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  March 31, 2014,
OR
 
 
 
o
 
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from _________ to
 
Commission File Numbers: 001-33908, 001-33909
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
(Registrant)
(Exact name of Registrant as specified in its charter)
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
(Rule 140 Co-Registrant)
(Exact name of Registrant as specified in its charter)
 
 
 
Delaware
 
26-0151234
26-0151301
(State or Other Jurisdiction of Incorporation or Organization)
 
(I.R.S. Employer Identification No.)
 
 
 
c/o GreenHaven Commodity Services LLC
 
 
3340 Peachtree Rd, Suite 1910
 
 
Atlanta, Georgia
 
30326
(Address of Principal Executive Offices)
 
(Zip Code)
 
Registrant’s telephone number, including area code: (404)-239-7942
(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)
 
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o
 
Indicate by check mark whether the registrant has submitted electronically and posted to its web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to post such files).  Yes þ     No o
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
 
 
 
 
 
 
 
Large Accelerated Filer o
 
Accelerated Filer  þ
 
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 March 31, 2014: 12,350,000 Limited Shares.
 
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED MARCH 31, 2014
         
PART I. FINANCIAL INFORMATION  
3
         
  ITEM 1. FINANCIAL STATEMENTS  
3
         
 
GreenHaven Continuous Commodity Index Fund Financial Statements
    
 
Consolidated Statements of Financial Condition at March 31, 2014 (unaudited) and December 31, 2013
  
3
 
Unaudited Consolidated Schedule of Investments at March 31, 2014
  
4
 
Consolidated Schedule of Investments at December 31, 2013
  
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended March 31, 2014 and 2013
  
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Three Months Ended March 31, 2014
  
7
 
Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2014 and 2013
  
8
         
 
GreenHaven Continuous Commodity Index Master Fund Financial Statements
    
 
Statements of Financial Condition at March 31, 2014 (unaudited) and December 31, 2013
  
9
 
Unaudited Schedule of Investments at March 31, 2014
  
10
 
Schedule of Investments at December 31, 2013
  
11
 
Unaudited Statements of Income and Expenses for the Three Months Ended March 31, 2014 and 2013
  
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Three Months Ended March 31, 2014
  
13
 
Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2014 and 2013
  
14
 
Notes to Consolidated Unaudited 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
         
EXHIBIT INDEX    
36
 
EX-31.1 SECTION 302 CERTIFICATION OF CEO
    
 
EX-31.2 SECTION 302 CERTIFICATION OF CEO
    
 
EX-31.3 SECTION 302 CERTIFICATION OF CFO
    
 
EX-31.4 SECTION 302 CERTIFICATION OF CFO
    
 
EX-32.1 SECTION 906 CERTIFICATION OF CEO
    
 
EX-32.2 SECTION 906 CERTIFICATION OF CEO
    
 
EX-32.3 SECTION 906 CERTIFICATION OF CFO
    
 
EX-32.4 SECTION 906 CERTIFICATION OF CFO
    
 
2
 

 

 
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
March 31, 2014 (unaudited) and December 31, 2013
             
   
March 31, 2014
    
December 31,
  
   
(unaudited)
    
2013
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $199,993,472 and $199,996,365 as of March 31, 2014 and December 31, 2013, respectively)
   $ 199,997,600     $ 199,998,800  
Cash held by broker
     134,973,068       124,417,599  
Net unrealized appreciation (depreciation) on futures contracts
     17,908,868       (4,055,188 )
Total assets
   $ 352,879,536     $ 320,361,211  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ 4,228,931     $ —  
Management fee payable to related party
     253,628       241,143  
Accrued brokerage fees and expenses payable
     213,573       127,484  
Total liabilities
     4,696,132       368,627  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Accumulated deficit
     (90 )     (215 )
Total General Units
     1,410       1,285  
Limited Units:
                
Paid in capital - 12,350,000 and 12,450,000 redeemable shares issued and outstanding as of March 31, 2014 and December 31, 2013, respectively
     363,158,975       364,838,413  
Accumulated deficit
     (14,976,981 )     (44,847,114 )
                 
Total Limited Units
     348,181,994       319,991,299  
                 
Total shareholders’ equity
     348,183,404       319,992,584  
Total liabilities and shareholders’ equity
   $ 352,879,536     $ 320,361,211  
                 
Net asset value per share
                
                 
General Units
   $ 28.20     $ 25.70  
                 
Limited Units
   $ 28.19     $ 25.70  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
March 31, 2014
                           
Description
   Percentage
of Net Assets		     Fair
 Value
    
Face
Value
  
U.S. Treasury Obligations                        
 
U.S. Treasury Bills, 0.05% due April 03, 2014
    
14.36
%
  
$
50,000,000
    
$
50,000,000
  
 
U.S. Treasury Bills, 0.06% due April 17, 2014
    
14.36
      
49,999,500
      
50,000,000
  
 
U.S. Treasury Bills, 0.02% due May 01, 2014
    
14.36
      
49,999,200
      
50,000,000
  
 
U.S. Treasury Bills, 0.05% due May 29, 2014
    
14.36
      
49,998,900
      
50,000,000
  
Total U.S. Treasury Obligations (cost $199,993,472)    
57.44
%
  
$
199,997,600
    
$
200,000,000
  
                           
Description
   Percentage
of Net Assets		    
Fair
 Value
     Notional
Value		  
Unrealized Appreciation/(Depreciation) on Futures Contracts                        
 
