000 | |
| NY Harbor ULSD (30 contracts, settlement date May 30, 2014) *** | | | 0.06 | | | | 205,317 | | | | 3,810,996 | |
| NY Harbor ULSD (30 contracts, settlement date April 30, 2014) *** | | | 0.07 | | | | 207,673 | | | | 3,822,714 | |
| NY Harbor ULSD (29 contracts, settlement date March 31, 2014) *** | | | 0.04 | | | | 116,840 | | | | 3,706,983 | |
| NY Harbor ULSD (29 contracts, settlement date February 28, 2014) *** | | | 0.03 | | | | 102,001 | | | | 3,719,528 | |
| NY Harbor ULSD (29 contracts, settlement date January 31, 2014) *** | | | 0.04 | | | | 113,904 | | | | 3,733,414 | |
| Platinum (137 contracts, settlement date July 29, 2014) | | | (0.15 | ) | | | (490,930 | ) | | | 9,430,395 | |
| Platinum (137 contracts, settlement date April 28, 2014) | | | (0.18 | ) | | | (574,305 | ) | | | 9,410,530 | |
| Silver (64 contracts, settlement date July 29, 2014) | | | (0.18 | ) | | | (567,615 | ) | | | 6,220,160 | |
| Silver (65 contracts, settlement date May 28, 2014) | | | (0.15 | ) | | | (490,235 | ) | | | 6,306,625 | |
| Silver (65 contracts, settlement date March 27, 2014) | | | (0.15 | ) | | | (479,325 | ) | | | 6,295,250 | |
| Soybean (98 contracts, settlement date July 14, 2014) | | | 0.06 | | | | 182,763 | | | | 6,196,050 | |
| Soybean (98 contracts, settlement date May 14, 2014) | | | 0.11 | | | | 344,875 | | | | 6,257,300 | |
| Soybean (98 contracts, settlement date March 14, 2014) | | | 0.13 | | | | 401,825 | | | | 6,333,250 | |
| Soybean Oil (266 contracts, settlement date July 14, 2014) | | | (0.12 | ) | | | (397,332 | ) | | | 6,361,656 | |
| Soybean Oil (264 contracts, settlement date May 14, 2014) | | | (0.15 | ) | | | (466,266 | ) | | | 6,255,216 | |
| Soybean Oil (264 contracts, settlement date March 14, 2014) | | | (0.14 | ) | | | (450,534 | ) | | | 6,198,192 | |
| Sugar (338 contracts, settlement date June 30, 2014) | | | (0.12 | ) | | | (385,806 | ) | | | 6,333,309 | |
| Sugar (338 contracts, settlement date April 30, 2014) | | | (0.11 | ) | | | (337,557 | ) | | | 6,268,954 | |
| Sugar (339 contracts, settlement date February 28, 2014) | | | (0.14 | ) | | | (462,112 | ) | | | 6,230,549 | |
| Wheat (205 contracts, settlement date July 14, 2014) | | | (0.17 | ) | | | (549,650 | ) | | | 6,321,687 | |
| Wheat (205 contracts, settlement date May 14, 2014) | | | (0.20 | ) | | | (627,613 | ) | | | 6,273,000 | |
| Wheat (205 contracts, settlement date March 14, 2014) | | | (0.20 | ) | | | (627,788 | ) | | | 6,203,812 | |
| Net Unrealized Depreciation on Futures Contracts | | | (1.27 | )% | | $ | (4,055,188 | ) | | $ | 319,612,065 | |
* | Denotes less than 0.000% yet greater than (0.005)% |
** | Denotes greater than 0.000% yet less than 0.005% |
*** | The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013 |
See accompanying notes to consolidated financial statements
| | | | | | | | | | |
| | | 2014 | | | 2013 | | | 2012 | |
| Income | | | | | | | | | |
| Interest Income | | $ | 44,304 | | | $ | 189,643 | | | $ | 331,044 | |
| | | | | | | | | | | | | |
| Expenses | | | | | | | | | | | | |
| Management fee to related party | | | 2,835,654 | | | | 3,500,487 | | | | 4,637,997 | |
| Brokerage fees and expenses | | | 667,213 | | | | 823,644 | | | | 377,195 | |
| Total expenses | | | 3,502,867 | | | | 4,324,131 | | | | 5,015,192 | |
| Net Investment Loss | | | (3,458,563 | ) | | | (4,134,488 | ) | | | (4,684,148 | ) |
| | | | | | | | | | | | | |
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | | | | | | | | | | | | |
| Realized Gain (Loss) on | | | | | | | | | | | | |
| Investments | | | - | | | | (10,376 | ) | | | 1,429 | |
| Futures Contracts | | | (12,125,640 | ) | | | (53,539,832 | ) | | | (55,222,884 | ) |
| Net Realized Loss | | | (12,125,640 | ) | | | (53,550,208 | ) | | | (55,221,455 | ) |
| Net Change in Unrealized Gain (Loss) on | | | | | | | | | | | | |
| Investments | | | (1,254 | ) | | | (13,546 | ) | | | 15,980 | |
| Futures Contracts | | | (23,193,888 | ) | | | 8,459,270 | | | | 32,487,331 | |
| Net Change in Unrealized Gain (Loss) | | | (23,195,142 | ) | | | 8,445,724 | | | | 32,503,311 | |
Net Realized and Unrealized Loss on Investments and Futures Contracts | | | (35,320,782 | ) | | | (45,104,484 | ) | | | (22,718,144 | ) |
| | | | | | | | | | | | | |
| Net Loss | | $ | (38,779,345 | ) | | $ | (49,238,972 | ) | | $ | (27,402,292 | ) |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2014| | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance at January 1, 2014 | | | 50 | | | $ | 1,500 | | | $ | (215 | ) | | $ | 1,285 | | | | 12,450,000 | | | $ | 364,838,413 | | | $ | (44,847,114 | ) | | $ | 319,991,299 | | | $ | 319,992,584 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 1,550,000 | | | | 43,387,949 | | | | - | | | | 43,387,949 | | | | 43,387,949 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (2,300,000 | ) | | | (57,703,054 | ) | | | - | | | | (57,703,054 | ) | | | (57,703,054 | ) |
| Net Loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (3,458,548 | ) | | | (3,458,548 | ) | | | (3,458,563 | ) |
Net Realized Loss on Investments and Futures Contracts | | | - | | | | - | | | | (45 | ) | | | (45 | ) | | | - | | | | - | | | | (12,125,595 | ) | | | (12,125,595 | ) | | | (12,125,640 | ) |
| Net Change in Unrealized Loss on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Investments and Futures | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts | | | - | | | | - | | | | (85 | ) | | | (85 | ) | | | - | | | | - | | | | (23,195,057 | ) | | | (23,195,057 | ) | | | (23,195,142 | ) |
| Net Loss | | | - | | | | - | | | | (145 | ) | | | (145 | ) | | | - | | | | - | | | | (38,779,200 | ) | | | (38,779,200 | ) | | | (38,779,345 | ) |
| Balance at December 31, 2014 | | | 50 | | | $ | 1,500 | | | $ | (360 | ) | | $ | 1,140 | | | | 11,700,000 | | | $ | 350,523,308 | | | $ | (83,626,314 | ) | | $ | 266,896,994 | | | $ | 266,898,134 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2013| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance at January 1, 2013 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 900,000 | | | | 25,704,701 | | | | - | | | | 25,704,701 | | | | 25,704,701 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (4,900,000 | ) | | | (131,081,245 | ) | | | - | | | | (131,081,245 | ) | | | (131,081,245 | ) |
| Net Loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (4,134,473 | ) | | | (4,134,473 | ) | | | (4,134,488 | ) |
Net Realized Loss on Investments and Futures Contracts | | | - | | | | - | | | | (171 | ) | | | (171 | ) | | | - | | | | - | | | | (53,550,037 | ) | | | (53,550,037 | ) | | | (53,550,208 | ) |
Net Change in Unrealized Gain on Investments and Futures Contracts | | | - | | | | - | | | | 28 | | | | 28 | | | | - | | | | - | | | | 8,445,696 | | | | 8,445,696 | | | | 8,445,724 | |
| Net Loss | | | - | | | | - | | | | (158 | ) | | | (158 | ) | | | | | | | | | | | (49,238,814 | ) | | | (49,238,814 | ) | | | (49,238,972 | ) |
| Balance at December 31, 2013 | | | 50 | | | $ | 1,500 | | | $ | (215 | ) | | $ | 1,285 | | | | 12,450,000 | | | $ | 364,838,413 | | | $ | (44,847,114 | ) | | $ | 319,991,299 | | | $ | 319,992,584 | |
See accompanying notes to consolidated financial statements
| | | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Total | | | | | |
| | | | | | | | | General | | | | | | | | | Limited | | | Total |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
| Balance at January 1, 2012 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 3,250,000 | | | | 101,149,075 | | | | - | | | | 101,149,075 | | | | 101,149,075 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (6,200,000 | ) | | | (180,296,699 | ) | | | - | | | | (180,296,699 | ) | | | (180,296,699 | ) |
| Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | - | | | | - | | | | (13 | ) | | | (13 | ) | | | - | | | | - | | | | (4,684,135 | ) | | | (4,684,135 | ) | | | (4,684,148 | ) |
Net realized loss on Investments and Futures Contracts | | | - | | | | - | | | | (135 | ) | | | (135 | ) | | | - | | | | - | | | | (55,221,320 | ) | | | (55,221,320 | ) | | | (55,221,455 | ) |
Net change in unrealized gain on Investments and Futures Contracts | | | - | | | | - | | | | 93 | | | | 93 | | | | - | | | | - | | | | 32,503,218 | | | | 32,503,218 | | | | 32,503,311 | |
| Net loss | | | - | | | | - | | | | (55 | ) | | | (55 | ) | | | - | | | | - | | | | (27,402,237 | ) | | | (27,402,237 | ) | | | (27,402,292 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance at December 31, 2012 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Cash Flows
For the Years Ended December 31, 2014, 2013 and 2012| | | | | | | | | | |
| | | 2014 | | | 2013 | | | 2012 | |
| | | | | | | | | | |
| Cash flow from operating activities: | | | | | | | | | |
| Net Loss | | $ | (38,779,345 | ) | | $ | (49,238,972 | ) | | $ | (27,402,292 | ) |
Adjustments to reconcile net loss to net cash provided by (used for) operating activities: | | | | | | | | | | | | |
| Purchase of investment securities | | | (778,448,400 | ) | | | (1,484,819,380 | ) | | | (2,089,638,671 | ) |
| Proceeds from sales of investment securities | | | 778,495,000 | | | | 1,754,981,721 | | | | 1,629,991,694 | |
| Net accretion of discount | | | (44,304 | ) | | | (189,643 | ) | | | (331,044 | ) |
| Net realized (gain) loss on investment securities | | | - | | | | 10,376 | | | | (1,429 | ) |
| Unrealized depreciation (appreciation) on investments | | | 23,195,142 | | | | (8,445,724 | ) | | | (32,503,311 | ) |
| Decrease in accrued expenses | | | (87,513 | ) | | | (387,139 | ) | | | (666,087 | ) |
| Net cash provided by (used for) operating activities | | | (15,669,420 | ) | | | 211,911,239 | | | | (520,551,140 | ) |
| | | | | | | | | | | | | |
| Cash flows from financing activities: | | | | | | | | | | | | |
| Proceeds from creation of Limited Units | | | 43,387,949 | | | | 25,704,701 | | | | 101,149,075 | |
| Redemption of Limited Units | | | (57,703,054 | ) | | | (131,081,245 | ) | | | (180,296,699 | ) |
| Increase (decrease) in capital shares payable | | | - | | | | (4,327,722 | ) | | | 2,829,896 | |
| Net cash provided by (used for) financing activities | | | (14,315,105 | ) | | | (109,704,266 | ) | | | (76,317,728 | ) |
| | | | | | | | | | | | | |
| Net change in cash | | | (29,984,525 | ) | | | 102,206,973 | | | | (596,868,868 | ) |
| Cash held by broker at beginning of year | | | 124,417,599 | | | | 22,210,626 | | | | 619,079,494 | |
| Cash held by broker at end of year | | $ | 94,433,074 | | | $ | 124,417,599 | | | $ | 22,210,626 | |
See accompanying notes to consolidated financial statements
December 31, 2014 and 2013
| | | | | | | |
| | | 2014 | | | 2013 | |
| Assets | | | | | | |
| Equity in broker trading accounts: | | | | | | |
| Short-term investments (cost $199,994,069 and $199,996,365 as of 2014 and 2013, respectively) | | $ | 199,995,250 | | | $ | 199,998,800 | |
| Cash held by broker | | | 94,433,074 | | | | 124,417,599 | |
| Net unrealized depreciation on futures contracts | | | (27,249,076 | ) | | | (4,055,188 | ) |
| Total assets | | $ | 267,179,248 | | | $ | 320,361,211 | |
| | | | | | | | | |
| Liabilities and shareholders’ equity | | | | | | | | |
| Management fee payable to related party | | | 205,492 | | | | 241,143 | |
| Accrued brokerage fees and expenses payable | | | 75,622 | | | | 127,484 | |
| Total liabilities | | | 281,114 | | | | 368,627 | |
| | | | | | | | | |
| Shareholders’ equity | | | | | | | | |
| General Units: | | | | | | | | |
| Paid in capital - 50 units issued | | | 1,500 | | | | 1,500 | |
| Accumulated deficit | | | (360 | ) | | | (215 | ) |
| Total General Units | | | 1,140 | | | | 1,285 | |
| Limited Units: | | | | | | | | |
| Paid in capital - 11,700,000 and 12,450,000 redeemable shares issued and outstanding as of 2014 and 2013, respectively | | | 350,523,308 | | | | 364,838,413 | |
| Accumulated deficit | | | (83,626,314 | ) | | | (44,847,114 | ) |
| | | | | | | | | |
| Total Limited Units | | | 266,896,994 | | | | 319,991,299 | |
| | | | | | | | | |
| Total shareholders’ equity | | | 266,898,134 | | | | 319,992,584 | |
| Total liabilities and shareholders’ equity | | $ | 267,179,248 | | | $ | 320,361,211 | |
| | | | | | | | | |
| Net asset value per share | | | | | | | | |
| | | | | | | | | |
| General Units | | $ | 22.80 | | | $ | 25.70 | |
| | | | | | | | | |
| Limited Units | | $ | 22.81 | | | $ | 25.70 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
December 31, 2014
| | | | | | | | | | |
| | | Percentage | | | Fair | | | Face | |
| Description | | of Net Assets | | | Value | | | Value | |
| U.S. Treasury Obligations | | | | | | | | | |
| U.S. Treasury Bills, 0.01% due January 22, 2015 | | | 37.47 | % | | $ | 99,998,600 | | | $ | 100,000,000 | |
| U.S. Treasury Bills, 0.03% due March 12, 2015 | | | 18.73 | | | | 49,998,100 | | | | 50,000,000 | |
| U.S. Treasury Bills, 0.06% due March 26, 2015 | | | 18.73 | | | | 49,998,550 | | | | 50,000,000 | |
| Total U.S. Treasury Obligations (cost $199,994,069) | | | 74.93 | % | | $ | 199,995,250 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | |
| | | Percentage | | | Fair | | | Notional | |
| Description | | of Net Assets | | | Value | | | Value | |
| Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
| Cocoa (181 contracts, settlement date July 16, 2015) | | | 0.03 | % | | $ | 83,950 | | | $ | 5,229,090 | |
| Cocoa (181 contracts, settlement date May 13, 2015) | | | (0.13 | ) | | | (334,480 | ) | | | 5,234,520 | |
| Cocoa (181 contracts, settlement date March 16, 2015) | | | (0.12 | ) | | | (316,920 | ) | | | 5,267,100 | |
| Coffee (82 contracts, settlement date July 21, 2015) | | | (0.25 | ) | | | (671,513 | ) | | | 5,285,925 | |
| Coffee (82 contracts, settlement date May 18, 2015) | | | (0.27 | ) | | | (719,438 | ) | | | 5,205,975 | |
| Coffee (83 contracts, settlement date March 19, 2015) | | | (0.28 | ) | | | (747,038 | ) | | | 5,185,425 | |
| Copper (74 contracts, settlement date July 29, 2015) | | | (0.12 | ) | | | (320,262 | ) | | | 5,227,175 | |
| Copper (74 contracts, settlement date May 27, 2015) | | | (0.22 | ) | | | (584,150 | ) | | | 5,223,475 | |
| Copper (74 contracts, settlement date March 27, 2015) | | | (0.21 | ) | | | (559,600 | ) | | | 5,227,175 | |
| Corn (258 contracts, settlement date July 14, 2015) | | | 0.04 | | | | 101,863 | | | | 5,321,250 | |
| Corn (258 contracts, settlement date May 14, 2015) | | | 0.09 | | | | 250,975 | | | | 5,234,175 | |
| Corn (259 contracts, settlement date March 13, 2015) | | | 0.09 | | | | 242,600 | | | | 5,141,150 | |
| Cotton (171 contracts, settlement date July 09, 2015) | | | 0.00 | * | | | 5,610 | | | | 5,301,000 | |
| Cotton (171 contracts, settlement date May 06, 2015) | | | (0.12 | ) | | | (316,150 | ) | | | 5,221,485 | |
| Cotton (171 contracts, settlement date March 09, 2015) | | | (0.27 | ) | | | (716,905 | ) | | | 5,153,085 | |
| Gold (44 contracts, settlement date June 26, 2015) | | | 0.03 | | | | 88,470 | | | | 5,215,760 | |
| Gold (44 contracts, settlement date April 28, 2015) | | | (0.17 | ) | | | (446,860 | ) | | | 5,213,560 | |
| Gold (44 contracts, settlement date February 25, 2015) | | | (0.13 | ) | | | (335,420 | ) | | | 5,210,040 | |
| Lean Hogs (113 contracts, settlement date July 15, 2015) | | | (0.07 | ) | | | (176,480 | ) | | | 4,098,510 | |
| Lean Hogs (113 contracts, settlement date June 12, 2015) | | | (0.07 | ) | | | (188,950 | ) | | | 4,138,060 | |
| Lean Hogs (113 contracts, settlement date April 15, 2015) | | | (0.07 | ) | | | (197,270 | ) | | | 3,764,030 | |
| Lean Hogs (113 contracts, settlement date February 13, 2015) | | | (0.12 | ) | | | (315,750 | ) | | | 3,670,240 | |
| Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015) | | | (0.33 | ) | | | (893,390 | ) | | | 3,172,050 | |
| Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015) | | | (0.38 | ) | | | (1,019,440 | ) | | | 3,187,680 | |
| Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015) | | | (0.57 | ) | | | (1,532,690 | ) | | | 3,147,080 | |
| Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015) | | | (0.58 | ) | | | (1,560,200 | ) | | | 3,114,600 | |
| Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015) | | | (0.58 | ) | | | (1,550,530 | ) | | | 3,089,660 | |
| Live Cattle (82 contracts, settlement date June 30, 2015) | | | (0.04 | ) | | | (114,190 | ) | | | 5,080,720 | |
| Live Cattle (81 contracts, settlement date April 30, 2015) | | | 0.08 | | | | 218,730 | | | | 5,261,760 | |
| Live Cattle (81 contracts, settlement date February 27, 2015) | | | 0.09 | | | | 242,130 | | | | 5,299,020 | |
| Natural Gas (108 contracts, settlement date May 27, 2015) | | | (0.25 | ) | | | (668,300 | ) | | | 3,189,240 | |
| Natural Gas (108 contracts, settlement date April 28, 2015) | | | (0.26 | ) | | | (694,840 | ) | | | 3,136,320 | |
| Natural Gas (108 contracts, settlement date March 27, 2015) | | | (0.29 | ) | | | (786,680 | ) | | | 3,111,480 | |
| Natural Gas (108 contracts, settlement date February 25, 2015) | | | (0.37 | ) | | | (1,000,490 | ) | | | 3,127,680 | |
| Natural Gas (108 contracts, settlement date January 28, 2015) | | | (0.40 | ) | | | (1,071,100 | ) | | | 3,120,120 | |
| NY Harbor ULSD (42 contracts, settlement date May 29, 2015) | | | (0.33 | ) | | | (873,041 | ) | | | 3,200,602 | |
| NY Harbor ULSD (41 contracts, settlement date April 30, 2015) | | | (0.32 | ) | | | (861,353 | ) | | | 3,105,627 | |
| NY Harbor ULSD (41 contracts, settlement date March 31, 2015) | | | (0.50 | ) | | | (1,337,461 | ) | | | 3,104,594 | |
| NY Harbor ULSD (41 contracts, settlement date February 27, 2015) | | | (0.53 | ) | | | (1,409,974 | ) | | | 3,129,218 | |
| NY Harbor ULSD (41 contracts, settlement date January 30, 2015) | | | (0.50 | ) | | | (1,333,559 | ) | | | 3,157,459 | |
| Platinum (130 contracts, settlement date July 29, 2015) | | | 0.01 | | | | 33,995 | | | | 7,871,500 | |
