UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
     
þ
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 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 June 30, 2014: 12,900,000 Limited Shares.
 
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED JUNE 30, 2014
       
PART 1. FINANCIAL INFORMATION
 
 
       
 
ITEM 1. FINANCIAL STATEMENTS
 
       
 
GreenHaven Continuous Commodity Index Fund Financial Statements
 
 
Consolidated Statements of Financial Condition at June 30, 2014 (unaudited) and December 31, 2013
3
 
Unaudited Consolidated Schedule of Investments at June 30, 2014
4
 
Consolidated Schedule of Investments at December 31, 2013
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended June 30, 2014 and 2013 and Six Months Ended June 30, 2014 and 2013
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2014
7
 
Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2014 and 2013
8
       
 
GreenHaven Continuous Commodity Index Master Fund Financial Statements
 
 
Statements of Financial Condition at June 30, 2014 (unaudited) and December 31, 2013
9
 
Unaudited Schedule of Investments at June 30, 2014
10
 
Schedule of Investments at December 31, 2013
11
 
Unaudited Statements of Income and Expenses for the Three Months Ended June 30, 2014 and 2013 and Six Months Ended June 30, 2014 and 2013
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2014
13
 
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2014 and 2013
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
   
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
June 30, 2014 (unaudited) and December 31, 2013
 
   
June 30, 2014
(unaudited)
   
December 31, 2013
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $228,489,258  and $199,996,365 as of June 30, 2014 and December 31, 2013, respectively)
  $ 228,492,300     $ 199,998,800  
Cash held by broker
    131,960,877       124,417,599  
Net unrealized depreciation on futures contracts
    (99,062 )     (4,055,188 )
Total assets
  $ 360,354,115     $ 320,361,211  
   
Liabilities and shareholders’ equity
               
Management fee payable to related party
  $ 248,407     $ 241,143  
Accrued brokerage fees and expenses payable
    127,379       127,484  
Total liabilities
    375,786       368,627  
   
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (105 )     (215 )
Total General Units
    1,395       1,285  
Limited Units:
               
Paid in capital - 12,900,000 and 12,450,000 redeemable shares issued and outstanding as of June 30, 2014 and December 31, 2013, respectively
    378,763,913       364,838,413  
Accumulated deficit
    (18,786,979 )     (44,847,114 )
 
Total Limited Units
    359,976,934       319,991,299  
 
Total shareholders’ equity
    359,978,329       319,992,584  
Total liabilities and shareholders’ equity
  $ 360,354,115     $ 320,361,211  
   
Net asset value per share
               
   
General Units
  $ 27.90     $ 25.70  
   
Limited Units
  $ 27.91     $ 25.70  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
June 30, 2014

Description
 
Percentage
of Net Assets
   
Fair
 Value
   
Face
 Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.03% due July 10, 2014
    21.80 %   $ 78,495,000     $ 78,495,000  
U.S. Treasury Bills, 0.03% due August 07, 2014
    13.89       49,999,950       50,000,000  
U.S. Treasury Bills, 0.03% due August 21, 2014
    13.89       49,998,650       50,000,000  
U.S. Treasury Bills, 0.03% due August 28, 2014
    13.89       49,998,700       50,000,000  
Total U.S. Treasury Obligations (cost $228,489,258)
    63.47 %   $ 228,492,300     $ 228,495,000  
                   
