UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
     
þ
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2013,
OR
     
o
 
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                      to
 
Commission File Numbers: 001-33908, 001-33909
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
(Registrant)
(Exact name of Registrant as specified in its charter)
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
(Rule 140 Co-Registrant)
(Exact name of Registrant as specified in its charter)
     
Delaware
 
26-0151234
26-0151301
(State or Other Jurisdiction of Incorporation or
Organization)
 
(I.R.S. Employer Identification No.)
     
c/o GreenHaven Commodity Services LLC
   
3340 Peachtree Rd, Suite 1910
   
Atlanta, Georgia
 
30326
(Address of Principal Executive Offices)
 
(Zip Code)
 
Registrant’s telephone number, including area code: (404)-239-7942
(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)
 
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o
 
Indicate by check mark whether the registrant  has submitted electronically and posted to its web site, if any, every Interactive Data File required to be submitted and  posted  pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to post such files).  Yes þ     No o
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
       
Large Accelerated Filer þ
Accelerated Filer o
Non-Accelerated Filer o
Smaller reporting company o
   
(Do not check if a smaller reporting company)
 
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No þ
 
Indicate the number of outstanding Limited Shares as of June 30, 2013: 15,700,000 Limited Shares.
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED JUNE 30, 2013
       
PART 1. FINANCIAL INFORMATION
 
3
       
 
ITEM 1. FINANCIAL STATEMENTS
 
3
       
 
Greenhaven Continuous Commodity Index Fund Financial Statements
   
 
Consolidated Statements of Financial Condition at June 30, 2013 (unaudited) and December 31, 2012
 
3
 
Unaudited Consolidated Schedule of Investments at June 30, 2013
 
4
 
Consolidated Schedule of Investments at December 31, 2012
 
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended June 30, 2013 and 2012 and Six Months Ended June 30, 2013 and 2012
 
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2013
 
7
 
Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2013 and 2012
 
8
       
 
Greenhaven Continuous Commodity Index Master Fund Financial Statements
   
 
Statements of Financial Condition at June 30, 2013 (unaudited) and December 31, 2012
 
9
 
Unaudited Schedule of Investments at June 30, 2013
 
10
 
Schedule of Investments at December 31, 2012
 
11
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended June 30, 2013 and 2012 and Six Months Ended June 30, 2013 and 2012
 
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2013
 
13
 
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2013 and 2012
 
14
       
 
Notes to Unaudited Consolidated Financial Statements
 
15
       
 
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
23
       
 
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
29
       
 
ITEM 4. CONTROLS AND PROCEDURES
 
31
       
PART II. OTHER INFORMATION
 
33
       
 
ITEM 1. Legal Proceedings
 
33
 
ITEM 1A. Risk Factors
 
33
 
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
33
 
ITEM 3. Defaults Upon Senior Securities
 
33
 
ITEM 4. Reserved
 
33
 
ITEM 5. Other Information
 
33
 
ITEM 6. Exhibits
 
34
       
SIGNATURES
 
35
       
EXHIBITS
 
36
 
EX-31.1 SECTION 302 CERTIFICATION OF CEO
   
 
EX-31.2 SECTION 302 CERTIFICATION OF CEO
   
 
EX-31.3 SECTION 302 CERTIFICATION OF CFO
   
 
EX-31.4 SECTION 302 CERTIFICATION OF CFO
   
 
EX-32.1 SECTION 906 CERTIFICATION OF CEO AND CFO
   
 
EX-32.2 SECTION 906 CERTIFICATION OF CEO AND CFO
   
 
2
 

 

 
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
June 30, 2013 (unaudited) and December 31, 2012
                 
   
June 30, 2013
(unaudited)
    December 31,
2012
 
Assets
           
Equity in broker trading accounts:
           
U.S. Treasury Obligations (cost $399,991,558 and $469,979,439 as of June 30, 2013 and December 31, 2012, respectively)
  $ 399,996,510     $ 469,995,420  
Cash held by broker
    34,026,311       22,210,626  
Net unrealized depreciation on futures contracts
    (29,055,846 )     (12,514,458 )
Total assets
  $ 404,966,975     $ 479,691,588  
 
Liabilities and shareholders’ equity
               
Capital shares payable
  $     $ 4,327,722  
Management fee payable to related party
    297,631       354,469  
Accrued brokerage fees and expenses payable
    180,821       401,297  
Total liabilities
    478,452       5,083,488  
 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (212 )     (57 )
Total General Units
    1,288       1,443  
Limited Units:
               
Paid in capital - 15,700,000 and 16,450,000 redeemable shares issued and outstanding as of June 30, 2013 and December 31, 2012, respectively
    450,409,641       470,214,957  
Retained earnings (deficit)
    (45,922,406 )     4,391,700  
                 
Total Limited Units
    404,487,235       474,606,657  
                 
Total shareholders’ equity
    404,488,523       474,608,100  
Total liabilities and shareholders’ equity
  $ 404,966,975     $ 479,691,588  
 
Net asset value per share
               
 
General Units
  $ 25.76     $ 28.86  
 
Limited Units
  $ 25.76     $ 28.85  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
June 30, 2013
                         
