þ
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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Delaware
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26-0151234
26-0151301
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(State or Other Jurisdiction of Incorporation or Organization)
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(I.R.S. Employer Identification Nos.)
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c/o GreenHaven Commodity Services LLC
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3340 Peachtree Rd, Suite 1910
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Atlanta, Georgia
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30326
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(Address of Principal Executive Offices)
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(Zip Code)
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Large Accelerated Filer þ
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Accelerated Filer o
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Non-Accelerated Filer o
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Smaller reporting company o
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(Do not check if a smaller reporting company)
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PART 1. FINANCIAL INFORMATION
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3
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ITEM 1. FINANCIAL STATEMENTS
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3
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Greenhaven Continuous Commodity Index Fund Financial Statements
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Consolidated Statements of Financial Condition at September 30, 2013 (unaudited) and December 31, 2012
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3
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Unaudited Consolidated Schedule of Investments at September 30, 2013
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4
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Consolidated Schedule of Investments at December 31, 2012
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5
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Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended September 30, 2013 and 2012 and Nine Months Ended September 30, 2013 and 2012
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6
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Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2013
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7
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Unaudited Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2013 and 2012
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8
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Greenhaven Continuous Commodity Index Master Fund Financial Statements
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Statements of Financial Condition at September 30, 2013 (unaudited) and December 31, 2012
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9
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Unaudited Schedule of Investments at September 30, 2013
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10
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Schedule of Investments at December 31, 2012
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11
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Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended September 30, 2013 and 2012 and Nine Months Ended September 30, 2013 and 2012
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12
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Unaudited Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2013
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13
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Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2013 and 2012
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14
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Notes to Unaudited Consolidated Financial Statements
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15
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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
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23
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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
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29
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ITEM 4. CONTROLS AND PROCEDURES
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31
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PART II. OTHER INFORMATION
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33
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ITEM 1.
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Legal Proceedings
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33
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ITEM 1A.
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Risk Factors
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33