| Platinum (129 contracts, settlement date April 28, 2015) | | | 0.01 | | | | 20,485 | | | | 7,801,275 | |
| Silver (66 contracts, settlement date July 29, 2015) | | | (0.02 | ) | | | (47,050 | ) | | | 5,168,460 | |
| Silver (67 contracts, settlement date May 27, 2015) | | | (0.35 | ) | | | (940,295 | ) | | | 5,236,720 | |
| Silver (67 contracts, settlement date March 27, 2015) | | | (0.34 | ) | | | (913,105 | ) | | | 5,225,665 | |
| Soybean (101 contracts, settlement date July 14, 2015) | | | (0.03 | ) | | | (92,050 | ) | | | 5,236,850 | |
| Soybean (101 contracts, settlement date May 14, 2015) | | | (0.07 | ) | | | (199,812 | ) | | | 5,204,025 | |
| Soybean (102 contracts, settlement date March 13, 2015) | | | (0.06 | ) | | | (163,712 | ) | | | 5,219,850 | |
| Soybean Oil (269 contracts, settlement date July 14, 2015) | | | (0.04 | ) | | | (102,582 | ) | | | 5,253,570 | |
| Soybean Oil (269 contracts, settlement date May 14, 2015) | | | (0.13 | ) | | | (336,222 | ) | | | 5,221,290 | |
| Soybean Oil (270 contracts, settlement date March 13, 2015) | | | (0.13 | ) | | | (337,578 | ) | | | 5,206,680 | |
| Sugar (314 contracts, settlement date June 30, 2015) | | | (0.17 | ) | | | (441,795 | ) | | | 5,363,120 | |
| Sugar (315 contracts, settlement date April 30, 2015) | | | (0.31 | ) | | | (834,389 | ) | | | 5,263,776 | |
| Sugar (315 contracts, settlement date February 27, 2015) | | | (0.39 | ) | | | (1,039,808 | ) | | | 5,122,656 | |
| Wheat (176 contracts, settlement date July 14, 2015) | | | 0.12 | | | | 314,688 | | | | 5,258,000 | |
| Wheat (176 contracts, settlement date May 14, 2015) | | | 0.04 | | | | 106,325 | | | | 5,231,600 | |
| Wheat (176 contracts, settlement date March 13, 2015) | | | 0.05 | | | | 143,925 | | | | 5,189,800 | |
| Net Unrealized Depreciation on Futures Contracts | | | (10.21 | )% | | $ | (27,249,076 | ) | | $ | 266,577,952 | |
* | Denotes greater than 0.000% yet less than 0.005% |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
December 31, 2013
| | | | | | | | | | |
| | | Percentage | | | Fair | | | Face | |
| Description | | of Net Assets | | | Value | | | Value | |
| U.S. Treasury Obligations | | | | | | | | | |
| U.S. Treasury Bills, 0.01% due January 16, 2014 | | | 15.62 | % | | $ | 49,999,850 | | | $ | 50,000,000 | |
| U.S. Treasury Bills, 0.01% due January 23, 2014 | | | 46.88 | | | | 149,998,950 | | | | 150,000,000 | |
| Total U.S. Treasury Obligations (cost $199,996,365) | | | 62.50 | % | | $ | 199,998,800 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | |
| | | Percentage | | | Fair | | | Notional | |
| Description | | of Net Assets | | | Value | | | Value | |
| Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
| Cocoa (231 contracts, settlement date July 16, 2014) | | | 0.01 | % | | $ | 35,760 | | | $ | 6,292,440 | |
| Cocoa (231 contracts, settlement date May 14, 2014) | | | 0.13 | | | | 411,440 | | | | 6,273,960 | |
| Cocoa (231 contracts, settlement date March 14, 2014) | | | 0.12 | | | | 381,180 | | | | 6,257,790 | |
| Coffee (148 contracts, settlement date July 21, 2014) | | | 0.07 | | | | 216,881 | | | | 6,388,050 | |
| Coffee (148 contracts, settlement date May 19, 2014) | | | (0.17 | ) | | | (536,812 | ) | | | 6,268,725 | |
| Coffee (148 contracts, settlement date March 19, 2014) | | | (0.17 | ) | | | (545,550 | ) | | | 6,143,850 | |
| Copper (74 contracts, settlement date July 29, 2014) | | | 0.06 | | | | 200,375 | | | | 6,240,975 | |
| Copper (74 contracts, settlement date May 28, 2014) | | | 0.07 | | | | 207,963 | | | | 6,262,250 | |
| Copper (74 contracts, settlement date March 27, 2014) | | | 0.08 | | | | 240,550 | | | | 6,283,525 | |
| Corn (292 contracts, settlement date July 14, 2014) | | | (0.05 | ) | | | (170,225 | ) | | | 6,380,200 | |
| Corn (292 contracts, settlement date May 14, 2014) | | | (0.19 | ) | | | (618,075 | ) | | | 6,281,650 | |
| Corn (292 contracts, settlement date March 14, 2014) | | | (0.20 | ) | | | (625,900 | ) | | | 6,161,200 | |
| Cotton (149 contracts, settlement date July 09, 2014) | | | 0.09 | | | | 301,180 | | | | 6,256,510 | |
| Cotton (149 contracts, settlement date May 07, 2014) | | | 0.00 | * | | | (10,605 | ) | | | 6,287,800 | |
| Cotton (148 contracts, settlement date March 07, 2014) | | | (0.02 | ) | | | (59,930 | ) | | | 6,263,360 | |
| Gold (52 contracts, settlement date June 26, 2014) | | | (0.15 | ) | | | (487,650 | ) | | | 6,258,720 | |
| Gold (52 contracts, settlement date April 28, 2014) | | | (0.15 | ) | | | (482,440 | ) | | | 6,255,600 | |
| Gold (52 contracts, settlement date February 26, 2014) | | | (0.17 | ) | | | (529,510 | ) | | | 6,251,960 | |
| Lean Hogs (125 contracts, settlement date July 15, 2014) | | | 0.02 | | | | 72,180 | | | | 4,942,500 | |
| Lean Hogs (125 contracts, settlement date June 13, 2014) | | | 0.01 | | | | 46,480 | | | | 5,007,500 | |
| Lean Hogs (125 contracts, settlement date April 14, 2014) | | | 0.07 | | | | 229,450 | | | | 4,533,750 | |
| Lean Hogs (126 contracts, settlement date February 14, 2014) | | | 0.00 | * * | | | 9,330 | | | | 4,305,420 | |
| Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014) | | | 0.04 | | | | 136,060 | | | | 3,793,920 | |
| Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014) | | | 0.05 | | | | 144,650 | | | | 3,723,620 | |
| Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014) | | | 0.02 | | | | 55,240 | | | | 3,740,720 | |
| Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014) | | | 0.01 | | | | 31,670 | | | | 3,744,900 | |
| Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014) | | | 0.00 | * * | | | 5,710 | | | | 3,739,960 | |
| Live Cattle (118 contracts, settlement date June 30, 2014) | | | 0.01 | | | | 44,040 | | | | 6,108,860 | |
| Live Cattle (117 contracts, settlement date April 30, 2014) | | | 0.06 | | | | 187,100 | | | | 6,332,040 | |
| Live Cattle (118 contracts, settlement date February 28, 2014) | | | 0.10 | | | | 335,300 | | | | 6,354,300 | |
| Natural Gas (91 contracts, settlement date May 28, 2014) | | | 0.12 | | | | 397,390 | | | | 3,743,740 | |
| Natural Gas (91 contracts, settlement date April 28, 2014) | | | 0.13 | | | | 412,180 | | | | 3,726,450 | |
| Natural Gas (91 contracts, settlement date March 27, 2014) | | | 0.11 | | | | 362,890 | | | | 3,735,550 | |
| Natural Gas (90 contracts, settlement date February 26, 2014) | | | 0.12 | | | | 383,380 | | | | 3,773,700 | |
| Natural Gas (90 contracts, settlement date January 29, 2014) | | | 0.12 | | | | 395,000 | | | | 3,807,000 | |
| NY Harbor ULSD (30 contracts, settlement date May 30, 2014) *** | | | 0.06 | | | | 205,317 | | | | 3,810,996 | |
| NY Harbor ULSD (30 contracts, settlement date April 30, 2014) *** | | | 0.07 | | | | 207,673 | | | | 3,822,714 | |
| NY Harbor ULSD (29 contracts, settlement date March 31, 2014) *** | | | 0.04 | | | | 116,840 | | | | 3,706,983 | |
| NY Harbor ULSD (29 contracts, settlement date February 28, 2014) *** | | | 0.03 | | | | 102,001 | | | | 3,719,528 | |
| NY Harbor ULSD (29 contracts, settlement date January 31, 2014) *** | | | 0.04 | | | | 113,904 | | | | 3,733,414 | |
| Platinum (137 contracts, settlement date July 29, 2014) | | | (0.15 | ) | | | (490,930 | ) | | | 9,430,395 | |
| Platinum (137 contracts, settlement date April 28, 2014) | | | (0.18 | ) | | | (574,305 | ) | | | 9,410,530 | |
| Silver (64 contracts, settlement date July 29, 2014) | | | (0.18 | ) | | | (567,615 | ) | | | 6,220,160 | |
| Silver (65 contracts, settlement date May 28, 2014) | | | (0.15 | ) | | | (490,235 | ) | | | 6,306,625 | |
| Silver (65 contracts, settlement date March 27, 2014) | | | (0.15 | ) | | | (479,325 | ) | | | 6,295,250 | |
| Soybean (98 contracts, settlement date July 14, 2014) | | | 0.06 | | | | 182,763 | | | | 6,196,050 | |
| Soybean (98 contracts, settlement date May 14, 2014) | | | 0.11 | | | | 344,875 | | | | 6,257,300 | |
| Soybean (98 contracts, settlement date March 14, 2014) | | | 0.13 | | | | 401,825 | | | | 6,333,250 | |
| Soybean Oil (266 contracts, settlement date July 14, 2014) | | | (0.12 | ) | | | (397,332 | ) | | | 6,361,656 | |
| Soybean Oil (264 contracts, settlement date May 14, 2014) | | | (0.15 | ) | | | (466,266 | ) | | | 6,255,216 | |
| Soybean Oil (264 contracts, settlement date March 14, 2014) | | | (0.14 | ) | | | (450,534 | ) | | | 6,198,192 | |
| Sugar (338 contracts, settlement date June 30, 2014) | | | (0.12 | ) | | | (385,806 | ) | | | 6,333,309 | |
| Sugar (338 contracts, settlement date April 30, 2014) | | | (0.11 | ) | | | (337,557 | ) | | | 6,268,954 | |
| Sugar (339 contracts, settlement date February 28, 2014) | | | (0.14 | ) | | | (462,112 | ) | | | 6,230,549 | |
| Wheat (205 contracts, settlement date July 14, 2014) | | | (0.17 | ) | | | (549,650 | ) | | | 6,321,687 | |
| Wheat (205 contracts, settlement date May 14, 2014) | | | (0.20 | ) | | | (627,613 | ) | | | 6,273,000 | |
| Wheat (205 contracts, settlement date March 14, 2014) | | | (0.20 | ) | | | (627,788 | ) | | | 6,203,812 | |
| Net Unrealized Depreciation on Futures Contracts | | | (1.27 | )% | | $ | (4,055,188 | ) | | $ | 319,612,065 | |
* | Denotes less than 0.000% yet greater than (0.005)% |
** | Denotes greater than 0.000% yet less than 0.005% |
*** | The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013 |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
For the Years Ended December 31, 2014, 2013, and 2012
| | | | | | | | | | |
| | | 2014 | | | 2013 | | | 2012 | |
| Income | | | | | | | | | |
| Interest Income | | $ | 44,304 | | | $ | 189,643 | | | $ | 331,044 | |
| | | | | | | | | | | | | |
| Expenses | | | | | | | | | | | | |
| Management fee to related party | | | 2,835,654 | | | | 3,500,487 | | | | 4,637,997 | |
| Brokerage fees and expenses | | | 667,213 | | | | 823,644 | | | | 377,195 | |
| Total expenses | | | 3,502,867 | | | | 4,324,131 | | | | 5,015,192 | |
| Net Investment Loss | | | (3,458,563 | ) | | | (4,134,488 | ) | | | (4,684,148 | ) |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | | | | | | | | | | | | |
| Realized Gain (Loss) on | | | | | | | | | | | | |
| Investments | | | - | | | | (10,376 | ) | | | 1,429 | |
| Futures Contracts | | | (12,125,640 | ) | | | (53,539,832 | ) | | | (55,222,884 | ) |
| Net Realized Loss | | | (12,125,640 | ) | | | (53,550,208 | ) | | | (55,221,455 | ) |
| Net Change in Unrealized Gain (Loss) on | | | | | | | | | | | | |
| Investments | | | (1,254 | ) | | | (13,546 | ) | | | 15,980 | |
| Futures Contracts | | | (23,193,888 | ) | | | 8,459,270 | | | | 32,487,331 | |
| Net Change in Unrealized Gain (Loss) | | | (23,195,142 | ) | | | 8,445,724 | | | | 32,503,311 | |
Net Realized and Unrealized Loss on Investments and Futures Contracts | | | (35,320,782 | ) | | | (45,104,484 | ) | | | (22,718,144 | ) |
| | | | | | | | | | | | | |
| Net Loss | | $ | (38,779,345 | ) | | $ | (49,238,972 | ) | | $ | (27,402,292 | ) |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
For the Year Ended December 31, 2014
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance at January 1, 2014 | | | 50 | | | $ | 1,500 | | | $ | (215 | ) | | $ | 1,285 | | | | 12,450,000 | | | $ | 364,838,413 | | | $ | (44,847,114 | ) | | $ | 319,991,299 | | | $ | 319,992,584 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 1,550,000 | | | | 43,387,949 | | | | - | | | | 43,387,949 | | | | 43,387,949 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (2,300,000 | ) | | | (57,703,054 | ) | | | - | | | | (57,703,054 | ) | | | (57,703,054 | ) |
| Net Loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (3,458,548 | ) | | | (3,458,548 | ) | | | (3,458,563 | ) |
Net Realized Loss on Investments and Futures Contracts | | | - | | | | - | | | | (45 | ) | | | (45 | ) | | | - | | | | - | | | | (12,125,595 | ) | | | (12,125,595 | ) | | | (12,125,640 | ) |
Net Change in Unrealized Loss on Investments and Futures Contracts | | | - | | | | - | | | | (85 | ) | | | (85 | ) | | | - | | | | - | | | | (23,195,057 | ) | | | (23,195,057 | ) | | | (23,195,142 | ) |
| Net Loss | | | - | | | | - | | | | (145 | ) | | | (145 | ) | | | - | | | | - | | | | (38,779,200 | ) | | | (38,779,200 | ) | | | (38,779,345 | ) |
| Balance at December 31, 2014 | | | 50 | | | $ | 1,500 | | | $ | (360 | ) | | $ | 1,140 | | | | 11,700,000 | | | $ | 350,523,308 | | | $ | (83,626,314 | ) | | $ | 266,896,994 | | | $ | 266,898,134 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
For the Year Ended December 31, 2013
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Balance at January 1, 2013 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 900,000 | | | | 25,704,701 | | | | - | | | | 25,704,701 | | | | 25,704,701 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (4,900,000 | ) | | | (131,081,245 | ) | | | - | | | | (131,081,245 | ) | | | (131,081,245 | ) |
| Net Loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (4,134,473 | ) | | | (4,134,473 | ) | | | (4,134,488 | ) |
Net Realized Loss on Investments and Futures Contracts | | | - | | | | - | | | | (171 | ) | | | (171 | ) | | | - | | | | - | | | | (53,550,037 | ) | | | (53,550,037 | ) | | | (53,550,208 | ) |
Net Change in Unrealized Gain on Investments and Futures Contracts | | | - | | | | - | | | | 28 | | | | 28 | | | | - | | | | - | | | | 8,445,696 | | | | 8,445,696 | | | | 8,445,724 | |
| Net Loss | | | - | | | | - | | | | (158 | ) | | | (158 | ) | | | | | | | | | | | (49,238,814 | ) | | | (49,238,814 | ) | | | (49,238,972 | ) |
| Balance at December 31, 2013 | | | 50 | | | $ | 1,500 | | | $ | (215 | ) | | $ | 1,285 | | | | 12,450,000 | | | $ | 364,838,413 | | | $ | (44,847,114 | ) | | $ | 319,991,299 | | | $ | 319,992,584 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
For the Year Ended December 31, 2012
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Total | | | | | |
| | | | | | | | | | | | | | | General | | | | | | | | | | | | | | | Limited | | | Total | |
| | | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
| Balance at January 1, 2012 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
| Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 3,250,000 | | | | 101,149,075 | | | | - | | | | 101,149,075 | | | | 101,149,075 | |
| Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (6,200,000 | ) | | | (180,296,699 | ) | | | - | | | | (180,296,699 | ) | | | (180,296,699 | ) |
| Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | - | | | | - | | | | (13 | ) | | | (13 | ) | | | - | | | | - | | | | (4,684,135 | ) | | | (4,684,135 | ) | | | (4,684,148 | ) |
Net realized loss on Investments and Futures Contracts | | | - | | | | - | | | | (135 | ) | | | (135 | ) | | | - | | | | - | | | | (55,221,320 | ) | | | (55,221,320 | ) | | | (55,221,455 | ) |
Net change in unrealized gain on Investments and Futures Contracts | | | - | | | | - | | | | 93 | | | | 93 | | | | - | | | | - | | | | 32,503,218 | | | | 32,503,218 | | | | 32,503,311 | |
| Net loss | | | - | | | | - | | | | (55 | ) | | | (55 | ) | | | - | | | | - | | | | (27,402,237 | ) | | | (27,402,237 | ) | | | (27,402,292 | ) |
| Balance at December 31, 2012 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
For the Years Ended December 31, 2014, 2013 and 2012
| | | | | | | | | | |
| | | 2014 | | | 2013 | | | 2012 | |
| | | | | | | | | | |
| Cash flow from operating activities: | | | | | | | | | |
| Net Loss | | $ | (38,779,345 | ) | | $ | (49,238,972 | ) | | $ | (27,402,292 | ) |
Adjustments to reconcile net loss to net cash provided by (used for) operating activities: | | | | | | | | | | | | |
| Purchase of investment securities | | | (778,448,400 | ) | | | (1,484,819,380 | ) | | | (2,089,638,671 | ) |
| Proceeds from sales of investment securities | | | 778,495,000 | | | | 1,754,981,721 | | | | 1,629,991,694 | |
| Net accretion of discount | | | (44,304 | ) | | | (189,643 | ) | | | (331,044 | ) |
| Net realized (gain) loss on investment securities | | | - | | | | 10,376 | | | | (1,429 | ) |
| Unrealized depreciation (appreciation) on investments | | | 23,195,142 | | | | (8,445,724 | ) | | | (32,503,311 | ) |
| Decrease in accrued expenses | | | (87,513 | ) | | | (387,139 | ) | | | (666,087 | ) |
| Net cash provided by (used for) operating activities | | | (15,669,420 | ) | | | 211,911,239 | | | | (520,551,140 | ) |
| | | | | | | | | | | | | |
| Cash flows from financing activities: | | | | | | | | | | | | |
| Proceeds from creation of Limited Units | | | 43,387,949 | | | | 25,704,701 | | | | 101,149,075 | |
| Redemption of Limited Units | | | (57,703,054 | ) | | | (131,081,245 | ) | | | (180,296,699 | ) |
| Increase (decrease) in capital shares payable | | | - | | | | (4,327,722 | ) | | | 2,829,896 | |
| Net cash provided by (used for) financing activities | | | (14,315,105 | ) | | | (109,704,266 | ) | | | (76,317,728 | ) |
| | | | | | | | | | | | | |
| Net change in cash | | | (29,984,525 | ) | | | 102,206,973 | | | | (596,868,868 | ) |
| Cash held by broker at beginning of year | | | 124,417,599 | | | | 22,210,626 | | | | 619,079,494 | |
| Cash held by broker at end of year | | $ | 94,433,074 | | | $ | 124,417,599 | | | $ | 22,210,626 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
Notes to Consolidated Financial Statements
Years Ended December 31, 2014, 2013, and 2012
|
(1) Organization
The GreenHaven Continuous Commodity Index Fund (the “Fund”; “Fund” may also refer to the Fund and the Master Fund, collectively as the context requires) was formed as a Delaware statutory trust on October 27, 2006, and GreenHaven Continuous Commodity Index Master Fund (the “Master Fund”), was formed as a Delaware statutory trust on October 27, 2006. The Fund offers common units of beneficial interest (the “Shares”). Upon inception, 50 General Units of the Fund were issued to GreenHaven Commodity Services, LLC (the “Managing Owner”) in exchange for a capital contribution of $1,500. The Managing Owner serves the Fund as commodity pool operator, commodity trading advisor, and managing owner.