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.04% due July 05, 2013
    35.85 %   $ 144,999,855     $ 145,000,000  
U.S. Treasury Bills, 0.04% due July 11, 2013
    7.42       29,999,880       30,000,000  
U.S. Treasury Bills, 0.03% due July 25, 2013
    39.55       159,998,400       160,000,000  
U.S. Treasury Bills, 0.05% due August 15, 2013
    16.07       64,998,375       65,000,000  
Total U.S. Treasury Obligations (cost $399,991,558)
    98.89 %   $ 399,996,510     $ 400,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (549 contracts, settlement date December 13, 2013)
    (0.16 )%   $ (651,330 )   $ 11,929,770  
Cocoa (550 contracts, settlement date September 13, 2013)
    (0.15 )     (594,690 )     11,902,000  
Coffee (260 contracts, settlement date December 18, 2013)
    (0.35 )     (1,400,194 )     12,026,625  
Coffee (261 contracts, settlement date September 18, 2013)
    (0.39 )     (1,589,400 )     11,784,150  
Copper (155 contracts, settlement date December 27, 2013)
    (0.26 )     (1,067,013 )     11,900,125  
Copper (155 contracts, settlement date September 26, 2013)
    (0.37 )     (1,513,650 )     11,847,813  
Corn (450 contracts, settlement date December 13, 2013)
    (0.16 )     (639,438 )     11,497,500  
Corn (449 contracts, settlement date September 13, 2013)
    (0.15 )     (607,275 )     12,285,762  
Cotton (286 contracts, settlement date March 07, 2014)
    (0.17 )     (678,085 )     11,794,640  
Cotton (285 contracts, settlement date December 06, 2013)
    (0.05 )     (222,985 )     11,971,425  
Gold (97 contracts, settlement date February 26, 2014)
    (0.35 )     (1,431,230 )     11,901,900  
Gold (97 contracts, settlement date December 27, 2013)
    (0.65 )     (2,614,440 )     11,891,230  
Lean Hogs (170 contracts, settlement date February 14, 2014)
    0.01       41,830       5,698,400  
Lean Hogs (170 contracts, settlement date December 13, 2013)
    0.06       222,680       5,620,200  
Lean Hogs (170 contracts, settlement date October 14, 2013)
    0.03       115,250       5,834,400  
Lean Hogs (169 contracts, settlement date August 14, 2013)
    0.04       173,380       6,587,620  
Light, Sweet Crude Oil (50 contracts, settlement date December 19, 2013)
    (0.01 )     (52,060 )     4,682,000  
Light, Sweet Crude Oil (50 contracts, settlement date November 20, 2013)
    (0.01 )     (42,170 )     4,719,000  
Light, Sweet Crude Oil (50 contracts, settlement date October 22, 2013)
    0.03       123,200       4,755,000  
Light, Sweet Crude Oil (50 contracts, settlement date September 20, 2013)
    0.03       133,520       4,790,500  
Light, Sweet Crude Oil (50 contracts, settlement date August 20, 2013)
    0.00 *     8,650       4,822,000  
Live Cattle (155 contracts, settlement date February 28, 2014)
    0.04       147,740       7,984,050  
Live Cattle (155 contracts, settlement date December 31, 2013)
    0.01       43,590       7,923,600  
Live Cattle (156 contracts, settlement date October 31, 2013)
    (0.07 )     (284,530 )     7,842,120  
Natural Gas (128 contracts, settlement date December 27, 2013)
    (0.07 )     (287,950 )     4,990,720  
Natural Gas (128 contracts, settlement date November 26, 2013)
    (0.07 )     (293,040 )     4,880,640  
Natural Gas (128 contracts, settlement date October 29, 2013)
    (0.19 )     (752,880 )     4,666,880  
Natural Gas (129 contracts, settlement date September 26, 2013)
    (0.19 )     (758,010 )     4,607,880  
Natural Gas (129 contracts, settlement date August 28, 2013)
    (0.07 )     (282,520 )     4,591,110  
NY Harbor ULSD (39 contracts, settlement date December 31, 2013)**
    (0.03 )     (105,239 )     4,708,267  
NY Harbor ULSD (39 contracts, settlement date November 29, 2013)**
    (0.02 )     (100,733 )     4,702,207  
NY Harbor ULSD (39 contracts, settlement date October 31, 2013)**
    (0.02 )     (71,085 )     4,699,750  
NY Harbor ULSD (39 contracts, settlement date September 30, 2013)**
    (0.02 )     (71,610 )     4,696,310  
NY Harbor ULSD (40 contracts, settlement date August 30, 2013)**
    (0.09 )     (372,767 )     4,810,344  
Platinum (177 contracts, settlement date January 29, 2014)
    (0.28 )     (1,122,575 )     11,876,700  
Platinum (177 contracts, settlement date October 29, 2013)
    (0.62 )     (2,512,385 )     11,858,115  
Silver (122 contracts, settlement date December 27, 2013)
    (0.51 )     (2,064,010 )     11,906,590  
Silver (122 contracts, settlement date September 26, 2013)
    (0.57 )     (2,290,635 )     11,876,700  
Soybean (189 contracts, settlement date January 14, 2014)
    (0.14 )     (556,362 )     11,876,287  
Soybean (190 contracts, settlement date November 14, 2013)
    (0.02 )     (76,375 )     11,894,000  
Soybean Oil (219 contracts, settlement date January 14, 2014)
    (0.07 )     (281,532 )     5,926,140  
Soybean Oil (219 contracts, settlement date December 13, 2013)
    (0.12 )     (499,428 )     5,928,768  
Soybean Oil (219 contracts, settlement date October 14, 2013)
    (0.16 )     (642,102 )     5,970,816  
Soybean Oil (215 contracts, settlement date September 13, 2013)
    (0.15 )     (600,708 )     5,922,390  
Sugar (613 contracts, settlement date February 28, 2014)
    0.02       61,466       12,179,574  
Sugar (614 contracts, settlement date September 30, 2013)
    (0.22 )     (902,966 )     11,635,546  
Wheat (360 contracts, settlement date December 13, 2013)
    (0.22 )     (884,975 )     12,087,000  
Wheat (358 contracts, settlement date September 13, 2013)
    (0.30 )     (1,208,775 )     11,773,725  
Net Unrealized Depreciation on Futures Contracts
    (7.18 )%   $ (29,055,846 )   $ 404,058,289  
 