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ITEM 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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33
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ITEM 3.
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Defaults Upon Senior Securities
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33
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ITEM 4.
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Reserved
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33
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ITEM 5.
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Other Information
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33
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ITEM 6.
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Exhibits
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34
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SIGNATURES
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35
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EXHIBITS
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EX-31.1 SECTION 302 CERTIFICATION OF CEO
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EX-31.2 SECTION 302 CERTIFICATION OF CEO
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EX-31.3 SECTION 302 CERTIFICATION OF CFO
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EX-31.4 SECTION 302 CERTIFICATION OF CFO
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EX-32.1 SECTION 906 CERTIFICATION OF CEO AND CFO
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EX-32.2 SECTION 906 CERTIFICATION OF CEO AND CFO
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2 |
September 30,
2013 (unaudited)
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December 31,
2012 |
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Assets
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||||||||
Equity in broker trading accounts:
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||||||||
Short-term investments (cost $344,995,085 and $469,979,439 as of September 30, 2013 and December 31, 2012, respectively)
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$ | 344,996,250 | $ | 469,995,420 | ||||
Cash held by broker
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8,666,593 | 22,210,626 | ||||||
Net unrealized appreciation (depreciation) on futures contracts
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1,569,825 | (12,514,458 | ) | |||||
Total assets
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$ | 355,232,668 | $ | 479,691,588 | ||||
Liabilities and shareholders’ equity
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||||||||
Capital shares payable
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$ | — | $ | 4,327,722 | ||||
Management fee payable to related party
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252,125 | 354,469 | ||||||
Accrued brokerage fees and expenses payable
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141,546 | 401,297 | ||||||
Total liabilities
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393,671 | 5,083,488 | ||||||
Shareholders’ equity
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||||||||
General Units:
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||||||||
Paid in capital - 50 units issued
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1,500 | 1,500 | ||||||
Accumulated deficit
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(176 | ) | (57 | ) | ||||
Total General Units
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1,324 | 1,443 | ||||||
Limited Units:
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||||||||
Paid in capital - 13,400,000 and 16,450,000 redeemable shares issued and outstanding as of September 30, 2013 and December 31, 2012, respectively
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389,464,307 | 470,214,957 | ||||||
Retained
earnings (accumulated deficit)
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(34,626,634 | ) | 4,391,700 | |||||
Total Limited Units
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354,837,673 | 474,606,657 | ||||||
Total shareholders’ equity
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354,838,997 | 474,608,100 | ||||||
Total liabilities and shareholders’ equity
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$ | 355,232,668 | $ | 479,691,588 | ||||
Net asset value per share
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||||||||
General Units
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$ | 26.48 | $ | 28.86 | ||||
Limited Units
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$ | 26.48 | $ | 28.85 |
3 |
Percentage of
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Fair
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Face
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||||||||||
Description
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Net Assets
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Value
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Value
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|||||||||
U.S. Treasury Obligations
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||||||||||||