Description
 
Percentage
of Net Assets
   
Fair
 Value
   
Notional
 Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (339 contracts, settlement date December 15, 2014)
    0.08 %   $ 287,300     $ 10,593,750  
Cocoa (339 contracts, settlement date September 15, 2014)
    0.10       377,340       10,600,530  
Coffee (159 contracts, settlement date December 18, 2014)
    (0.18 )     (650,775 )     10,654,987  
Coffee (160 contracts, settlement date September 18, 2014)
    (0.09 )     (316,556 )     10,506,000  
Copper (132 contracts, settlement date December 29, 2014)
    0.15       544,875       10,563,300  
Copper (132 contracts, settlement date September 26, 2014)
    0.07       268,413       10,571,550  
Corn (502 contracts, settlement date December 12, 2014)
    (0.36 )     (1,307,263 )     10,673,775  
Corn (501 contracts, settlement date September 12, 2014)
    (0.24 )     (880,200 )     10,489,687  
Cotton (286 contracts, settlement date March 09, 2015)
    (0.12 )     (449,905 )     10,717,850  
Cotton (285 contracts, settlement date December 08, 2014)
    (0.26 )     (927,080 )     10,475,175  
Gold (80 contracts, settlement date February 25, 2015)
    0.13       451,200       10,585,600  
Gold (80 contracts, settlement date December 29, 2014)
    0.03       112,900       10,582,400  
Lean Hogs (121 contracts, settlement date February 13, 2015)
    (0.01 )     (33,270 )     4,421,340  
Lean Hogs (121 contracts, settlement date December 12, 2014)
    0.09       338,500       4,772,240  
Lean Hogs (121 contracts, settlement date October 14, 2014)
    0.20       707,540       5,512,760  
Lean Hogs (121 contracts, settlement date August 14, 2014)
    0.27       972,130       6,428,730  
Light, Sweet Crude Oil (41 contracts, settlement date December 19, 2014)
    0.02       84,700       4,157,400  
Light, Sweet Crude Oil (41 contracts, settlement date November 20, 2014)
    0.02       74,910       4,189,380  
Light, Sweet Crude Oil (41 contracts, settlement date October 21, 2014)
    0.07       237,420       4,222,180  
Light, Sweet Crude Oil (41 contracts, settlement date September 22, 2014)
    0.06       233,310       4,257,850  
Light, Sweet Crude Oil (41 contracts, settlement date August 20, 2014)
    0.09       311,440       4,293,930  
Live Cattle (115 contracts, settlement date February 27, 2015)
    0.03       104,520       7,070,200  
Live Cattle (115 contracts, settlement date December 31, 2014)
    0.17       596,060       7,071,350  
Live Cattle (114 contracts, settlement date October 31, 2014)
    0.22       778,370       6,982,500  
Natural Gas (94 contracts, settlement date December 29, 2014)
    (0.05 )     (168,700 )     4,311,780  
Natural Gas (94 contracts, settlement date November 25, 2014)
    (0.05 )     (166,330 )     4,260,080  
Natural Gas (94 contracts, settlement date October 29, 2014)
    (0.04 )     (160,600 )     4,196,160  
Natural Gas (94 contracts, settlement date September 26, 2014)
    (0.04 )     (149,250 )     4,167,960  
Natural Gas (94 contracts, settlement date August 27, 2014)
    (0.02 )     (86,810 )     4,173,600  
NY Harbor ULSD (33 contracts, settlement date December 31, 2014)
    0.02       79,443       4,175,464  
NY Harbor ULSD (33 contracts, settlement date November 28, 2014)
    0.02       70,808       4,170,613  
NY Harbor ULSD (34 contracts, settlement date October 31, 2014)
    0.03       105,315       4,289,141  
NY Harbor ULSD (34 contracts, settlement date September 30, 2014)
    0.02       86,045       4,276,574  
NY Harbor ULSD (34 contracts, settlement date August 29, 2014)
    0.01       43,420       4,263,294  
Platinum (143 contracts, settlement date January 28, 2015)
    0.05       166,430       10,605,595  
Platinum (142 contracts, settlement date October 29, 2014)
    0.11       402,020       10,528,590  
Silver (100 contracts, settlement date December 29, 2014)
    0.19       682,800       10,557,500  
Silver (101 contracts, settlement date September 26, 2014)
    0.13       471,920       10,633,280  
Soybean (182 contracts, settlement date January 14, 2015)
    (0.17 )     (596,213 )     10,592,400  
Soybean (182 contracts, settlement date November 14, 2014)
    (0.16 )     (576,625 )     10,530,975  
Soybean Oil (225 contracts, settlement date January 14, 2015)
    0.00 *     15,108       5,302,800  
Soybean Oil (225 contracts, settlement date December 12, 2014)
    (0.06 )     (226,800 )     5,285,250  
Soybean Oil (226 contracts, settlement date October 14, 2014)
    (0.03 )     (101,772 )     5,291,112  
Soybean Oil (226 contracts, settlement date September 12, 2014)
    (0.04 )     (139,914 )     5,293,824  
Sugar (508 contracts, settlement date February 27, 2015)
    0.08       271,510       10,935,411  
Sugar (508 contracts, settlement date September 30, 2014)
    0.04       161,504       10,246,970  
Wheat (360 contracts, settlement date December 12, 2014)
    (0.37 )     (1,324,175 )     10,768,500  
Wheat (360 contracts, settlement date September 12, 2014)
    (0.24 )     (874,075 )     10,395,000  
Net Unrealized Depreciation on Futures Contracts
    (0.03 )%   $ (99,062 )   $ 359,646,337  
 