   
*
Denotes greater than 0.000% yet less than 0.005%
**
The CME Group changed specifications and the name of Heating Oil futures contracts to ‘NY Harbor ULSD’ in May 2013
 
See accompanying notes to unaudited consolidated financial statements
 
4
 

 

 
GreenHaven Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2012
                         
   
Percentage of
   
Fair
   
Face
 
Description
 
Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.06% due January 03, 2013
    37.93 %   $ 180,000,000     $ 180,000,000  
U.S. Treasury Bills, 0.05% due January 10, 2013
    6.32       29,999,820       30,000,000  
U.S. Treasury Bills, 0.05% due January 24, 2013
    40.03       189,997,910       190,000,000  
U.S. Treasury Bills, 0.11% due February 14, 2013
    14.75       69,997,690       70,000,000  
Total U.S. Treasury Obligations (cost $469,979,439)
    99.03 %   $ 469,995,420     $ 470,000,000  
                         
   
Percentage of
   
Fair
   
Notional
 
Description
 
Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (414 contracts, settlement date March 13, 2013)
    (0.20 )%   $ (948,620 )   $ 9,257,040  
Cocoa (415 contracts, settlement date May 15, 2013)
    (0.20 )     (932,590 )     9,320,900  
Cocoa (414 contracts, settlement date July 16, 2013)
    (0.10 )     (485,050 )     9,331,560  
Coffee (168 contracts, settlement date March 18, 2013)
    (0.28 )     (1,303,556 )     9,059,400  
Coffee (170 contracts, settlement date May 20, 2013)
    (0.28 )     (1,324,350 )     9,352,125  
Coffee (169 contracts, settlement date July 19, 2013)
    (0.14 )     (671,381 )     9,477,731  
Copper (102 contracts, settlement date March 26, 2013)
    0.12       554,000       9,313,875  
Copper (102 contracts, settlement date May 29, 2013)
    0.11       544,763       9,338,100  
Copper (101 contracts, settlement date July 29, 2013)
    0.11       529,500       9,271,800  
Corn (267 contracts, settlement date March 14, 2013)
    (0.25 )     (1,180,150 )     9,321,637  
Corn (266 contracts, settlement date May 14, 2013)
    (0.23 )     (1,104,225 )     9,313,325  
Corn (266 contracts, settlement date July 12, 2013)
    (0.08 )     (389,100 )     9,273,425  
Cotton (246 contracts, settlement date March 06, 2013)
    0.08       361,630       9,242,220  
Cotton (244 contracts, settlement date May 08, 2013)
    0.02       99,440       9,254,920  
Cotton (245 contracts, settlement date July 09, 2013)
    0.10       489,040       9,416,575  
FCOJ-A (838 contracts, settlement date March 08, 2013)
    (0.06 )     (301,343 )     14,750,895  
FCOJ-A (435 contracts, settlement date May 10, 2013)
    0.03       133,620       7,777,800  
FCOJ-A (285 contracts, settlement date July 11, 2013)
    (0.01 )     (61,987 )     5,185,575  
Gold (56 contracts, settlement date February 26, 2013)
    0.07       312,270       9,384,480  
Gold (55 contracts, settlement date April 26, 2013)
    0.05       236,130       9,229,000  
Gold (55 contracts, settlement date June 26, 2013)
    (0.07 )     (317,080 )     9,240,000  
Heating Oil (44 contracts, settlement date January 31, 2013)
    0.00 *     (14,960 )     5,602,766  
Heating Oil (44 contracts, settlement date February 28, 2013)
    0.00 *     (10,185 )     5,575,046  
Heating Oil (44 contracts, settlement date March 28, 2013)
    0.00 *     (1,571 )     5,535,869  
Heating Oil (44 contracts, settlement date April 30, 2013)
    0.02       85,352       5,587,982  
Heating Oil (44 contracts, settlement date May 31, 2013)
    0.02       90,959       5,558,045  
Lean Hogs (189 contracts, settlement date February 14, 2013)
    0.07       323,420       6,480,810  
Lean Hogs (189 contracts, settlement date April 12, 2013)
    0.01       24,060       6,707,610  
Lean Hogs (188 contracts, settlement date June 14, 2013)
    (0.04 )     (163,170 )     7,358,320  
Lean Hogs (188 contracts, settlement date July 15, 2013)
    (0.04 )     (193,660 )     7,322,600  
Light, Sweet Crude Oil (60 contracts, settlement date January 22, 2013)
    (0.01 )     (45,010 )     5,509,200  
Light, Sweet Crude Oil (61 contracts, settlement date February 20, 2013)
    (0.01 )     (57,300 )     5,628,470  
Light, Sweet Crude Oil (60 contracts, settlement date March 20, 2013)