Cocoa (229 contracts, settlement date September 15, 2014)
     0.01 %   $ 35,560     $ 6,817,330  
 
Cocoa (229 contracts, settlement date July 16, 2014)
     0.13       452,890       6,796,720  
 
Cocoa (230 contracts, settlement date May 14, 2014)
     0.13       444,960       6,796,500  
 
Coffee (101 contracts, settlement date September 18, 2014)
     0.26       916,631       6,895,144  
 
Coffee (101 contracts, settlement date July 21, 2014)
     0.47       1,624,800       6,817,500  
 
Coffee (101 contracts, settlement date May 19, 2014)
     0.42       1,474,481       6,737,963  
 
Copper (90 contracts, settlement date September 26, 2014)
     (0.11 )     (396,313 )     6,809,625  
 
Copper (90 contracts, settlement date July 29, 2014)
     (0.13 )     (442,050 )     6,799,500  
 
Copper (90 contracts, settlement date May 28, 2014)
     (0.14 )     (480,675 )     6,807,375  
 
Corn (271 contracts, settlement date September 12, 2014)
     0.18       632,625       6,802,100  
 
Corn (271 contracts, settlement date July 14, 2014)
     0.22       762,075       6,866,462  
 
Corn (271 contracts, settlement date May 14, 2014)
     0.14       471,538       6,802,100  
 
Cotton (219 contracts, settlement date July 09, 2014)
     0.28       980,725       10,243,725  
 
Cotton (219 contracts, settlement date May 07, 2014)
     0.21       740,715       10,240,440  
 
Gold (79 contracts, settlement date August 27, 2014)
     0.03       116,110       10,144,390  
 
Gold (80 contracts, settlement date June 26, 2014)
     (0.03 )     (102,420 )     10,270,400  
 
Lean Hogs (85 contracts, settlement date October 14, 2014)
     0.11       388,890       3,498,600  
 
Lean Hogs (85 contracts, settlement date August 14, 2014)
     0.23       819,120       4,201,550  
 
Lean Hogs (85 contracts, settlement date July 15, 2014)
     0.23       809,780       4,207,500  
 
Lean Hogs (84 contracts, settlement date June 13, 2014)
     0.23       806,800       4,273,080  
 
Lean Hogs (85 contracts, settlement date April 14, 2014)
     0.34       1,201,320       4,284,000  
 
Light, Sweet Crude Oil (41 contracts, settlement date August 20, 2014)
     0.02       83,870       4,017,590  
 
Light, Sweet Crude Oil (41 contracts, settlement date July 22, 2014)
     0.03       89,660       4,056,950  
 
Light, Sweet Crude Oil (41 contracts, settlement date June 20, 2014)
     0.09       303,000       4,095,900  
 
Light, Sweet Crude Oil (41 contracts, settlement date May 20, 2014)
     0.07       238,000       4,133,620  
 
Light, Sweet Crude Oil (41 contracts, settlement date April 22, 2014)
     0.07       236,110       4,164,780  
 
Live Cattle (124 contracts, settlement date October 31, 2014)
     0.06       212,920       6,886,960  
 
Live Cattle (125 contracts, settlement date August 29, 2014)
     0.08       283,560       6,727,500  
 
Live Cattle (124 contracts, settlement date June 30, 2014)
     0.11       393,510       6,820,000  
 
Natural Gas (93 contracts, settlement date August 27, 2014)
     (0.03 )     (110,150 )     4,110,600  
 
Natural Gas (92 contracts, settlement date July 29, 2014)
     (0.03 )     (115,510 )     4,086,640  
 
Natural Gas (92 contracts, settlement date June 26, 2014)
     0.06       215,110       4,088,480  
 
Natural Gas (93 contracts, settlement date May 28, 2014)
     0.10       342,220       4,095,720  
 
Natural Gas (93 contracts, settlement date April 28, 2014)
     0.09       312,790       4,065,030  
 
NY Harbor ULSD (34 contracts, settlement date August 29, 2014)*
     (0.01 )     (40,438 )     4,174,330  
 
NY Harbor ULSD (33 contracts, settlement date July 31, 2014)*
     (0.01 )     (43,126 )     4,051,694  
 
NY Harbor ULSD (34 contracts, settlement date June 30, 2014)*
     0.01       23,541       4,174,615  
 
NY Harbor ULSD (33 contracts, settlement date May 30, 2014)*
     0.02       56,444       4,052,941  
 
NY Harbor ULSD (33 contracts, settlement date April 30, 2014)*
     0.02       56,582       4,060,703  
 
Platinum (144 contracts, settlement date October 29, 2014)
     0.01       39,685       10,241,280  
 
Platinum (144 contracts, settlement date July 29, 2014)
     (0.01 )     (45,415 )     10,229,760  
 
Silver (69 contracts, settlement date September 26, 2014)
     (0.09 )     (295,360 )     6,836,865  
 
Silver (69 contracts, settlement date July 29, 2014)
     (0.10 )     (363,520 )     6,827,205  
 