U.S. Treasury Bills, 0.02% due October 03, 2013
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31.00 | % | $ | 109,999,890 | $ | 110,000,000 | ||||||
U.S. Treasury Bills, 0.01% due October 10, 2013
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8.46 | 29,999,880 | 30,000,000 | |||||||||
U.S. Treasury Bills, 0.02% due October 24, 2013
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43.68 | 154,997,830 | 155,000,000 | |||||||||
U.S. Treasury Bills, 0.06% due November 14, 2013
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14.09 | 49,998,650 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $344,995,085)
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97.23 | % | $ | 344,996,250 | $ | 345,000,000 | ||||||
Percentage of
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Fair
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Notional
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||||||||||
Description
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Net Assets
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Value
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Value
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|||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts
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Cocoa (263 contracts, settlement date May 14, 2014)
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0.13 | % | $ | 462,570 | $ | 6,951,090 | ||||||
Cocoa (263 contracts, settlement date March 14, 2014)
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0.13 | 468,170 | 6,951,090 | |||||||||
Cocoa (264 contracts, settlement date December 13, 2013)
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0.23 | 822,440 | 6,969,600 | |||||||||
Coffee (159 contracts, settlement date May 19, 2014)
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(0.14 | ) | (488,475 | ) | 7,098,356 | |||||||
Coffee (159 contracts, settlement date March 19, 2014)
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(0.14 | ) | (498,956 | ) | 6,967,181 | |||||||
Coffee (159 contracts, settlement date December 18, 2013)
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(0.18 | ) | (639,525 | ) | 6,779,362 | |||||||
Copper (84 contracts, settlement date May 28, 2014)
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0.05 | 165,150 | 7,014,000 | |||||||||
Copper (83 contracts, settlement date March 27, 2014)
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0.05 | 170,838 | 6,915,975 | |||||||||
Copper (83 contracts, settlement date December 27, 2013)
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0.06 | 231,513 | 6,895,225 | |||||||||
Corn (307 contracts, settlement date May 14, 2014)
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(0.08 | ) | (292,850 | ) | 7,095,537 | |||||||
Corn (307 contracts, settlement date March 14, 2014)
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(0.08 | ) | (284,075 | ) | 6,976,575 | |||||||
Corn (307 contracts, settlement date December 13, 2013)
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(0.29 | ) | (1,024,138 | ) | 6,777,025 | |||||||
Cotton (160 contracts, settlement date May 07, 2014)
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0.05 | 162,255 | 6,944,000 | |||||||||
Cotton (160 contracts, settlement date March 07, 2014)
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0.00 | * | (10,755 | ) | 6,958,400 | |||||||
Cotton (159 contracts, settlement date December 06, 2013)
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0.05 | 188,270 | 6,933,195 | |||||||||
Gold (52 contracts, settlement date April 28, 2014)
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0.04 | 132,140 | 6,908,720 | |||||||||
Gold (52 contracts, settlement date February 26, 2014)
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(0.03 | ) | (113,710 | ) | 6,904,040 | |||||||
Gold (53 contracts, settlement date December 27, 2013)
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(0.07 | ) | (240,540 | ) | 7,033,100 | |||||||
Lean Hogs (197 contracts, settlement date April 14, 2014)
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0.10 | 351,430 | 7,032,900 | |||||||||
Lean Hogs (197 contracts, settlement date February 14, 2014)
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0.11 | 397,920 | 7,005,320 | |||||||||
Lean Hogs (196 contracts, settlement date December 13, 2013)
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0.13 | 454,620 | 6,791,400 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date March 20, 2014)
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0.01 | 41,520 | 4,121,880 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2014)
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0.01 | 37,980 | 4,163,460 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date January 21, 2014)
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0.01 | 36,340 | 4,206,720 | |||||||||
Light, Sweet Crude Oil (41 contracts, settlement date December 19, 2013)
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0.05 | 192,570 | 4,147,150 | |||||||||
Light, Sweet Crude Oil (41 contracts, settlement date November 20, 2013)
