10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2016

or

 

¨ 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

 

 

WISDOMTREE CONTINUOUS COMMODITY INDEX FUND

(Registrant)

(Exact name of Registrant as specified in its charter)

 

 

WISDOMTREE 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)

 

(IRS Employer

Identification No.)

 

c/o WisdomTree Commodity Services, LLC

245 Park Avenue

35th Floor

New York, NY

  10167
(Address of Principal Executive Offices)   (Zip Code)

1-866-909-9473

(Telephone number, including area code)

 

 

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  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, 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 submit and post such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one:)

 

Large accelerated filer   ¨    Accelerated filer   x
Non-accelerated filer   ¨    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  ¨    No  x

Indicate the number of shares outstanding of each of the issuer’s classes of common stock as of June 30, 2016: 11,100,000 Limited Units and 50 General Units.

 

 

 


Table of Contents

WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Table of Contents

 

PART I – FINANCIAL INFORMATION

     1   

Item 1. Financial Statements

     1   

Consolidated Statements of Financial Condition June 30, 2016 (unaudited) and December 31, 2015

     1   

Unaudited Consolidated Schedule of Investments June 30, 2016

     2   

Consolidated Schedule of Investments December 31, 2015

     4   

Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2016 and 2015

     6   

Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2016

     7   

Unaudited Consolidated Statements of Cash Flows For the Six Months Ended June 30, 2016 and 2015

     8   

Consolidated Statements of Financial Condition June 30, 2016 (unaudited) and December 31, 2015

     9   

Unaudited Consolidated Schedule of Investments June 30, 2016

     10   

Consolidated Schedule of Investments December 31, 2015

     12   

Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2016 and 2015

     14   

Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2016

     15   

Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2016 and 2015

     16   

Notes to Consolidated Financial Statements June 30, 2016

     17   

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operation

     24   

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     30   

Item 4. Controls and Procedures

     31   

PART II - OTHER INFORMATION

     31   

Item 1. Legal Proceedings

     31   

Item 1A. Risk Factors

     31   

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

     31   

Item 3. Defaults Upon Senior Securities

     32   

Item 4. Mine Safety Disclosures

     32   

Item 5. Other Information

     32   

Item 6. Exhibits

     33   

SIGNATURES

     34   

 

i


Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

WisdomTree Continuous Commodity Index Fund

Consolidated Statements of Financial Condition

June 30, 2016 (unaudited) and December 31, 2015

 

     June 30, 2016
(unaudited)
    December 31, 2015  

Assets:

    

Cash

   $ 9,363,124      $ —     

Cash held by broker for futures contracts (Note 3)

     13,802,715        83,440,007   

Short-term investments (cost $194,912,416 and $149,963,671 as of June 30, 2016 and December 31, 2015, respectively)

     194,935,800        149,980,000   

Net unrealized appreciation on futures contracts

     8,821,851        —     
  

 

 

   

 

 

 

Total Assets

     226,923,490        233,420,007   
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

    

Net unrealized depreciation on futures contracts

     —         8,705,967   

Management fee payable to related party

     160,764        166,759   

Accrued brokerage fees and expenses payable

     80,831        28,756   
  

 

 

   

 

 

 

Total Liabilities

     241,595        8,901,482   
  

 

 

   

 

 

 

Shareholders’ equity:

    

General Units:

    

Paid in capital - 50 units issued

     1,500        1,500   

Accumulated deficit

     (479     (572
  

 

 

   

 

 

 

Total General Units

     1,021        928   
  

 

 

   

 

 

 

Limited Units:

    

Paid in capital - 11,100,000 and 12,100,000 redeemable shares issued and outstanding as of June 30, 2016 and December 31, 2015, respectively

     341,355,100        360,079,849   

Accumulated deficit

     (114,674,226     (135,562,252
  

 

 

   

 

 

 

Total Limited Units

     226,680,874        224,517,597   
  

 

 

   

 

 

 

Total shareholders’ equity

     226,681,895        224,518,525   
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 226,923,490      $ 233,420,007   
  

 

 

   

 

 

 

Net asset value per share

    

General Units

   $ 20.42      $ 18.56   
  

 