Silver (69 contracts, settlement date May 28, 2014)
     (0.12 )     (404,560 )     6,814,440  
 
Soybean (96 contracts, settlement date August 14, 2014)
     0.17       603,563       6,532,800  
 
Soybean (96 contracts, settlement date July 14, 2014)
     0.22       776,250       6,861,600  
 
Soybean (96 contracts, settlement date May 14, 2014)
     0.24       830,875       7,027,200  
 
Soybean Oil (169 contracts, settlement date October 14, 2014)
     0.00 **     15,894       4,033,692  
 
Soybean Oil (169 contracts, settlement date September 12, 2014)
     0.01       30,120       4,080,336  
 
Soybean Oil (169 contracts, settlement date August 14, 2014)
     0.04       138,228       4,106,700  
 
Soybean Oil (170 contracts, settlement date July 14, 2014)
     (0.03 )     (112,236 )     4,144,260  
 
Soybean Oil (169 contracts, settlement date May 14, 2014)
     (0.02 )     (84,510 )     4,098,588  
 
Sugar (335 contracts, settlement date September 30, 2014)
     0.18       616,392       6,959,960  
 
Sugar (335 contracts, settlement date June 30, 2014)
     0.08       274,310       6,802,376  
 
Sugar (335 contracts, settlement date April 30, 2014)
     0.06       205,621       6,667,304  
 
Wheat (194 contracts, settlement date September 12, 2014)
     0.26       909,600       6,874,875  
 
Wheat (194 contracts, settlement date July 14, 2014)
     0.15       527,388       6,804,550  
 
Wheat (195 contracts, settlement date May 14, 2014)
     0.13       450,888       6,798,187  
                           
Net Unrealized Appreciation on Futures Contracts     5.14 %   $ 17,908,868     $ 347,718,035  
 
   
*
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, 2013
                     
     
Percentage
    
Fair
    
Face
  
Description  
of Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations                  
 
U.S. Treasury Bills, 0.01% due January 16, 2014
     15.62 %   $ 49,999,850     $ 50,000,000  
 
U.S. Treasury Bills, 0.01% due January 23, 2014
     46.88       149,998,950       150,000,000  
Total U.S. Treasury Obligations (cost $199,996,365)     62.50 %   $ 199,998,800     $ 200,000,000  
                           
     
Percentage
    
Fair
    
Notional
  
Description  
of Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts                        
 
Cocoa (231 contracts, settlement date July 16, 2014)
     0.01 %   $ 35,760     $ 6,292,440  
 
Cocoa (231 contracts, settlement date May 14, 2014)
     0.13       411,440       6,273,960  
 
Cocoa (231 contracts, settlement date March 14, 2014)
     0.12       381,180       6,257,790  
 
Coffee (148 contracts, settlement date July 21, 2014)
     0.07       216,881       6,388,050  
 
Coffee (148 contracts, settlement date May 19, 2014)
     (0.17 )     (536,812 )     6,268,725  
 
Coffee (148 contracts, settlement date March 19, 2014)
     (0.17 )     (545,550 )     6,143,850  
 
Copper (74 contracts, settlement date July 29, 2014)
     0.06       200,375       6,240,975  
 
Copper (74 contracts, settlement date May 28, 2014)
     0.07       207,963       6,262,250  
 
Copper (74 contracts, settlement date March 27, 2014)
     0.08       240,550       6,283,525  
 
Corn (292 contracts, settlement date July 14, 2014)
     (0.05 )     (170,225 )     6,380,200  
 
Corn (292 contracts, settlement date May 14, 2014)
     (0.19 )     (618,075 )     6,281,650  
 
Corn (292 contracts, settlement date March 14, 2014)
     (0.20 )     (625,900 )     6,161,200  
 
Cotton (149 contracts, settlement date July 09, 2014)
     0.09       301,180       6,256,510  
 
Cotton (149 contracts, settlement date May 07, 2014)
     0.00 *     (10,605 )     6,287,800  
 
Cotton (148 contracts, settlement date March 07, 2014)
     (0.02 )     (59,930 )     6,263,360  
 
Gold (52 contracts, settlement date June 26, 2014)
     (0.15 )     (487,650 )     6,258,720  
 
Gold (52 contracts, settlement date April 28, 2014)
     (0.15 )     (482,440 )     6,255,600  
 
Gold (52 contracts, settlement date February 26, 2014)
     (0.17 )     (529,510 )     6,251,960  
 
Lean Hogs (125 contracts, settlement date July 15, 2014)
     0.02       72,180       4,942,500  
 
Lean Hogs (125 contracts, settlement date June 13, 2014)
     0.01       46,480       5,007,500  
 
Lean Hogs (125 contracts, settlement date April 14, 2014)
     0.07       229,450       4,533,750  
 
Lean Hogs (126 contracts, settlement date February 14, 2014)
     0.00 **     9,330       4,305,420  
 
Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014)
     0.04       136,060       3,793,920  
 
Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014)
     0.05       144,650       3,723,620  
 
Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014)
     0.02       55,240       3,740,720  
 
Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014)
     0.01       31,670       3,744,900  
 
Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014)
     0.00 **     5,710       3,739,960  
 