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0.06 | 209,840 | 4,177,900 | |||||||||
Live Cattle (130 contracts, settlement date April 30, 2014)
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0.06 | 197,460 | 6,997,900 | |||||||||
Live Cattle (130 contracts, settlement date February 28, 2014)
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0.10 | 359,410 | 6,957,600 | |||||||||
Live Cattle (130 contracts, settlement date December 31, 2013)
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0.07 | 256,170 | 6,862,700 | |||||||||
Natural Gas (110 contracts, settlement date March 27, 2014)
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0.04 | 132,510 | 4,137,100 | |||||||||
Natural Gas (110 contracts, settlement date February 26, 2014)
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0.04 | 127,120 | 4,191,000 | |||||||||
Natural Gas (110 contracts, settlement date January 29, 2014)
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0.03 | 118,360 | 4,220,700 | |||||||||
Natural Gas (110 contracts, settlement date December 27, 2013)
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(0.07 | ) | (237,610 | ) | 4,214,100 | |||||||
Natural Gas (110 contracts, settlement date November 26, 2013)
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(0.08 | ) | (265,800 | ) | 4,101,900 | |||||||
NY Harbor ULSD (34 contracts, settlement date March 31, 2014)**
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(0.01 | ) | (28,224 | ) | 4,188,610 | |||||||
NY Harbor ULSD (33 contracts, settlement date February 28, 2014)**
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(0.01 | ) | (34,427 | ) | 4,084,542 | |||||||
NY Harbor ULSD (34 contracts, settlement date January 31, 2014)**
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(0.01 | ) | (49,644 | ) | 4,225,024 | |||||||
NY Harbor ULSD (34 contracts, settlement date December 31, 2013)**
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0.00 | * | (3,284 | ) | 4,232,592 | |||||||
NY Harbor ULSD (33 contracts, settlement date November 29, 2013)**
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0.00 | * * | * | 14,024 | 4,112,401 | |||||||
Platinum (148 contracts, settlement date April 28, 2014)
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(0.12 | ) | (422,015 | ) | 10,482,840 | |||||||
Platinum (147 contracts, settlement date January 29, 2014)
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(0.06 | ) | (227,045 | ) | 10,381,140 | |||||||
Silver (64 contracts, settlement date May 28, 2014)
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0.10 | 339,530 | 6,969,600 | |||||||||
Silver (64 contracts, settlement date March 27, 2014)
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0.10 | 358,920 | 6,961,920 | |||||||||
Silver (64 contracts, settlement date December 27, 2013)
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0.07 | 249,040 | 6,946,560 | |||||||||
Soybean (110 contracts, settlement date May 14, 2014)
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0.08 | 287,262 | 6,866,750 | |||||||||
Soybean (110 contracts, settlement date March 14, 2014)
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0.11 | 378,137 | 6,968,500 | |||||||||
Soybean (109 contracts, settlement date January 14, 2014)
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(0.01 | ) | (32,800 | ) | 7,003,250 | |||||||
Soybean Oil (210 contracts, settlement date May 14, 2014)
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(0.05 | ) | (168,546 | ) | 5,289,480 | |||||||
Soybean Oil (209 contracts, settlement date March 14, 2014)
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(0.05 | ) | (168,276 | ) | 5,230,434 | |||||||
Soybean Oil (209 contracts, settlement date January 14, 2014)
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(0.18 | ) | (637,932 | ) | 5,191,560 | |||||||
Soybean Oil (209 contracts, settlement date December 13, 2013)
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(0.23 | ) | (817,746 | ) | 5,153,940 | |||||||
Sugar (515 contracts, settlement date April 30, 2014)
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0.13 | 458,684 | 10,422,776 | |||||||||
Sugar (515 contracts, settlement date February 28, 2014)
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0.10 | 338,218 | 10,463,152 | |||||||||
Wheat (202 contracts, settlement date May 14, 2014)
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0.04 | 143,475 | 6,966,475 | |||||||||
Wheat (203 contracts, settlement date March 14, 2014)
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0.05 | 183,675 | 6,973,050 | |||||||||
Wheat (204 contracts, settlement date December 13, 2013)
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(0.06 | ) | (211,363 | ) | 6,920,700 | |||||||
Net Unrealized Appreciation on Futures Contracts
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0.44 | % | $ | 1,569,825 | $ | 354,437,497 |
4 |
GreenHaven Continuous Commodity Index Fund
|
||||||
Consolidated Schedule of Investments
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||||||
December 31, 2012
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Percentage of
|
Fair
|
Face
|
||||||||||
Description
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Net Assets
