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, 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 September 30, 2014: 12,950,000 Limited Shares.
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED SEPTEMBER 30, 2014
       
PART 1. FINANCIAL INFORMATION  
       
 
ITEM 1. FINANCIAL STATEMENTS
 
       
 
Greenhaven Continuous Commodity Index Fund Financial Statements
   
  Consolidated Statements of Financial Condition at September 30, 2014 (unaudited) and December 31, 2013  
3
 
Unaudited Consolidated Schedule of Investments at September 30, 2014
 
4
 
Consolidated Schedule of Investments at December 31, 2013
 
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended September 30, 2014 and 2013 and Nine Months Ended September 30, 2014 and 2013
 
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2014
  7
 
Unaudited Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2014 and 2013
  8
       
 
Greenhaven Continuous Commodity Index Master Fund Financial Statements
   
 
Statements of Financial Condition at September 30, 2014 (unaudited) and December 31, 2013
 
9
 
Unaudited Schedule of Investments at September 30, 2014
 
10
 
Schedule of Investments at December 31, 2013
 
11
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended September 30, 2014 and 2013 and Nine Months Ended September 30, 2014 and 2013
 
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2014
 
13
 
Unaudited Statements of Cash Flows for the Nine Months Ended September 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
September 30, 2014 (unaudited) and December 31, 2013
             
   
September 30,
       
   
2014
 
December 31,
 
   
(unaudited)
   
2013
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $99,996,305 and $199,996,365 as of September 30, 2014 and December 31, 2013, respectively)
  $ 99,998,500     $ 199,998,800  
Cash held by broker
    247,825,537       124,417,599  
Net unrealized depreciation on futures contracts
    (26,493,168 )     (4,055,188 )
Total assets
  $ 321,330,869     $ 320,361,211  
                 
Liabilities and shareholders’ equity
               
Management fee payable to related party
  $ 232,843     $ 241,143  
Accrued brokerage fees and expenses payable
    80,620       127,484  
Total liabilities
    313,463       368,627  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (261 )     (215 )
Total General Units
    1,239       1,285  
Limited Units:
               
Paid in capital - 12,950,000 and 12,450,000 redeemable shares issued and outstanding as of September 30, 2014 and December 31, 2013, respectively
    380,703,638       364,838,413  
Accumulated deficit
    (59,687,471 )     (44,847,114 )
                 
Total Limited Units
    321,016,167       319,991,299  
                 
Total shareholders’ equity
    321,017,406       319,992,584  
Total liabilities and shareholders’ equity
  $ 321,330,869     $ 320,361,211  
                 
Net asset value per share
               
                 
General Units
  $ 24.78     $ 25.70  
                 
Limited Units
  $ 24.79     $ 25.70  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
September 30, 2014
                   
Description
 
Percentage
of Net Assets
   
Fair
Value
   
Face
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.03% due November 20, 2014
    15.58 %   $ 49,999,300     $ 50,000,000  
U.S. Treasury Bills, 0.03% due November 28, 2014
    15.57       49,999,200       50,000,000  
Total U.S. Treasury Obligations (cost $99,996,305)
    31.15 %   $ 99,998,500     $ 100,000,000  
                         