*
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 Statements of Income and Expenses
For the Three Months Ended June 30, 2014 and 2013
and Six Months Ended June 30, 2014 and 2013
 
   
Three Months Ended
   
Three Months Ended
   
Six Months
Ended
   
Six Months
Ended
 
   
June 30, 2014
   
June 30, 2013
   
June 30, 2014
   
June 30, 2013
 
   
Income
                       
Interest Income
  $ 15,419     $ 61,443     $ 25,430     $ 145,452  
   
Expenses
                               
Management fee to related party
    755,603       949,009       1,445,682       1,947,929  
Brokerage fees and expenses
    177,789       223,297       340,161       458,337  
Total expenses
    933,392       1,172,306       1,785,843       2,406,266  
Net Investment Loss
    (917,973 )     (1,110,863 )     (1,760,413 )     (2,260,814 )
   
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
    -       1,390       -       1,390  
Futures Contracts
    15,116,976       (27,057,865 )     23,863,925       (31,502,420 )
Net Realized Gain (Loss)
    15,116,976       (27,056,475 )     23,863,925       (31,501,030 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (1,086 )     (4,742 )     607       (11,029 )
Futures Contracts
    (18,007,930 )     (12,301,227 )     3,956,126       (16,541,388 )
Net Change in Unrealized Gain (Loss)
    (18,009,016 )     (12,305,969 )     3,956,733       (16,552,417 )
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (2,892,040 )     (39,362,444 )     27,820,658       (48,053,447 )
   
Net Gain (Loss)
  $ (3,810,013 )   $ (40,473,307 )   $ 26,060,245     $ (50,314,261 )
 
See accompanying notes to unaudited consolidated financial statements
 
6
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2014
 
   
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, 2014
    50     $ 1,500     $ (215 )   $ 1,285       12,450,000     $ 364,838,413     $ (44,847,114 )   $ 319,991,299     $ 319,992,584  
 Creation of Limited Units
                            1,300,000       36,461,802             36,461,802       36,461,802  
 Redemption of Limited Units
                            (850,000 )     (22,536,302 )           (22,536,302 )     (22,536,302 )
Net Gain:
                                                                       
Net Investment Loss
                (7 )     (7 )                 (1,760,406 )     (1,760,406 )     (1,760,413 )
Net Realized Gain on Investments and Futures Contracts
                96       96                   23,863,829       23,863,829       23,863,925  
Net Change in Unrealized Gain on Investments and Futures Contracts
                21       21                   3,956,712       3,956,712       3,956,733  
 Net Activity
                110       110       450,000       13,925,500       26,060,135       39,985,635       39,985,745  
 Balance at June 30, 2014
    50     $ 1,500     $ (105 )   $ 1,395       12,900,000     $ 378,763,913     $ (18,786,979 )   $ 359,976,934     $ 359,978,329  
 
See accompanying notes to unaudited consolidated financial statements
 
7
 

 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2014 and 2013
 
   
2014
   
2013
 
   
Cash flow from operating activities:
           
Net Gain (Loss)
  $ 26,060,245     $ (50,314,261 )
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
               
Purchase of investment securities
    (428,467,463 )     (904,864,341 )
Proceeds from sales of investment securities
    400,000,000       974,999,064  
Net accretion of discount
    (25,430 )     (145,452 )
Net realized gain on investment securities
    -       (1,390 )
Unrealized depreciation (appreciation) on investments
    (3,956,733 )     16,552,417  
Increase (decrease) in accrued expenses
    7,159       (277,314 )
Net cash provided by (used for) operating activities
    (6,382,222 )     35,948,723  
   