 

   

 

 

 

Limited Units

   $ 20.42      $ 18.56   
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

1


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2016

 

Description

   Percentage
of Net Assets
    Fair
Value
     Face
Amount
 

U.S. Treasury Obligations

       

U.S. Treasury Bills

       

0.26%, 8/11/16

     26.46   $ 59,986,740       $ 60,000,000   

0.34%, 8/25/16

     24.26        54,982,180         55,000,000   

0.25%, 9/15/16(a)

     35.28        79,966,880         80,000,000   
  

 

 

   

 

 

    

 

 

 

Total U.S. Treasury Obligations ($194,912,416)

     86.00   $ 194,935,800       $ 195,000,000   
  

 

 

   

 

 

    

 

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long

         

Cocoa

         

expiration date 9/15/16

     226         (0.01 )%    $ (14,120   $ 6,696,380   

expiration date 12/14/16

     226         (0.02     (39,680     6,639,880   

Coffee “C”

         

expiration date 9/20/16

     121         0.34        777,731        6,608,869   

expiration date 12/19/16

     121         0.33        745,088        6,729,113   

Copper

         

expiration date 9/28/16

     121         0.16        374,263        6,641,388   

expiration date 12/28/16

     121         0.13        297,350        6,668,613   

Corn

         

expiration date 9/14/16

     362         (0.25     (564,850     6,615,550   

expiration date 12/14/16

     363         (0.23     (517,913     6,738,188   

Cotton No. 2

         

expiration date 12/7/16

     207         0.21        479,575        6,641,595   

expiration date 3/9/17

     207         (0.06     (138,085     6,682,995   

Gold 100 Ounce

         

expiration date 12/28/16

     50         0.18        416,440        6,637,000   

expiration date 2/24/17

     50         0.13        288,790        6,651,500   

Lean Hogs

         

expiration date 8/12/16

     116         0.06        126,890        3,863,960   

expiration date 10/14/16

     116         0.04        92,920        3,326,880   

expiration date 12/14/16

     117         0.00        (8,180     3,004,560   

expiration date 2/14/17

     117         (0.04     (83,210     3,151,980   

Live Cattle

         

expiration date 10/31/16

     97         (0.04     (84,280     4,448,420   

expiration date 12/30/16

     97         (0.03     (73,500     4,460,060   

expiration date 2/28/17

     97         (0.04     (88,050     4,434,840   

Natural Gas

         

expiration date 8/29/16

     85         0.25        566,160        2,480,300   

expiration date 9/28/16

     85         0.22        494,120        2,505,800   

expiration date 10/27/16

     85         0.20        446,290        2,622,250   

expiration date 11/28/16

     84         0.07        149,500        2,787,960   

expiration date 12/28/16

     84         0.07        148,960        2,894,640   

NY Harbor ULSD

         

expiration date 8/31/16

     41         0.20        443,705        2,597,293   

expiration date 9/30/16

     41         0.16        357,172        2,629,322   

expiration date 10/31/16

     41         0.15        346,130        2,657,735   

expiration date 11/30/16

     41         (0.02     (48,703     2,683,565   

expiration date 12/30/16

     41         (0.02     (44,138     2,710,084   

See accompanying notes to unaudited consolidated financial statements

 

2


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments (continued)

June 30, 2016

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Platinum

         

expiration date 10/27/16

     130         0.11   $ 249,440      $ 6,657,950   

expiration date 1/27/17

     130         0.04        94,315        6,671,600   

Silver

         

expiration date 9/28/16

     71         0.36        822,475        6,611,165   

expiration date 12/28/16

     71         0.40        899,500        6,636,370   

Soybean

         

expiration date 11/14/16

     116         0.34        768,775        6,688,850   

expiration date 1/13/17

     116         0.03        60,200        6,659,850   

Soybean Oil

         

expiration date 9/14/16

     174         (0.03     (77,148     3,305,304   

expiration date 10/14/16

     174         (0.03     (71,700     3,317,832   

expiration date 12/14/16

     174         (0.09     (198,978     3,348,108   

expiration date 1/13/17

     174         (0.05     (115,692     3,372,120   

Sugar No. 11

         