The proceeds from the offering of Shares are invested in the Master Fund (See Note 7 for details of the procedures for creation and redemption of Shares in the Fund). The Master Fund actively trades exchange traded futures on the commodities comprising the Thomson Reuters Continuous Commodity Index (the “Index”), with a view to tracking the performance of the Index over time. The Master Fund’s portfolio also includes United States Treasury securities and other high credit-quality short-term fixed income securities for deposit with the Master Fund’s commodity broker as margin. The Fund wholly owns the Master Fund. The Fund and Master Fund commenced investment operations on January 23, 2008 with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca. For a description of the Fund’s offerings following the commencement of trading see Part II, Item 5.
The Index is intended to reflect the performance of certain commodities. Through January 6, 2013 the commodities comprising the Index (the “Index Commodities”) were: Corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, orange juice, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index was revised on January 7, 2013 to include soybean oil and remove orange juice.
The Managing Owner and the Shareholders share in any profits and losses attributable to the Fund in proportion to the percentage interest owned by each.
The Managing Owner, the Fund, and the Master Fund retain the services of third party service providers to operate the ongoing operations of the Fund and the Master Fund (See Note (2)).
(2) Service Providers and Related Party Agreements
(a) “The Trustee” – Delaware Trust Company (formerly CSC Trust Company of Delaware) is the trustee for the Fund and Master Fund. CSC Trust is headquartered in Wilmington, DE.
(b) “The Managing Owner” – GreenHaven Commodity Services, LLC is the managing owner of the Fund and Master Fund and is responsible for the day to day operations of both entities. The Managing Owner charges the Fund a management fee for its services. GreenHaven Commodity Services, LLC is a Delaware limited liability company with operations in Atlanta, GA.
(c) “The Administrator” – The Bank of New York Mellon Corporation has been appointed by the Managing Owner as the administrator, custodian and transfer agent of the Fund and the Master Fund, and has entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). Pursuant to the Administration Agreement, the Administrator performs or supervises the services necessary for the operation and administration of the Fund and the Master Fund (other than making investment decisions), including receiving net asset value calculations, accounting and other fund administrative services. As the Fund’s transfer agent, the Administrator will process creations and redemptions of Shares. These transactions will be processed on Depository Trust Company’s (“DTC’s”) book entry system. The Administrator retains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Bank of New York Mellon Corporation is based in New York, New York.
(d) “The Commodity Broker” – Morgan Stanley & Co. Incorporated (“MS&Co.”) is the Master Fund’s Commodity Broker. In its capacity as the Commodity Broker, it executes and clears each of the Master Fund’s futures transactions and performs certain administrative services for the Master Fund. MS&Co. is based in New York, New York.
(e) “The Distributor” – The Managing Owner, on behalf of the Fund and the Master Fund, has appointed ALPS Distributors, Inc., or the Distributor, to assist the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor retains all marketing materials and Basket creation and redemption books and records at c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, CO 80203; Telephone number (303) 623-2577. Investors may contact the Distributor toll-free in the U.S. at (800) 320-2577. The Fund has entered into a Distribution Services Agreement with the Distributor.
The Distributor is affiliated with ALPS Mutual Fund Services, Inc., a Denver-based service provider of administration, fund accounting, transfer agency and shareholder services for mutual funds, closed-end funds and exchange-traded funds.
(f) “The Authorized Participant” — Authorized Participants may create or redeem shares of the Master Fund. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a participant in the Depository Trust Company, or DTC, and (3) have entered into a participant agreement with the Fund and the Managing Owner, or a Participant Agreement. The Participant Agreement sets forth the procedures for the creation and redemption of Baskets of Shares and for the delivery of cash required for such creations or redemptions. The current Authorized Participants are J.P. Morgan Securities LLC, Merrill Lynch Professional Clearing Corporation, Morgan Stanley & Co. Incorporated, Newedge USA LLC, and RBC Capital Markets, LLC. A similar agreement between the Fund and the Master Fund sets forth the procedures for the creation and redemption of Master Unit Baskets by the Fund.
(3) Summary of Significant Accounting Policies
(a) Use of Estimates
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates.
(b) Cash Held by Broker
The Fund defines cash held by broker to be cash and highly liquid investments with remaining maturities of three months or less when acquired. MS&Co. allows the Fund to apply its Treasury Bill portfolio towards its initial margin requirement for the Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and Treasury bill positions are held in segregated accounts at MS&Co and are not insured by the Federal Deposit Insurance Corporation.
(c) United States Treasury Obligations
The Master Fund records purchases and sales of United States Treasury Obligations on a trade date basis. These holdings are marked to market based on quoted market closing prices. The Master Fund holds United States Treasury Obligations for deposit with the Master Fund’s commodity broker as margin and for trading and holding against initial margin of the open futures contracts. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations.
(d) Income Taxes
The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. No provision for federal, state, or local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund recognizes the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution. Management’s reassessment of the Fund’s tax positions has not had a material impact on the Fund’s financial condition, results of operations or liquidity in any year presented.
(e) Futures Contracts
The Master Fund purchases and holds commodity futures contracts for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the consolidated statements of financial condition, futures contracts are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard. (See Note 4 – Fair Value Measurements)
However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable provided such principles are consistent with the fair value accounting standard. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the consolidated statements of income and expenses in the period in which the contract is closed or the changes occur, respectively.
(f) Basis of Presentation and Consolidation
All of the capital raised by the Fund is used to purchase common units of beneficial interest in the Master Fund. The financial statement balances of the Master Fund are consolidated with the Fund’s financial statement balances and all significant inter-company balances and transactions are eliminated. Separate financial statements of the Master Fund are presented to comply with SEC reporting requirements as the Master Fund is a separate SEC registrant.
(g) Subsequent Events
For purposes of disclosure in the consolidated financial statements, the Fund has evaluated events occurring between the year ended December 31, 2014 and when the financial statements were issued.
During that period 150,000 Limited Shares were created and 450,000 Limited Shares were redeemed resulting in 11,400,000 Limited Shares outstanding.
Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
(4) Fair Value Measurements
The guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Company uses a three-tier fair value hierarchy based upon observable and non-observable inputs as follows:
Level 1 — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.
Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.
Level 3 — Unobservable inputs for the asset or liability.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Fund are either exchange-traded securities or government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Fund’s assets and liabilities at fair value as of December 31, 2014, classified according to the levels used to value them, is as follows:
| | | | | | | | | | | | | |
| | | | | | Other | | | | | | | |
| | | Quoted Prices in | | | Significant | | | Significant | | | | |
| | | Active Market | | | Observable | | | Unobservable | | | | |
| Assets | | (Level 1) | | | Inputs (Level 2) | | | Inputs (Level 3) | | | | Totals | |
| U.S. Treasuries | | $ | - | | | $ | 199,995,250 | | | $ | - | | | $ | 199,995,250 | |
| Futures Contracts | | | (27,249,076 | ) | | | - | | | | - | | | | (27,249,076 | ) |
| Total | | $ | (27,249,076 | ) | | $ | 199,995,250 | | | $ | - | | | $ | 172,746,174 | |
There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2014. The Fund did not hold any Level 3 securities during the year ended December 31, 2014.
A summary of the Fund’s assets and liabilities at fair value as of December 31, 2013, classified according to the levels used to value them, is as follows:
| | | | | | Other | | | | | | | |
| | | Quoted Prices in | | | Significant | | | Significant | | | | |
| | | Active Market | | | Observable | | | Unobservable | | | | |
| Assets | | (Level 1) | | | Inputs (Level 2) | | | Inputs (Level 3) | | | | Totals | |
| U.S. Treasuries | | $ | - | | | $ | 199,998,800 | | | $ | - | | | $ | 199,998,800 | |
| Futures Contracts | | | (4,055,188 | ) | | | - | | | | - | | | | (4,055,188 | ) |
| Total | | $ | (4,055,188 | ) | | $ | 199,998,800 | | | $ | - | | | $ | 195,943,612 | |
There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2013. The Fund did not hold any Level 3 securities during the year ended December 31, 2013.
(5) Derivative Instruments and Hedging Activities
The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of December 31, 2014, the Fund was invested in futures contracts.
At December 31, 2014, the fair value of derivative instruments were as follows:
| Derivative Instruments | | Asset Derivatives | | | Liability Derivatives | | | Net Derivatives | |
| Futures Contracts | | $ | (27,249,076 | ) | | $ | - | | | $ | (27,249,076 | ) |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2014:
| | | Realized Loss | | | | |
| | | on Derivative | | | Net Change in Unrealized Loss | |
| Derivative Instruments | | Instruments | | | on Derivative Instruments | |
| Futures Contracts | | $ | (12,125,640 | ) | | $ | (23,193,888 | ) |
At December 31, 2013, the fair value of derivative instruments were as follows:
| Derivative Instruments | | Asset Derivatives | | | Liability Derivatives | | | Net Derivatives | |
| Futures Contracts | | $ | (4,055,188 | ) | | $ | - | | | $ | (4,055,188 | ) |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2013:
| | | Realized Loss on | | | Net Change in Unrealized Gain | |
| Derivative Instruments | | Derivative Instruments | | | on Derivative Instruments | |
| Futures Contracts | | $ | (53,539,832 | ) | | $ | 8,459,270 | |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2012:
| | | Realized Loss on | | | Net Change in Unrealized Gain | |
| Derivative Instruments | | Derivative Instruments | | | on Derivative Instruments | |
| Futures Contracts | | $ | (55,222,884 | ) | | $ | 32,487,331 | |
(6) Financial Instrument Risk
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner was unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of assets and liabilities and not represented by the contract or notional amounts of the instruments.
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.
(7) Share Creations and Redemptions
The Fund will issue Shares in baskets of 50,000 Shares (“Baskets”) only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund. The Baskets will be valued as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
The total payment required to create each Basket is the value of the Fund’s Net Asset Value per share for 50,000 Shares as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m., New York time, on the business day immediately following the creation order date at Net Asset Value per share as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.
Because orders to create Baskets must be placed by 10:00 a.m., New York time, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m., New York time, on the date the creation order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable creation order is submitted and the time the amount of the creation price in respect thereof is determined.
On any business day, an Authorized Participant may place an order with the Distributor to create one or more Baskets. Creation orders must be placed by 10:00 a.m., New York time. The day on which the Distributor receives a valid creation order is the creation order date.
The Administrator may reject a creation order if:
| (i) | it determines that the creation order is not in proper form; |
| (ii) | the Managing Owner believes that the creation order would have adverse tax consequences to the Fund or its Shareholders; or |
| (iii) | circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets. |
The Distributor and the Managing Owner will not be liable for the rejection of any creation order.
The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Distributor to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m., New York time. The day on which the Distributor receives a valid redemption order is the redemption order date.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the Net Asset Value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Administrator receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Administrator is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Administrator and the Managing Owner may from time to time agree upon.
The Distributor may, in its discretion, and will when directed by the Managing Owner, suspend the right of redemption or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. In addition, the Distributor will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the Fund declines during the period of the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may disclaim any liability for any loss or damage that may result from any such suspension or postponement.
(8) Operating Expenses
(a) Management Fee
The Fund pays the Managing Owner a management fee (the “Management Fee”) monthly in arrears, in an amount equal to 0.85% per annum of the net asset value of the Master Fund. The Management Fee is paid in consideration of the use of the license for the Thomson Reuters Continuous Commodity Index held by GreenHaven, LLC, a Georgia limited liability company formed in August 2005, and its subsidiary GreenHaven Commodity Services, LLC, as well as for commodity futures trading advisory services. The management fees incurred for the years ended December 31, 2014, 2013 and 2012 were $2,835,654, $3,500,487 and $4,637,997, respectively. The Management Fees were charged to the Fund and paid to the Managing Owner.
(b) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the offering of the Shares were paid by GreenHaven, LLC. GreenHaven, LLC is the sole member of the Managing Owner. The Fund does not have an obligation to reimburse GreenHaven, LLC or its affiliates for organization and offering expenses paid on their behalf.
(c) Brokerage Commissions, Fees, and Routine Operational, Administrative, and Other Ordinary Expenses
The Managing Owner currently does not expect brokerage commissions and fees as well as routine operational, administrative and other ordinary expenses for which the Funds are responsible, including, but not limited to, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs, to exceed 0.20% of the net asset value of the Master Fund in any year, although the actual amount of such fees and expenses in any year may be greater. The Fund’s brokerage commissions and fees and routine operational, administrative and other ordinary expenses are accrued at a rate of 0.20% per annum in the aggregate. Of the amounts so accrued, the Fund first pays brokerage fees, and secondly from the remainder of the amounts so accrued, reimburses the Managing Owner for the Fund’s and Master Fund’s routine operational, administrative, and other ordinary expenses paid by the Managing Owner.
Brokerage commissions and fees are charged against the Fund’s assets on a per transaction basis. The brokerage commissions, trading fees and routine operational, administrative, and other ordinary expenses incurred for the years ended December 31, 2014, 2013 and 2012 were $667,213, $823,644 and $377,195, respectively.
(d) Unusual Fees and Expenses
The Fund will pay all the unusual fees and expenses, if any, of the Fund. Such unusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. There have been no unusual fees or expenses since the Fund commenced investment operations on January 23, 2008.
(9) Termination
The term of the Fund is perpetual, unless terminated in certain circumstances as defined in the Trust Agreement.
(10) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a pro-rata basis in accordance with the respective capital balances of the shareholders.
(11) Commitments and Contingencies
The Managing Owner has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interest of the Fund. As of December 31, 2014, no claims had been received by the Fund and it was therefore not possible to estimate the Fund’s potential future exposure under such indemnification provisions.
(12) Net Asset Value and Financial Highlights
The Fund is presenting the following net asset value and financial highlights related to investment performance and operations for a Share outstanding for the years ended December 31, 2014, 2013 and 2012. The net investment loss and total expense ratios have been annualized. The total return at net asset value is based on the change in net asset value of the Shares during the period and the total return at market value is based on the change in market value of the Shares on the NYSE Arca during the period. An individual investor’s return and ratios may vary based on the timing of capital transactions.
| | | Year Ended | | | Year Ended | | | Year Ended | |
| | | December 31, 2014 | | | December 31, 2013 | | | December 31, 2012 | |
| | | | | | | | | | |
| Net Asset Value | | | | | | | | | |
| Net asset value per Limited Share, beginning of year | | $ | 25.70 | | | $ | 28.85 | | | $ | 29.96 | |
| | | | | | | | | | | | | |
| Net realized and change in unrealized loss from investments | | | (2.62 | ) | | | (2.88 | ) | | | (0.85 | ) |
| Net investment loss on U.S. Treasury Obligations | | | (0.27 | ) | | | (0.27 | ) | | | (0.26 | ) |
| Net decrease in net assets from operations | | | (2.89 | ) | | | (3.15 | ) | | | (1.11 | ) |
| Net asset value per Limited Share, end of year | | $ | 22.81 | | | $ | 25.70 | | | $ | 28.85 | |
| | | | | | | | | | | | | |
| Market value per Limited Share, beginning of year | | $ | 25.70 | | | $ | 28.83 | | | $ | 29.92 | |
| Market value per Limited Share, end of year | | $ | 22.86 | | | $ | 25.70 | | | $ | 28.83 | |
| | | | | | | | | | | | | |
| Ratio to average net assets | | | | | | | | | | | | |
| Net investment loss* | | | (1.04) | % | | | (1.01 | )% | | | (0.86 | )% |
| Total expenses | | | 1.05 | % | | | 1.05 | % | | | 0.92 | % |
| | | | | | | | | | | | | |
| Total Return, at net asset value | | | (11.25 | )% | | | (10.92 | )% | | | (3.70 | )% |
| Total Return, at market value | | | (11.05 | )% | | | (10.86 | )% | | | (3.64 | )% |
*Net investment loss is calculated by subtracting the Fund expenses from U.S. Treasury Obligations income
| CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
None.
Disclosure controls and procedures
For purposes of this Item 9A, references to the “Fund” and “our” include both the Fund and the Master Fund. Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Fund carried out an evaluation of the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(f)) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures with respect to the Fund were effective as of the end of the period covered by this annual report.
Internal control over Management’s financial reporting
The Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. The Managing Owner’s internal control system is designed to provide reasonable assurance to the Fund’s management and its board of directors regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.
The Managing Owner assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2014. In making this assessment, the Managing Owner used the criteria set forth in the 2013 Internal Controls – Integrated Framework by the Committee of Sponsoring Organizations of the Treadway Commission. Based on their assessment, Management believes that, as of December 31, 2014, its internal control over financial reporting is effective.
Grant Thornton LLP, the independent registered public accounting firm that audited the Fund’s consolidated financial statements included in this Annual Report on Form 10-K, has issued attestation reports on the Fund’s internal control over financial reporting, which appear on page 76 and 77 of this Annual Report on Form 10-K.
Management evaluated whether there was a change in the Fund’s internal control over financial reporting during the three months ended December 31, 2014 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting. Based on this evaluation, Management believes that there was no such change during the three months ended December 31, 2014.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Fund:
We have audited the internal control over financial reporting of GreenHaven Continuous Commodity Index Fund (a Delaware Statutory Trust) and subsidiary as of December 31, 2014, based on criteria established in the 2013Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). GreenHaven Continuous Commodity Index Fund’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting included in the accompanying Management’s Report on Internal Control Over Management’sFinancialover Management’s Financial Reporting. Our responsibility is to express an opinion on the GreenHaven Continuous Commodity Index Fund’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects.
Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the companyfund are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
/s/ ERNST & YOUNG LLP
New York, NY
February 28, 2018
Report of Independent Registered Public Accounting Firm
To the Managing Owner and Shareholders of WisdomTree Continuous Commodity Index Master Fund
Opinion on the Financial Statements
We have audited the accompanying statements of financial condition, including the schedules of investments, of WisdomTree Continuous Commodity Index Master Fund (the “Master Fund”) as of December 31, 2017 and 2016, the related statements of income and expenses, changes in shareholders’ equity and cash flows for each of the two years in the period ended December 31, 2017, and the related notes (collectively referred to as the “financial statements”). In our opinion, GreenHaven Continuous Commodity Index Fund maintained,the financial statements present fairly, in all material respects, effective internal control overthe financial reporting asposition of the Master Fund at December 31, 2014, based on criteria established2017 and 2016, and the results of its operations and its cash flows for each of the two years in the 2013Internal Control—Integrated Framework issued by COSO.period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated financial statements of the GreenHaven Continuous Commodity Index Fund and subsidiary as of and for the year ended December 31, 2014, and our report dated March 6, 2015 and expressed an unqualified opinion on those financial statements.
/s/ GRANT THORNTON LLP
Atlanta, Georgia
March 6, 2015
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Master Fund:
We have audited theFund’s internal control over financial reporting of GreenHaven Continuous Commodity Index Master Fund (a Delaware Statutory Trust) as of December 31, 2014,2017, based on criteria established in the 2013Internal Control—IntegratedControl-Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). GreenHaven Continuous Commodity Index(2013 framework), and our report dated February 28, 2018 expressed an unqualified opinion thereon.