Live Cattle (118 contracts, settlement date June 30, 2014)
     0.01       44,040       6,108,860  
 
Live Cattle (117 contracts, settlement date April 30, 2014)
     0.06       187,100       6,332,040  
 
Live Cattle (118 contracts, settlement date February 28, 2014)
     0.10       335,300       6,354,300  
 
Natural Gas (91 contracts, settlement date May 28, 2014)
     0.12       397,390       3,743,740  
 
Natural Gas (91 contracts, settlement date April 28, 2014)
     0.13       412,180       3,726,450  
 
Natural Gas (91 contracts, settlement date March 27, 2014)
     0.11       362,890       3,735,550  
 
Natural Gas (90 contracts, settlement date February 26, 2014)
     0.12       383,380       3,773,700  
 
Natural Gas (90 contracts, settlement date January 29, 2014)
     0.12       395,000       3,807,000  
 
NY Harbor ULSD (30 contracts, settlement date May 30, 2014) ***
     0.06       205,317       3,810,996  
 
NY Harbor ULSD (30 contracts, settlement date April 30, 2014) ***
     0.07       207,673       3,822,714  
 
NY Harbor ULSD (29 contracts, settlement date March 31, 2014) ***
     0.04       116,840       3,706,983  
 
NY Harbor ULSD (29 contracts, settlement date February 28, 2014) ***
     0.03       102,001       3,719,528  
 
NY Harbor ULSD (29 contracts, settlement date January 31, 2014) ***
     0.04       113,904       3,733,414  
 
Platinum (137 contracts, settlement date July 29, 2014)
     (0.15 )     (490,930 )     9,430,395  
 
Platinum (137 contracts, settlement date April 28, 2014)
     (0.18 )     (574,305 )     9,410,530  
 
Silver (64 contracts, settlement date July 29, 2014)
     (0.18 )     (567,615 )     6,220,160  
 
Silver (65 contracts, settlement date May 28, 2014)
     (0.15 )     (490,235 )     6,306,625  
 
Silver (65 contracts, settlement date March 27, 2014)
     (0.15 )     (479,325 )     6,295,250  
 
Soybean (98 contracts, settlement date July 14, 2014)
     0.06       182,763       6,196,050  
 
Soybean (98 contracts, settlement date May 14, 2014)
     0.11       344,875       6,257,300  
 
Soybean (98 contracts, settlement date March 14, 2014)
     0.13       401,825       6,333,250  
 
Soybean Oil (266 contracts, settlement date July 14, 2014)
     (0.12 )     (397,332 )     6,361,656  
 
Soybean Oil (264 contracts, settlement date May 14, 2014)
     (0.15 )     (466,266 )     6,255,216  
 
Soybean Oil (264 contracts, settlement date March 14, 2014)
     (0.14 )     (450,534 )     6,198,192  
 
Sugar (338 contracts, settlement date June 30, 2014)
     (0.12 )     (385,806 )     6,333,309  
 
Sugar (338 contracts, settlement date April 30, 2014)
     (0.11 )     (337,557 )     6,268,954  
 
Sugar (339 contracts, settlement date February 28, 2014)
     (0.14 )     (462,112 )     6,230,549  
 
Wheat (205 contracts, settlement date July 14, 2014)
     (0.17 )     (549,650 )     6,321,687  
 
Wheat (205 contracts, settlement date May 14, 2014)
     (0.20 )     (627,613 )     6,273,000  
 
Wheat (205 contracts, settlement date March 14, 2014)
     (0.20 )     (627,788 )     6,203,812  
Net Unrealized Depreciation on Futures Contracts     (1.27 )%   $ (4,055,188 )   $ 319,612,065  
 
   
*
 Denotes less than 0.000% yet greater than (0.005)%
**
Denotes greater than 0.000% yet less than 0.005%
***
The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013
 
See accompanying notes to unaudited consolidated financial statements
 
5
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended March 31, 2014 and 2013
                 
    2014     2013  
Income
                
Interest Income
   $ 10,011     $ 84,009  
   
Expenses
                
Management fee to related party
     690,079       998,920  
Brokerage fees and expenses
     162,372       235,040  
Total expenses
     852,451       1,233,960  
Net Investment Loss
     (842,440 )     (1,149,951 )
   
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                
Realized Gain (Loss) on
                
Futures Contracts
     8,746,949       (4,444,555 )
Net Realized Gain (Loss)
     8,746,949       (4,444,555 )
Net Change in Unrealized Gain (Loss) on
                
Investments
     1,693       (6,287 )
Futures Contracts
     21,964,056       (4,240,161 )
Net Change in Unrealized Gain (Loss)
     21,965,749       (4,246,448 )
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
     30,712,698       (8,691,003 )
   
Net Gain (Loss)
   $ 29,870,258     $ (9,840,954 )
 
See accompanying notes to unaudited consolidated financial statements
 
6
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Three Months Ended March 31, 2014
                                                 
    General Units     Limited Units  
Total
  
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Accumulated
    
Shareholders’
    
Limited Units
    
Accumulated
    
Shareholders’
    
Shareholders’
  