expiration date 9/30/16

     292         0.71        1,620,069        6,648,723   

expiration date 2/28/17

     292         0.12        269,685        6,681,427   

Wheat

         

expiration date 9/14/16

     293         (0.29     (648,300     6,526,575   

expiration date 12/14/16

     293         (0.27     (610,225     6,819,575   

WTI Crude Oil

         

expiration date 8/22/16

     53         0.18        403,870        2,597,530   

expiration date 9/20/16

     53         0.14        320,690        2,628,270   

expiration date 10/20/16

     53         0.14        326,990        2,656,890   

expiration date 11/21/16

     53         (0.03     (74,560     2,682,860   

expiration date 12/20/16

     53         (0.03     (63,930     2,704,060   
     

 

 

   

 

 

   

 

 

 

Total

        3.89   $ 8,821,851      $ 226,425,779   
     

 

 

   

 

 

   

 

 

 

 

(a) All or a portion of this security is held by the broker as collateral for open futures contracts.

See accompanying notes to unaudited consolidated financial statements

 

3


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2015

 

Description

   Percentage
of Net Assets
    Fair
Value
     Face
Amount
 

U.S. Treasury Obligations

       

U.S. Treasury Bills

       

0.17%, 1/28/16

     22.27   $ 49,995,900       $ 50,000,000   

0.14%, 2/11/16

     22.27        49,993,400         50,000,000   

0.28%, 3/17/16

     22.26        49,990,700         50,000,000   
  

 

 

   

 

 

    

 

 

 

Total U.S. Treasury Obligations ($149,963,671)

     66.80   $ 149,980,000       $ 150,000,000   
  

 

 

   

 

 

    

 

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long

         

Cocoa

         

expiration date 3/15/16

     137         0.05   $ 119,700      $ 4,399,070   

expiration date 5/13/16

     137         0.05        113,380        4,393,590   

expiration date 7/14/16

     138         (0.05     (119,940     4,420,140   

Coffee “C”

         

expiration date 3/18/16

     91         (0.05     (118,144     4,323,638   

expiration date 5/18/16

     91         (0.04     (96,862     4,395,300   

expiration date 7/19/16

     91         0.12        267,150        4,461,844   

Copper

         

expiration date 3/29/16

     82         (0.14     (309,850     4,376,750   

expiration date 5/26/16

     82         (0.15     (338,513     4,390,075   

expiration date 7/27/16

     82         (0.04     (81,925     4,400,325   

Corn

         

expiration date 3/14/16

     242         (0.13     (301,212     4,340,875   

expiration date 5/13/16

     242         (0.14     (315,375     4,410,450   

expiration date 7/14/16

     241         (0.05     (114,900     4,464,525   

Cotton No. 2

         

expiration date 3/8/16

     138         (0.02     (35,815     4,366,320   

expiration date 5/6/16

     137         (0.01     (12,455     4,391,535   

expiration date 7/7/16

     137         0.04        97,490        4,438,115   

Gold 100 Ounce

         

expiration date 2/25/16

     42         (0.18     (401,480     4,452,840   

expiration date 4/27/16

     41         (0.09     (211,170     4,349,280   

expiration date 6/28/16

     41         (0.05     (104,370     4,352,150   

Lean Hogs

         

expiration date 2/12/16

     117         (0.11     (239,750     2,798,640   

expiration date 4/14/16

     117         (0.07     (148,820     3,086,460   

expiration date 6/14/16

     117         0.10        220,880        3,650,400   

expiration date 7/15/16

     117         0.08        185,740        3,643,380   

Live Cattle

         

expiration date 2/29/16

     82         (0.09     (204,150     4,487,040   

expiration date 4/29/16

     82         (0.04     (86,140     4,525,580   

expiration date 6/30/16

     82         0.06        132,670        4,191,840   

Natural Gas

         

expiration date 1/27/16

     111         (0.18     (395,510     2,594,070   

expiration date 2/25/16

     110         (0.14     (318,070     2,599,300   

expiration date 3/29/16

     110         (0.11     (238,510     2,625,700   

expiration date 4/27/16

     110         (0.02     (39,980     2,666,400   

expiration date 5/26/16

     110         (0.02     (46,190     2,714,800   

See accompanying notes to unaudited consolidated financial statements

 