    (0.01 )     (38,330 )     5,563,800  
Light, Sweet Crude Oil (60 contracts, settlement date April 22, 2013)
    0.06       279,100       5,589,600  
Light, Sweet Crude Oil (60 contracts, settlement date May 21, 2013)
    0.06       274,100       5,609,400  
Live Cattle (175 contracts, settlement date February 28, 2013)
    0.03       163,800       9,261,000  
Live Cattle (174 contracts, settlement date April 30, 2013)
    0.02       106,530       9,491,700  
Live Cattle (175 contracts, settlement date June 28, 2013)
    0.02       96,290       9,152,500  
Natural Gas (163 contracts, settlement date January 29, 2013)
    (0.06 )     (298,990 )     5,462,130  
Natural Gas (163 contracts, settlement date Februay 26, 2013)
    (0.05 )     (251,910 )     5,484,950  
Natural Gas (163 contracts, settlement date March 26, 2013)
    (0.04 )     (189,680 )     5,546,890  
Natural Gas (163 contracts, settlement date April 26, 2013)
    (0.07 )     (316,420 )     5,628,390  
Natural Gas (163 contracts, settlement date May 29, 2013)
    (0.06 )     (298,280 )     5,718,040  
Platinum (181 contracts, settlement date April 26, 2013)
    (0.06 )     (267,470 )     13,958,720  
Platinum (180 contracts, settlement date July 29, 2013)
    (0.07 )     (329,455 )     13,911,300  
Silver (62 contracts, settlement date March 26, 2013)
    0.01       58,585       9,370,370  
Silver (61 contracts, settlement date May 29, 2013)
    0.03       143,405       9,235,095  
Silver (61 contracts, settlement date July 29, 2013)
    (0.14 )     (680,860 )     9,249,125  
Soybean (133 contracts, settlement date March 14, 2013)
    (0.16 )     (772,287 )     9,373,175  
Soybean (132 contracts, settlement date May 14, 2013)
    (0.10 )     (461,563 )     9,235,050  
Soybean (133 contracts, settlement date July 12, 2013)
    (0.01 )     (61,712 )     9,278,413  
Sugar (424 contracts, settlement date February 28, 2013)
    (0.10 )     (456,109 )     9,264,909  
Sugar (424 contracts, settlement date April 30, 2013)
    (0.07 )     (317,901 )     9,307,648  
Sugar (423 contracts, settlement date June 28, 2013)
    0.06       278,678       9,352,022  
Wheat (237 contracts, settlement date March 14, 2013)
    (0.28 )     (1,303,087 )     9,219,300  
Wheat (237 contracts, settlement date May 14, 2013)
    (0.24 )     (1,134,200 )     9,334,838  
Wheat (235 contracts, settlement date July 12, 2013)
    (0.22 )     (1,015,588 )     9,326,563  
Net Unrealized Depreciation on Futures Contracts
    (2.64 )%   $ (12,514,458 )   $ 473,904,029  
 
*    Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to unaudited consolidated financial statements
 
5
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended June 30, 2013 and 2012
and Six Months Ended June 30, 2013 and 2012
                                 
      Three Months
Ended
      Three Months
Ended
      Six Months
Ended
     
Six Months
Ended
 
      June 30, 2013       June 30, 2012       June 30, 2013      
June 30, 2012
 
 
Income
                       
Interest Income
  $ 61,443     $ 90,769     $ 145,452     $ 121,484  
 
Expenses
                               
Management fee to related party
    949,009       1,164,381       1,947,929       2,492,448  
Brokerage fees and expenses
    223,297       32,399       458,337       103,314  
Total expenses
    1,172,306       1,196,780       2,406,266       2,595,762  
Net Investment Loss
    (1,110,863 )     (1,106,011 )     (2,260,814 )     (2,474,278 )
 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
    1,390       903       1,390       903  
Futures Contracts
    (27,057,865 )     (59,164,455 )     (31,502,420 )     (78,656,078 )
Net Realized Loss
    (27,056,475 )     (59,163,552 )     (31,501,030 )     (78,655,175 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (4,742 )     4,637       (11,029 )     11,275  
Futures Contracts
    (12,301,227 )     19,505,930       (16,541,388 )     45,569,922  
Net Change in Unrealized Gain (Loss)
    (12,305,969 )     19,510,567       (16,552,417 )     45,581,197  
Net Realized and Unrealized Loss on Investments and Futures Contracts
    (39,362,444 )     (39,652,985 )     (48,053,447 )     (33,073,978 )
 