   
Units
    
Amount
    
Deficit
    
Equity
    
Units
    
Amount
    
Deficit
    
Equity
    
Equity
  
                                                       
Balance at January 1, 2014
   50     $ 1,500     $ (215 )   $ 1,285       12,450,000     $ 364,838,413     $ (44,847,114 )   $ 319,991,299     $ 319,992,584  
Creation of Limited Units
   —       —       —       —       600,000       16,702,869       —       16,702,869       16,702,869  
Redemption of Limited Units
   —       —       —       —       (700,000 )     (18,382,307 )     —       (18,382,307 )     (18,382,307 )
Net Gain:
                                                                      
Net Investment Loss
   —       —       (4 )     (4 )     —       —       (842,436 )     (842,436 )     (842,440 )
Net Realized Gain on Investments and Futures Contracts
   —       —       36       36       —       —       8,746,913       8,746,913       8,746,949  
Net Change in Unrealized Gain on Investments and Futures Contracts
   —       —       93       93       —       —       21,965,656       21,965,656       21,965,749  
Net Gain
   —       —       125       125       —       —       29,870,133       29,870,133       29,870,258  
Balance at March 31, 2014
   50     $ 1,500     $ (90 )   $ 1,410       12,350,000     $ 363,158,975     $ (14,976,981 )   $ 348,181,994     $ 348,183,404  

See accompanying notes to unaudited consolidated financial statements
 
7
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Three Months Ended March 31, 2014 and 2013
 
   
2014
    
2013
  
   
Cash flow from operating activities:
            
Net Gain (Loss)
   $ 29,870,258     $ (9,840,954 )
Adjustments to reconcile net gain (loss) to net cash provided by operating activities:
                
Purchase of investment securities
     (199,987,096 )     (459,917,438 )
Proceeds from sales of investment securities
     200,000,000       470,000,000  
Net accretion of discount
     (10,011 )     (84,009 )
Unrealized (appreciation) depreciation on investments
     (21,965,749 )     4,246,448  
Increase (decrease) in accrued expenses
     98,574       (180,749 )
Net cash provided by operating activities
     8,005,976       4,223,298  
   
Cash flows from financing activities:
                
Proceeds from creation of Limited Units
     16,702,869       25,704,700  
Redemption of Limited Units
     (18,382,307 )     (10,105,170 )
Increase (decrease) in capital shares payable
     4,228,931       (4,327,722 )
Net cash provided by financing activities
     2,549,493       11,271,808  
   
Net change in cash
     10,555,469       15,495,106  
Cash held by broker at beginning of period
     124,417,599       22,210,626  
Cash held by broker at end of period
   $ 134,973,068     $ 37,705,732  
 
See accompanying notes to unaudited consolidated financial statements
 
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
March 31, 2014 (unaudited) and December 31, 2013
             
   
March 31, 2014
    
December 31,
  
   
(unaudited)
    
2013
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $199,993,472 and $199,996,365 as of March 31, 2014 and December 31, 2013, respectively)
   $ 199,997,600     $ 199,998,800  
Cash held by broker
     134,973,068       124,417,599  
Net unrealized appreciation (depreciation) on futures contracts
     17,908,868       (4,055,188 )
Total assets
   $ 352,879,536     $ 320,361,211  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ 4,228,931     $ —  
Management fee payable to related party
     253,628       241,143  
Accrued brokerage fees and expenses payable
     213,573       127,484  
Total liabilities
     4,696,132       368,627  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Accumulated deficit
     (90 )     (215 )
Total General Units
     1,410       1,285  
Limited Units:
                
Paid in capital - 12,350,000 and 12,450,000 redeemable shares issued and outstanding as of March 31, 2014 and December 31, 2013, respectively
     363,158,975       364,838,413  
Accumulated deficit
     (14,976,981 )     (44,847,114 )
                 
Total Limited Units
     348,181,994       319,991,299  
                 
Total shareholders’ equity
     348,183,404       319,992,584  
Total liabilities and shareholders’ equity
   $ 352,879,536     $ 320,361,211  
                 
Net asset value per share
                
                 
General Units
   $ 28.20     $ 25.70  
                 
Limited Units
   $ 28.19     $ 25.70  
 
See accompanying notes to unaudited consolidated financial statements
 
9
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
March 31, 2014
                     
     
Percentage
    
Fair
    
Face
  
Description  
of Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations                  
 
U.S. Treasury Bills, 0.05% due April 03, 2014
     14.36 %   $ 50,000,000     $ 50,000,000  
 
U.S. Treasury Bills, 0.06% due April 17, 2014
     14.36       49,999,500       50,000,000  
 
U.S. Treasury Bills, 0.02% due May 01, 2014
     14.36       49,999,200       50,000,000  
 
U.S. Treasury Bills, 0.05% due May 29, 2014
     14.36       49,998,900       50,000,000  
Total U.S. Treasury Obligations (cost $199,993,472)     57.44 %   $ 199,997,600     $ 200,000,000  
                           
     
Percentage
    
Fair
    
Notional
  
Description  
of Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts                        
 
Cocoa (229 contracts, settlement date September 15, 2014)
     0.01 %   $ 35,560     $ 6,817,330  
 
Cocoa (229 contracts, settlement date July 16, 2014)
     0.13       452,890       6,796,720  
 