|
Value
|
Value
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|||||||||
U.S. Treasury Obligations
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||||||||||||
U.S. Treasury Bills, 0.06% due January 03, 2013
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37.93 | % | $ | 180,000,000 | $ | 180,000,000 | ||||||
U.S. Treasury Bills, 0.05% due January 10, 2013
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6.32 | 29,999,820 | 30,000,000 | |||||||||
U.S. Treasury Bills, 0.05% due January 24, 2013
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40.03 | 189,997,910 | 190,000,000 | |||||||||
U.S. Treasury Bills, 0.11% due February 14, 2013
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14.75 | 69,997,690 | 70,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $469,979,439)
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99.03 | % | $ | 469,995,420 | $ | 470,000,000 | ||||||
Percentage of
|
Fair
|
Notional
|
||||||||||
Description
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Net Assets
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Value
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Value
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|||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts
|
||||||||||||
Cocoa (414 contracts, settlement date March 13, 2013)
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(0.20 | ) % | $ | (948,620 | ) | $ | 9,257,040 | |||||
Cocoa (415 contracts, settlement date May 15, 2013)
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(0.20 | ) | (932,590 | ) | 9,320,900 | |||||||
Cocoa (414 contracts, settlement date July 16, 2013)
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(0.10 | ) | (485,050 | ) | 9,331,560 | |||||||
Coffee (168 contracts, settlement date March 18, 2013)
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(0.28 | ) | (1,303,556 | ) | 9,059,400 | |||||||
Coffee (170 contracts, settlement date May 20, 2013)
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(0.28 | ) | (1,324,350 | ) | 9,352,125 | |||||||
Coffee (169 contracts, settlement date July 19, 2013)
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(0.14 | ) | (671,381 | ) | 9,477,731 | |||||||
Copper (102 contracts, settlement date March 26, 2013)
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0.12 | 554,000 | 9,313,875 | |||||||||
Copper (102 contracts, settlement date May 29, 2013)
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0.11 | 544,763 | 9,338,100 | |||||||||
Copper (101 contracts, settlement date July 29, 2013)
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0.11 | 529,500 | 9,271,800 | |||||||||
Corn (267 contracts, settlement date March 14, 2013)
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(0.25 | ) | (1,180,150 | ) | 9,321,637 | |||||||
Corn (266 contracts, settlement date May 14, 2013)
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(0.23 | ) | (1,104,225 | ) | 9,313,325 | |||||||
Corn (266 contracts, settlement date July 12, 2013)
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(0.08 | ) | (389,100 | ) | 9,273,425 | |||||||
Cotton (246 contracts, settlement date March 06, 2013)
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0.08 | 361,630 | 9,242,220 | |||||||||
Cotton (244 contracts, settlement date May 08, 2013)
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0.02 | 99,440 | 9,254,920 | |||||||||
Cotton (245 contracts, settlement date July 09, 2013)
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0.10 | 489,040 | 9,416,575 | |||||||||
FCOJ-A (838 contracts, settlement date March 08, 2013)
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(0.06 | ) | (301,343 | ) | 14,750,895 | |||||||
FCOJ-A (435 contracts, settlement date May 10, 2013)
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0.03 | 133,620 | 7,777,800 | |||||||||
FCOJ-A (285 contracts, settlement date July 11, 2013)
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(0.01 | ) | (61,987 | ) | 5,185,575 | |||||||
Gold (56 contracts, settlement date February 26, 2013)
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0.07 | 312,270 | 9,384,480 | |||||||||
Gold (55 contracts, settlement date April 26, 2013)
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0.05 | 236,130 | 9,229,000 | |||||||||
Gold (55 contracts, settlement date June 26, 2013)
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(0.07 | ) | (317,080 | ) | 9,240,000 | |||||||
Heating Oil (44 contracts, settlement date January 31, 2013)
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0.00 | * | (14,960 | ) | 5,602,766 | |||||||
Heating Oil (44 contracts, settlement date February 28, 2013)
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0.00 | * | (10,185 | ) | 5,575,046 | |||||||
Heating Oil (44 contracts, settlement date March 28, 2013)
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0.00 | * | (1,571 | ) | 5,535,869 | |||||||
Heating Oil (44 contracts, settlement date April 30, 2013)
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0.02 | 85,352 | 5,587,982 | |||||||||
Heating Oil (44 contracts, settlement date May 31, 2013)
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0.02 | 90,959 | 5,558,045 | |||||||||