Basis for Opinion
These financial statements are the responsibility of the Master Fund’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Report on Internal Control Over Financial Reporting.management. Our responsibility is to express an opinion on the Master Fund’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Master Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
/s/ ERNST & YOUNG LLP
We have served as the Master Fund’s auditor since 2016.
New York, NY
February 28, 2018
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Managing Owner and Shareholders of the
WisdomTree Continuous Commodity Index Master Fund
(f/k/a GreenHaven Continuous Commodity Index Master Fund):
We have audited the accompanying statement of financial condition, including the schedule of investments, of the WisdomTree Continuous Commodity Index Master Fund (a Delaware Statutory Trust) (the “Master Fund”), as of December 31, 2015 (not presented herein), and the related statements of income and expenses, changes in shareholders’ equity, and cash flows for the year ended December 31, 2015. These financial statements are the responsibility of the Master Fund’s internal control overmanagement. Our responsibility is to express an opinion on these financial reportingstatements based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. 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 financial statements referred to above present fairly, in all material respects, the financial position of the WisdomTree Continuous Commodity Index Master Fund, as of December 31, 2015 (not presented herein), and the results of its operations and its cash flows for the year ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America.
/s/ GRANT THORNTON LLP
Atlanta, Georgia
March 15, 2016
Report of Independent Registered Public Accounting Firm
To the Managing Owner and Shareholders of WisdomTree Continuous Commodity Index Master Fund
Opinion on Internal Control over Financial Reporting
We have audited WisdomTree Continuous Commodity Index Master Fund’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (2013 framework) (the COSO criteria). In our opinion, WisdomTree Continuous Commodity Index Master Fund (the “Master Fund”) maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017, based on the COSO criteria.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the accompanying statements of financial condition, including the schedules of investments as of December 31, 2017 and 2016, the related statements of income and expenses, changes in shareholders’ equity and cash flows for each of the two years in the period ended December 31, 2017, and the related notes of the Master Fund and our report dated February 28, 2018 expressed an unqualified opinion thereon.
Basis for Opinion
The Master Fund’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting included in the accompanying Management’s Report on Internal Control over Management’s Financial Reporting. Our responsibility is to express an opinion on the Master Fund’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Master Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects.
Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the companyfund are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, GreenHaven/s/ ERNST & YOUNG LLP
New York, NY
February 28, 2018
WisdomTree Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
December 31, 2017 and 2016
| | | | | | | | |
| | | December 31,
2017 | | | December 31,
2016 | |
Assets: | |
Cash | | $ | 4,154,280 | | | $ | 8,738,522 | |
Cash held by broker for futures contracts (Note 3) | | | 7,078,712 | | | | 12,839,693 | |
Short-term investments (cost $142,783,200 and $199,833,099 as of December 31, 2017 and December 31, 2016, respectively) | | | 142,783,635 | | | | 199,838,720 | |
Net unrealized appreciation on futures contracts | | | 1,036,765 | | | | — | |
| | | | | | | | |
Total Assets | | | 155,053,392 | | | | 221,416,935 | |
| | | | | | | | |
Liabilities and shareholders’ equity: | |
Net unrealized depreciation on futures contracts | | | — | | | | 1,424,715 | |
Net management fee payable to related party | | | 97,083 | | | | 158,443 | |
Accrued brokerage fees and expenses payable | | | — | | | | 173,182 | |
| | | | | | | | |
Total Liabilities | | | 97,083 | | | | 1,756,340 | |
| | | | | | | | |
Shareholders’ equity: | |
General Units: | |
Paid in capital - 50 units issued | | | 1,500 | | | | 1,500 | |
Accumulated deficit | | | (538 | ) | | | (533 | ) |
| | | | | | | | |
Total General Units | | | 962 | | | | 967 | |
| | | | | | | | |
Limited Units: | |
Paid in capital – 8,050,000 and 11,350,000 redeemable shares issued and outstanding as of December 31, 2017 and December 31, 2016, respectively | | | 283,104,814 | | | | 346,357,042 | |
Accumulated deficit | | | (128,149,467 | ) | | | (126,697,414 | ) |
| | | | | | | | |
Total Limited Units | | | 154,955,347 | | | | 219,659,628 | |
| | | | | | | | |
Total shareholders’ equity | | | 154,956,309 | | | | 219,660,595 | |
| | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 155,053,392 | | | $ | 221,416,935 | |
| | | | | | | | |
Net asset value per share | |
General Units | | $ | 19.25 | | | $ | 19.35 | |
| | | | | | | | |
Limited Units | | $ | 19.25 | | | $ | 19.35 | |
| | | | | | | | |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2017
| | | | | | | | | | | | | | | | |
Description | | | | | Percentage
of Net Assets | | | Fair
Value | | | Face
Amount | |
U.S. Treasury Obligations | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | | | | | |
1.08%, 1/11/18* | | | | | | | 27.74 | % | | $ | 42,987,395 | | | $ | 43,000,000 | |
1.24%, 2/8/18* | | | | | | | 35.45 | | | | 54,929,552 | | | | 55,000,000 | |
1.37%, 3/22/18*(a) | | | | | | | 28.96 | | | | 44,866,688 | | | | 45,000,000 | |
| | | | | | | | | | | | | | | | |
Total U.S. Treasury Obligations (Cost: $142,783,200) | | | | | | | 92.15 | % | | $ | 142,783,635 | | | $ | 143,000,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Futures Contracts Long Exposure (Exchange-Traded) | | | | | | | | | | | | | | | | |
Cocoa | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 160 | | | | (0.10 | )% | | $ | (150,290 | ) | | $ | 3,027,200 | |
expiration date 5/15/18 | | | 160 | | | | (0.11 | ) | | | (171,100 | ) | | | 3,028,800 | |
expiration date 7/16/18 | | | 160 | | | | (0.24 | ) | | | (373,800 | ) | | | 3,041,600 | |
Coffee “C” | | | | | | | | | | | | | | | | |
expiration date 3/19/18 | | | 63 | | | | (0.19 | ) | | | (290,569 | ) | | | 2,981,475 | |
expiration date 5/18/18 | | | 63 | | | | (0.16 | ) | | | (244,256 | ) | | | 3,036,994 | |
expiration date 7/19/18 | | | 63 | | | | (0.04 | ) | | | (55,369 | ) | | | 3,093,694 | |
Copper | | | | | | | | | | | | | | | | |
expiration date 3/27/18 | | | 37 | | | | 0.18 | | | | 280,825 | | | | 3,052,962 | |
expiration date 5/29/18 | | | 37 | | | | 0.18 | | | | 277,125 | | | | 3,066,375 | |
expiration date 7/27/18 | | | 36 | | | | 0.12 | | | | 180,150 | | | | 2,995,200 | |
Corn | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 169 | | | | (0.16 | ) | | | (247,888 | ) | | | 2,963,838 | |
expiration date 5/14/18 | | | 169 | | | | (0.16 | ) | | | (242,387 | ) | | | 3,033,550 | |
expiration date 7/13/18 | | | 169 | | | | (0.04 | ) | | | (60,100 | ) | | | 3,103,262 | |
Cotton No. 2 | | | | | | | | | | | | | | | | |
expiration date 3/7/18 | | | 77 | | | | 0.21 | | | | 328,750 | | | | 3,027,255 | |
expiration date 5/8/18 | | | 77 | | | | 0.23 | | | | 360,975 | | | | 3,039,960 | |
expiration date 7/9/18 | | | 76 | | | | 0.21 | | | | 326,190 | | | | 3,011,120 | |
Gold 100 Ounce | | | | | | | | | | | | | | | | |
expiration date 2/26/18 | | | 23 | | | | 0.05 | | | | 73,150 | | | | 3,011,390 | |
expiration date 4/26/18 | | | 23 | | | | 0.03 | | | | 46,880 | | | | 3,022,200 | |
expiration date 6/27/18 | | | 23 | | | | 0.04 | | | | 57,980 | | | | 3,033,010 | |
Lean Hogs | | | | | | | | | | | | | | | | |
expiration date 2/14/18 | | | 73 | | | | 0.11 | | | | 165,100 | | | | 2,095,830 | |
expiration date 4/13/18 | | | 72 | | | | 0.10 | | | | 157,450 | | | | 2,178,720 | |
expiration date 6/14/18 | | | 72 | | | | 0.02 | | | | 33,150 | | | | 2,417,040 | |
expiration date 7/16/18 | | | 72 | | | | 0.02 | | | | 25,240 | | | | 2,414,160 | |
Live Cattle | | | | | | | | | | | | | | | | |
expiration date 2/28/18 | | | 64 | | | | 0.04 | | | | 59,610 | | | | 3,111,680 | |
expiration date 4/30/18 | | | 63 | | | | 0.14 | | | | 210,830 | | | | 3,085,110 | |
expiration date 6/29/18 | | | 64 | | | | (0.10 | ) | | | (158,660 | ) | | | 2,909,440 | |
Natural Gas | | | | | | | | | | | | | | | | |
expiration date 1/29/18 | | | 64 | | | | (0.08 | ) | | | (121,160 | ) | | | 1,889,920 | |
expiration date 2/26/18 | | | 64 | | | | (0.08 | ) | | | (119,730 | ) | | | 1,859,840 | |
expiration date 3/27/18 | | | 65 | | | | (0.04 | ) | | | (65,240 | ) | | | 1,786,850 | |
expiration date 4/26/18 | | | 65 | | | | (0.06 | ) | | | (95,570 | ) | | | 1,781,650 | |
expiration date 5/29/18 | | | 65 | | | | (0.06 | ) | | | (94,730 | ) | | | 1,802,450 | |
NY Harbor ULSD | | | | | | | | | | | | | | | | |
expiration date 1/31/18 | | | 21 | | | | 0.21 | | | | 330,091 | | | | 1,824,064 | |
expiration date 2/28/18 | | | 21 | | | | 0.21 | | | | 325,525 | | | | 1,802,632 | |
expiration date 3/29/18 | | | 21 | | | | 0.19 | | | | 297,532 | | | | 1,775,995 | |
expiration date 4/30/18 | | | 22 | | | | 0.05 | | | | 80,506 | | | | 1,841,624 | |
expiration date 5/31/18 | | | 22 | | | | 0.05 | | | | 74,592 | | | | 1,827,857 | |
Platinum | | | | | | | | | | | | | | | | |
expiration date 4/26/18 | | | 97 | | | | (0.12 | ) | | | (190,905 | ) | | | 4,550,755 | |
expiration date 7/27/18 | | | 97 | | | | 0.00 | | | | 7,150 | | | | 4,577,915 | |
WisdomTree Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2017
(continued)
| | | | | | | | | | | | | | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Silver | | | | | | | | | | | | | | | | |
expiration date 3/27/18 | | | 36 | | | | 0.01 | % | | $ | 13,675 | | | $ | 3,086,100 | |
expiration date 5/29/18 | | | 35 | | | | 0.01 | | | | 12,895 | | | | 3,013,675 | |
expiration date 7/27/18 | | | 35 | | | | 0.01 | | | | 11,410 | | | | 3,026,450 | |
Soybean | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 63 | | | | (0.02 | ) | | | (38,437 | ) | | | 3,029,513 | |
expiration date 5/14/18 | | | 62 | | | | (0.02 | ) | | | (28,425 | ) | | | 3,016,300 | |
expiration date 7/13/18 | | | 62 | | | | (0.07 | ) | | | (106,725 | ) | | | 3,048,075 | |
Soybean Oil | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 152 | | | | (0.08 | ) | | | (124,698 | ) | | | 3,033,312 | |
expiration date 5/14/18 | | | 151 | | | | (0.08 | ) | | | (122,088 | ) | | | 3,028,758 | |
expiration date 7/13/18 | | | 151 | | | | (0.12 | ) | | | (181,776 | ) | | | 3,045,972 | |
Sugar No. 11 | | | | | | | | | | | | | | | | |
expiration date 2/28/18 | | | 180 | | | | 0.10 | | | | 147,560 | | | | 3,056,256 | |
expiration date 4/30/18 | | | 180 | | | | 0.08 | | | | 123,435 | | | | 3,028,032 | |
expiration date 6/29/18 | | | 180 | | | | 0.02 | | | | 35,582 | | | | 3,032,064 | |
Wheat | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 138 | | | | (0.23 | ) | | | (354,900 | ) | | | 2,946,300 | |
expiration date 5/14/18 | | | 138 | | | | (0.23 | ) | | | (351,913 | ) | | | 3,037,725 | |
expiration date 7/13/18 | | | 137 | | | | (0.07 | ) | | | (109,037 | ) | | | 3,104,762 | |
WTI Crude Oil | | | | | | | | | | | | | | | | |
expiration date 1/22/18 | | | 31 | | | | 0.20 | | | | 309,230 | | | | 1,873,020 | |
expiration date 2/20/18 | | | 30 | | | | 0.19 | | | | 300,740 | | | | 1,813,200 | |
expiration date 3/20/18 | | | 30 | | | | 0.20 | | | | 306,240 | | | | 1,812,000 | |
expiration date 4/20/18 | | | 30 | | | | 0.06 | | | | 88,130 | | | | 1,808,100 | |
expiration date 5/22/18 | | | 30 | | | | 0.06 | | | | 88,820 | | | | 1,801,800 | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | 0.67 | % | | $ | 1,036,765 | | | $ | 154,744,831 | |
| | | | | | | | | | | | | | | | |
| * | Interest rate shown reflects the discount rate at time of purchase. |
| (a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $11,964,450 as of December 31, 2017. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2016
| | | | | | | | | | | | | | | | |
Description | | | | | Percentage
of Net Assets | | | Fair
Value | | | Face
Amount | |
U.S. Treasury Obligations | |
U.S. Treasury Bills | | | | | | | | | | | | | | | | |
0.44%, 2/16/17* | | | | | | | 27.30 | % | | $ | 59,968,080 | | | $ | 60,000,000 | |
0.47%, 3/2/17* | | | | | | | 31.84 | | | | 69,946,450 | | | | 70,000,000 | |
0.49%, 3/23/17*(a) | | | | | | | 31.83 | | | | 69,924,190 | | | | 70,000,000 | |
| | | | | | | | | | | | | | | | |
Total U.S. Treasury Obligations (Cost: $199,833,099) | | | | | | | 90.97 | % | | $ | 199,838,720 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Futures Contracts Long Exposure (Exchange-Traded) | |
Cocoa | | | | | | | | | | | | | | | | |
expiration date 3/16/17 | | | 203 | | | | (0.48 | )% | | $ | (1,048,280 | ) | | $ | 4,315,780 | |
expiration date 5/15/17 | | | 203 | | | | (0.50 | ) | | | (1,088,550 | ) | | | 4,289,390 | |
expiration date 7/14/17 | | | 204 | | | | (0.27 | ) | | | (591,860 | ) | | | 4,312,560 | |
Coffee “C” | | | | | | | | | | | | | | | | |
expiration date 3/21/17 | | | 83 | | | | (0.16 | ) | | | (341,588 | ) | | | 4,265,681 | |
expiration date 5/18/17 | | | 82 | | | | (0.16 | ) | | | (351,750 | ) | | | 4,286,550 | |
expiration date 7/19/17 | | | 82 | | | | (0.36 | ) | | | (800,588 | ) | | | 4,357,275 | |
Copper | | | | | | | | | | | | | | | | |
expiration date 3/29/17 | | | 69 | | | | 0.19 | | | | 418,950 | | | | 4,321,988 | |
expiration date 5/26/17 | | | 68 | | | | 0.19 | | | | 418,013 | | | | 4,270,400 | |
expiration date 7/27/17 | | | 68 | | | | 0.01 | | | | 17,063 | | | | 4,280,600 | |
Corn | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 241 | | | | 0.04 | | | | 90,475 | | | | 4,241,600 | |
expiration date 5/12/17 | | | 240 | | | | 0.03 | | | | 73,812 | | | | 4,290,000 | |
expiration date 7/14/17 | | | 240 | | | | (0.02 | ) | | | (40,100 | ) | | | 4,371,000 | |
Cotton No. 2 | | | | | | | | | | | | | | | | |
expiration date 3/9/17 | | | 121 | | | | 0.08 | | | | 182,865 | | | | 4,274,325 | |
expiration date 5/8/17 | | | 120 | | | | 0.00 | | | | 2,000 | | | | 4,261,200 | |
expiration date 7/7/17 | | | 121 | | | | 0.02 | | | | 50,520 | | | | 4,318,490 | |
Gold 100 Ounce | | | | | | | | | | | | | | | | |
expiration date 2/24/17 | | | 38 | | | | (0.23 | ) | | | (502,630 | ) | | | 4,376,460 | |
expiration date 4/26/17 | | | 37 | | | | (0.26 | ) | | | (566,920 | ) | | | 4,270,910 | |
expiration date 6/28/17 | | | 37 | | | | (0.16 | ) | | | (350,480 | ) | | | 4,281,270 | |
Lean Hogs | | | | | | | | | | | | | | | | |
expiration date 2/14/17 | | | 113 | | | | 0.25 | | | | 543,570 | | | | 2,989,980 | |
expiration date 4/17/17 | | | 113 | | | | 0.16 | | | | 341,360 | | | | 3,076,990 | |
expiration date 6/14/17 | | | 112 | | | | 0.06 | | | | 131,780 | | | | 3,427,200 | |
expiration date 7/17/17 | | | 112 | | | | 0.02 | | | | 47,760 | | | | 3,393,600 | |
Live Cattle | | | | | | | | | | | | | | | | |
expiration date 2/28/17 | | | 96 | | | | 0.14 | | | | 306,400 | | | | 4,456,320 | |
expiration date 4/28/17 | | | 96 | | | | 0.10 | | | | 217,070 | | | | 4,399,680 | |
expiration date 6/30/17 | | | 96 | | | | 0.12 | | | | 270,810 | | | | 4,019,520 | |
Natural Gas | | | | | | | | | | | | | | | | |
expiration date 1/27/17 | | | 71 | | | | 0.16 | | | | 344,220 | | | | 2,644,040 | |
expiration date 2/24/17 | | | 71 | | | | 0.15 | | | | 338,950 | | | | 2,615,640 | |
expiration date 3/29/17 | | | 71 | | | | 0.17 | | | | 375,650 | | | | 2,531,860 | |
expiration date 4/26/17 | | | 72 | | | | 0.20 | | | | 444,320 | | | | 2,550,960 | |
expiration date 5/26/17 | | | 72 | | | | 0.20 | | | | 431,380 | | | | 2,563,200 | |
NY Harbor ULSD | | | | | | | | | | | | | | | | |
expiration date 1/31/17 | | | 36 | | | | 0.15 | | | | 335,177 | | | | 2,613,038 | |
expiration date 2/28/17 | | | 36 | | | | 0.16 | | | | 345,064 | | | | 2,627,856 | |
expiration date 3/31/17 | | | 35 | | | | 0.16 | | | | 353,686 | | | | 2,557,065 | |
expiration date 4/28/17 | | | 35 | | | | 0.16 | | | | 351,746 | | | | 2,563,827 | |
expiration date 5/31/17 | | | 35 | | | | 0.16 | | | | 348,386 | | | | 2,571,324 | |
Platinum | | | | | | | | | | | | | | | | |
expiration date 4/26/17 | | | 143 | | | | (0.23 | ) | | | (507,030 | ) | | | 6,475,755 | |
expiration date 7/27/17 | | | 142 | | | | (0.13 | ) | | | (295,105 | ) | | | 6,455,320 | |
WisdomTree Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2016
(continued)
| | | | | | | | | | | | | | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Silver | | | | | | | | | | | | | | | | |
expiration date 3/29/17 | | | 54 | | | | (0.33 | )% | | $ | (715,760 | ) | | $ | 4,317,030 | |
expiration date 5/26/17 | | | 54 | | | | (0.33 | ) | | | (735,715 | ) | | | 4,331,340 | |
expiration date 7/27/17 | | | 53 | | | | (0.25 | ) | | | (554,420 | ) | | | 4,264,380 | |
Soybean | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 85 | | | | 0.04 | | | | 87,063 | | | | 4,267,000 | |
expiration date 5/12/17 | | | 85 | | | | 0.06 | | | | 120,263 | | | | 4,303,125 | |
expiration date 7/14/17 | | | 85 | | | | (0.00 | ) | | | (2,400 | ) | | | 4,330,750 | |
Soybean Oil | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 206 | | | | 0.04 | | | | 78,492 | | | | 4,283,976 | |
expiration date 5/12/17 | | | 206 | | | | 0.04 | | | | 94,890 | | | | 4,316,112 | |
expiration date 7/14/17 | | | 205 | | | | (0.03 | ) | | | (61,998 | ) | | | 4,320,990 | |
Sugar No. 11 | | | | | | | | | | | | | | | | |
expiration date 2/28/17 | | | 200 | | | | (0.11 | ) | | | (239,019 | ) | | | 4,370,240 | |
expiration date 4/28/17 | | | 201 | | | | (0.09 | ) | | | (208,936 | ) | | | 4,333,560 | |
expiration date 6/30/17 | | | 199 | | | | (0.11 | ) | | | (245,582 | ) | | | 4,201,288 | |
Wheat | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 205 | | | | (0.15 | ) | | | (326,863 | ) | | | 4,182,000 | |
expiration date 5/12/17 | | | 204 | | | | (0.15 | ) | | | (336,588 | ) | | | 4,289,100 | |
expiration date 7/14/17 | | | 204 | | | | (0.08 | ) | | | (178,438 | ) | | | 4,429,350 | |
WTI Crude Oil | | | | | | | | | | | | | | | | |
expiration date 1/20/17 | | | 47 | | | | 0.12 | | | | 269,230 | | | | 2,524,840 | |
expiration date 2/21/17 | | | 47 | | | | 0.13 | | | | 281,350 | | | | 2,569,020 | |