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    36,461,802       25,704,701  
Redemption of Limited Units
    (22,536,302 )     (45,510,017 )
Decrease in capital shares payable
    -       (4,327,722 )
Net cash provided by (used for) financing activities
    13,925,500       (24,133,038 )
   
Net change in cash
    7,543,278       11,815,685  
Cash held by broker at beginning of period
    124,417,599       22,210,626  
Cash held by broker at end of period
  $ 131,960,877     $ 34,026,311  
 
See accompanying notes to unaudited consolidated financial statements
 
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
June 30, 2014 (unaudited) and December 31, 2013
 
   
June 30, 2014
(unaudited)
   
December 31,
2013
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $228,489,258  and $199,996,365 as of June 30, 2014 and December 31, 2013, respectively)
  $ 228,492,300     $ 199,998,800  
Cash held by broker
    131,960,877       124,417,599  
Net unrealized depreciation on futures contracts
    (99,062 )     (4,055,188 )
Total assets
  $ 360,354,115     $ 320,361,211  
   
Liabilities and shareholders’ equity
               
Management fee payable to related party
  $ 248,407     $ 241,143  
Accrued brokerage fees and expenses payable
    127,379       127,484  
Total liabilities
    375,786       368,627  
   
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (105 )     (215 )
Total General Units
    1,395       1,285  
Limited Units:
               
Paid in capital - 12,900,000 and 12,450,000 redeemable shares issued and outstanding as of June 30, 2014 and December 31, 2013, respectively
    378,763,913       364,838,413  
Accumulated deficit
    (18,786,979 )     (44,847,114 )
 
Total Limited Units
    359,976,934       319,991,299  
 
Total shareholders’ equity
    359,978,329       319,992,584  
Total liabilities and shareholders’ equity
  $ 360,354,115     $ 320,361,211  
   
Net asset value per share
               
   
General Units
  $ 27.90     $ 25.70  
   
Limited Units
  $ 27.91     $ 25.70  
 
See accompanying notes to unaudited consolidated financial statements
 
9
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
June 30, 2014
                         
Description
   
Percentage
of Net Assets
     
Fair
 Value
     
Face
 Value
 
U.S. Treasury Obligations
                       
U.S. Treasury Bills, 0.03% due July 10, 2014
    21.80 %   $ 78,495,000     $ 78,495,000  
U.S. Treasury Bills, 0.03% due August 07, 2014
    13.89       49,999,950       50,000,000  
U.S. Treasury Bills, 0.03% due August 21, 2014
    13.89       49,998,650       50,000,000  
U.S. Treasury Bills, 0.03% due August 28, 2014
    13.89       49,998,700       50,000,000  
Total U.S. Treasury Obligations (cost $228,489,258)
    63.47 %   $ 228,492,300     $ 228,495,000  
 