Lean Hogs (189 contracts, settlement date February 14, 2013)
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0.07 | 323,420 | 6,480,810 | |||||||||
Lean Hogs (189 contracts, settlement date April 12, 2013)
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0.01 | 24,060 | 6,707,610 | |||||||||
Lean Hogs (188 contracts, settlement date June 14, 2013)
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(0.04 | ) | (163,170 | ) | 7,358,320 | |||||||
Lean Hogs (188 contracts, settlement date July 15, 2013)
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(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 |
Three Months
Ended |
Three Months
Ended |
Nine Months
Ended Ended |
Nine Months
Ended Ended |
|||||||||||||
September 30,
2013 |
September 30,
2012 |
September 30,
2013 |
September 30,
2012 |
Income
|
||||||||||||||||
Interest Income
|
$ | 30,080 | $ | 96,791 | $ | 175,532 | $ | 218,274 | ||||||||
Expenses
|
||||||||||||||||
Management fee to related party | 815,413 | 1,083,522 | 2,763,342 | 3,575,970 | ||||||||||||
Brokerage fees and expenses | 191,861 | 23,992 | 650,198 | 127,306 | ||||||||||||
Total expenses | 1,007,274 | 1,107,514 | 3,413,540 | 3,703,276 | ||||||||||||
Net Investment Loss | (977,194 | ) | (1,010,723 | ) | (3,238,008 | ) | (3,485,002 | ) | ||||||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
|
||||||||||||||||
Realized Gain (Loss) on
|
||||||||||||||||
Investments | 533 | — | 1,923 | 903 | ||||||||||||
Futures Contracts | (18,349,415 | ) | 14,511,408 | (49,851,835 | ) | (64,144,670 | ) | |||||||||
Net Realized Gain (Loss) | (18,348,882 | ) | 14,511,408 | (49,849,912 | ) | (64,143,767 | ) | |||||||||
Net Change in Unrealized Gain (Loss) on
|
||||||||||||||||
Investments | (3,787 | ) | (4,561 | ) | (14,816 | ) | 6,714 | |||||||||
Futures Contracts | 30,625,671 | 23,223,583 | 14,084,283 | 68,793,505 | ||||||||||||
Net Change in Unrealized Gain | 30,621,884 | 23,219,022 | 14,069,467 | 68,800,219 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 12,273,002 | 37,730,430 | (35,780,445 | ) | 4,656,452 | |||||||||||
Net
Gain (Loss)
|
$ | 11,295,808 | $ | 36,719,707 | $ | (39,018,453 | ) | $ | 1,171,450 |
See accompanying notes to unaudited consolidated financial statements
|
6 |
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 | 25,704,700 | — | 25,704,700 | 25,704,700 | |||||||||||||||||||||||||||
Redemption of Limited Units
|
— | — | — | — | (3,950,000 | ) | (106,455,350 | ) | — | (106,455,350 | ) | (106,455,350 | ) | |||||||||||||||||||||||
Net Loss:
|
||||||||||||||||||||||||||||||||||||
Net Investment Loss
|
— | — | (11 | ) | (11 | ) | — | — | (3,237,997 | ) | (3,237,997 | ) | (3,238,008 | ) | ||||||||||||||||||||||
Net Realized Loss on Investments and Futures Contracts
|
— | — | (157 | ) | (157 | ) | — | — | (49,849,755 | ) | (49,849,755 | ) | (49,849,912 | ) | ||||||||||||||||||||||
Net Change in Unrealized Gain on Investments and Futures Contracts
|
— | — | 49 | 49 | — | — | 14,069,418 | 14,069,418 | 14,069,467 | |||||||||||||||||||||||||||
Net Loss
|
— | — | (119 | ) | (119 | ) | (39,018,334 | ) | (39,018,334 | ) | (39,018,453 | ) | ||||||||||||||||||||||||
Balance at September 30, 2013
|
50 | $ | 1,500 | $ | (176 | ) | $ | 1,324 | 13,400,000 | $ | 389,464,307 | $ | (34,626,634 | ) | $ | 354,837,673 | $ | 354,838,997 |
7 |
2013 | 2012 | |||||||
Cash flow from operating activities:
|
||||||||
Net Gain (Loss)
|
$ | (39,018,453 | ) | $ | 1,171,450 | |||
Adjustments
to reconcile net gain (loss) to net cash provided by (used for) operating activities:
|
||||||||
Purchase of investment securities
|
(1,284,836,043 | ) | (1,609,751,562 | ) | ||||
Proceeds from sales of investment securities
|
1,409,997,852 | 1,139,992,043 | ||||||
Net accretion of discount
|
(175,532 | ) | (218,274 | ) | ||||
Net realized loss on investment securities
|
(1,923 | ) | (903 | ) | ||||
Unrealized depreciation on investments
|
(14,069,467 | ) | (68,800,219 | ) | ||||
Decrease in accrued expenses
|
(362,095 | ) | (814,625 | ) | ||||
Net cash provided by (used for) operating activities
|
71,534,339 | (538,422,090 | ) | |||||
Cash flows from financing activities:
|
||||||||
Proceeds from creation of Limited Units
|
25,704,700 | 87,933,308 | ||||||
Redemption of Limited Units
|
(106,455,350 | ) | (153,587,632 | ) | ||||
Decrease in capital shares payable
|
(4,327,722 | ) | (1,497,826 | ) | ||||
Net cash used for financing activities
|
(85,078,372 | ) | (67,152,150 | ) | ||||
Net change in cash
|
(13,544,033 | ) | (605,574,240 | ) | ||||
Cash held by broker at beginning of period
|
22,210,626 | 619,079,494 | ||||||
Cash held by broker at end of period
|
$ | 8,666,593 | $ | 13,505,254 |
8 |
September 30,
2013 (unaudited)
|
December 31, 2012
|
|||||||
Assets
|
||||||||
Equity in broker trading accounts:
|
||||||||
Short-term investments (cost $344,995,085 and $469,979,439 as of September 30, 2013 and December 31, 2012, respectively)
|
$ | 344,996,250 | $ | 469,995,420 | ||||
Cash held by broker
|
8,666,593 | 22,210,626 | ||||||
Net unrealized appreciation (depreciation) on futures contracts
|
1,569,825 | (12,514,458 | ) | |||||
Total assets
|
$ | 355,232,668 | $ | 479,691,588 | ||||