Description
 
Percentage
of Net Assets
   
Fair
Value
   
Notional
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (291 contracts, settlement date May 13, 2015)
    0.05 %   $ 170,360     $ 9,408,030  
Cocoa (291 contracts, settlement date March 16, 2015)
    0.06       197,730       9,483,690  
Coffee (85 contracts, settlement date May 18, 2015)
    0.05       166,294       6,370,219  
Coffee (85 contracts, settlement date March 19, 2015)
    0.05       149,831       6,293,719  
Coffee (85 contracts, settlement date December 18, 2014)
    0.14       444,094       6,163,031  
Copper (83 contracts, settlement date May 27, 2015)
    (0.12 )     (377,787 )     6,258,200  
Copper (83 contracts, settlement date March 27, 2015)
    (0.12 )     (371,375 )     6,250,938  
Copper (84 contracts, settlement date December 29, 2014)
    (0.04 )     (139,000 )     6,315,750  
Corn (379 contracts, settlement date May 14, 2015)
    (0.27 )     (865,050 )     6,480,900  
Corn (379 contracts, settlement date March 13, 2015)
    (0.27 )     (872,500 )     6,319,825  
Corn (380 contracts, settlement date December 12, 2014)
    (0.54 )     (1,744,263 )     6,094,250  
Cotton (207 contracts, settlement date May 06, 2015)
    (0.15 )     (470,165 )     6,339,375  
Cotton (206 contracts, settlement date March 09, 2015)
    (0.43 )     (1,364,220 )     6,226,350  
Cotton (206 contracts, settlement date December 08, 2014)
    (0.41 )     (1,330,530 )     6,321,110  
Gold (51 contracts, settlement date April 28, 2015)
    (0.14 )     (443,990 )     6,185,790  
Gold (52 contracts, settlement date February 25, 2015)
    (0.11 )     (341,910 )     6,303,960  
Gold (52 contracts, settlement date December 29, 2014)
    (0.15 )     (478,080 )     6,300,320  
Lean Hogs (171 contracts, settlement date April 15, 2015)
    0.05       146,070       6,202,170  
Lean Hogs (172 contracts, settlement date February 13, 2015)
    (0.01 )     (46,440 )     6,221,240  
Lean Hogs (171 contracts, settlement date December 12, 2014)
    0.02       52,680       6,465,510  
Light, Sweet Crude Oil (43 contracts, settlement date March 20, 2015)
    (0.07 )     (230,420 )     3,813,240  
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2015)
    (0.07 )     (229,520 )     3,740,520  
Light, Sweet Crude Oil (42 contracts, settlement date January 20, 2015)
    (0.07 )     (217,780 )     3,754,380  
Light, Sweet Crude Oil (42 contracts, settlement date December 19, 2014)
    (0.11 )     (360,950 )     3,769,920  
Light, Sweet Crude Oil (42 contracts, settlement date November 20, 2014)
    (0.11 )     (363,960 )     3,791,340  
Live Cattle (97 contracts, settlement date April 30, 2015)
    0.10       333,660       6,296,270  
Live Cattle (96 contracts, settlement date February 27, 2015)
    0.14       448,770       6,296,640  
Live Cattle (96 contracts, settlement date December 31, 2014)
    0.25       788,960       6,277,440  
Natural Gas (91 contracts, settlement date March 27, 2015)
    0.01       38,370       3,524,430  
Natural Gas (92 contracts, settlement date February 25, 2015)
    0.03       81,300       3,822,600  
Natural Gas (91 contracts, settlement date January 28, 2015)
    0.03       87,930       3,854,760  
Natural Gas (91 contracts, settlement date December 29, 2014)
    (0.08 )     (256,120 )     3,869,320  
Natural Gas (91 contracts, settlement date November 25, 2014)
    (0.09 )     (282,670 )     3,812,900  
NY Harbor ULSD (34 contracts, settlement date March 31, 2015)
    (0.10 )     (311,636 )     3,796,338  
NY Harbor ULSD (33 contracts, settlement date February 27, 2015)
    (0.10 )     (311,090 )     3,691,888  
NY Harbor ULSD (34 contracts, settlement date January 30, 2015)
    (0.10 )     (316,756 )     3,806,477  
NY Harbor ULSD (34 contracts, settlement date December 31, 2014)
    (0.12 )     (383,221 )     3,803,621  
NY Harbor ULSD (34 contracts, settlement date November 28, 2014)
    (0.13 )     (413,566 )     3,793,625  
Platinum (145 contracts, settlement date April 28, 2015)
    (0.28 )     (885,345 )     9,440,225  
Platinum (145 contracts, settlement date January 28, 2015)
    (0.38 )     (1,216,695 )     9,428,625  
Silver (73 contracts, settlement date May 27, 2015)
    (0.32 )     (1,039,140 )     6,248,435  
Silver (73 contracts, settlement date March 27, 2015)
    (0.32 )     (1,020,430 )     6,240,405  
Silver (74 contracts, settlement date December 29, 2014)
    (0.28 )     (897,680 )     6,311,090  
Soybean (135 contracts, settlement date May 14, 2015)
    (0.32 )     (1,018,387 )     6,331,500  
Soybean (135 contracts, settlement date March 13, 2015)
    (0.31 )     (995,712 )     6,275,812  
Soybean (135 contracts, settlement date January 14, 2015)
    (0.52 )     (1,679,900 )     6,218,438  
Soybean Oil (240 contracts, settlement date January 14, 2015)
    (0.22 )     (711,912 )     4,701,600  
Soybean Oil (240 contracts, settlement date March 13, 2015)     (0.14 )     (441,366 )     4,740,480  
Soybean Oil (240 contracts, settlement date May 14, 2015)     (0.14     (450,642 )     4,760,640  
Soybean Oil (241 contracts, settlement date December 12, 2014)
    (0.29 )     (916,836 )     4,680,702  
Sugar (509 contracts, settlement date April 30, 2015)
    (0.24 )     (781,950 )     9,514,635  
Sugar (510 contracts, settlement date February 27, 2015)
    (0.36 )     (1,152,435 )     9,396,240  
Wheat (257 contracts, settlement date May 14, 2015)
    (0.38 )     (1,234,038 )     6,408,937  
Wheat (257 contracts, settlement date March 13, 2015)
    (0.37 )     (1,190,887 )     6,302,925  
Wheat (258 contracts, settlement date December 12, 2014)
    (0.45 )     (1,442,863 )     6,162,975  
Net Unrealized Depreciation on Futures Contracts
    (8.25 ) %   $ (26,493,168 )   $ 320,683,750  
 