Description
 
Percentage
of Net Assets
   
Fair
 Value
   
Notional
 Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                 
Cocoa (339 contracts, settlement date December 15, 2014)
    0.08 %   $ 287,300     $ 10,593,750  
Cocoa (339 contracts, settlement date September 15, 2014)
    0.10       377,340       10,600,530  
Coffee (159 contracts, settlement date December 18, 2014)
    (0.18 )     (650,775 )     10,654,987  
Coffee (160 contracts, settlement date September 18, 2014)
    (0.09 )     (316,556 )     10,506,000  
Copper (132 contracts, settlement date December 29, 2014)
    0.15       544,875       10,563,300  
Copper (132 contracts, settlement date September 26, 2014)
    0.07       268,413       10,571,550  
Corn (502 contracts, settlement date December 12, 2014)
    (0.36 )     (1,307,263 )     10,673,775  
Corn (501 contracts, settlement date September 12, 2014)
    (0.24 )     (880,200 )     10,489,687  
Cotton (286 contracts, settlement date March 09, 2015)
    (0.12 )     (449,905 )     10,717,850  
Cotton (285 contracts, settlement date December 08, 2014)
    (0.26 )     (927,080 )     10,475,175  
Gold (80 contracts, settlement date February 25, 2015)
    0.13       451,200       10,585,600  
Gold (80 contracts, settlement date December 29, 2014)
    0.03       112,900       10,582,400  
Lean Hogs (121 contracts, settlement date February 13, 2015)
    (0.01 )     (33,270 )     4,421,340  
Lean Hogs (121 contracts, settlement date December 12, 2014)
    0.09       338,500       4,772,240  
Lean Hogs (121 contracts, settlement date October 14, 2014)
    0.20       707,540       5,512,760  
Lean Hogs (121 contracts, settlement date August 14, 2014)
    0.27       972,130       6,428,730  
Light, Sweet Crude Oil (41 contracts, settlement date December 19, 2014)
    0.02       84,700       4,157,400  
Light, Sweet Crude Oil (41 contracts, settlement date November 20, 2014)
    0.02       74,910       4,189,380  
Light, Sweet Crude Oil (41 contracts, settlement date October 21, 2014)
    0.07       237,420       4,222,180  
Light, Sweet Crude Oil (41 contracts, settlement date September 22, 2014)
    0.06       233,310       4,257,850  
Light, Sweet Crude Oil (41 contracts, settlement date August 20, 2014)
    0.09       311,440       4,293,930  
Live Cattle (115 contracts, settlement date February 27, 2015)
    0.03       104,520       7,070,200  
Live Cattle (115 contracts, settlement date December 31, 2014)
    0.17       596,060       7,071,350  
Live Cattle (114 contracts, settlement date October 31, 2014)
    0.22       778,370       6,982,500  
Natural Gas (94 contracts, settlement date December 29, 2014)
    (0.05 )     (168,700 )     4,311,780  
Natural Gas (94 contracts, settlement date November 25, 2014)
    (0.05 )     (166,330 )     4,260,080  
Natural Gas (94 contracts, settlement date October 29, 2014)
    (0.04 )     (160,600 )     4,196,160  
Natural Gas (94 contracts, settlement date September 26, 2014)
    (0.04 )     (149,250 )     4,167,960  
Natural Gas (94 contracts, settlement date August 27, 2014)
    (0.02 )     (86,810 )     4,173,600  
NY Harbor ULSD (33 contracts, settlement date December 31, 2014)
    0.02       79,443       4,175,464  
NY Harbor ULSD (33 contracts, settlement date November 28, 2014)
    0.02       70,808       4,170,613  
NY Harbor ULSD (34 contracts, settlement date October 31, 2014)
    0.03       105,315       4,289,141  
NY Harbor ULSD (34 contracts, settlement date September 30, 2014)
    0.02       86,045       4,276,574  
NY Harbor ULSD (34 contracts, settlement date August 29, 2014)
    0.01       43,420       4,263,294  
Platinum (143 contracts, settlement date January 28, 2015)
    0.05       166,430       10,605,595  
Platinum (142 contracts, settlement date October 29, 2014)
    0.11       402,020       10,528,590  
Silver (100 contracts, settlement date December 29, 2014)
    0.19       682,800       10,557,500  
Silver (101 contracts, settlement date September 26, 2014)
    0.13       471,920       10,633,280  
Soybean (182 contracts, settlement date January 14, 2015)
    (0.17 )     (596,213 )     10,592,400  
Soybean (182 contracts, settlement date November 14, 2014)
    (0.16 )     (576,625 )     10,530,975  
Soybean Oil (225 contracts, settlement date January 14, 2015)
    0.00 *     15,108       5,302,800  
Soybean Oil (225 contracts, settlement date December 12, 2014)
    (0.06 )     (226,800 )     5,285,250  
Soybean Oil (226 contracts, settlement date October 14, 2014)
    (0.03 )     (101,772 )     5,291,112  
Soybean Oil (226 contracts, settlement date September 12, 2014)
    (0.04 )     (139,914 )     5,293,824  
Sugar (508 contracts, settlement date February 27, 2015)
    0.08       271,510       10,935,411  
Sugar (508 contracts, settlement date September 30, 2014)
    0.04       161,504       10,246,970  
Wheat (360 contracts, settlement date December 12, 2014)
    (0.37 )     (1,324,175 )     10,768,500  
Wheat (360 contracts, settlement date September 12, 2014)
    (0.24 )     (874,075 )     10,395,000  
Net Unrealized Depreciation on Futures Contracts
    (0.03 )%   $ (99,062 )   $ 359,646,337  
 