Net Loss
  $ (40,473,307 )   $ (40,758,996 )   $ (50,314,261 )   $ (35,548,256 )
 
See accompanying notes to unaudited consolidated financial statements
 
6
 

 


GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 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
                            (1,650,000 )     (45,510,017 )           (45,510,017 )     (45,510,017 )
Net Loss:
                                                                       
Net Investment Loss
                (8 )     (8 )                 (2,260,806 )     (2,260,806 )     (2,260,814 )
Net Realized Loss on Investments and Futures Contracts
                (96 )     (96 )                 (31,500,934 )     (31,500,934 )     (31,501,030 )
                                                                         
Net Change in Unrealized Loss on Investments and Futures Contracts
                (51 )     (51 )                 (16,552,366 )     (16,552,366 )     (16,552,417 )
Net Loss
                (155 )     (155 )                     (50,314,106 )     (50,314,106 )     (50,314,261 )
Balance at June 30, 2013
    50     $ 1,500     $ (212 )   $ 1,288       15,700,000     $ 450,409,641     $ (45,922,406 )   $ 404,487,235     $ 404,488,523  
 
See accompanying notes to unaudited consolidated financial statements

7
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2013 and 2012
                 
   
2013
   
2012
 
   
Cash flow from operating activities:
           
Net Loss
  $ (50,314,261 )   $ (35,548,256 )
Adjustments to reconcile net loss to net cash provided by (used for) operating activities:
               
Purchase of investment securities
    (904,864,341 )     (1,129,849,062 )
Proceeds from sales of investment securities
    974,999,064       659,992,044  
Net accretion of discount
    (145,452 )     (121,484 )
Net realized loss on investment securities
    (1,390 )     (903 )
Unrealized depreciation (appreciation) on investments
    16,552,417       (45,581,197 )
Decrease in accrued expenses
    (277,314 )     (485,346 )
Net cash provided by (used for) operating activities
    35,948,723       (551,594,204 )
   
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    25,704,701       80,222,138  
Redemption of Limited Units
    (45,510,017 )     (114,119,319 )
Decrease in capital shares payable
    (4,327,722 )     (1,497,826 )
Net cash used for financing activities
    (24,133,038 )     (35,395,007 )
   
Net change in cash
    11,815,685       (586,989,211 )
Cash held by broker at beginning of period
    22,210,626       619,079,494  
Cash held by broker at end of period
  $ 34,026,311     $ 32,090,283  
 
See accompanying notes to unaudited consolidated financial statements
 
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
June 30, 2013 (unaudited) and December 31, 2012
                 
   
June 30, 2013
(unaudited)
   
December 31, 2012
 
Assets
           
Equity in broker trading accounts:
           
U.S. Treasury Obligations (cost $399,991,558 and $469,979,439 as of June 30, 2013 and December 31, 2012, respectively)
  $ 399,996,510     $ 469,995,420  
Cash held by broker
    34,026,311       22,210,626  
Net unrealized depreciation on futures contracts
    (29,055,846 )     (12,514,458 )
Total assets
  $ 404,966,975     $ 479,691,588  
   
Liabilities and shareholders’ equity
               
Capital shares payable
  $     $ 4,327,722  
Management fee payable to related party
    297,631       354,469  
Accrued brokerage fees and expenses payable
    180,821       401,297  
Total liabilities
    478,452       5,083,488  
   
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (212 )     (57 )
Total General Units
    1,288       1,443  
Limited Units:
               
Paid in capital - 15,700,000 and 16,450,000 redeemable shares issued and outstanding as of June 30, 2013 and December 31, 2012, respectively
    450,409,641       470,214,957  
Retained earnings (deficit)
    (45,922,406 )     4,391,700  
                 
Total Limited Units
    404,487,235       474,606,657  
                 
Total shareholders’ equity
    404,488,523       474,608,100  
Total liabilities and shareholders’ equity
  $ 404,966,975     $ 479,691,588  
   