Liabilities and shareholders’ equity
|
||||||||
Capital shares payable
|
$ | — | $ | 4,327,722 | ||||
Management fee payable to related party
|
252,125 | 354,469 | ||||||
Accrued brokerage fees and expenses payable
|
141,546 | 401,297 | ||||||
Total liabilities
|
393,671 | 5,083,488 | ||||||
Shareholders’ equity
|
||||||||
General Units:
|
||||||||
Paid in capital - 50 units issued
|
1,500 | 1,500 | ||||||
Accumulated deficit
|
(176 | ) | (57 | ) | ||||
Total General Units
|
1,324 | 1,443 | ||||||
Limited Units:
|
||||||||
Paid in capital - 13,400,000 and 16,450,000 redeemable shares issued and outstanding as of September 30, 2013 and December 31, 2012, respectively
|
389,464,307 | 470,214,957 | ||||||
Retained
earnings (accumulated deficit)
|
(34,626,634 | ) | 4,391,700 | |||||
Total Limited Units
|
354,837,673 | 474,606,657 | ||||||
Total shareholders’ equity
|
354,838,997 | 474,608,100 | ||||||
Total liabilities and shareholders’ equity
|
$ | 355,232,668 | $ | 479,691,588 | ||||
Net asset value per share
|
||||||||
General Units
|
$ | 26.48 | $ | 28.86 | ||||
Limited Units
|
$ | 26.48 | $ | 28.85 |
9 |
Percentage of Net Assets |
Fair
Value
|
Face
Value
|
||||||||||
Description
|
||||||||||||
U.S. Treasury Obligations
|
||||||||||||
U.S. Treasury Bills, 0.02% due October 03, 2013
|
31.00 | % | $ | 109,999,890 | $ | 110,000,000 | ||||||
U.S. Treasury Bills, 0.01% due October 10, 2013
|
8.46 | 29,999,880 | 30,000,000 | |||||||||
U.S. Treasury Bills, 0.02% due October 24, 2013
|
43.68 | 154,997,830 | 155,000,000 | |||||||||
U.S. Treasury Bills, 0.06% due November 14, 2013
|
14.09 | 49,998,650 | 50,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $344,995,085)
|
97.23 | % | $ | 344,996,250 | $ | 345,000,000 | ||||||
Description
|
Percentage of
Net Assets |
Fair
Value
|
Notional
Value
|
|||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts
|
||||||||||||
Cocoa (263 contracts, settlement date May 14, 2014)
|
0.13 | % | $ | 462,570 | $ | 6,951,090 | ||||||
Cocoa (263 contracts, settlement date March 14, 2014)
|
0.13 | 468,170 | 6,951,090 | |||||||||
Cocoa (264 contracts, settlement date December 13, 2013)
|
0.23 | 822,440 | 6,969,600 | |||||||||
Coffee (159 contracts, settlement date May 19, 2014)
|
(0.14 | ) | (488,475 | ) | 7,098,356 | |||||||
Coffee (159 contracts, settlement date March 19, 2014)
|
(0.14 | ) | (498,956 | ) | 6,967,181 | |||||||
Coffee (159 contracts, settlement date December 18, 2013)
|
(0.18 | ) | (639,525 | ) | 6,779,362 | |||||||
Copper (84 contracts, settlement date May 28, 2014)
|
0.05 | 165,150 | 7,014,000 | |||||||||
Copper (83 contracts, settlement date March 27, 2014)
|
0.05 | 170,838 | 6,915,975 | |||||||||
Copper (83 contracts, settlement date December 27, 2013)
|
0.06 | 231,513 | 6,895,225 | |||||||||
Corn (307 contracts, settlement date May 14, 2014)
|
(0.08 | ) | (292,850 | ) | 7,095,537 | |||||||
Corn (307 contracts, settlement date March 14, 2014)
|
(0.08 | ) | (284,075 | ) | 6,976,575 | |||||||
Corn (307 contracts, settlement date December 13, 2013)
|
(0.29 | ) | (1,024,138 | ) | 6,777,025 | |||||||
Cotton (160 contracts, settlement date May 07, 2014)
|
0.05 | 162,255 | 6,944,000 | |||||||||
Cotton (160 contracts, settlement date March 07, 2014)
|
0.00 | * | (10,755 | ) | 6,958,400 | |||||||
Cotton (159 contracts, settlement date December 06, 2013)
|
0.05 | 188,270 | 6,933,195 | |||||||||
Gold (52 contracts, settlement date April 28, 2014)
|
0.04 | 132,140 | 6,908,720 | |||||||||
Gold (52 contracts, settlement date February 26, 2014)
|
(0.03 | ) | (113,710 | ) | 6,904,040 | |||||||
Gold (53 contracts, settlement date December 27, 2013)
|
(0.07 | ) | (240,540 | ) | 7,033,100 | |||||||
Lean Hogs (197 contracts, settlement date April 14, 2014)
|
0.10 | 351,430 | 7,032,900 | |||||||||
Lean Hogs (197 contracts, settlement date February 14, 2014)
|
0.11 | 397,920 | 7,005,320 | |||||||||
Lean Hogs (196 contracts, settlement date December 13, 2013)
|
0.13 | 454,620 | 6,791,400 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date March 20, 2014)
|
0.01 | 41,520 | 4,121,880 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2014)
|
0.01 | 37,980 | 4,163,460 | |||||||||
Light, Sweet Crude Oil (42 contracts, settlement date January 21, 2014)
|
0.01 | 36,340 | 4,206,720 | |||||||||
Light, Sweet Crude Oil (41 contracts, settlement date December 19, 2013)
|
0.05 | 192,570 | 4,147,150 | |||||||||
Light, Sweet Crude Oil (41 contracts, settlement date November 20, 2013)
|
0.06 | 209,840 | 4,177,900 | |||||||||
Live Cattle (130 contracts, settlement date April 30, 2014)
|
0.06 | 197,460 | 6,997,900 | |||||||||
Live Cattle (130 contracts, settlement date February 28, 2014)
|
0.10 | 359,410 | 6,957,600 | |||||||||
Live Cattle (130 contracts, settlement date December 31, 2013)
|
0.07 | 256,170 | 6,862,700 | |||||||||
Natural Gas (110 contracts, settlement date March 27, 2014)
|
0.04 | 132,510 | 4,137,100 | |||||||||
Natural Gas (110 contracts, settlement date February 26, 2014)
|
0.04 | 127,120 | 4,191,000 | |||||||||
Natural Gas (110 contracts, settlement date January 29, 2014)
|
0.03 | 118,360 | 4,220,700 | |||||||||
Natural Gas (110 contracts, settlement date December 27, 2013)
|