*
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
 
Description
 
Percentage
of Net Assets
   
Fair
Value
   
Face
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  
 
Description
 
Percentage
of Net Assets
   
Fair
Value
   
Notional
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 June 30, 2014 and 2013
and Six Months Ended June 30, 2014 and 2013
 
   
Three Months
Ended
   
Three Months
Ended
   
Six Months
Ended
   
Six Months
Ended
 
   
June 30, 2014
   
June 30, 2013
   
June 30, 2014
   
June 30, 2013
 
   
Income
                       
Interest Income
  $ 15,419     $ 61,443     $ 25,430     $ 145,452  
   
Expenses
                               
Management fee to related party
    755,603       949,009       1,445,682       1,947,929  
Brokerage fees and expenses
    177,789       223,297       340,161       458,337  
Total expenses
    933,392       1,172,306       1,785,843       2,406,266  
Net Investment Loss
    (917,973 )     (1,110,863 )     (1,760,413 )     (2,260,814 )
   
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
    -       1,390       -       1,390  
Futures Contracts
    15,116,976       (27,057,865 )     23,863,925       (31,502,420 )
Net Realized Gain (Loss)
    15,116,976       (27,056,475 )     23,863,925       (31,501,030 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (1,086 )     (4,742 )     607       (11,029 )
Futures Contracts
    (18,007,930 )     (12,301,227 )     3,956,126       (16,541,388 )
Net Change in Unrealized Gain (Loss)
    (18,009,016 )     (12,305,969 )     3,956,733       (16,552,417 )
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (2,892,040 )     (39,362,444 )     27,820,658       (48,053,447 )
   
Net Gain (Loss)
  $ (3,810,013 )   $ (40,473,307 )   $ 26,060,245     $ (50,314,261 )
 
See accompanying notes to unaudited consolidated financial statements
 
12
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2014
 
   
General Units
   
Limited Units
  Total  
                            Total                             Total        
                            General                             Limited     Total  
    General Units     Accumulated     Shareholders’     Limited Units     Accumulated     Shareholders’     Shareholders’  
    Units     Amount     Deficit     Equity     Units     Amount     Deficit     Equity     Equity  
Balance at January 1, 2014
    50     $ 1,500     $ (215 )   $ 1,285       12,450,000     $ 364,838,413     $ (44,847,114 )   $ 319,991,299     $ 319,992,584  
Creation of Limited Units
                            1,300,000       36,461,802             36,461,802       36,461,802  
Redemption of Limited Units
                            (850,000 )     (22,536,302 )           (22,536,302 )     (22,536,302 )
Net Gain:
         
Net Investment Loss
                (7 )     (7 )                 (1,760,406 )     (1,760,406 )     (1,760,413 )
Net Realized Gain on Investments and Futures Contracts
                96       96                   23,863,829       23,863,829       23,863,925  
Net Change in Unrealized Gain on Investments and Futures Contracts
                21       21                   3,956,712       3,956,712       3,956,733  
Net Activity
                110       110       450,000       13,925,500       26,060,135       39,985,635       39,985,745  
Balance at June 30, 2014
    50     $ 1,500     $ (105 )   $ 1,395       12,900,000     $ 378,763,913     $ (18,786,979 )   $ 359,976,934     $ 359,978,329  
 
See accompanying notes to unaudited consolidated financial statements
 
13
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statements of Cash Flows
For the Six Months Ended June 30, 2014 and 2013
 
   
2014
   
2013
 
   
Cash flow from operating activities:
           
Net Gain (Loss)
  $ 26,060,245     $ (50,314,261 )
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
               
Purchase of investment securities
    (428,467,463 )     (904,864,341 )
Proceeds from sales of investment securities
    400,000,000       974,999,064  
Net accretion of discount
    (25,430 )     (145,452 )
Net realized gain on investment securities
    -       (1,390 )
Unrealized depreciation (appreciation) on investments
    (3,956,733 )     16,552,417  
Increase (decrease) in accrued expenses
    7,159       (277,314 )
Net cash provided by (used for) operating activities
    (6,382,222 )     35,948,723  
   
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    36,461,802       25,704,701  
Redemption of Limited Units
    (22,536,302 )     (45,510,017 )
Decrease in capital shares payable