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 September 30, 2014 and 2013
and Nine Months Ended September 30, 2014 and 2013
                         
   
Three Months
   
Three Months
   
Nine Months
   
Nine Months
 
   
Ended
   
Ended
   
Ended
   
Ended
 
   
September 30,
   
September 30,
   
September 30,
   
September 30,
 
   
2014
   
2013
   
2014
   
2013
 
                         
Income
                       
Interest Income
  $ 8,256     $ 30,080     $ 33,686     $ 175,532  
                                 
Expenses
                               
Management fee to related party
    739,176       815,413       2,184,858       2,763,342  
Brokerage fees and expenses
    173,923       191,861       514,084       650,198  
Total expenses
    913,099       1,007,274       2,698,942       3,413,540  
Net Investment Loss
    (904,843 )     (977,194 )     (2,665,256 )     (3,238,008 )
                                 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
          533             1,923  
Futures Contracts
    (13,600,852 )     (18,349,415 )     10,263,073       (49,851,835 )
Net Realized Gain (Loss)
    (13,600,852 )     (18,348,882 )     10,263,073       (49,849,912 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (847 )     (3,787 )     (240 )     (14,816 )
Futures Contracts
    (26,394,106 )     30,625,671       (22,437,980 )     14,084,283  
Net Change in Unrealized Gain (Loss)
    (26,394,953 )     30,621,884       (22,438,220 )     14,069,467  
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (39,995,805 )     12,273,002       (12,175,147 )     (35,780,445 )
                                 
Net Gain (Loss)
  $ (40,900,648 )   $ 11,295,808     $ (14,840,403 )   $ (39,018,453 )
 
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, 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 01, 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
                            1,550,000       43,387,949             43,387,949       43,387,949  
Redemption of Limited Units
                            (1,050,000 )     (27,522,724 )           (27,522,724 )     (27,522,724 )
Net Loss:
                                                                       