4


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments (continued)

December 31, 2015

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

NY Harbor ULSD

         

expiration date 1/29/16

     54         (0.38 )%    $ (848,266   $ 2,549,005   

expiration date 2/29/16

     54         (0.35     (789,184     2,605,705   

expiration date 3/31/16

     54         (0.32     (719,783     2,647,436   

expiration date 4/29/16

     53         (0.25     (556,471     2,649,163   

expiration date 5/31/16

     53         (0.24     (551,179     2,705,480   

Platinum

         

expiration date 4/27/16

     147         (0.11     (254,960     6,565,020   

expiration date 7/27/16

     148         0.06        126,785        6,615,600   

Silver

         

expiration date 3/29/16

     64         (0.18     (414,395     4,416,960   

expiration date 5/26/16

     64         (0.17     (374,635     4,426,880   

expiration date 7/27/16

     63         (0.07     (151,495     4,368,105   

Soybean

         

expiration date 3/14/16

     101         (0.10     (231,875     4,364,463   

expiration date 5/13/16

     101         (0.10     (221,537     4,390,975   

expiration date 7/14/16

     101         0.01        24,500        4,427,587   

Soybean Oil

         

expiration date 3/14/16

     237         0.12        277,464        4,372,650   

expiration date 5/13/16

     237         0.13        288,294        4,402,512   

expiration date 7/14/16

     237         0.18        391,830        4,433,796   

Sugar No. 11

         

expiration date 2/29/16

     263         0.27        600,074        4,489,094   

expiration date 4/29/16

     264         0.26        591,270        4,411,546   

expiration date 6/30/16

     264         0.06        126,717        4,328,755   

Wheat

         

expiration date 3/14/16

     185         (0.14     (314,138     4,347,500   

expiration date 5/13/16

     185         (0.13     (298,525     4,407,625   

expiration date 7/14/16

     184         (0.07     (160,687     4,445,900   

WTI Crude Oil

         

expiration date 1/20/16

     68         (0.22     (502,660     2,518,720   

expiration date 2/22/16

     68         (0.22     (492,250     2,595,560   

expiration date 3/21/16

     68         (0.20     (445,480     2,660,840   

expiration date 4/20/16

     67         (0.15     (334,250     2,678,660   

expiration date 5/20/16

     67         (0.15     (329,010     2,727,570   
     

 

 

   

 

 

   

 

 

 

Total

        (3.88 )%    $ (8,705,967   $ 224,263,539   
     

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

5


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2016 and 2015

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2016     2015     2016     2015  

Income:

        

Interest income

   $ 115,666      $ 9,418      $ 204,966      $ 19,744   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

        

Management fee to related party

     471,940        538,432        919,601        1,072,462   

Brokerage fees and expenses

     111,043        126,690        216,375        252,344   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     582,983        665,122        1,135,976        1,324,806   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (467,317     (655,704     (931,010     (1,305,062
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Net Change in Unrealized Gain (Loss) on Investments and Future Contracts:

        

Net Realized Gain (Loss) from:

        

Investments

     —          2,000        —          2,000   

Futures Contracts

     16,757,478        (10,169,680     4,284,256        (38,603,665
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     16,757,478        (10,167,680     4,284,256        (38,601,665
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss) from:

        

Investments

     (8,809     (2,406     7,055        (885

Futures Contracts

     2,953,219        21,430,066        17,527,818        31,977,744   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss)

     2,944,410        21,427,660        17,534,873        31,976,859   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments and Futures Contracts

     19,701,888        11,259,980        21,819,129        (6,624,806
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ 19,234,571      $ 10,604,276      $ 20,888,119      $ (7,929,868
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

6


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Six Months Ended June 30, 2016

 

    General Units     Limited Units     Total  
    General Units     Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
    Units     Amount     Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2015

    50      $ 1,500      $ (572   $ 928        12,100,000      $ 360,079,849      $ (135,562,252   $ 224,517,597      $ 224,518,525   