expiration date 3/21/17 | | | 47 | | | | 0.13 | | | | 288,040 | | | | 2,605,210 | |
expiration date 4/20/17 | | | 47 | | | | 0.15 | | | | 326,130 | | | | 2,634,350 | |
expiration date 5/22/17 | | | 46 | | | | 0.15 | | | | 339,400 | | | | 2,598,540 | |
| | | | | | | | | | | | | | | | |
Total | | | | | | | (0.65 | )% | | $ | (1,424,715 | ) | | $ | 219,390,855 | |
| | | | | | | | | | | | | | | | |
| * | Interest rate shown reflects the discount rate at time of purchase. |
| (a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $19,978,340 as of December 31, 2016. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Statements of Income and Expenses
For the Years Ended December 31, 2017, 2016 and 2015
| | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | |
Income: | |
Interest income | | $ | 1,356,236 | | | $ | 476,315 | | | $ | 45,979 | |
| | | | | | | | | | | | |
Expenses: | |
Management fee to related party | | | 1,513,176 | | | | 1,860,871 | | | | 2,121,828 | |
Brokerage fees and expenses | | | — | | | | 437,850 | | | | 499,254 | |
| | | | | | | | | | | | |
Total expenses | | | 1,513,176 | | | | 2,298,721 | | | | 2,621,082 | |
| | | | | | | | | | | | |
Expense waivers | | | (178,022 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
Net expenses | | | 1,335,154 | | | | 2,298,721 | | | | 2,621,082 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 21,082 | | | | (1,822,406 | ) | | | (2,575,103 | ) |
| | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net Realized Gain (Loss) from: | |
Investments | | | (11,445 | ) | | | — | | | | 3,500 | |
Futures Contracts | | | (3,917,989 | )* | | | 3,416,739 | | | | (67,922,804 | ) |
| | | | | | | | | | | | |
Net Realized Gain (Loss) | | | (3,929,434 | ) | | | 3,416,739 | | | | (67,919,304 | ) |
| | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | |
Investments | | | (5,186 | ) | | | (10,708 | ) | | | 15,148 | |
Futures Contracts | | | 2,461,480 | | | | 7,281,252 | | | | 18,543,109 | |
| | | | | | | | | | | | |
Net Increase in Unrealized Appreciation/Depreciation | | | 2,456,294 | | | | 7,270,544 | | | | 18,558,257 | |
| | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | | (1,473,140 | ) | | | 10,687,283 | | | | (49,361,047 | ) |
| | | | | | | | | | | | |
Net Gain (Loss) | | $ | (1,452,058 | ) | | $ | 8,864,877 | | | $ | (51,936,150 | ) |
| | | | | | | | | | | | |
| * | Includes brokerage commissions and fees for the year ended December 31, 2017 of $178,822. Prior to January 1, 2017, brokerage commissions and fees were included under “Expenses” in “Brokerage fees and expenses”. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2017
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated
Deficit | | | Total
General
Shareholders’
Equity | | | Limited Units | | | Accumulated
Deficit | | | Total
Limited
Shareholders’
Equity | | | Total
Shareholders’
Equity | |
| | | Units | | | Amount | | | | | Units | | | Amount | | | | |
Balance at December 31, 2016 | | | 50 | | | $ | 1,500 | | | $ | (533 | ) | | $ | 967 | | | | 11,350,000 | | | $ | 346,357,042 | | | $ | (126,697,414 | ) | | $ | 219,659,628 | | | $ | 219,660,595 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 150,000 | | | | 2,942,102 | | | | — | | | | 2,942,102 | | | | 2,942,102 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (3,450,000 | ) | | | (66,194,330 | ) | | | — | | | | (66,194,330 | ) | | | (66,194,330 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | — | | | | — | | | | 0 | * | | | 0 | * | | | — | | | | — | | | | 21,082 | | | | 21,082 | | | | 21,082 | |
Net Realized Loss from Investments and Futures Contracts | | | — | | | | — | | | | (24 | ) | | | (24 | ) | | | — | | | | — | | | | (3,929,410 | ) | | | (3,929,410 | ) | | | (3,929,434 | ) |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 19 | | | | 19 | | | | — | | | | — | | | | 2,456,275 | | | | 2,456,275 | | | | 2,456,294 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Loss | | | — | | | | — | | | | (5 | ) | | | (5 | ) | | | — | | | | — | | | | (1,452,053 | ) | | | (1,452,053 | ) | | | (1,452,058 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2017 | | | 50 | | | $ | 1,500 | | | $ | (538 | ) | | $ | 962 | | | | 8,050,000 | | | $ | 283,104,814 | | | $ | (128,149,467 | ) | | $ | 154,955,347 | | | $ | 154,956,309 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Amount represents less than $1. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2016
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated
Deficit | | | Total
General
Shareholders’
Equity | | | Limited Units | | | Accumulated
Deficit | | | Total
Limited
Shareholders’
Equity | | | Total
Shareholders’
Equity | |
| | | Units | | | Amount | | | | | Units | | | Amount | | | | |
Balance at December 31, 2015 | | | 50 | | | $ | 1,500 | | | $ | (572 | ) | | $ | 928 | | | | 12,100,000 | | | $ | 360,079,849 | | | $ | (135,562,252 | ) | | $ | 224,517,597 | | | $ | 224,518,525 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 950,000 | | | | 18,731,395 | | | | — | | | | 18,731,395 | | | | 18,731,395 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (1,700,000 | ) | | | (32,454,202 | ) | | | — | | | | (32,454,202 | ) | | | (32,454,202 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | — | | | | — | | | | (10 | ) | | | (10 | ) | | | — | | | | — | | | | (1,822,396 | ) | | | (1,822,396 | ) | | | (1,822,406 | ) |
Net Realized Gain from Investments and Futures Contracts | | | — | | | | — | | | | 15 | | | | 15 | | | | — | | | | — | | | | 3,416,724 | | | | 3,416,724 | | | | 3,416,739 | |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 34 | | | | 34 | | | | — | | | | — | | | | 7,270,510 | | | | 7,270,510 | | | | 7,270,544 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Gain | | | — | | | | — | | | | 39 | | | | 39 | | | | — | | | | — | | | | 8,864,838 | | | | 8,864,838 | | | | 8,864,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2016 | | | 50 | | | $ | 1,500 | | | $ | (533 | ) | | $ | 967 | | | | 11,350,000 | | | $ | 346,357,042 | | | $ | (126,697,414 | ) | | $ | 219,659,628 | | | $ | 219,660,595 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2015
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated
Deficit | | | Total
General
Shareholders’
Equity | | | Limited Units | | | Accumulated
Deficit | | | Total
Limited
Shareholders’
Equity | | | Total
Shareholders’
Equity | |
| | | Units | | | Amount | | | | | Units | | | Amount | | | | |
Balance at December 31, 2014 | | | 50 | | | $ | 1,500 | | | $ | (360 | ) | | $ | 1,140 | | | | 11,700,000 | | | $ | 350,523,308 | | | $ | (83,626,314 | ) | | $ | 266,896,994 | | | $ | 266,898,134 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 2,150,000 | | | | 45,167,597 | | | | — | | | | 45,167,597 | | | | 45,167,597 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (1,750,000 | ) | | | (35,611,056 | ) | | | — | | | | (35,611,056 | ) | | | (35,611,056 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | — | | | | — | | | | (12 | ) | | | (12 | ) | | | — | | | | — | | | | (2,575,091 | ) | | | (2,575,091 | ) | | | (2,575,103 | ) |
Net Realized Loss from Investments and Futures Contracts | | | — | | | | — | | | | (284 | ) | | | (284 | ) | | | — | | | | — | | | | (67,919,020 | ) | | | (67,919,020 | ) | | | (67,919,304 | ) |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 84 | | | | 84 | | | | — | | | | — | | | | 18,558,173 | | | | 18,558,173 | | | | 18,558,257 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Loss | | | — | | | | — | | | | (212 | ) | | | (212 | ) | | | — | | | | — | | | | (51,935,938 | ) | | | (51,935,938 | ) | | | (51,936,150 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2015 | | | 50 | | | $ | 1,500 | | | $ | (572 | ) | | $ | 928 | | | | 12,100,000 | | | $ | 360,079,849 | | | $ | (135,562,252 | ) | | $ | 224,517,597 | | | $ | 224,518,525 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Fund
Consolidated Statements of Cash Flows
For the Years Ended December 31, 2017, 2016 and 2015
| | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | |
Cash flows from operating activities | | | | | | | | | | | | |
Net Gain (Loss) | | $ | (1,452,058 | ) | | $ | 8,864,877 | | | $ | (51,936,150 | ) |
| | | | | | | | | | | | |
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | | | | | | | | | | | | |
Purchases of investment securities | | | (656,510,527 | ) | | | (759,393,113 | ) | | | (649,921,623 | ) |
Proceeds from sales/maturities of investment securities | | | 714,898,283 | | | | 710,000,000 | | | | 700,001,500 | |
Net accretion of discount | | | (1,349,302 | ) | | | (476,315 | ) | | | (45,979 | ) |
Net realized gain (loss) on investment securities | | | 11,445 | | | | — | | | | (3,500 | ) |
Net change in unrealized appreciation/depreciation from investments | | | 5,186 | | | | 10,708 | | | | (15,148 | ) |
Net change in unrealized appreciation/depreciation from futures contracts | | | (2,461,480 | ) | | | (7,281,252 | ) | | | (18,543,109 | ) |
Changes in assets and liabilities | | | | | | | | | | | | |
Increase/(Decrease) in liabilities: | | | | | | | | | | | | |
Net management fee payable to related party | | | (61,360 | ) | | | (8,316 | ) | | | (38,733 | ) |
Accrued brokerage fees and expenses payable | | | (173,182 | ) | | | 144,426 | | | | (46,866 | ) |
| | | | | | | | | | | | |
Net cash provided by (used for) operating activities | | | 52,907,005 | | | | (48,138,985 | ) | | | (20,549,608 | ) |
| | | | | | | | | | | | |
Cash flows from financing activities | | | | | | | | | | | | |
Proceeds from creation of Limited Units | | | 2,942,102 | | | | 18,731,395 | | | | 45,167,597 | |
Redemption of Limited Units | | | (66,194,330 | ) | | | (32,454,202 | ) | | | (35,611,056 | ) |
| | | | | | | | | | | | |
Net cash provided by (used for) financing activities | | | (63,252,228 | ) | | | (13,722,807 | ) | | | 9,556,541 | |
| | | | | | | | | | | | |
Net decrease in cash | | | (10,345,223 | ) | | | (61,861,792 | ) | | | (10,993,067 | ) |
Cash* at beginning of year | | | 21,578,215 | | | | 83,440,007 | | | | 94,433,074 | |
| | | | | | | | | | | | |
Cash* at end of year | | $ | 11,232,992 | | | $ | 21,578,215 | | | $ | 83,440,007 | |
| | | | | | | | | | | | |
| * | Includes cash held by the broker for futures contracts. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Master Fund maintained, in all material respects, effective internal control over financial reporting as
Statements of Financial Condition
December 31, 2014, based on criteria established2017 and 2016
| | | | | | | | |
| | | December 31,
2017 | | | December 31,
2016 | |
Assets: | |
Cash | | $ | 4,154,280 | | | $ | 8,738,522 | |
Cash held by broker for futures contracts (Note 3) | | | 7,078,712 | | | | 12,839,693 | |
Short-term investments (cost $142,783,200 and $199,833,099 as of December 31, 2017 and December 31, 2016, respectively) | | | 142,783,635 | | | | 199,838,720 | |
Net unrealized appreciation on futures contracts | | | 1,036,765 | | | | — | |
| | | | | | | | |
Total Assets | | | 155,053,392 | | | | 221,416,935 | |
| | | | | | | | |
Liabilities and shareholders’ equity: | |
Net unrealized depreciation on futures contracts | | | — | | | | 1,424,715 | |
Net management fee payable to related party | | | 97,083 | | | | 158,443 | |
Accrued brokerage fees and expenses payable | | | — | | | | 173,182 | |
| | | | | | | | |
Total Liabilities | | | 97,083 | | | | 1,756,340 | |
| | | | | | | | |
Shareholders’ equity: | |
General Units: | |
Paid in capital - 50 units issued | | | 1,500 | | | | 1,500 | |
Accumulated deficit | | | (538 | ) | | | (533 | ) |
| | | | | | | | |
Total General Units | | | 962 | | | | 967 | |
| | | | | | | | |
Limited Units: | |
Paid in capital – 8,050,000 and 11,350,000 redeemable shares issued and outstanding as of December 31, 2017 and December 31, 2016, respectively | | | 283,104,814 | | | | 346,357,042 | |
Accumulated deficit | | | (128,149,467 | ) | | | (126,697,414 | ) |
| | | | | | | | |
Total Limited Units | | | 154,955,347 | | | | 219,659,628 | |
| | | | | | | | |
Total shareholders’ equity | | | 154,956,309 | | | | 219,660,595 | |
| | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 155,053,392 | | | $ | 221,416,935 | |
| | | | | | | | |
Net asset value per share | |
General Units | | $ | 19.25 | | | $ | 19.35 | |
| | | | | | | | |
Limited Units | | $ | 19.25 | | | $ | 19.35 | |
| | | | | | | | |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2017
| | | | | | | | | | | | | | | | |
Description | | | | | Percentage
of Net Assets | | | Fair
Value | | | Face
Amount | |
U.S. Treasury Obligations | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | | | | | |
1.08%, 1/11/18* | | | | | | | 27.74 | % | | $ | 42,987,395 | | | $ | 43,000,000 | |
1.24%, 2/8/18* | | | | | | | 35.45 | | | | 54,929,552 | | | | 55,000,000 | |
1.37%, 3/22/18*(a) | | | | | | | 28.96 | | | | 44,866,688 | | | | 45,000,000 | |
| | | | | | | | | | | | | | | | |
Total U.S. Treasury Obligations (Cost: $142,783,200) | | | | | | | 92.15 | % | | $ | 142,783,635 | | | $ | 143,000,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Futures Contracts Long Exposure (Exchange-Traded) | | | | | | | | | | | | | | | | |
Cocoa | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 160 | | | | (0.10 | )% | | $ | (150,290 | ) | | $ | 3,027,200 | |
expiration date 5/15/18 | | | 160 | | | | (0.11 | ) | | | (171,100 | ) | | | 3,028,800 | |
expiration date 7/16/18 | | | 160 | | | | (0.24 | ) | | | (373,800 | ) | | | 3,041,600 | |
Coffee “C” | | | | | | | | | | | | | | | | |
expiration date 3/19/18 | | | 63 | | | | (0.19 | ) | | | (290,569 | ) | | | 2,981,475 | |
expiration date 5/18/18 | | | 63 | | | | (0.16 | ) | | | (244,256 | ) | | | 3,036,994 | |
expiration date 7/19/18 | | | 63 | | | | (0.04 | ) | | | (55,369 | ) | | | 3,093,694 | |
Copper | | | | | | | | | | | | | | | | |
expiration date 3/27/18 | | | 37 | | | | 0.18 | | | | 280,825 | | | | 3,052,962 | |
expiration date 5/29/18 | | | 37 | | | | 0.18 | | | | 277,125 | | | | 3,066,375 | |
expiration date 7/27/18 | | | 36 | | | | 0.12 | | | | 180,150 | | | | 2,995,200 | |
Corn | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 169 | | | | (0.16 | ) | | | (247,888 | ) | | | 2,963,838 | |
expiration date 5/14/18 | | | 169 | | | | (0.16 | ) | | | (242,387 | ) | | | 3,033,550 | |
expiration date 7/13/18 | | | 169 | | | | (0.04 | ) | | | (60,100 | ) | | | 3,103,262 | |
Cotton No. 2 | | | | | | | | | | | | | | | | |
expiration date 3/7/18 | | | 77 | | | | 0.21 | | | | 328,750 | | | | 3,027,255 | |
expiration date 5/8/18 | | | 77 | | | | 0.23 | | | | 360,975 | | | | 3,039,960 | |
expiration date 7/9/18 | | | 76 | | | | 0.21 | | | | 326,190 | | | | 3,011,120 | |
Gold 100 Ounce | | | | | | | | | | | | | | | | |
expiration date 2/26/18 | | | 23 | | | | 0.05 | | | | 73,150 | | | | 3,011,390 | |
expiration date 4/26/18 | | | 23 | | | | 0.03 | | | | 46,880 | | | | 3,022,200 | |
expiration date 6/27/18 | | | 23 | | | | 0.04 | | | | 57,980 | | | | 3,033,010 | |
Lean Hogs | | | | | | | | | | | | | | | | |
expiration date 2/14/18 | | | 73 | | | | 0.11 | | | | 165,100 | | | | 2,095,830 | |
expiration date 4/13/18 | | | 72 | | | | 0.10 | | | | 157,450 | | | | 2,178,720 | |
expiration date 6/14/18 | | | 72 | | | | 0.02 | | | | 33,150 | | | | 2,417,040 | |
expiration date 7/16/18 | | | 72 | | | | 0.02 | | | | 25,240 | | | | 2,414,160 | |
Live Cattle | | | | | | | | | | | | | | | | |
expiration date 2/28/18 | | | 64 | | | | 0.04 | | | | 59,610 | | | | 3,111,680 | |
expiration date 4/30/18 | | | 63 | | | | 0.14 | | | | 210,830 | | | | 3,085,110 | |
expiration date 6/29/18 | | | 64 | | | | (0.10 | ) | | | (158,660 | ) | | | 2,909,440 | |
Natural Gas | | | | | | | | | | | | | | | | |
expiration date 1/29/18 | | | 64 | | | | (0.08 | ) | | | (121,160 | ) | | | 1,889,920 | |
expiration date 2/26/18 | | | 64 | | | | (0.08 | ) | | | (119,730 | ) | | | 1,859,840 | |
expiration date 3/27/18 | | | 65 | | | | (0.04 | ) | | | (65,240 | ) | | | 1,786,850 | |
expiration date 4/26/18 | | | 65 | | | | (0.06 | ) | | | (95,570 | ) | | | 1,781,650 | |
expiration date 5/29/18 | | | 65 | | | | (0.06 | ) | | | (94,730 | ) | | | 1,802,450 | |
NY Harbor ULSD | | | | | | | | | | | | | | | | |
expiration date 1/31/18 | | | 21 | | | | 0.21 | | | | 330,091 | | | | 1,824,064 | |
expiration date 2/28/18 | | | 21 | | | | 0.21 | | | | 325,525 | | | | 1,802,632 | |
expiration date 3/29/18 | | | 21 | | | | 0.19 | | | | 297,532 | | | | 1,775,995 | |
expiration date 4/30/18 | | | 22 | | | | 0.05 | | | | 80,506 | | | | 1,841,624 | |
expiration date 5/31/18 | | | 22 | | | | 0.05 | | | | 74,592 | | | | 1,827,857 | |
WisdomTree Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2017
(continued)
| | | | | | | | | | | | | | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Platinum | | | | | | | | | | | | | | | | |
expiration date 4/26/18 | | | 97 | | | | (0.12 | )% | | $ | (190,905 | ) | | $ | 4,550,755 | |
expiration date 7/27/18 | | | 97 | | | | 0.00 | | | | 7,150 | | | | 4,577,915 | |
Silver | | | | | | | | | | | | | | | | |
expiration date 3/27/18 | | | 36 | | | | 0.01 | | | | 13,675 | | | | 3,086,100 | |
expiration date 5/29/18 | | | 35 | | | | 0.01 | | | | 12,895 | | | | 3,013,675 | |
expiration date 7/27/18 | | | 35 | | | | 0.01 | | | | 11,410 | | | | 3,026,450 | |
Soybean | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 63 | | | | (0.02 | ) | | | (38,437 | ) | | | 3,029,513 | |
expiration date 5/14/18 | | | 62 | | | | (0.02 | ) | | | (28,425 | ) | | | 3,016,300 | |
expiration date 7/13/18 | | | 62 | | | | (0.07 | ) | | | (106,725 | ) | | | 3,048,075 | |
Soybean Oil | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 152 | | | | (0.08 | ) | | | (124,698 | ) | | | 3,033,312 | |
expiration date 5/14/18 | | | 151 | | | | (0.08 | ) | | | (122,088 | ) | | | 3,028,758 | |
expiration date 7/13/18 | | | 151 | | | | (0.12 | ) | | | (181,776 | ) | | | 3,045,972 | |
Sugar No. 11 | | | | | | | | | | | | | | | | |
expiration date 2/28/18 | | | 180 | | | | 0.10 | | | | 147,560 | | | | 3,056,256 | |
expiration date 4/30/18 | | | 180 | | | | 0.08 | | | | 123,435 | | | | 3,028,032 | |
expiration date 6/29/18 | | | 180 | | | | 0.02 | | | | 35,582 | | | | 3,032,064 | |
Wheat | | | | | | | | | | | | | | | | |
expiration date 3/14/18 | | | 138 | | | | (0.23 | ) | | | (354,900 | ) | | | 2,946,300 | |
expiration date 5/14/18 | | | 138 | | | | (0.23 | ) | | | (351,913 | ) | | | 3,037,725 | |
expiration date 7/13/18 | | | 137 | | | | (0.07 | ) | | | (109,037 | ) | | | 3,104,762 | |