Net asset value per share
               
   
General Units
  $ 25.76     $ 28.86  
   
Limited Units
  $ 25.76     $ 28.85  
 
See accompanying notes to unaudited consolidated financial statements
 
9
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
June 30, 2013
                         
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.04% due July 05, 2013
    35.85 %   $ 144,999,855     $ 145,000,000  
U.S. Treasury Bills, 0.04% due July 11, 2013
    7.42       29,999,880       30,000,000  
U.S. Treasury Bills, 0.03% due July 25, 2013
    39.55       159,998,400       160,000,000  
U.S. Treasury Bills, 0.05% due August 15, 2013
    16.07       64,998,375       65,000,000  
Total U.S. Treasury Obligations (cost $399,991,558)
    98.89 %   $ 399,996,510     $ 400,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (549 contracts, settlement date December 13, 2013)
    (0.16 )%   $ (651,330 )   $ 11,929,770  
Cocoa (550 contracts, settlement date September 13, 2013)
    (0.15 )     (594,690 )     11,902,000  
Coffee (260 contracts, settlement date December 18, 2013)
    (0.35 )     (1,400,194 )     12,026,625  
Coffee (261 contracts, settlement date September 18, 2013)
    (0.39 )     (1,589,400 )     11,784,150  
Copper (155 contracts, settlement date December 27, 2013)
    (0.26 )     (1,067,013 )     11,900,125  
Copper (155 contracts, settlement date September 26, 2013)
    (0.37 )     (1,513,650 )     11,847,813  
Corn (450 contracts, settlement date December 13, 2013)
    (0.16 )     (639,438 )     11,497,500  
Corn (449 contracts, settlement date September 13, 2013)
    (0.15 )     (607,275 )     12,285,762  
Cotton (286 contracts, settlement date March 07, 2014)
    (0.17 )     (678,085 )     11,794,640  
Cotton (285 contracts, settlement date December 06, 2013)
    (0.05 )     (222,985 )     11,971,425  
Gold (97 contracts, settlement date February 26, 2014)
    (0.35 )     (1,431,230 )     11,901,900  
Gold (97 contracts, settlement date December 27, 2013)
    (0.65 )     (2,614,440 )     11,891,230  
Lean Hogs (170 contracts, settlement date February 14, 2014)
    0.01       41,830       5,698,400  
Lean Hogs (170 contracts, settlement date December 13, 2013)
    0.06       222,680       5,620,200  
Lean Hogs (170 contracts, settlement date October 14, 2013)
    0.03       115,250       5,834,400  
Lean Hogs (169 contracts, settlement date August 14, 2013)
    0.04       173,380       6,587,620  
Light, Sweet Crude Oil (50 contracts, settlement date December 19, 2013)
    (0.01 )     (52,060 )     4,682,000  
Light, Sweet Crude Oil (50 contracts, settlement date November 20, 2013)
    (0.01 )     (42,170 )     4,719,000  
Light, Sweet Crude Oil (50 contracts, settlement date October 22, 2013)
    0.03       123,200       4,755,000  
Light, Sweet Crude Oil (50 contracts, settlement date September 20, 2013)
    0.03       133,520       4,790,500  
Light, Sweet Crude Oil (50 contracts, settlement date August 20, 2013)
    0.00 *     8,650       4,822,000  
Live Cattle (155 contracts, settlement date February 28, 2014)
    0.04       147,740       7,984,050  
Live Cattle (155 contracts, settlement date December 31, 2013)
    0.01       43,590       7,923,600  
Live Cattle (156 contracts, settlement date October 31, 2013)
    (0.07 )     (284,530 )     7,842,120  
Natural Gas (128 contracts, settlement date December 27, 2013)
    (0.07 )     (287,950 )     4,990,720  
Natural Gas (128 contracts, settlement date November 26, 2013)
    (0.07 )     (293,040 )     4,880,640  
Natural Gas (128 contracts, settlement date October 29, 2013)
    (0.19 )     (752,880 )     4,666,880  
Natural Gas (129 contracts, settlement date September 26, 2013)
    (0.19 )     (758,010 )     4,607,880  
Natural Gas (129 contracts, settlement date August 28, 2013)
    (0.07 )     (282,520 )     4,591,110  
NY Harbor ULSD (39 contracts, settlement date December 31, 2013)**
    (0.03 )     (105,239 )     4,708,267  
NY Harbor ULSD (39 contracts, settlement date November 29, 2013)**
    (0.02 )     (100,733 )     4,702,207  
NY Harbor ULSD (39 contracts, settlement date October 31, 2013)**
    (0.02 )     (71,085 )     4,699,750  
NY Harbor ULSD (39 contracts, settlement date September 30, 2013)**
    (0.02 )     (71,610 )     4,696,310  
NY Harbor ULSD (40 contracts, settlement date August 30, 2013)**
    (0.09 )     (372,767 )     4,810,344  
Platinum (177 contracts, settlement date January 29, 2014)
    (0.28 )     (1,122,575 )     11,876,700  
Platinum (177 contracts, settlement date October 29, 2013)
    (0.62 )     (2,512,385 )     11,858,115  
Silver (122 contracts, settlement date December 27, 2013)
    (0.51 )     (2,064,010 )     11,906,590  
Silver (122 contracts, settlement date September 26, 2013)
    (0.57 )     (2,290,635 )     11,876,700  
Soybean (189 contracts, settlement date January 14, 2014)
    (0.14 )     (556,362 )     11,876,287  
Soybean (190 contracts, settlement date November 14, 2013)
    (0.02 )     (76,375 )     11,894,000  
Soybean Oil (219 contracts, settlement date January 14, 2014)
    (0.07 )     (281,532 )     5,926,140  
Soybean Oil (219 contracts, settlement date December 13, 2013)
    (0.12 )     (499,428 )     5,928,768  
Soybean Oil (219 contracts, settlement date October 14, 2013)
    (0.16 )     (642,102 )     5,970,816  
Soybean Oil (215 contracts, settlement date September 13, 2013)
    (0.15 )     (600,708 )     5,922,390  
Sugar (613 contracts, settlement date February 28, 2014)
    0.02       61,466       12,179,574  
Sugar (614 contracts, settlement date September 30, 2013)
    (0.22 )     (902,966 )     11,635,546  
Wheat (360 contracts, settlement date December 13, 2013)
    (0.22 )     (884,975 )     12,087,000  
Wheat (358 contracts, settlement date September 13, 2013)
    (0.30 )     (1,208,775 )     11,773,725  
Net Unrealized Depreciation on Futures Contracts
    (7.18 )%   $ (29,055,846 )   $ 404,058,289  
 