Cocoa (230 contracts, settlement date May 14, 2014)
     0.13       444,960       6,796,500  
 
Coffee (101 contracts, settlement date September 18, 2014)
     0.26       916,631       6,895,144  
 
Coffee (101 contracts, settlement date July 21, 2014)
     0.47       1,624,800       6,817,500  
 
Coffee (101 contracts, settlement date May 19, 2014)
     0.42       1,474,481       6,737,963  
 
Copper (90 contracts, settlement date September 26, 2014)
     (0.11 )     (396,313 )     6,809,625  
 
Copper (90 contracts, settlement date July 29, 2014)
     (0.13 )     (442,050 )     6,799,500  
 
Copper (90 contracts, settlement date May 28, 2014)
     (0.14 )     (480,675 )     6,807,375  
 
Corn (271 contracts, settlement date September 12, 2014)
     0.18       632,625       6,802,100  
 
Corn (271 contracts, settlement date July 14, 2014)
     0.22       762,075       6,866,462  
 
Corn (271 contracts, settlement date May 14, 2014)
     0.14       471,538       6,802,100  
 
Cotton (219 contracts, settlement date July 09, 2014)
     0.28       980,725       10,243,725  
 
Cotton (219 contracts, settlement date May 07, 2014)
     0.21       740,715       10,240,440  
 
Gold (79 contracts, settlement date August 27, 2014)
     0.03       116,110       10,144,390  
 
Gold (80 contracts, settlement date June 26, 2014)
     (0.03 )     (102,420 )     10,270,400  
 
Lean Hogs (85 contracts, settlement date October 14, 2014)
     0.11       388,890       3,498,600  
 
Lean Hogs (85 contracts, settlement date August 14, 2014)
     0.23       819,120       4,201,550  
 
Lean Hogs (85 contracts, settlement date July 15, 2014)
     0.23       809,780       4,207,500  
 
Lean Hogs (84 contracts, settlement date June 13, 2014)
     0.23       806,800       4,273,080  
 
Lean Hogs (85 contracts, settlement date April 14, 2014)
     0.34       1,201,320       4,284,000  
 
Light, Sweet Crude Oil (41 contracts, settlement date August 20, 2014)
     0.02       83,870       4,017,590  
 
Light, Sweet Crude Oil (41 contracts, settlement date July 22, 2014)
     0.03       89,660       4,056,950  
 
Light, Sweet Crude Oil (41 contracts, settlement date June 20, 2014)
     0.09       303,000       4,095,900  
 
Light, Sweet Crude Oil (41 contracts, settlement date May 20, 2014)
     0.07       238,000       4,133,620  
 
Light, Sweet Crude Oil (41 contracts, settlement date April 22, 2014)
     0.07       236,110       4,164,780  
 
Live Cattle (124 contracts, settlement date October 31, 2014)
     0.06       212,920       6,886,960  
 
Live Cattle (125 contracts, settlement date August 29, 2014)
     0.08       283,560       6,727,500  
 
Live Cattle (124 contracts, settlement date June 30, 2014)
     0.11       393,510       6,820,000  
 
Natural Gas (93 contracts, settlement date August 27, 2014)
     (0.03 )     (110,150 )     4,110,600  
 
Natural Gas (92 contracts, settlement date July 29, 2014)
     (0.03 )     (115,510 )     4,086,640  
 
Natural Gas (92 contracts, settlement date June 26, 2014)
     0.06       215,110       4,088,480  
 
Natural Gas (93 contracts, settlement date May 28, 2014)
     0.10       342,220       4,095,720  
 
Natural Gas (93 contracts, settlement date April 28, 2014)
     0.09       312,790       4,065,030  
 
NY Harbor ULSD (34 contracts, settlement date August 29, 2014)*
     (0.01 )     (40,438 )     4,174,330  
 
NY Harbor ULSD (33 contracts, settlement date July 31, 2014)*
     (0.01 )     (43,126 )     4,051,694  
 
NY Harbor ULSD (34 contracts, settlement date June 30, 2014)*
     0.01       23,541       4,174,615  
 
NY Harbor ULSD (33 contracts, settlement date May 30, 2014)*
     0.02       56,444       4,052,941  
 
NY Harbor ULSD (33 contracts, settlement date April 30, 2014)*
     0.02       56,582       4,060,703  
 
Platinum (144 contracts, settlement date October 29, 2014)
     0.01       39,685       10,241,280  
 
Platinum (144 contracts, settlement date July 29, 2014)
     (0.01 )     (45,415 )     10,229,760  
 
Silver (69 contracts, settlement date September 26, 2014)
     (0.09 )     (295,360 )     6,836,865  
 
Silver (69 contracts, settlement date July 29, 2014)
     (0.10 )     (363,520 )     6,827,205  
 
Silver (69 contracts, settlement date May 28, 2014)
     (0.12 )     (404,560 )     6,814,440  
 
Soybean (96 contracts, settlement date August 14, 2014)
     0.17       603,563       6,532,800  
 
Soybean (96 contracts, settlement date July 14, 2014)
     0.22       776,250       6,861,600  
 
Soybean (96 contracts, settlement date May 14, 2014)
     0.24       830,875       7,027,200  
 