WTI Crude Oil | | | | | | | | | | | | | | | | |
expiration date 1/22/18 | | | 31 | | | | 0.20 | | | | 309,230 | | | | 1,873,020 | |
expiration date 2/20/18 | | | 30 | | | | 0.19 | | | | 300,740 | | | | 1,813,200 | |
expiration date 3/20/18 | | | 30 | | | | 0.20 | | | | 306,240 | | | | 1,812,000 | |
expiration date 4/20/18 | | | 30 | | | | 0.06 | | | | 88,130 | | | | 1,808,100 | |
expiration date 5/22/18 | | | 30 | | | | 0.06 | | | | 88,820 | | | | 1,801,800 | |
| | | | | | | | | | | | | | | | |
Total | | | | 0.67 | % | | $ | 1,036,765 | | | $ | 154,744,831 | |
| | | | | | | | | | | | | | | | |
| * | Interest rate shown reflects the discount rate at time of purchase. |
| (a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $11,964,450 as of December 31, 2017. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2016
| | | | | | | | | | | | | | | | |
Description | | | | | Percentage
of Net Assets | | | Fair
Value | | | Face
Amount | |
U.S. Treasury Obligations | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | | | | | | |
0.44%, 2/16/17* | | | | | | | 27.30 | % | | $ | 59,968,080 | | | $ | 60,000,000 | |
0.47%, 3/2/17* | | | | | | | 31.84 | | | | 69,946,450 | | | | 70,000,000 | |
0.49%, 3/23/17*(a) | | | | | | | 31.83 | | | | 69,924,190 | | | | 70,000,000 | |
| | | | | | | | | | | | | | | | |
Total U.S. Treasury Obligations (Cost: $199,833,099) | | | | | | | 90.97 | % | | $ | 199,838,720 | | | $ | 200,000,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Futures Contracts Long Exposure (Exchange-Traded) | | | | | | | | | | | | | | | | |
Cocoa | | | | | | | | | | | | | | | | |
expiration date 3/16/17 | | | 203 | | | | (0.48 | )% | | $ | (1,048,280 | ) | | $ | 4,315,780 | |
expiration date 5/15/17 | | | 203 | | | | (0.50 | ) | | | (1,088,550 | ) | | | 4,289,390 | |
expiration date 7/14/17 | | | 204 | | | | (0.27 | ) | | | (591,860 | ) | | | 4,312,560 | |
Coffee “C” | | | | | | | | | | | | | | | | |
expiration date 3/21/17 | | | 83 | | | | (0.16 | ) | | | (341,588 | ) | | | 4,265,681 | |
expiration date 5/18/17 | | | 82 | | | | (0.16 | ) | | | (351,750 | ) | | | 4,286,550 | |
expiration date 7/19/17 | | | 82 | | | | (0.36 | ) | | | (800,588 | ) | | | 4,357,275 | |
Copper | | | | | | | | | | | | | | | | |
expiration date 3/29/17 | | | 69 | | | | 0.19 | | | | 418,950 | | | | 4,321,988 | |
expiration date 5/26/17 | | | 68 | | | | 0.19 | | | | 418,013 | | | | 4,270,400 | |
expiration date 7/27/17 | | | 68 | | | | 0.01 | | | | 17,063 | | | | 4,280,600 | |
Corn | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 241 | | | | 0.04 | | | | 90,475 | | | | 4,241,600 | |
expiration date 5/12/17 | | | 240 | | | | 0.03 | | | | 73,812 | | | | 4,290,000 | |
expiration date 7/14/17 | | | 240 | | | | (0.02 | ) | | | (40,100 | ) | | | 4,371,000 | |
Cotton No. 2 | | | | | | | | | | | | | | | | |
expiration date 3/9/17 | | | 121 | | | | 0.08 | | | | 182,865 | | | | 4,274,325 | |
expiration date 5/8/17 | | | 120 | | | | 0.00 | | | | 2,000 | | | | 4,261,200 | |
expiration date 7/7/17 | | | 121 | | | | 0.02 | | | | 50,520 | | | | 4,318,490 | |
Gold 100 Ounce | | | | | | | | | | | | | | | | |
expiration date 2/24/17 | | | 38 | | | | (0.23 | ) | | | (502,630 | ) | | | 4,376,460 | |
expiration date 4/26/17 | | | 37 | | | | (0.26 | ) | | | (566,920 | ) | | | 4,270,910 | |
expiration date 6/28/17 | | | 37 | | | | (0.16 | ) | | | (350,480 | ) | | | 4,281,270 | |
Lean Hogs | | | | | | | | | | | | | | | | |
expiration date 2/14/17 | | | 113 | | | | 0.25 | | | | 543,570 | | | | 2,989,980 | |
expiration date 4/17/17 | | | 113 | | | | 0.16 | | | | 341,360 | | | | 3,076,990 | |
expiration date 6/14/17 | | | 112 | | | | 0.06 | | | | 131,780 | | | | 3,427,200 | |
expiration date 7/17/17 | | | 112 | | | | 0.02 | | | | 47,760 | | | | 3,393,600 | |
Live Cattle | | | | | | | | | | | | | | | | |
expiration date 2/28/17 | | | 96 | | | | 0.14 | | | | 306,400 | | | | 4,456,320 | |
expiration date 4/28/17 | | | 96 | | | | 0.10 | | | | 217,070 | | | | 4,399,680 | |
expiration date 6/30/17 | | | 96 | | | | 0.12 | | | | 270,810 | | | | 4,019,520 | |
Natural Gas | | | | | | | | | | | | | | | | |
expiration date 1/27/17 | | | 71 | | | | 0.16 | | | | 344,220 | | | | 2,644,040 | |
expiration date 2/24/17 | | | 71 | | | | 0.15 | | | | 338,950 | | | | 2,615,640 | |
expiration date 3/29/17 | | | 71 | | | | 0.17 | | | | 375,650 | | | | 2,531,860 | |
expiration date 4/26/17 | | | 72 | | | | 0.20 | | | | 444,320 | | | | 2,550,960 | |
expiration date 5/26/17 | | | 72 | | | | 0.20 | | | | 431,380 | | | | 2,563,200 | |
NY Harbor ULSD | | | | | | | | | | | | | | | | |
expiration date 1/31/17 | | | 36 | | | | 0.15 | | | | 335,177 | | | | 2,613,038 | |
expiration date 2/28/17 | | | 36 | | | | 0.16 | | | | 345,064 | | | | 2,627,856 | |
expiration date 3/31/17 | | | 35 | | | | 0.16 | | | | 353,686 | | | | 2,557,065 | |
expiration date 4/28/17 | | | 35 | | | | 0.16 | | | | 351,746 | | | | 2,563,827 | |
expiration date 5/31/17 | | | 35 | | | | 0.16 | | | | 348,386 | | | | 2,571,324 | |
Platinum | | | | | | | | | | | | | | | | |
expiration date 4/26/17 | | | 143 | | | | (0.23 | ) | | | (507,030 | ) | | | 6,475,755 | |
expiration date 7/27/17 | | | 142 | | | | (0.13 | ) | | | (295,105 | ) | | | 6,455,320 | |
WisdomTree Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2016
(continued)
| | | | | | | | | | | | | | | | |
Description | | Contracts | | | Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets | | | Unrealized
Appreciation/
(Depreciation) | | | Notional
Value | |
Silver | | | | | | | | | | | | | | | | |
expiration date 3/29/17 | | | 54 | | | | (0.33 | )% | | $ | (715,760 | ) | | $ | 4,317,030 | |
expiration date 5/26/17 | | | 54 | | | | (0.33 | ) | | | (735,715 | ) | | | 4,331,340 | |
expiration date 7/27/17 | | | 53 | | | | (0.25 | ) | | | (554,420 | ) | | | 4,264,380 | |
Soybean | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 85 | | | | 0.04 | | | | 87,063 | | | | 4,267,000 | |
expiration date 5/12/17 | | | 85 | | | | 0.06 | | | | 120,263 | | | | 4,303,125 | |
expiration date 7/14/17 | | | 85 | | | | (0.00 | ) | | | (2,400 | ) | | | 4,330,750 | |
Soybean Oil | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 206 | | | | 0.04 | | | | 78,492 | | | | 4,283,976 | |
expiration date 5/12/17 | | | 206 | | | | 0.04 | | | | 94,890 | | | | 4,316,112 | |
expiration date 7/14/17 | | | 205 | | | | (0.03 | ) | | | (61,998 | ) | | | 4,320,990 | |
Sugar No. 11 | | | | | | | | | | | | | | | | |
expiration date 2/28/17 | | | 200 | | | | (0.11 | ) | | | (239,019 | ) | | | 4,370,240 | |
expiration date 4/28/17 | | | 201 | | | | (0.09 | ) | | | (208,936 | ) | | | 4,333,560 | |
expiration date 6/30/17 | | | 199 | | | | (0.11 | ) | | | (245,582 | ) | | | 4,201,288 | |
Wheat | | | | | | | | | | | | | | | | |
expiration date 3/14/17 | | | 205 | | | | (0.15 | ) | | | (326,863 | ) | | | 4,182,000 | |
expiration date 5/12/17 | | | 204 | | | | (0.15 | ) | | | (336,588 | ) | | | 4,289,100 | |
expiration date 7/14/17 | | | 204 | | | | (0.08 | ) | | | (178,438 | ) | | | 4,429,350 | |
WTI Crude Oil | | | | | | | | | | | | | | | | |
expiration date 1/20/17 | | | 47 | | | | 0.12 | | | | 269,230 | | | | 2,524,840 | |
expiration date 2/21/17 | | | 47 | | | | 0.13 | | | | 281,350 | | | | 2,569,020 | |
expiration date 3/21/17 | | | 47 | | | | 0.13 | | | | 288,040 | | | | 2,605,210 | |
expiration date 4/20/17 | | | 47 | | | | 0.15 | | | | 326,130 | | | | 2,634,350 | |
expiration date 5/22/17 | | | 46 | | | | 0.15 | | | | 339,400 | | | | 2,598,540 | |
| | | | | | | | | | | | | | | | |
Total | | | | (0.65 | )% | | $ | (1,424,715 | ) | | $ | 219,390,855 | |
| | | | | | | | | | | | | | | | |
| * | Interest rate shown reflects the discount rate at time of purchase. |
| (a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $19,978,340 as of December 31, 2016. |
See accompanying notes to consolidated financial statements
WisdomTree Continuous Commodity Index Master Fund
Statements of Income and Expenses
For the Years Ended December 31, 2017, 2016 and 2015
| | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | |
Income: | |
Interest income | | $ | 1,356,236 | | | $ | 476,315 | | | $ | 45,979 | |
| | | | | | | | | | | | |
Expenses: | |
Management fee to related party | | | 1,513,176 | | | | 1,860,871 | | | | 2,121,828 | |
Brokerage fees and expenses | | | — | | | | 437,850 | | | | 499,254 | |
| | | | | | | | | | | | |
Total expenses | | | 1,513,176 | | | | 2,298,721 | | | | 2,621,082 | |
| | | | | | | | | | | | |
Expense waivers | | | (178,022 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
Net expenses | | | 1,335,154 | | | | 2,298,721 | | | | 2,621,082 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 21,082 | | | | (1,822,406 | ) | | | (2,575,103 | ) |
| | | | | | | | | | | | |
|
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | |
Net Realized Gain (Loss) from: | |
Investments | | | (11,445 | ) | | | — | | | | 3,500 | |
Futures Contracts | | | (3,917,989 | )* | | | 3,416,739 | | | | (67,922,804 | ) |
| | | | | | | | | | | | |
Net Realized Gain (Loss) | | | (3,929,434 | ) | | | 3,416,739 | | | | (67,919,304 | ) |
| | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | |
Investments | | | (5,186 | ) | | | (10,708 | ) | | | 15,148 | |
Futures Contracts | | | 2,461,480 | | | | 7,281,252 | | | | 18,543,109 | |
| | | | | | | | | | | | |
Net Increase in Unrealized Appreciation/Depreciation | | | 2,456,294 | | | | 7,270,544 | | | | 18,558,257 | |
| | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | | (1,473,140 | ) | | | 10,687,283 | | | | (49,361,047 | ) |
| | | | | | | | | | | | |
Net Gain (Loss) | | $ | (1,452,058 | ) | | $ | 8,864,877 | | | $ | (51,936,150 | ) |
| | | | | | | | | | | | |
| * | Includes brokerage commissions and fees for the year ended December 31, 2017 of $178,822. Prior to January 1, 2017, brokerage commissions and fees were included under “Expenses” in “Brokerage fees and expenses”. |
See accompanying notes to financial statements
WisdomTree Continuous Commodity Index Master Fund
Statement of Changes in Shareholders’ Equity
For the 2013Internal Control—Integrated Framework issued by COSO.Year Ended December 31, 2017
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated | | | Total
General
Shareholders’ | | | Limited Units | | | Accumulated | | | Total
Limited
Shareholders’ | | | Total
Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
Balance at December 31, 2016 | | | 50 | | | $ | 1,500 | | | $ | (533 | ) | | $ | 967 | | | | 11,350,000 | | | $ | 346,357,042 | | | $ | (126,697,414 | ) | | $ | 219,659,628 | | | $ | 219,660,595 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 150,000 | | | | 2,942,102 | | | | — | | | | 2,942,102 | | | | 2,942,102 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (3,450,000 | ) | | | (66,194,330 | ) | | | — | | | | (66,194,330 | ) | | | (66,194,330 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | — | | | | — | | | | 0 | * | | | 0 | * | | | — | | | | — | | | | 21,082 | | | | 21,082 | | | | 21,082 | |
Net Realized Loss from Investments and Futures Contracts | | | — | | | | — | | | | (24 | ) | | | (24 | ) | | | — | | | | — | | | | (3,929,410 | ) | | | (3,929,410 | ) | | | (3,929,434 | ) |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 19 | | | | 19 | | | | — | | | | — | | | | 2,456,275 | | | | 2,456,275 | | | | 2,456,294 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Loss | | | — | | | | — | | | | (5 | ) | | | (5 | ) | | | — | | | | — | | | | (1,452,053 | ) | | | (1,452,053 | ) | | | (1,452,058 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2017 | | | 50 | | | $ | 1,500 | | | $ | (538 | ) | | $ | 962 | | | | 8,050,000 | | | $ | 283,104,814 | | | $ | (128,149,467 | ) | | $ | 154,955,347 | | | $ | 154,956,309 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Amount represents less than $1. |
See accompanying notes to financial statements
WisdomTree Continuous Commodity Index Master Fund
Statement of Changes in Shareholders’ Equity
For the GreenHavenYear Ended December 31, 2016
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated | | | Total
General
Shareholders’ | | | Limited Units | | | Accumulated | | | Total
Limited
Shareholders’ | | | Total
Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
Balance at December 31, 2015 | | | 50 | | | $ | 1,500 | | | $ | (572 | ) | | $ | 928 | | | | 12,100,000 | | | $ | 360,079,849 | | | $ | (135,562,252 | ) | | $ | 224,517,597 | | | $ | 224,518,525 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 950,000 | | | | 18,731,395 | | | | — | | | | 18,731,395 | | | | 18,731,395 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (1,700,000 | ) | | | (32,454,202 | ) | | | — | | | | (32,454,202 | ) | | | (32,454,202 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | — | | | | — | | | | (10 | ) | | | (10 | ) | | | — | | | | — | | | | (1,822,396 | ) | | | (1,822,396 | ) | | | (1,822,406 | ) |
Net Realized Gain from Investments and Futures Contracts | | | — | | | | — | | | | 15 | | | | 15 | | | | — | | | | — | | | | 3,416,724 | | | | 3,416,724 | | | | 3,416,739 | |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 34 | | | | 34 | | | | — | | | | — | | | | 7,270,510 | | | | 7,270,510 | | | | 7,270,544 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Gain | | | — | | | | — | | | | 39 | | | | 39 | | | | — | | | | — | | | | 8,864,838 | | | | 8,864,838 | | | | 8,864,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2016 | | | 50 | | | $ | 1,500 | | | $ | (533 | ) | | $ | 967 | | | | 11,350,000 | | | $ | 346,357,042 | | | $ | (126,697,414 | ) | | $ | 219,659,628 | | | $ | 219,660,595 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements
WisdomTree Continuous Commodity Index Master Fund
Statement of Changes in Shareholders’ Equity
For the Year Ended December 31, 2015
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | General Units | | | Limited Units | | | Total | |
| | | General Units | | | Accumulated | | | Total
General
Shareholders’ | | | Limited Units | | | Accumulated | | | Total
Limited
Shareholders’ | | | Total
Shareholders’ | |
| | | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
Balance at December 31, 2014 | | | 50 | | | $ | 1,500 | | | $ | (360 | ) | | $ | 1,140 | | | | 11,700,000 | | | $ | 350,523,308 | | | $ | (83,626,314 | ) | | $ | 266,896,994 | | | $ | 266,898,134 | |
Creation of Units | | | — | | | | — | | | | — | | | | — | | | | 2,150,000 | | | | 45,167,597 | | | | — | | | | 45,167,597 | | | | 45,167,597 | |
Redemption of Units | | | — | | | | — | | | | — | | | | — | | | | (1,750,000 | ) | | | (35,611,056 | ) | | | — | | | | (35,611,056 | ) | | | (35,611,056 | ) |
Net Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Loss | | | — | | | | — | | | | (12 | ) | | | (12 | ) | | | — | | | | — | | | | (2,575,091 | ) | | | (2,575,091 | ) | | | (2,575,103 | ) |
Net Realized Loss from Investments and Futures Contracts | | | — | | | | — | | | | (284 | ) | | | (284 | ) | | | — | | | | — | | | | (67,919,020 | ) | | | (67,919,020 | ) | | | (67,919,304 | ) |
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | | | — | | | | — | | | | 84 | | | | 84 | | | | — | | | | — | | | | 18,558,173 | | | | 18,558,173 | | | | 18,558,257 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Loss | | | — | | | | — | | | | (212 | ) | | | (212 | ) | | | — | | | | — | | | | (51,935,938 | ) | | | (51,935,938 | ) | | | (51,936,150 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2015 | | | 50 | | | $ | 1,500 | | | $ | (572 | ) | | $ | 928 | | | | 12,100,000 | | | $ | 360,079,849 | | | $ | (135,562,252 | ) | | $ | 224,517,597 | | | $ | 224,518,525 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements
WisdomTree Continuous Commodity Index Master Fund
Statements of Cash Flows
For the Years Ended December 31, 2017, 2016 and 2015
| | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | |
Cash flows from operating activities | |
Net Gain (Loss) | | $ | (1,452,058 | ) | | $ | 8,864,877 | | | $ | (51,936,150 | ) |
| | | | | | | | | | | | |
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | | | | | | | | | | | | |
Purchases of investment securities | | | (656,510,527 | ) | | | (759,393,113 | ) | | | (649,921,623 | ) |
Proceeds from sales/maturities of investment securities | | | 714,898,283 | | | | 710,000,000 | | | | 700,001,500 | |
Net accretion of discount | | | (1,349,302 | ) | | | (476,315 | ) | | | (45,979 | ) |
Net realized gain (loss) on investment securities | | | 11,445 | | | | — | | | | (3,500 | ) |
Net change in unrealized appreciation/depreciation from investments | | | 5,186 | | | | 10,708 | | | | (15,148 | ) |
Net change in unrealized appreciation/depreciation from futures contracts | | | (2,461,480 | ) | | | (7,281,252 | ) | | | (18,543,109 | ) |
Changes in assets and liabilities | | | | | | | | | | | | |
Increase/(Decrease) in liabilities: | | | | | | | | | | | | |
Net management fee payable to related party | | | (61,360 | ) | | | (8,316 | ) | | | (38,733 | ) |
Accrued brokerage fees and expenses payable | | | (173,182 | ) | | | 144,426 | | | | (46,866 | ) |
| | | | | | | | | | | | |
Net cash provided by (used for) operating activities | | | 52,907,005 | | | | (48,138,985 | ) | | | (20,549,608 | ) |
| | | | | | | | | | | | |
Cash flows from financing activities | |
Proceeds from creation of Limited Units | | | 2,942,102 | | | | 18,731,395 | | | | 45,167,597 | |
Redemption of Limited Units | | | (66,194,330 | ) | | | (32,454,202 | ) | | | (35,611,056 | ) |
| | | | | | | | | | | | |
Net cash provided by (used for) financing activities | | | (63,252,228 | ) | | | (13,722,807 | ) | | | 9,556,541 | |
| | | | | | | | | | | | |
Net decrease in cash | | | (10,345,223 | ) | | | (61,861,792 | ) | | | (10,993,067 | ) |
Cash* at beginning of year | | | 21,578,215 | | | | 83,440,007 | | | | 94,433,074 | |
| | | | | | | | | | | | |
Cash* at end of year | | $ | 11,232,992 | | | $ | 21,578,215 | | | $ | 83,440,007 | |
| | | | | | | | | | | | |
| * | Includes cash held by the broker for futures contracts. |
See accompanying notes to financial statements
WisdomTree Continuous Commodity Index Fund
WisdomTree Continuous Commodity Index Master Fund
Notes to Consolidated Financial Statements
Years Ended December 31, 2017, 2016, 2015
(1) Organization
WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. For each of the Funds, WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”), and GreenHaven Advisors LLC serves as the commodity trading advisor(the “Sub-Adviser”).