(0.07 | ) | (237,610 | ) | 4,214,100 | |||||||
Natural Gas (110 contracts, settlement date November 26, 2013)
|
(0.08 | ) | (265,800 | ) | 4,101,900 | |||||||
NY Harbor ULSD (34 contracts, settlement date March 31, 2014)**
|
(0.01 | ) | (28,224 | ) | 4,188,610 | |||||||
NY Harbor ULSD (33 contracts, settlement date February 28, 2014)**
|
(0.01 | ) | (34,427 | ) | 4,084,542 | |||||||
NY Harbor ULSD (34 contracts, settlement date January 31, 2014)**
|
(0.01 | ) | (49,644 | ) | 4,225,024 | |||||||
NY Harbor ULSD (34 contracts, settlement date December 31, 2013)**
|
0.00 | * | (3,284 | ) | 4,232,592 | |||||||
NY Harbor ULSD (33 contracts, settlement date November 29, 2013)**
|
0.00 | *** | 14,024 | 4,112,401 | ||||||||
Platinum (148 contracts, settlement date April 28, 2014)
|
(0.12 | ) | (422,015 | ) | 10,482,840 | |||||||
Platinum (147 contracts, settlement date January 29, 2014)
|
(0.06 | ) | (227,045 | ) | 10,381,140 | |||||||
Silver (64 contracts, settlement date May 28, 2014)
|
0.10 | 339,530 | 6,969,600 | |||||||||
Silver (64 contracts, settlement date March 27, 2014)
|
0.10 | 358,920 | 6,961,920 | |||||||||
Silver (64 contracts, settlement date December 27, 2013)
|
0.07 | 249,040 | 6,946,560 | |||||||||
Soybean (110 contracts, settlement date May 14, 2014)
|
0.08 | 287,262 | 6,866,750 | |||||||||
Soybean (110 contracts, settlement date March 14, 2014)
|
0.11 | 378,137 | 6,968,500 | |||||||||
Soybean (109 contracts, settlement date January 14, 2014)
|
(0.01 | ) | (32,800 | ) | 7,003,250 | |||||||
Soybean Oil (210 contracts, settlement date May 14, 2014)
|
(0.05 | ) | (168,546 | ) | 5,289,480 | |||||||
Soybean Oil (209 contracts, settlement date March 14, 2014)
|
(0.05 | ) | (168,276 | ) | 5,230,434 | |||||||
Soybean Oil (209 contracts, settlement date January 14, 2014)
|
(0.18 | ) | (637,932 | ) | 5,191,560 | |||||||
Soybean Oil (209 contracts, settlement date December 13, 2013)
|
(0.23 | ) | (817,746 | ) | 5,153,940 | |||||||
Sugar (515 contracts, settlement date April 30, 2014)
|
0.13 | 458,684 | 10,422,776 | |||||||||
Sugar (515 contracts, settlement date February 28, 2014)
|
0.10 | 338,218 | 10,463,152 | |||||||||
Wheat (202 contracts, settlement date May 14, 2014)
|
0.04 | 143,475 | 6,966,475 | |||||||||
Wheat (203 contracts, settlement date March 14, 2014)
|
0.05 | 183,675 | 6,973,050 | |||||||||
Wheat (204 contracts, settlement date December 13, 2013)
|
(0.06 | ) | (211,363 | ) | 6,920,700 | |||||||
Net Unrealized Appreciation on Futures Contracts
|
0.44 | % | $ | 1,569,825 | $ | 354,437,497 |
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 |
Three Months Ended
|
Three Months Ended
|
Nine Months
Ended Ended |
Nine Months
Ended Ended |
|||||||||||||
September 30,
2013 |
September 30,
2012 |
September 30,
2013 |
September 30,
2012 |
|||||||||||||
Income
|
||||||||||||||||
Interest Income
|
$ | 30,080 | $ | 96,791 | $ | 175,532 | $ | 218,274 | ||||||||
Expenses
|
||||||||||||||||
Management fee to related party
|
815,413 | 1,083,522 | 2,763,342 | 3,575,970 | ||||||||||||
Brokerage fees and expenses
|
191,861 | 23,992 | 650,198 | 127,306 | ||||||||||||
Total expenses
|
1,007,274 | 1,107,514 | 3,413,540 | 3,703,276 | ||||||||||||
Net Investment Loss
|
(977,194 | ) | (1,010,723 | ) | (3,238,008 | ) | (3,485,002 | ) | ||||||||
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
|
||||||||||||||||
Realized Gain (Loss) on
|
||||||||||||||||
Investments
|
533 | — | 1,923 | 903 | ||||||||||||
Futures Contracts
|
(18,349,415 | ) | 14,511,408 | (49,851,835 | ) | (64,144,670 | ) | |||||||||
Net Realized Gain (Loss)
|
(18,348,882 | ) | 14,511,408 | (49,849,912 | ) | (64,143,767 | ) | |||||||||
Net Change in Unrealized Gain (Loss) on
|
||||||||||||||||
Investments
|
(3,787 | ) | (4,561 | ) | (14,816 | ) | 6,714 | |||||||||
Futures Contracts
|
30,625,671 | 23,223,583 | 14,084,283 | 68,793,505 | ||||||||||||
Net Change in Unrealized Gain
|
30,621,884 | 23,219,022 | 14,069,467 | 68,800,219 | ||||||||||||
Net
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
|
12,273,002 | 37,730,430 | (35,780,445 | ) | 4,656,452 | |||||||||||
Net
Gain (Loss)
|
$ | 11,295,808 | $ | 36,719,707 | $ | (39,018,453 | ) | $ | 1,171,450 |
See accompanying notes to unaudited consolidated financial statements
|
12 |
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 | 25,704,700 | — | 25,704,700 | 25,704,700 | |||||||||||||||||||||||||||
Redemption of Limited Units
|
— | — | — | — | (3,950,000 | ) | (106,455,350 | ) | — | (106,455,350 | ) | (106,455,350 | ) | |||||||||||||||||||||||
Net Loss:
|
||||||||||||||||||||||||||||||||||||
Net Investment Loss
|
— | — | (11 | ) | (11 | ) | — | — | (3,237,997 | ) | (3,237,997 | ) | (3,238,008 | ) | ||||||||||||||||||||||
Net Realized Loss on Investments and Futures Contracts
|
— | — | (157 | ) | (157 | ) | — | — | (49,849,755 | ) | (49,849,755 | ) | (49,849,912 | ) | ||||||||||||||||||||||
Net Change in Unrealized Gain on Investments and Futures Contracts
|
— | — | 49 | 49 | — | — | 14,069,418 | 14,069,418 | 14,069,467 | |||||||||||||||||||||||||||
Net Loss
|
— | — | (119 | ) | (119 | ) | (39,018,334 | ) | (39,018,334 | ) | (39,018,453 | ) | ||||||||||||||||||||||||
Balance at September 30, 2013
|
50 | $ | 1,500 |