Creation of Units

    —          —          —          —          200,000        4,009,960        —          4,009,960        4,009,960   

Redemption of Units

    —          —          —          —          (1,200,000     (22,734,709     —          (22,734,709     (22,734,709

Net Gain (Loss):

                 

Net Investment Loss

    —          —          (5     (5     —          —          (931,005     (931,005     (931,010

Net Realized Gain (Loss) from Investments and Futures Contracts

    —          —          19        19        —          —          4,284,237        4,284,237        4,284,256   

Net Change in Unrealized Gain (Loss) from Investments and Futures Contracts

    —          —          79        79        —          —          17,534,794        17,534,794        17,534,873   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain

    —          —          93        93        —          —          20,888,026        20,888,026        20,888,119   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2016

    50      $ 1,500      $ (479   $ 1,021        11,100,000      $ 341,355,100      $ (114,674,226   $ 226,680,874      $ 226,681,895   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

7


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2016 and 2015

 

     2016     2015  

Cash flows from operating activities

    

Net Gain (Loss)

   $ 20,888,119      $ (7,929,868

Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:

    

Purchases of investment securities

     (369,743,779     (299,984,853

Proceeds from sales of investment securities

     325,000,000        500,000,666   

Net accretion of discount

     (204,966     (19,744

Net realized gain (loss) on investment securities

     —          (2,000

Change in net unrealized depreciation (appreciation) on investments

     (7,055     885   

Changes in assets and liabilities

    

(Increase)/Decrease in assets:

    

Net unrealized appreciation on future contracts

     (8,821,851     (4,728,668

Increase/(Decrease) in liabilities:

    

Net unrealized depreciation on futures contracts

     (8,705,967     (27,249,076

Management fee payable to related party

     (5,995     (23,116

Accrued brokerage fees and expenses payable

     52,075        (42,381
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     (41,549,419     160,021,845   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Proceeds from creation of Limited Units

     4,009,960        32,576,725   

Redemption of Limited Units

     (22,734,709     (12,261,295
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     (18,724,749     20,315,430   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (60,274,168     180,337,275   

Cash* at beginning of period

     83,440,007        94,433,074   
  

 

 

   

 

 

 

Cash* at end of period

   $ 23,165,839      $ 274,770,349   
  

 

 

   

 

 

 

 

* Includes cash held by the broker for futures contracts.

See accompanying notes to unaudited consolidated financial statements

 

8


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Consolidated Statements of Financial Condition

June 30, 2016 (unaudited) and December 31, 2015

 

     June 30, 2016
(unaudited)
    December 31, 2015  

Assets:

    

Cash

   $ 9,363,124      $ —     

Cash held by broker for futures contracts (Note 3)

     13,802,715        83,440,007   

Short-term investments (cost $194,912,416 and $149,963,671 as of June 30, 2016 and December 31, 2015, respectively)

     194,935,800        149,980,000   

Net unrealized appreciation on futures contracts

     8,821,851        —     
  

 

 

   

 

 

 

Total Assets

     226,923,490        233,420,007   
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

    

Net unrealized depreciation on futures contracts

     —          8,705,967   

Management fee payable to related party

     160,764        166,759   

Accrued brokerage fees and expenses payable

     80,831        28,756   
  

 

 

   

 

 

 

Total Liabilities

     241,595        8,901,482   
  

 

 

   

 

 

 

Shareholders’ equity:

    

General Units:

    

Paid in capital - 50 units issued

     1,500        1,500   

Accumulated deficit

     (479     (572
  

 

 

   

 

 

 

Total General Units

     1,021        928   
  

 

 

   

 

 

 

Limited Units:

    

Paid in capital - 11,100,000 and 12,100,000 redeemable shares issued and outstanding as of June 30, 2016 and December 31, 2015, respectively

     341,355,100        360,079,849   

Accumulated deficit

     (114,674,226     (135,562,252
  

 

 

   

 

 

 

Total Limited Units

     226,680,874        224,517,597   
  

 

 

   

 

 

 

Total shareholders’ equity

     226,681,895        224,518,525   
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 226,923,490      $ 233,420,007   
  