Shares representing units of fractional undivided beneficial interest in and ownership of the Fund (“Limited Units” or “Shares”) are listed on the NYSE Arca under the symbol “GCC.” Upon inception of the Fund, 50 general units of the Fund (“General Units” or “General Shares”) were issued to the Managing Owner in exchange for a capital contribution of $1,500. We refer to the General Shares and Shares collectively as “Total Shares,” and the holders of the Shares as the “Shareholders.”
The Master Fund is wholly-owned by the Fund and the Managing Owner. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.
The Fund and Master Fund commenced investment operations on January 23, 2008, with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 under the symbol “GCC.”
Effective January 1, 2016, in accordance with the terms of a Unit Purchase Agreement dated October 29, 2015, GreenHaven LLC sold 100% of the issued and outstanding membership interest in the Managing Owner to WisdomTree Investments Inc. Following the sale, the name of the Fund was changed from “GreenHaven Continuous Commodity Index Fund” to “WisdomTree Continuous Commodity Index Fund,” the name of the Master Fund was changed from “GreenHaven Continuous Commodity Index Master Fund” to “WisdomTree Continuous Commodity Index Master Fund,” and the name of the Managing Owner was changed from “GreenHaven Commodity Services LLC” to “WisdomTree Commodity Services, LLC.”
The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Equal Weight Continuous Commodity Total Return Index (the “Index”), before the Funds’ liabilities and expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil) and natural gas. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and calculation agent of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.
The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by actively trading exchange traded futures (“Commodity Futures”) on the Index Commodities, with a view to tracking the performance of the Index over time, regardless of whether the Index is rising, falling or flat over any particular period.
The Master Fund’s portfolio (its “Portfolio”) also includes cash, U.S. Treasury obligations and other high credit-quality, short-term fixed income securities (collectively, “U.S. Treasuries”) for deposit with the Commodity Broker (as defined below) as margin or otherwise held to cover the Master Fund’s notional exposure to Commodity Futures.
The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined in Note 7 – Share Creations and Redemptions) per Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.
The Managing Owner and the Shareholders share in any profits and losses attributable to the Fund in proportion to the percentage interest owned by each.
The Managing Owner and the Funds retain the services of third party service providers for the ongoing operations of the Funds. See Note (2) – Service Providers and Related Party Agreements.
In accordance with Accounting Standards Update(“ASU”) 2013-08, Financial Services-Investment Companies, the Funds each qualify as an investment company and are applying the accounting and reporting guidance for investment companies.
(2) Service Providers and Related Party Agreements
(a)Trustee.Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds 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 Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.
(b)Managing Owner.WisdomTree Commodity Services, LLC, a Delaware limited liability company, is the managing owner and commodity pool operator of each of the Funds. The Trustee has delegated to the Managing Owner the exclusive power and authority to manage the business and affairs of each of the Funds. The Managing Owner’s principal offices are located in New York, New York.
(c)Sub-Adviser.Greenhaven Advisors LLC is thesub-adviser and commodity trading adviser of each of the Funds. TheSub-Adviser, under authority delegated by the Managing Owner, is responsible for selecting Commodity Brokers and reallocating assets within the Portfolio with a view to achieving the Funds’ investment objective. TheSub-Adviser’s principal offices are located in Atlanta, Georgia.
(d)Commodity Broker. A variety of executing brokers may execute transactions in Commodity Futures on behalf of the Master Fund. Morgan Stanley & Co. LLC (the “Commodity Broker”) is the Master Fund’s commodity broker to which the executing brokersgive-up all such transactions. In its capacity as the clearing broker, the Commodity Broker may execute and clear each of the Master Fund’s futures transactions. The Commodity Broker’s principal offices are located in New York, New York.
(e)Administrator. Prior to January 1, 2016, Bank of New York Mellon Corporation served as the administrator, custodian and transfer agent of the Funds. As of January 1, 2016, the Managing Owner, on behalf of the Funds, appointed State Street Bank and Trust Company (the “Administrator”) as the administrator of the Funds and has entered into an Administration Agreement in connection therewith. The Administrator also serves as custodian of the Funds pursuant to a Master Custodian Agreement, and transfer agent of the Funds pursuant to a Transfer Agency and Service Agreement. The Administrator performs certain services necessary for the operation and administration of the Funds (other than making investment decisions), including calculations of the Master Fund’s Net Asset Value and accounting and other administrative services. The Administrator retains certain financial books and records, including: fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Administrator has an office in Boston, Massachusetts.
(f)Distributor. Foreside Fund Services LLC is the Funds’ distributor (the “Distributor”) pursuant to a Distribution Services Agreement. The Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including assisting in matters associated with receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor has an office in Portland, Maine.
(g)Authorized Participant. The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. Each Authorized Participant must (i) be a registered broker-dealer or other securities market participant, such as a bank or other financial institution that is not required to register as a broker-dealer to engage in securities transactions, (ii) be a participant in the Depository Trust Company (“DTC”), and (iii) have entered into a “Participant Agreement.” The Participant Agreement sets forth the procedures for the creation and redemption of Baskets and for the delivery of cash required for such creations or redemptions. The current Authorized Participants are J.P. Morgan Securities LLC, Merrill Lynch Professional Clearing Corporation, and Morgan Stanley & Co. Incorporated.
(3) Summary of Significant Accounting Policies
(a) Basis of Presentation and Consolidation
The financial statements of the Fund and the Master Fund have been prepared using U.S. generally accepted accounting principles (“GAAP”). The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative GAAP recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under the authority of federal laws are also sources of authoritative GAAP for SEC registrants.
All of the capital raised by the Fund from the offering of its Shares is used to purchase Master Fund Units. The financial statements of the Fund include the balances of the Master Fund on a consolidated basis and all inter-company balances and transactions have been eliminated in the consolidation. Separate financial statements of the Master Fund are presented to comply with reporting requirements of the SEC as both the Fund and the Master Fund are SEC registrants.
(b) Use of Estimates
The preparation of the financial statements in conformity with GAAP requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses during the period. Actual results could differ from those estimates.
(c) Cash Held by Broker
A portion of the Master Fund’s cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Fund’s open Commodity Futures. The Commodity Broker allows the Master Fund to apply its U.S. Treasuries positions towards its initial margin requirement for the Master Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and U.S. Treasuries positions are held in segregated accounts at the Commodity Broker and are not insured by the Federal Deposit Insurance Corporation.
(d) U. S. Treasury Obligations
The Master Fund records purchases and sales of U.S. Treasuries on a trade date basis. These holdings are marked to market based on quotations from broker-dealers or independent service providers. The Master Fund may hold U.S. Treasuries for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open Commodity Futures. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasuries.
(e) Futures Contracts
The Master Fund purchases and holds Commodity Futures for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the Schedules of Investments, Commodity Futures are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard.See Note 4 – Fair Value Measurements. However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.
(f) Income Taxes
The Fund and Master Fund are treated as partnerships for U.S. federal income tax purposes. Accordingly, the Fund and Master Fund are not subject to U.S. federal income tax and may not be subject to state or local income taxes. As a result, no provision for federal, state or local income taxes has been made in the accompanying financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit
from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution.
(g) Recently Issued Accounting Standards
In November 2016, the FASB issued ASUNo. 2016-18 (“ASU2016-18”),Statement of Cash Flows (Topic 230): Restricted Cash, which will require entities to explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling thebeginning-of-period andend-of-period total amounts shown on the statement of cash flows. ASU2016-18 is effective for fiscal years beginning after December 15, 2017 and interim periods within those fiscal years, and the amendments in ASU2016-18 should be applied using a retrospective transition method to each period presented. The Managing Owner has evaluated the impact of ASU 2016-18 on the Fund’s financial statement disclosures and determined that ASU 2016-18 did not have a significant impact on the Fund’s Statement of Cash Flows since all cash balances currently reported by the Fund are unrestricted cash.
(h) Subsequent Events
For purposes of disclosure in the financial statements, the Funds have evaluated events occurring between the period ended December 31, 2017 and when the financial statements were issued.
During that period, 1,200,000 Shares were created for $23,248,645 and 100,000 Shares were redeemed for $1,937,982, resulting in 9,150,050 Total Shares outstanding.
Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
(4) Fair Value Measurements
The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Master Fund uses a three-tier fair value hierarchy based upon observable and unobservable inputs as follows:
Level 1 — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.
Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.
Level 3 — Unobservable inputs for the asset or liability.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Master Fund are either exchange-traded securities that are valued at the official closing price on the exchange where they are principally traded or U.S. government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2017, classified according to the levels used to value them, is as follows:
| | | | | | | | | | | | | | | | |
Assets | | Quoted
Prices in
Active
Market
(Level 1) | | | Other
Significant
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Totals | |
U.S. Treasury Obligations | | $ | — | | | $ | 142,783,635 | | | $ | — | | | $ | 142,783,635 | |
Net unrealized appreciation on futures contracts | | | 1,036,765 | | | | — | | | | — | | | | 1,036,765 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,036,765 | | | $ | 142,783,635 | | | $ | — | | | $ | 143,820,400 | |
| | | | | | | | | | | | | | | | |
There were no transfers between Level 1 and Level 2 for the Master Fund during the year ended December 31, 2017. The Master Fund did not hold any Level 3 securities during the year ended December 31, 2017.
A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2016, classified according to the levels used to value them, is as follows:
| | | | | | | | | | | | | | | | |
Assets | | Quoted
Prices in
Active
Market
(Level 1) | | | Other
Significant
Observable
Inputs
(Level 2) | | | Significant
Unobservable
Inputs
(Level 3) | | | Totals | |
U.S. Treasury Obligations | | $ | — | | | $ | 199,838,720 | | | $ | — | | | $ | 199,838,720 | |
| | | | | | | | | | | | | | | | |
Liabilities | |
Unrealized depreciation on futures contracts | | | (1,424,715 | ) | | | — | | | | — | | | | (1,424,715 | ) |
| | | | | | | | | | | | | | | | |
Total - Net | | $ | (1,424,715 | ) | | $ | 199,838,720 | | | $ | — | | | $ | 198,414,005 | |
| | | | | | | | | | | | | | | | |
There were no transfers between Level 1 and Level 2 for the Master Fund during the year ended December 31, 2016. The Master Fund did not hold any Level 3 securities during the year ended December 31, 2016.
(5) Derivative Instruments and Hedging Activities
The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of December 31, 2017, the Master Fund was invested in Commodity Futures. For the years ended December 31, 2017 and 2016, the volumes of derivative activity (based on averagemonth-end notional amounts) were $178,860,477 and $218,760,963, respectively.
The fair value of derivative instruments at December 31, 2017 and 2016, were as follows:
| | | | | | | | | | |
As of: | | Derivative
Instruments | | Asset
Derivatives (i) | | | Liability
Derivatives (ii) | |
December 31, 2017 | | Commodity Futures | | $ | 1,036,765 | | | $ | — | |
December 31, 2016 | | Commodity Futures | | $ | — | | | $ | 1,424,715 | |
| (i) | Values are disclosed on the Statements of Financial Condition underNet unrealized appreciation on futures contracts. |
| (ii) | Values are disclosed on the Statements of Financial Condition underNet unrealized depreciation on futures contracts. |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the years ended December 31, 2017, 2016 and 2015:
| | | | | | | | | | |
For the Year Ended: | | Derivative
Instruments | | Realized Gain
(Loss)
on Derivative
Instruments (i) | | | Net Increase in
Unrealized
Appreciation/Depreciation
on Derivative
Instruments (ii) | |
December 31, 2017 | | Commodity Futures | | $ | (3,917,989 | ) | | $ | 2,461,480 | |
December 31, 2016 | | Commodity Futures | | | 3,416,739 | | | | 7,281,252 | |
December 31, 2015 | | Commodity Futures | | | (67,922,804 | ) | | | 18,543,109 | |
| (i) | Values are disclosed on the Statements of Income and Expenses underNet realized gain (loss) from futures contracts. |
| (ii) | Values are disclosed on the Statements of Income and Expenses underNet increase (decrease) in unrealized appreciation/depreciation from futures contracts. |
(6) Financial Instrument Risk
In the normal course of its business, the Master Fund may be party to financial instrumentswith off-balance sheet risk. Theterm “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Master Fund are Commodity Futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.
Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Master Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statement of Financial Condition and not represented by the contract or notional amounts of the instruments.
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitateoff-balance sheet financing arrangements and has no loan guarantee arrangements oroff-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.
(7) Share Creations and Redemptions
The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. To compensate the Administrator for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $200 per order.
“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the U.S., consistently applied under the accrual method of accounting. In particular, Net Asset Value includes any unrealized profit or loss on open Commodity Futures, and any other credit or debit accruing to the Master Fund but unpaid or not received by the Master Fund.
(a) Creation of Shares
General. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Purchase orders must be placed by 10:00 a.m. ET. The day on which a valid purchase order is received is the purchase order date. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account will be charged thenon-refundable transaction fee due for the purchase order.
Determination of Required Payment. The total payment required to create each Basket is the Net Asset Value of 50,000 Shares as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m. ET, on the business day immediately following the purchase order date at the Net Asset Value per Share as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.
Because orders to purchase Baskets must be placed by 10:00 a.m. ET, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m. ET, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.
Rejection of Purchase Orders. The Administrator may reject a creation order if:
(i) it determines that the creation order is not in proper form;
(ii) the Managing Owner believes that the purchase order would have adverse tax consequences to the Fund
or its Shareholders; or
(iii) circumstances outside the control of the Managing Owner or the Distributor make it, for all practical
purposes, not feasible to process creations of Baskets.
The Distributor and the Managing Owner will not be liable for the rejection of any purchase order.
(b) Redemption of Shares
General. The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m. ET. The day on which a valid redemption order is received in proper form is the redemption order date. Redemption orders are irrevocable. Shareholders may not redeem directly from the Fund.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than 12:00 p.m. ET, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account will be charged thenon-refundable transaction fee due for the redemption order.
Determination of Required Payment. The redemption proceeds from the Fund consist of the cash redemption amount equal to the Net Asset Value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at 12:00 p.m. ET, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.
Delivery of Redemption Proceeds. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 12:00 p.m. ET, on the business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Distributor receives the fee applicable to the extension of the redemption distribution date which the Distributor may, fromtime-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 12:00 p.m. ET, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Distributor is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 12:00 p.m. ET, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Distributor and the Managing Owner may fromtime-to-time agree.
Suspension or Rejection of Redemption Orders. The Managing Owner may suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. The Managing Owner will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.
A redemption order may be rejected if the order is not in proper form as described in the order form and/or Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful.
(8) Operating Expenses
(a) Management Fee
The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. Effective January 1, 2017, the Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Master Fund. For the years ended December 31, 2017, 2016 and 2015, the Management Fee paid by the Master Fund was as follows:
| | | | | | | | | | | | |
For the Year Ended: | | Management
Fee | | | Voluntary
Fee Waiver | | | Net Management
Fee | |
December 31, 2017 | | $ | 1,513,176 | | | $ | (178,022 | ) | | $ | 1,335,154 | |
December 31, 2016 | | $ | 1,860,871 | | | $ | — | | | $ | 1,860,871 | |
December 31, 2015 | | $ | 2,121,828 | | | $ | — | | | $ | 2,121,828 | |
(b) Initial Organization and Offering Expenses
Expenses incurred in connection with formation of the Fund and the offering of the Shares prior to January 1, 2016, were paid by GreenHaven, LLC. GreenHaven, LLC is the former sole member of the Managing Owner. The Fund does not have an obligation to reimburse GreenHaven, LLC or its affiliates for organization and offering expenses paid on its behalf.
(c) Brokerage Commissions, Fees, and Routine Operational, Administrative, and Other Ordinary Expenses
Prior to January 1, 2017, the Funds’ brokerage commissions and fees as well as routine operational, administrative and other ordinary expenses, including, but not limited to, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs, were accrued at a rate of 0.20% of the Net Asset Value per annum in the aggregate. Of the amounts so accrued, the Funds first paid brokerage commissions and fees, and secondly, from the remainder of the amounts so accrued, reimbursed the Managing Owner for the Funds’ routine operational, administrative and other ordinary expenses paid by the Managing Owner.