*
Denotes greater than 0.000% yet less than 0.005%
**
The CME Group changed the specifications and the name of Heating Oil futures contracts to ‘NY Harbor ULSD’ in May 2013
 
See accompanying notes to unaudited consolidated financial statements

10
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2012
                       
   
Percentage of
   
Fair
   
Face
 
Description
 
Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.06% due January 03, 2013
    37.93 %   $ 180,000,000     $ 180,000,000  
U.S. Treasury Bills, 0.05% due January 10, 2013
    6.32       29,999,820       30,000,000  
U.S. Treasury Bills, 0.05% due January 24, 2013
    40.03       189,997,910       190,000,000  
U.S. Treasury Bills, 0.11% due February 14, 2013
    14.75       69,997,690       70,000,000  
Total U.S. Treasury Obligations (cost $469,979,439)
    99.03 %   $ 469,995,420     $ 470,000,000  
                         
   
Percentage of
   
Fair
   
Notional
 
Description
 
Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (414 contracts, settlement date March 13, 2013)
    (0.20 )%   $ (948,620 )   $ 9,257,040  
Cocoa (415 contracts, settlement date May 15, 2013)
    (0.20 )     (932,590 )     9,320,900  
Cocoa (414 contracts, settlement date July 16, 2013)
    (0.10 )     (485,050 )     9,331,560  
Coffee (168 contracts, settlement date March 18, 2013)
    (0.28 )     (1,303,556 )     9,059,400  
Coffee (170 contracts, settlement date May 20, 2013)
    (0.28 )     (1,324,350 )     9,352,125  
Coffee (169 contracts, settlement date July 19, 2013)
    (0.14 )     (671,381 )     9,477,731  
Copper (102 contracts, settlement date March 26, 2013)
    0.12       554,000       9,313,875  
Copper (102 contracts, settlement date May 29, 2013)
    0.11       544,763       9,338,100  
Copper (101 contracts, settlement date July 29, 2013)
    0.11       529,500       9,271,800  
Corn (267 contracts, settlement date March 14, 2013)
    (0.25 )     (1,180,150 )     9,321,637  
Corn (266 contracts, settlement date May 14, 2013)
    (0.23 )     (1,104,225 )     9,313,325  
Corn (266 contracts, settlement date July 12, 2013)
    (0.08 )     (389,100 )     9,273,425  
Cotton (246 contracts, settlement date March 06, 2013)
    0.08       361,630       9,242,220  
Cotton (244 contracts, settlement date May 08, 2013)
    0.02       99,440       9,254,920  
Cotton (245 contracts, settlement date July 09, 2013)
    0.10       489,040       9,416,575  
FCOJ-A (838 contracts, settlement date March 08, 2013)
    (0.06 )     (301,343 )     14,750,895  
FCOJ-A (435 contracts, settlement date May 10, 2013)
    0.03       133,620       7,777,800  
FCOJ-A (285 contracts, settlement date July 11, 2013)
    (0.01 )     (61,987 )     5,185,575  
Gold (56 contracts, settlement date February 26, 2013)
    0.07       312,270       9,384,480  
Gold (55 contracts, settlement date April 26, 2013)
    0.05       236,130       9,229,000  
Gold (55 contracts, settlement date June 26, 2013)
    (0.07 )     (317,080 )     9,240,000  
Heating Oil (44 contracts, settlement date January 31, 2013)
    0.00 *     (14,960 )     5,602,766  
Heating Oil (44 contracts, settlement date February 28, 2013)
    0.00 *     (10,185 )     5,575,046  
Heating Oil (44 contracts, settlement date March 28, 2013)
    0.00 *     (1,571 )     5,535,869  
Heating Oil (44 contracts, settlement date April 30, 2013)
    0.02       85,352       5,587,982  
Heating Oil (44 contracts, settlement date May 31, 2013)
    0.02       90,959       5,558,045  
Lean Hogs (189 contracts, settlement date February 14, 2013)
    0.07       323,420       6,480,810  
Lean Hogs (189 contracts, settlement date April 12, 2013)
    0.01       24,060       6,707,610  
Lean Hogs (188 contracts, settlement date June 14, 2013)
    (0.04 )     (163,170 )     7,358,320  
Lean Hogs (188 contracts, settlement date July 15, 2013)
    (0.04 )     (193,660 )     7,322,600  
Light, Sweet Crude Oil (60 contracts, settlement date January 22, 2013)
    (0.01 )     (45,010 )     5,509,200  
Light, Sweet Crude Oil (61 contracts, settlement date February 20, 2013)
    (0.01 )     (57,300 )     5,628,470  
Light, Sweet Crude Oil (60 contracts, settlement date March 20, 2013)
    (0.01 )     (38,330 )     5,563,800  
Light, Sweet Crude Oil (60 contracts, settlement date April 22, 2013)
    0.06       279,100       5,589,600  
Light, Sweet Crude Oil (60 contracts, settlement date May 21, 2013)
    0.06       274,100       5,609,400  
Live Cattle (175 contracts, settlement date February 28, 2013)
    0.03       163,800       9,261,000  
Live Cattle (174 contracts, settlement date April 30, 2013)
    0.02       106,530       9,491,700  
Live Cattle (175 contracts, settlement date June 28, 2013)
    0.02       96,290       9,152,500  
Natural Gas (163 contracts, settlement date January 29, 2013)
    (0.06 )     (298,990 )     5,462,130  
Natural Gas (163 contracts, settlement date Februay 26, 2013)
    (0.05 )     (251,910 )     5,484,950  
Natural Gas (163 contracts, settlement date March 26, 2013)
    (0.04 )     (189,680 )     5,546,890  
Natural Gas (163 contracts, settlement date April 26, 2013)
    (0.07 )     (316,420 )     5,628,390  
Natural Gas (163 contracts, settlement date May 29, 2013)
    (0.06 )     (298,280 )     5,718,040  
Platinum (181 contracts, settlement date April 26, 2013)
    (0.06 )     (267,470 )     13,958,720  
Platinum (180 contracts, settlement date July 29, 2013)
    (0.07 )     (329,455 )     13,911,300  
Silver (62 contracts, settlement date March 26, 2013)
    0.01       58,585       9,370,370  
Silver (61 contracts, settlement date May 29, 2013)
    0.03       143,405       9,235,095  
Silver (61 contracts, settlement date July 29, 2013)
    (0.14 )     (680,860 )     9,249,125  
Soybean (133 contracts, settlement date March 14, 2013)
    (0.16 )     (772,287 )     9,373,175  
Soybean (132 contracts, settlement date May 14, 2013)
    (0.10 )     (461,563 )     9,235,050  
Soybean (133 contracts, settlement date July 12, 2013)
    (0.01 )     (61,712 )     9,278,413  
Sugar (424 contracts, settlement date February 28, 2013)
    (0.10 )     (456,109 )     9,264,909  
Sugar (424 contracts, settlement date April 30, 2013)
    (0.07 )     (317,901 )     9,307,648  
Sugar (423 contracts, settlement date June 28, 2013)
    0.06       278,678       9,352,022  
Wheat (237 contracts, settlement date March 14, 2013)
    (0.28 )     (1,303,087 )     9,219,300  
Wheat (237 contracts, settlement date May 14, 2013)
    (0.24 )     (1,134,200 )     9,334,838  
Wheat (235 contracts, settlement date July 12, 2013)
    (0.22 )     (1,015,588 )     9,326,563  
Net Unrealized Depreciation on Futures Contracts
    (2.64 )%   $ (12,514,458 )   $ 473,904,029  
 
