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 September 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 Nos.)
     
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 September 30, 2013: 13,400,000 Limited Shares.
 
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED SEPTEMBER 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 September 30, 2013 (unaudited) and December 31, 2012
 
3
 
Unaudited Consolidated Schedule of Investments at September 30, 2013
 
4
 
Consolidated Schedule of Investments at December 31, 2012
 
5
 
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
 
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2013
 
7
 
Unaudited Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2013 and 2012
 
8
       
 
Greenhaven Continuous Commodity Index Master Fund Financial Statements
   
 
Statements of Financial Condition at September 30, 2013 (unaudited) and December 31, 2012
 
9
 
Unaudited Schedule of Investments at September 30, 2013
 
10
 
Schedule of Investments at December 31, 2012
 
11
 
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
 
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2013
 
13
 
Unaudited Statements of Cash Flows for the Nine Months Ended September 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
 
 
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
September 30, 2013 (unaudited) and December 31, 2012
 
   
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  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
September 30, 2013
 
   
Percentage of
   
Fair
   
Face
 
Description
 
Net Assets
   
Value
   
Value
 
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  
                         
   
Percentage of
   
Fair
   
Notional
 
Description
 
Net Assets
   
Value
   
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  
 
*              Denotes less than 0.000% yet greater than (0.005)%
* *           The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013
* **        Denotes greater than 0.000% yet less than 0.005%
 
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 September 30, 2013 and 2012
and Nine Months Ended September 30, 2013 and 2012
                                 
   
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
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Nine Months Ended September 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       25,704,700             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  
 
See accompanying notes to unaudited consolidated financial statements
 
7
 

 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Nine Months Ended September 30, 2013 and 2012
 
  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  
 
See accompanying notes to unaudited consolidated financial statements
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
September 30, 2013 (unaudited) and December 31, 2012
 
   
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  
 
See accompanying notes to unaudited consolidated financial statements
 
9
 

 

GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
September 30, 2013
                         
      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  
 
*             Denotes less than 0.000% yet greater than (0.005)%
* *          The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013
* **       Denotes greater than 0.000% yet less than 0.005%
 
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 September 30, 2013 and 2012
and Nine Months Ended September 30, 2013 and 2012
   
   
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
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Nine Months Ended September 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       25,704,700             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