Effective January 1, 2017, the Managing Owner has voluntarily agreed to assume all routine operational, administrative and other ordinary expenses of the Funds, and will not be reimbursed for any such expenses. As a result, the Funds will no longer accrue for such expenses. In addition, effective January 1, 2017, the Master Fund will pay its brokerage commissions and fees directly. As a result, the Funds will no longer accrue for such commissions and fees as an expense accrual, but will include it as a component of Net Realized Gain (Loss) on the Consolidated Statements of Income and Expenses. Accordingly, effective January 1, 2017, the Fund’s expense accrual of 0.20% of the Fund’s Net Asset Value for (i) brokerage commissions and fees, and (ii) routine operational, administrative and other ordinary expenses, was eliminated.
Brokerage commissions and fees are charged against the Fund’s assets on a per transaction basis. The brokerage commissions, trading fees and routine operational, administrative, and other ordinary expenses incurred for the years ended December 31, 2016 and 2015 were $437,850 and $499,254, respectively. Brokerage commissions and fees incurred for the year ended December 31, 2014, and our report dated March 6, 2015 and expressed an unqualified opinion on those financial statements.2017 was $178,822.
/s/ GRANT THORNTON LLP(9) Termination
Atlanta, Georgia
March 6, 2015
None.
| MANAGERS AND EXECUTIVE OFFICERS OF THE REGISTRANT |
The Fund has no directors or executive officers and also does not have any employees. It is managed by the Managing Owner.
The current board of directors and executive officersterm of the Managing Owner areFund is perpetual, unless terminated earlier in certain circumstances as follows:
| | |
Name | | | Age | | Position | |
Ashmead Pringle | 68 | Chief Executive Officer and Member of the Board of Directors |
Cooper Anderson | 35 | Chief Financial Officer and Member of the Board of Directors |
TJ Mangold | 63 | Independent Director, Audit Committee Member |
Steve O’Grady | 67 | Independent Director, Audit Committee Member |
Cengiz Searfoss | 45 | Independent Director, Audit Committee Member |
Mr. Ashmead Pringledefined in the Trust Agreements.(10) Profit and Mr. Cooper Anderson serve as executive officers of the Managing Owner. Mr. TJ Mangold is the Audit Committee Chair. The Fund has no executive officers. Its affairs are managed by the Managing Owner. The following individuals serve as ManagementLoss Allocations and Directors of the Managing Owner.
Principals and Key Employees. Ashmead Pringle and Cooper Anderson serve as the chief decision makers of the Managing Owner.
Ashmead Pringle, 68, Chief Executive Officer
Mr. Pringle founded theDistributionsThe Managing Owner and has served as the President since OctoberShareholders share in any profits and losses of 2006. Since 1984, Mr. Pringle founded and has acted as the President of Grain Service Corporation (GSC), a commodity research and trading company. Mr. Pringle has conducted hundreds of seminars on hedging, risk management, and basis tradingFund attributable to the Fund in energy and agriculture, and is a recognized expert in commodity risk management. Mr. Pringle became a registered Associated Person and listed Principalproportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on November 15, 2006. He became a listed Principalpro-rata basis in accordance with the respective capital balances of GreenHaven, LLC on November 15, 2006the Shareholders, but the Fund is under no obligation to make periodic distributions to Shareholders. The Fund has made no distributions to its Shareholders since the Fund commenced operations.
(11) Commitments and a registered Associated Person of GreenHaven, LLC on September 18, 2006. GreenHaven LLC is a Georgia LLC, which focuses on the development of private and public commodity investments. He became a listed Principal of Grain Service Corporation, Inc. on June 12, 1985 and a registered Associated Person of Grain Service Corporation, Inc. on October 31, 1985.
Cooper Anderson, 35, Chief Financial Officer and Manager of Operations
Mr. Anderson is the Manager of Operations forContingenciesThe Managing Owner, either in its own capacity or in its capacity as the Managing Owner and is responsible for daily futures trading, cash flow management, treasury portfolio management, and quantitative analysis for the GreenHaven Continuous Commodity Index Fund. Prior to joining GreenHaven LLC, in April of 2007, Mr. Anderson worked from December of 2002 until March of 2006 as an analyst in Institutional Equity Sales and Trading for Credit Suisse Securities USA LLC, a securities broker dealer and investment bank based in Zurich, Switzerland. At Credit Suisse Securities USA LLC, Mr. Anderson served as a brokerage sales person covering the major financial institutions in the Southeastern United States and the Caribbean. Between March of 2006 and April of 2007, Mr. Anderson took time off from work. He has passed the Level 3 CFA® exam and has a B.B.A. in Finance from the University of Georgia. Mr. Anderson became a registered Associated Person on May 29, 2007 with GreenHaven LLC and registered Associated Person and as listed Principal of the Managing Owner on November 30, 2009. The registration associated with GreenHaven, LLC became inactive as of February 2, 2011.
Scott Glasing, 52, Trader
Mr. Glasing is a trader for the Managing Owner and is responsible for daily futures trading. Mr. Glasing has held this position since November of 2006. Mr. Glasing has an expertise, concentrated in trading, back office operations and compliance. A native of Chicago, his fields of interest include finance, economics, and hedging. Mr. Glasing has worked for Grain Service Corporation, Inc. since 1998. Mr. Glasing became a registered Associated Person on November 15, 2006 and listed Principal of the Managing Owner on November 30, 2009. He became a registered Associated Person of GreenHaven, LLC on September 14, 2006. He became an Associated Person of Grain Service Corporation, Inc. on February 9, 1998 and was listed as a principal of Grain Service Corporation, Inc. on March 26, 1998.
None of Mr. Pringle, Mr. Anderson, or Mr. Glasing receives a salary directly from the Master Fund or the Fund as a result of serving in any capacity. However, a portion the Management Fee that is received for the services provided by the Managing Owner may be used for payment of compensation to such individuals.
The following individuals serve as Independent Directors of the Managing Owner.
Thomas J Mangold spent thirty-seven years in public accounting with PricewaterhouseCoopers LLP (PwC), serving national and international public and private clients. He has extensive experience in providing financial reporting, accounting, internal control and mergers and acquisitions expertise. He also served in various leadership roles for PwC including leading its Information and Communication practice and as a member of the firm’s U.S. Extended Leadership Team. Mr. Mangold is a certified public accountant and holds a bachelor’s degree in accounting from the University of Cincinnati.
Stephen O’Grady has more than thirty-nine years of experience in the financial services sector, most recently as part of GFI Group where he helped start the company’s ETF division. Prior to GFI, Mr. O’Grady spent seven years as a partner at Kellogg Capital Group, and for six years served as a Senior Vice President and Floor Manager for ABN-AMRO on the American Stock Exchange. Mr. O’Grady was also President for SOG, Inc, a New York Stock Exchange options brokerage firm. He was co-founder and President of Labranche Futures, and a partner at the New York Futures Exchange. Mr. O’Grady started his career in the municipal bond markets, serving as Vice President and Head of Municipal Bond Trading and Underwriting at Chemical Bank, and as an employee in the Municipal Bond Department of Bankers Trust Company. Mr. O’Grady holds a Masters of Business Administration from Harvard Business School and a Bachelors of Arts Degree in Economics from Williams College.
Cengiz Searfoss is a Senior Director of Corporate Finance at Aetna Inc. He serves as Managing Director of DCS Capital, a US hedge fund, and previously was a Partner at West Broadway Partners, a multi-strategy hedge fund. Prior to his position at West Broadway Partners, he was a Financial Analyst at Goldman, Sachs and Company, and began his career as an Auditor at KPMG Peat Marwick, where he qualified as a Certified Public Accountant. He received his BBA in Accountancy from the University of Notre Dame.
Audit Committee
The Managing Owner has an audit committee which is made up of the three independent directors, TJ Mangold, Stephen O’Grady, and Cengiz Searfoss. Mr. Mangold is the Chair of the Audit Committee. The audit committee is governed by an audit committee charter that is posted on the Fund’s website. The Board considers TJ Mangold to be an “Audit Committee Financial Expert” as such term is referenced in Item 407(d)(5) of Regulation S-K. The Board also believes that Messrs, O’Grady and Searfoss are able to read and understand financial statements and meet the financial sophistication requirements of the NYSE Arca and applicable FINRA rules as they relate to audit committees.
As of December 31, 2014, none of either Mr. Pringle, Mr. Anderson, Mr. Glasing or any Director owned any Shares, and the Managing Owner owned fifty (50) Shares.
Other Committees
Since the individuals who perform work on behalf of the Managing Owner areFunds, has entered into various service agreements that contain indemnification and exculpation provisions with respect to costs, expenses, damages, liabilities and/or claims that may be incurred by a service provider in connection with the provision of its services to the Funds. As December 31, 2017, no party to any such service agreement has made a claim against the Funds, and it is therefore not compensated bypossible to estimate the Fund, but instead by the Managing Owner, the Fund does not have a compensation committee. Similarly, since the Directors noted above serve on the board of directors of the Managing Owner, there is no nominating committee of the board of directors that acts on behalf of the Fund.
Code of Ethics
Funds’ potential future exposure under such indemnification and exculpation provisions.(12) Net Asset Value and Financial Highlights
The Fund has no officers or employeesis presenting the following Net Asset Value and is managed by GreenHaven Commodity Services LLC (the “Managing Owner”). The Managing Owner has adoptedfinancial highlights related to investment performance and operations for a Share outstanding for the code of ethics of ALPS, Inc (the “Distributor”), which applies to all of its directors. Ethics training and annual review applies to all officers of the Managing Owner. A copy of the Policy and Procedure Manual of the Managing Owner, which includes ethics training and review, can be obtained on the Managing Owner’s website: www.greenhavenfunds.com.
Executive Compensation
The Fund has no employees, officers or directors and is managed by GreenHaven Commodity Services LLC. None of the directors or officers of GreenHaven Commodity Services LLC receive compensation from the Fund. GreenHaven Commodity Services LLC receives a monthly management fee of 1/12 of 0.85% (0.85% annually) of the average daily net assets of the Fund during the preceding month. During 2014, 2013, and 2012, the Fund incurred management fees of $2,835,654, $3,500,487, and $4,637,997, respectively.
| SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
The Fund has no officers or directors. The following table sets forth certain information regarding beneficial ownership of our General Shares and Limited Shares as of December 31, 2014, by management. No person is known by us to own beneficially more than 5% of the outstanding shares of such class.
| | | | | | |
Title of Class | | Name and Address of Beneficial Owner | | Amount and Nature of
Beneficial Ownership
| | Percent of Class |
General Shares | | GreenHaven Commodity Services LLC
3340 Peachtree Rd, Suite 1910
Atlanta, GA 30326
| | 50 shares | | 100 % |
The Fund has no securities authorized for issuance under equity compensation plans.
| CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS AND DIRECTOR INDEPENDENCE
|
The following table sets forth compensation earned from the Managing Owner during the yearyears ended December 31, 2014, by the Directors of the Managing Owner.
| | | | | | | | | | | Change in | | | | | | | |
| | | | | | | | | | | Pension | | | | | | | |
| | | | | | | | | | | Value and | | | | | | | |
| | | Fees | | | | | | | | Nonqualified | | | | | | | |
| | | Earned or | | | | | | Non-Equity | | Deferred | | | | | | | |
| | | Paid in | | Stock | | Option | | Incentive Plan | | Compensation | | | All Other | | | | |
| Name | | Cash | | Awards | | Awards | | Compensation | | Plan | | | Compensation | | | Total | |
| Independent Directors | | | | | | | | | | | | | | | | | | | | | |
| Thomas Mangold | | $ | 21,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 21,000 | |
| Stephen O’Grady | | $ | 15,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 15,000 | |
| Cengiz Searfoss | | $ | 15,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 15,000 | |
2017, 2016 and 2015. | | | | | | | | | | | | |
| | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value | | | | | | | | | | | | |
Net asset value per Limited Share, beginning of year | | $ | 19.35 | | | $ | 18.56 | | | $ | 22.81 | |
Investment operations: | | | | | |
Net realized and unrealized gain (loss) | | | (0.10 | )(1) | | | 0.95 | | | | (4.04 | ) |
Net investment income (loss)(2) | | | 0.00 | (3) | | | (0.16 | )(4) | | | (0.21 | )(4) |
| | | | | | | | | | | | |
Net increase (decrease) in net assets from operations | | | (0.10 | ) | | | 0.79 | | | | (4.25 | ) |
| | | | | | | | | | | | |
Net asset value per Limited Share, end of year | | $ | 19.25 | | | $ | 19.35 | | | $ | 18.56 | |
| | | | | | | | | | | | |
Total Return, at net asset value(5) | | | (0.52 | )% | | | 4.26 | % | | | (18.63 | )% |
| | | | | | | | | | | | |
Ratios/ Supplemental Data: | | | | | |
Net assets, end of year (000’s omitted) | | $ | 154,956 | | | $ | 219,661 | | | $ | 224,519 | |
Ratios to average net assets of: | | | | | | | | | | | | |
Net investment income (loss) | | | 0.01 | % | | | (0.83 | )%(6) | | | (1.03 | )%(6) |
| | | | | | | | | | | | |
Expenses, prior to expense waivers | | | 0.85 | % | | | 1.05 | %(6) | | | 1.05 | %(6) |
| | | | | | | | | | | | |
Expenses, net of expense waivers | | | 0.75 | % | | | 1.05 | %(6) | | | 1.05 | %(6) |
| | | | | | | | | | | | |
80(1) | Includes brokerage fees/commissions of $0.02 per share for the year ended December 31, 2017. See Note 8(c) on page F-35. |
| (2) | Based on average shares outstanding. |
| (3) | PRINCIPAL ACCOUNTANT FEES AND SERVICESAmount represents less than $0.01. |
Audit and Non-Audit Fees
The following table sets forth the fees for professional services rendered by Grant Thornton, the Fund’s independent registered public accounting firm.
| | | | | | | |
| | Fiscal Year Ended | | Fiscal Year Ended | |
| | December 31, 2014 | | December 31, 2013 | |
| Audit Fees | | $ | 159,077 | | | $ | 155,000 | |
| Audit-Related Fees | | | | | | | | |
| Tax Fees | | | | | | | | |
| All Other Fees | | | | | | | | |
| Total | | $ | 159,077 | | | $ | 155,000 | |
Approval of Independent Registered Public Accounting Firm Services and Fees
The Audit Committee of the Managing Owner approved 100% of the services described above provided by Grant Thornton to the Fund. The Audit Committee of the Managing Owner pre-approves all audit and allowed non-audit services of the Fund’s independent registered public accounting firm, including all engagement fees and terms.
| (4) | EXHIBITS AND FINANCIAL STATEMENT SCHEDULESIncludes brokerage fees/commissions of $0.03 and $0.03 per share for the years ended December 31, 2016 and 2015, respectively. See Note 8(c) on page F-35. |
(a)(1) Financial Statements
See financial statements commencing on page 47 hereof.
(a)(2) Financial Statement Schedules
No financial statement schedules are filed herewith because (i) such schedules are not required or (ii) the information required has been presented in the aforementioned financial statements.
(a)(3) Exhibits
| (5) | For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page F-34. |
| (6) | |
EXHIBIT NO. | | DESCRIPTION |
4.1 | | Amended DeclarationIncludes brokerage fees/commissions of Trust0.13% and Trust Agreement0.14% (as a percentage of average daily net assets) for the Registrant1
|
| |
4.2 | | Amended Declaration of Trustyears ended December 31, 2016 and Trust Agreement of the Co-Registrant1
|
| |
4.3 | | Form of Participant Agreement2
|
| |
10.1 | | Form of Escrow Agreement3
|
| |
10.2 | | Form of Global Custody Agreement3
|
| |
10.3 | | Form of Administration Agreement4
2015, respectively. See Note 8(c) on page F-35. |
1 Previously filed as an exhibit to Form S-1 on November 3, 2006 and incorporated herein by reference.
2Previously filed as an exhibit to Pre-Effective Amendment No. 3 to Form S-1 on October 2, 2007 and incorporated herein by reference.
3Previously filed as an exhibit to Pre-Effective Amendment No. 2 to Form S-1 on August 1, 2007 and incorporated herein by reference.
4Previously filed as an exhibit to Form 8-K on January 14, 2008 and incorporated herein by reference.
| |
10.4 | | Form of Transfer Agency and Service Agreement3
|
| | |
10.5 | | Form of Distribution Services Agreement4
|
| |
10.6
10.7
10.9
10.10
10.11
10.12
10.13
10.14
10.15
10.16
10.17
10.18
10.19
| | Marketing Agreement with ALPS Distributors, Inc4
License Agreement1
Addendum to License Agreement5
Addendum to License Agreement6
Addendum to License Agreement7
Addendum to License Agreement8
Amendment to Marketing Services Agreement9
Amendment to Marketing Services Agreement10
Amendment to Marketing Services Agreement11
Amendment to Marketing Services Agreement13
Amendment to Distribution Agreement9
Amendment to Distribution Agreement14
Addendum to License Agreement12
|
| |
23.1 | | Consent of Independent Registered Public Accounting Firm |
31.1 | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
31.2 | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
31.3 | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
31.4 | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
32.1 | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
32.2 | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
32.3 | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
32.4 | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
99.1
99.2
| | Prospectus filed by the registrant on January 13, 2011pursuant to Rule 424(b)(3) of the Securities Act (File No.333-170917)
Prospectus filed by the registrant on September 13, 2013 on Form S-3/A (File No. 333-170917)
|
5 Previously filed as an exhibit to Form 8-K on March 6, 2009 and incorporated herein by reference.
6 Previously filed as an exhibit to Form 8-K on October 1, 2009 and incorporated herein by reference.
7 Previously filed as an exhibit to Form 8-K on October 14, 2010 and incorporated herein by reference.
8 Previously filed as an exhibit to Form 8-K on October 6, 2011 and incorporated herein by reference.
9 Previously filed as an exhibit to Form 8-K on May 1, 2009 and incorporated herein by reference.
10 Previously filed as an exhibit to Form 8-K on May 19, 2009 and incorporated herein by reference.
11 Previously filed as an exhibit to Form 8-K on August 16, 2010 and incorporated herein by reference.
12 Previously filed as an exhibit to Form 8-K on March 3, 2012 and incorporated herein by reference.
13 Previously filed as an exhibit to Form 8-K on January 22, 2014 and incorporated herein by reference.
14 Previously filed as an exhibit to Form 8-K on January 22, 2014 and incorporated herein by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant hasregistrant andco-registrant have duly caused this Annual report to be signed on its behalf by the undersigned, thereunto duly authorized.
Pursuant to section 4.22(h) under the Commodity Exchange Act, the undersigned represents that, to the best of their knowledge and belief, the information contained in this Annual Report is accurate and complete.
| | | | | |
| WisdomTree Commodity Services, LLC, |
| GreenHavenSponsor of the WisdomTree Continuous Commodity Index Fund | |
| Index Fund (registrant) |
| | | |
| |
| By: | | GreenHaven/s/ Gregory Barton |
| Gregory Barton |
| Chief Executive Officer |
| (Principal Executive Officer) |
|
| Date: February 28, 2018 |
| | |
| |
| By: | | /s/ David Castano |
| David Castano |
| Chief Financial Officer |
| (Principal Financial Officer) |
|
| Date: February 28, 2018 |
|
| WisdomTree Commodity Services, LLC, |
| Sponsor of the WisdomTree Continuous Commodity |
| Index Master Fund(co-registrant) |
| | | | its Managing Owner | |
| | | |
| | By: | | | Gregory Barton |
| | Name: | | Ashmead Pringle | Gregory Barton |
| | Title: | | Director and Chief Executive Officer |
| (Principal Executive Officer) |
| | | |
Dated: March 6, 2015Date: February 28, 2018 |
| | |
| |
| By: | | | David Castano |
| | Name: | | Cooper Anderson | David Castano |
| | Title: | | Chief OperatingFinancial Officer (principal financial officer) |
| (Principal Financial Officer) |
|
| Date: February 28, 2018 |
| | | | | |
| | GreenHaven Continuous Commodity Index Master Fund | |
| | | |
| | By: | | GreenHaven Commodity Services LLC, | |
| | | | its Managing Owner | |
| | | |
| | By: | | | |
| | Name: | | Ashmead Pringle | |
| | Title: | | Director and Chief Executive Officer | |
| | | |
Dated: March 6, 2015
| | By: | | | |
| | Name: | | Cooper Anderson | |
| | Title: | | Chief Operating Officer (principal financial officer) | |