*
Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to unaudited consolidated financial statements

11
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statements of Income and Expenses
For the Three Months Ended June 30, 2013 and 2012
and Six Months Ended June 30, 2013 and 2012
                                 
   
Three Months
Ended
   
Three Months
Ended
   
Six Months Ended
   
Six Months Ended
 
   
June 30, 2013
   
June 30, 2012
   
June 30, 2013
   
June 30, 2012
 
   
Income
                       
Interest Income
  $ 61,443     $ 90,769     $ 145,452     $ 121,484  
   
Expenses
                               
Management fee to related party
    949,009       1,164,381       1,947,929       2,492,448  
Brokerage fees and expenses
    223,297       32,399       458,337       103,314  
Total expenses
    1,172,305       1,196,780       2,406,265       2,595,762  
Net Investment Loss
    (1,110,863 )     (1,106,011 )     (2,260,814 )     (2,474,278 )
   
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
    1,390       903       1,390       903  
Futures Contracts
    (27,057,865 )     (59,164,455 )     (31,502,420 )     (78,656,078 )
Net Realized Loss
    (27,056,475 )     (59,163,552 )     (31,501,030 )     (78,655,175 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (4,742 )     4,637       (11,029 )     11,275  
Futures Contracts
    (12,301,227 )     19,505,930       (16,541,388 )     45,569,922  
Net Change in Unrealized Gain (Loss)
    (12,305,969 )     19,510,567       (16,552,417 )     45,581,197  
Net Realized and Unrealized Loss on Investments and Futures Contracts
    (39,362,444 )     (39,652,985 )     (48,053,447 )     (33,073,978 )
   
Net Loss
  $ (40,473,307 )   $ (40,758,996 )   $ (50,314,261 )   $ (35,548,256 )
   
See accompanying notes to unaudited consolidated financial statements
 
 
12
 

 


GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2013
                                                                         
   
General Units
   
Limited Units
   
Total
 
   
Total
General
     
Total
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
                            (1,650,000 )     (45,510,017 )           (45,510,017 )     (45,510,017 )
Net Loss:
         
Net Investment Loss
                (8 )     (8 )                 (2,260,806 )     (2,260,806 )     (2,260,814 )
Net Realized Loss on Investments and Futures Contracts
                (96 )     (96 )                 (31,500,934 )     (31,500,934 )     (31,501,030 )
Net Change in Unrealized Loss on Investments and Futures Contracts