Net Investment Loss
                (11 )     (11 )                 (2,665,245 )     (2,665,245 )     (2,665,256 )
Net Realized Gain on Investments and Futures Contracts
                45       45                   10,263,028       10,263,028       10,263,073  
Net Change in Unrealized Loss on Investments and Futures Contracts
                (80 )     (80 )                 (22,438,140 )     (22,438,140 )     (22,438,220 )
Net Activity
                (46 )     (46 )     500,000       15,865,225       (14,840,357 )     (14,840,357 )     (14,840,403 )
Balance at September 30, 2014
    50     $ 1,500     $ (261 )   $ 1,239       12,950,000     $ 380,703,638     $ (59,687,471 )   $ 321,016,167     $ 321,017,406  
 
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, 2014 and 2013
 
   
2014
   
2013
 
             
Cash flow from operating activities:
           
Net Loss
  $ (14,840,403 )   $ (39,018,453 )
Adjustments to reconcile net loss to net cash provided by operating activities:
               
Purchase of investment securities
    (528,461,254 )     (1,284,836,043 )
Proceeds from sales of investment securities
    628,495,000       1,409,997,852  
Net accretion of discount
    (33,686 )     (175,532 )
Net realized gain (loss) on investments
          (1,923 )
Unrealized depreciation (appreciation) on investments
    22,438,220       (14,069,467 )
Decrease in accrued expenses
    (55,164 )     (362,095 )
Net cash provided by operating activities
    107,542,713       71,534,339  
                 
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    43,387,949       25,704,700  
Redemption of Limited Units
    (27,522,724 )     (106,455,350 )
Decrease in capital shares payable
          (4,327,722 )
Net cash provided by (used for) financing activities
    15,865,225       (85,078,372 )
                 
Net change in cash
    123,407,938       (13,544,033 )
Cash held by broker at beginning of period
    124,417,599       22,210,626  
Cash held by broker at end of period
  $ 247,825,537     $ 8,666,593  
                 
See accompanying notes to unaudited consolidated financial statements
 
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
September 30, 2014 (unaudited) and December 31, 2013
             
   
September 30, 2014
   
December 31,
 
   
(unaudited)
   
2013
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $99,996,305 and $199,996,365 as of September 30, 2014 and December 31, 2013, respectively)
  $ 99,998,500     $ 199,998,800  
Cash held by broker
    247,825,537       124,417,599  
Net unrealized depreciation on futures contracts
    (26,493,168 )     (4,055,188 )
Total assets
  $ 321,330,869     $ 320,361,211  
                 
Liabilities and shareholders equity
               
Management fee payable to related party
  $ 232,843     $ 241,143  
Accrued brokerage fees and expenses payable
    80,620       127,484  
Total liabilities
    313,463       368,627  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (261 )     (215 )
Total General Units
    1,239       1,285  
Limited Units:
               
Paid in capital - 12,950,000 and 12,450,000 redeemable shares issued and outstanding as of September 30, 2014 and December 31, 2013, respectively
    380,703,638       364,838,413  
Accumulated deficit
    (59,687,471 )     (44,847,114 )
                 
Total Limited Units
    321,016,167       319,991,299  
                 
Total shareholders’ equity
    321,017,406       319,992,584  
Total liabilities and shareholders’ equity
  $ 321,330,869     $ 320,361,211  
                 
Net asset value per share
               
                 
General Units
  $ 24.78     $ 25.70  
                 
Limited Units
  $ 24.79     $ 25.70  
                 
See accompanying notes to unaudited consolidated financial statements
 
9
 

 


GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
September 30, 2014
 
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.03% due November 20, 2014
    15.58 %   $ 49,999,300     $ 50,000,000  
U.S. Treasury Bills, 0.03% due November 28, 2014
    15.57       49,999,200       50,000,000  
Total U.S. Treasury Obligations (cost $99,996,305)
    31.15 %   $ 99,998,500     $ 100,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (291 contracts, settlement date May 13, 2015)
    0.05 %   $ 170,360     $ 9,408,030  
Cocoa (291 contracts, settlement date March 16, 2015)
    0.06       197,730       9,483,690  
Coffee (85 contracts, settlement date May 18, 2015)
    0.05       166,294       6,370,219  
Coffee (85 contracts, settlement date March 19, 2015)
    0.05       149,831       6,293,719  
Coffee (85 contracts, settlement date December 18, 2014)
    0.14       444,094       6,163,031  
Copper (83 contracts, settlement date May 27, 2015)
    (0.12 )     (377,787 )     6,258,200  
Copper (83 contracts, settlement date March 27, 2015)
    (0.12 )     (371,375 )     6,250,938  
Copper (84 contracts, settlement date December 29, 2014)
    (0.04 )     (139,000 )     6,315,750  
Corn (379 contracts, settlement date May 14, 2015)
    (0.27 )     (865,050 )     6,480,900  
Corn (379 contracts, settlement date March 13, 2015)
    (0.27 )     (872,500 )     6,319,825  
Corn (380 contracts, settlement date December 12, 2014)
    (0.54 )     (1,744,263 )     6,094,250  
Cotton (207 contracts, settlement date May 06, 2015)
    (0.15 )     (470,165 )     6,339,375  
Cotton (206 contracts, settlement date March 09, 2015)
    (0.43 )     (1,364,220 )     6,226,350  
Cotton (206 contracts, settlement date December 08, 2014)
    (0.41 )     (1,330,530 )     6,321,110  
Gold (51 contracts, settlement date April 28, 2015)
    (0.14 )     (443,990 )     6,185,790  
Gold (52 contracts, settlement date February 25, 2015)
    (0.11 )     (341,910 )     6,303,960  
Gold (52 contracts, settlement date December 29, 2014)
    (0.15 )     (478,080 )     6,300,320  
Lean Hogs (171 contracts, settlement date April 15, 2015)
    0.05       146,070       6,202,170  
Lean Hogs (172 contracts, settlement date February 13, 2015)
    (0.01 )     (46,440 )     6,221,240  
Lean Hogs (171 contracts, settlement date December 12, 2014)
    0.02       52,680       6,465,510  
Light, Sweet Crude Oil (43 contracts, settlement date March 20, 2015)
    (0.07 )     (230,420 )     3,813,240  
Light, Sweet Crude Oil (42 contracts, settlement date February 20, 2015)
    (0.07 )     (229,520 )     3,740,520  
Light, Sweet Crude Oil (42 contracts, settlement date January 20, 2015)
    (0.07 )     (217,780 )     3,754,380  
Light, Sweet Crude Oil (42 contracts, settlement date December 19, 2014)
    (0.11 )     (360,950 )     3,769,920  
Light, Sweet Crude Oil (42 contracts, settlement date November 20, 2014)
    (0.11 )     (363,960 )     3,791,340  
Live Cattle (97 contracts, settlement date April 30, 2015)
    0.10       333,660       6,296,270  
Live Cattle (96 contracts, settlement date February 27, 2015)
    0.14       448,770       6,296,640  
Live Cattle (96 contracts, settlement date December 31, 2014)
    0.25       788,960       6,277,440  
Natural Gas (91 contracts, settlement date March 27, 2015)
    0.01       38,370       3,524,430  
Natural Gas (92 contracts, settlement date February 25, 2015)
    0.03       81,300       3,822,600  
Natural Gas (91 contracts, settlement date January 28, 2015)
    0.03       87,930       3,854,760  
Natural Gas (91 contracts, settlement date December 29, 2014)
    (0.08 )     (256,120 )     3,869,320  
Natural Gas (91 contracts, settlement date November 25, 2014)
    (0.09 )     (282,670 )     3,812,900  
NY Harbor ULSD (34 contracts, settlement date March 31, 2015)
    (0.10 )     (311,636 )     3,796,338  
NY Harbor ULSD (33 contracts, settlement date February 27, 2015)
    (0.10 )     (311,090 )     3,691,888  
NY Harbor ULSD (34 contracts, settlement date January 30, 2015)
    (0.10 )     (316,756 )     3,806,477  
NY Harbor ULSD (34 contracts, settlement date December 31, 2014)
    (0.12 )     (383,221 )     3,803,621  
NY Harbor ULSD (34 contracts, settlement date November 28, 2014)
    (0.13 )     (413,566 )     3,793,625  
Platinum (145 contracts, settlement date April 28, 2015)
    (0.28 )     (885,345 )     9,440,225  
Platinum (145 contracts, settlement date January 28, 2015)
    (0.38 )     (1,216,695 )     9,428,625  
Silver (73 contracts, settlement date May 27, 2015)
    (0.32 )     (1,039,140 )     6,248,435  
Silver (73 contracts, settlement date March 27, 2015)
    (0.32 )     (1,020,430 )     6,240,405  
Silver (74 contracts, settlement date December 29, 2014)
    (0.28 )     (897,680 )     6,311,090  
Soybean (135 contracts, settlement date May 14, 2015)
    (0.32 )     (1,018,387 )     6,331,500  
Soybean (135 contracts, settlement date March 13, 2015)
    (0.31 )     (995,712 )     6,275,812  
Soybean (135 contracts, settlement date January 14, 2015)
    (0.52 )     (1,679,900 )     6,218,438  
Soybean Oil (240 contracts, settlement date January 14, 2015)
    (0.22 )     (711,912 )     4,701,600  
Soybean Oil (240 contracts, settlement date March 13, 2015)     (0.14 )     (441,366 )     4,740,480  
Soybean Oil (240 contracts, settlement date May 14, 2015)      (0.14 )     (450,642 )     4,760,640  
Soybean Oil (241 contracts, settlement date December 12, 2014)
    (0.29 )     (916,836 )     4,680,702  
Sugar (509 contracts, settlement date April 30, 2015)
    (0.24 )     (781,950 )     9,514,635  
Sugar (510 contracts, settlement date February 27, 2015)
    (0.36 )     (1,152,435 )     9,396,240  
Wheat (257 contracts, settlement date May 14, 2015)
    (0.38 )     (1,234,038 )     6,408,937  
Wheat (257 contracts, settlement date March 13, 2015)
    (0.37 )     (1,190,887 )     6,302,925  
Wheat (258 contracts, settlement date December 12, 2014)
    (0.45 )     (1,442,863 )     6,162,975  
Net Unrealized Depreciation on Futures Contracts
    (8.25 )%   $ (26,493,168 )   $ 320,683,750  
 