Soybean Oil (169 contracts, settlement date October 14, 2014)
     0.00 **     15,894       4,033,692  
 
Soybean Oil (169 contracts, settlement date September 12, 2014)
     0.01       30,120       4,080,336  
 
Soybean Oil (169 contracts, settlement date August 14, 2014)
     0.04       138,228       4,106,700  
 
Soybean Oil (170 contracts, settlement date July 14, 2014)
     (0.03 )     (112,236 )     4,144,260  
 
Soybean Oil (169 contracts, settlement date May 14, 2014)
     (0.02 )     (84,510 )     4,098,588  
 
Sugar (335 contracts, settlement date September 30, 2014)
     0.18       616,392       6,959,960  
 
Sugar (335 contracts, settlement date June 30, 2014)
     0.08       274,310       6,802,376  
 
Sugar (335 contracts, settlement date April 30, 2014)
     0.06       205,621       6,667,304  
 
Wheat (194 contracts, settlement date September 12, 2014)
     0.26       909,600       6,874,875  
 
Wheat (194 contracts, settlement date July 14, 2014)
     0.15       527,388       6,804,550  
 
Wheat (195 contracts, settlement date May 14, 2014)
     0.13       450,888       6,798,187  
Net Unrealized Appreciation on Futures Contracts     5.14 %   $ 17,908,868     $ 347,718,035  
 
*
 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, 2013
                     
     
Percentage
    
Fair
    
Face
  
Description  
of Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations                  
 
U.S. Treasury Bills, 0.01% due January 16, 2014
     15.62 %   $ 49,999,850     $ 50,000,000  
 
U.S. Treasury Bills, 0.01% due January 23, 2014
     46.88       149,998,950       150,000,000  
Total U.S. Treasury Obligations (cost $199,996,365)     62.50 %   $ 199,998,800     $ 200,000,000  
                           
                           
     
Percentage
    
Fair
    
Notional
  
Description  
of Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts                        
 
Cocoa (231 contracts, settlement date July 16, 2014)
     0.01 %   $ 35,760     $ 6,292,440  
 
Cocoa (231 contracts, settlement date May 14, 2014)
     0.13       411,440       6,273,960  
 
Cocoa (231 contracts, settlement date March 14, 2014)
     0.12       381,180       6,257,790  
 
Coffee (148 contracts, settlement date July 21, 2014)
     0.07       216,881       6,388,050  
 
Coffee (148 contracts, settlement date May 19, 2014)
     (0.17 )     (536,812 )     6,268,725  
 
Coffee (148 contracts, settlement date March 19, 2014)
     (0.17 )     (545,550 )     6,143,850  
 
Copper (74 contracts, settlement date July 29, 2014)
     0.06       200,375       6,240,975  
 
Copper (74 contracts, settlement date May 28, 2014)
     0.07       207,963       6,262,250  
 
Copper (74 contracts, settlement date March 27, 2014)
     0.08       240,550       6,283,525  
 
Corn (292 contracts, settlement date July 14, 2014)
     (0.05 )     (170,225 )     6,380,200  
 
Corn (292 contracts, settlement date May 14, 2014)
     (0.19 )     (618,075 )     6,281,650  
 
Corn (292 contracts, settlement date March 14, 2014)
     (0.20 )     (625,900 )     6,161,200  
 
Cotton (149 contracts, settlement date July 09, 2014)
     0.09       301,180       6,256,510  
 
Cotton (149 contracts, settlement date May 07, 2014)
     0.00 *     (10,605 )     6,287,800  
 
Cotton (148 contracts, settlement date March 07, 2014)
     (0.02 )     (59,930 )     6,263,360  
 
Gold (52 contracts, settlement date June 26, 2014)
     (0.15 )     (487,650 )     6,258,720  
 
Gold (52 contracts, settlement date April 28, 2014)
     (0.15 )     (482,440 )     6,255,600  
 
Gold (52 contracts, settlement date February 26, 2014)
     (0.17 )     (529,510 )     6,251,960  
 
Lean Hogs (125 contracts, settlement date July 15, 2014)
     0.02       72,180       4,942,500  
 
Lean Hogs (125 contracts, settlement date June 13, 2014)
     0.01       46,480       5,007,500  
 
Lean Hogs (125 contracts, settlement date April 14, 2014)
     0.07       229,450       4,533,750  
 
Lean Hogs (126 contracts, settlement date February 14, 2014)
     0.00 **     9,330       4,305,420  
 
Light, Sweet Crude Oil (39 contracts, settlement date May 20, 2014)
     0.04       136,060       3,793,920  
 
Light, Sweet Crude Oil (38 contracts, settlement date April 22, 2014)
     0.05       144,650       3,723,620  
 
Light, Sweet Crude Oil (38 contracts, settlement date March 20, 2014)
     0.02       55,240       3,740,720  
 
Light, Sweet Crude Oil (38 contracts, settlement date February 20, 2014)
     0.01       31,670       3,744,900  
 
Light, Sweet Crude Oil (38 contracts, settlement date January 21, 2014)
     0.00 **     5,710       3,739,960  
 
Live Cattle (118 contracts, settlement date June 30, 2014)
     0.01       44,040       6,108,860  
 