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 September 30, 2014 and 2013
and Nine Months Ended September 30, 2014 and 2013
                         
   
Three Months
   
Three Months
   
Nine Months
   
Nine Months
 
   
Ended
   
Ended
   
Ended
   
Ended
 
   
September 30, 2014
   
September 30, 2013
   
September 30, 2014
   
September 30, 2013
 
                         
Income
                       
Interest Income
  $ 8,256     $ 30,080     $ 33,686     $ 175,532  
                                 
Expenses
                               
Management fee to related party
    739,176       815,413       2,184,858       2,763,342  
Brokerage fees and expenses
    173,923       191,861       514,084       650,198  
Total expenses
    913,099       1,007,274       2,698,942       3,413,540  
Net Investment Loss
    (904,843 )     (977,194 )     (2,665,256 )     (3,238,008 )
 
                               
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts Realized Gain (Loss) on
                               
Investments
          533             1,923  
Futures Contracts
    (13,600,852 )     (18,349,415 )     10,263,073       (49,851,835 )
Net Realized Gain (Loss)
    (13,600,852 )     (18,348,882 )     10,263,073       (49,849,912 )
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (847 )     (3,787 )     (240 )     (14,816 )
Futures Contracts
    (26,394,106 )     30,625,671       (22,437,980 )     14,084,283  
Net Change in Unrealized Gain (Loss)
    (26,394,953 )     30,621,884       (22,438,220 )     14,069,467  
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (39,995,805 )     12,273,002       (12,175,147 )     (35,780,445 )
                                 
Net Gain (Loss)
  $ (40,900,648 )   $ 11,295,808     $ (14,840,403 )   $ (39,018,453 )
                                 
See accompanying notes to unaudited consolidated financial statements

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GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Nine Months Ended September 30, 2014