Live Cattle (117 contracts, settlement date April 30, 2014)
     0.06       187,100       6,332,040  
 
Live Cattle (118 contracts, settlement date February 28, 2014)
     0.10       335,300       6,354,300  
 
Natural Gas (91 contracts, settlement date May 28, 2014)
     0.12       397,390       3,743,740  
 
Natural Gas (91 contracts, settlement date April 28, 2014)
     0.13       412,180       3,726,450  
 
Natural Gas (91 contracts, settlement date March 27, 2014)
     0.11       362,890       3,735,550  
 
Natural Gas (90 contracts, settlement date February 26, 2014)
     0.12       383,380       3,773,700  
 
Natural Gas (90 contracts, settlement date January 29, 2014)
     0.12       395,000       3,807,000  
 
NY Harbor ULSD (30 contracts, settlement date May 30, 2014) ***
     0.06       205,317       3,810,996  
 
NY Harbor ULSD (30 contracts, settlement date April 30, 2014) ***
     0.07       207,673       3,822,714  
 
NY Harbor ULSD (29 contracts, settlement date March 31, 2014) ***
     0.04       116,840       3,706,983  
 
NY Harbor ULSD (29 contracts, settlement date February 28, 2014) ***
     0.03       102,001       3,719,528  
 
NY Harbor ULSD (29 contracts, settlement date January 31, 2014) ***
     0.04       113,904       3,733,414  
 
Platinum (137 contracts, settlement date July 29, 2014)
     (0.15 )     (490,930 )     9,430,395  
 
Platinum (137 contracts, settlement date April 28, 2014)
     (0.18 )     (574,305 )     9,410,530  
 
Silver (64 contracts, settlement date July 29, 2014)
     (0.18 )     (567,615 )     6,220,160  
 
Silver (65 contracts, settlement date May 28, 2014)
     (0.15 )     (490,235 )     6,306,625  
 
Silver (65 contracts, settlement date March 27, 2014)
     (0.15 )     (479,325 )     6,295,250  
 
Soybean (98 contracts, settlement date July 14, 2014)
     0.06       182,763       6,196,050  
 
Soybean (98 contracts, settlement date May 14, 2014)
     0.11       344,875       6,257,300  
 
Soybean (98 contracts, settlement date March 14, 2014)
     0.13       401,825       6,333,250  
 
Soybean Oil (266 contracts, settlement date July 14, 2014)
     (0.12 )     (397,332 )     6,361,656  
 
Soybean Oil (264 contracts, settlement date May 14, 2014)
     (0.15 )     (466,266 )     6,255,216  
 
Soybean Oil (264 contracts, settlement date March 14, 2014)
     (0.14 )     (450,534 )     6,198,192  
 
Sugar (338 contracts, settlement date June 30, 2014)
     (0.12 )     (385,806 )     6,333,309  
 
Sugar (338 contracts, settlement date April 30, 2014)
     (0.11 )     (337,557 )     6,268,954  
 
Sugar (339 contracts, settlement date February 28, 2014)
     (0.14 )     (462,112 )     6,230,549  
 
Wheat (205 contracts, settlement date July 14, 2014)
     (0.17 )     (549,650 )     6,321,687  
 
Wheat (205 contracts, settlement date May 14, 2014)
     (0.20 )     (627,613 )     6,273,000  
 
Wheat (205 contracts, settlement date March 14, 2014)
     (0.20 )     (627,788 )     6,203,812  
Net Unrealized Depreciation on Futures Contracts     (1.27 )%   $ (4,055,188 )   $ 319,612,065  

*
Denotes less than 0.000% yet greater than (0.005)%
**
Denotes greater than 0.000% yet less than 0.005%
***
The CME Group changed specifications and the name of Heating Oil futures to ‘NY Harbor ULSD’ in May 2013

See accompanying notes to unaudited consolidated financial statements
 
11
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statements of Income and Expenses
For the Three Months Ended March 31, 2014 and 2013
 
   
2014
    
2013
  
Income
            
Interest Income
   $ 10,011     $ 84,009  
   
Expenses
                
Management fee to related party
     690,079       998,920  
Brokerage fees and expenses
     162,372       235,040  
Total expenses
     852,451       1,233,960  
Net Investment Loss
     (842,440 )     (1,149,951 )
   
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                
Realized Gain (Loss) on
                
Futures Contracts
     8,746,949       (4,444,555 )
Net Realized Gain (Loss)
     8,746,949       (4,444,555 )
Net Change in Unrealized Gain (Loss) on
                
Investments
     1,693       (6,287 )
Futures Contracts
     21,964,056       (4,240,161 )
Net Change in Unrealized Gain (Loss)
     21,965,749       (4,246,448 )
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
     30,712,698       (8,691,003 )
   
Net Gain (Loss)
   $ 29,870,258     $ (9,840,954 )
   
See accompanying notes to unaudited consolidated financial statements
 
12
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Three Months Ended March 31, 2014
                                                 
    General Units       Limited Units    
Total
  
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Accumulated
    
Shareholders’
    
Limited Units
    
Accumulated
    
Shareholders’
    
Shareholders’
  
   
Units
    
Amount
    
Deficit
    
Equity
    
Units
    
Amount
    
Deficit
    
Equity
    
Equity