 

 

   

 

 

 

Net asset value per share

    

General Units

   $ 20.42      $ 18.56   
  

 

 

   

 

 

 

Limited Units

   $ 20.42      $ 18.56   
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

9


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Consolidated Schedule of Investments

June 30, 2016

 

Description

   Percentage
of Net Assets
    Fair
Value
     Face
Amount
 

U.S. Treasury Obligations

       

U.S. Treasury Bills

       

0.26%, 8/11/16

     26.46   $ 59,986,740       $ 60,000,000   

0.34%, 8/25/16

     24.26        54,982,180         55,000,000   

0.25%, 9/15/16(a)

     35.28        79,966,880         80,000,000   
  

 

 

   

 

 

    

 

 

 

Total U.S. Treasury Obligations ($194,912,416)

     86.00   $ 194,935,800       $ 195,000,000   
  

 

 

   

 

 

    

 

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long

         

Cocoa

         

expiration date 9/15/16

     226         (0.01 )%    $ (14,120   $ 6,696,380   

expiration date 12/14/16

     226         (0.02     (39,680     6,639,880   

Coffee “C”

         

expiration date 9/20/16

     121         0.34        777,731        6,608,869   

expiration date 12/19/16

     121         0.33        745,088        6,729,113   

Copper

         

expiration date 9/28/16

     121         0.16        374,263        6,641,388   

expiration date 12/28/16

     121         0.13        297,350        6,668,613   

Corn

         

expiration date 9/14/16

     362         (0.25     (564,850     6,615,550   

expiration date 12/14/16

     363         (0.23     (517,913     6,738,188   

Cotton No. 2

         

expiration date 12/7/16

     207         0.21        479,575        6,641,595   

expiration date 3/9/17

     207         (0.06     (138,085     6,682,995   

Gold 100 Ounce

         

expiration date 12/28/16

     50         0.18        416,440        6,637,000   

expiration date 2/24/17

     50         0.13        288,790        6,651,500   

Lean Hogs

         

expiration date 8/12/16

     116         0.06        126,890        3,863,960   

expiration date 10/14/16

     116         0.04        92,920        3,326,880   

expiration date 12/14/16

     117         0.00        (8,180     3,004,560   

expiration date 2/14/17

     117         (0.04     (83,210     3,151,980   

Live Cattle

         

expiration date 10/31/16

     97         (0.04     (84,280     4,448,420   

expiration date 12/30/16

     97         (0.03     (73,500     4,460,060   

expiration date 2/28/17

     97         (0.04     (88,050     4,434,840   

Natural Gas

         

expiration date 8/29/16

     85         0.25        566,160        2,480,300   

expiration date 9/28/16

     85         0.22        494,120        2,505,800   

expiration date 10/27/16

     85         0.20        446,290        2,622,250   

expiration date 11/28/16

     84         0.07        149,500        2,787,960   

expiration date 12/28/16

     84         0.07        148,960        2,894,640   

NY Harbor ULSD

         

expiration date 8/31/16

     41         0.20        443,705        2,597,293   

expiration date 9/30/16

     41         0.16        357,172        2,629,322   

expiration date 10/31/16

     41         0.15        346,130        2,657,735   

expiration date 11/30/16

     41         (0.02     (48,703     2,683,565   

expiration date 12/30/16

     41         (0.02     (44,138     2,710,084   

See accompanying notes to unaudited consolidated financial statements

 

10


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Consolidated Schedule of Investments (continued)

June 30, 2016

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Platinum

         

expiration date 10/27/16

     130         0.11   $ 249,440      $ 6,657,950   

expiration date 1/27/17

     130         0.04        94,315        6,671,600   

Silver

         

expiration date 9/28/16

     71         0.36        822,475        6,611,165   

expiration date 12/28/16

     71         0.40        899,500        6,636,370   

Soybean

         

expiration date 11/14/16

     116         0.34        768,775        6,688,850   

expiration date 1/13/17

     116         0.03        60,200        6,659,850   

Soybean Oil

         

expiration date 9/14/16

     174         (0.03     (77,148     3,305,304   

expiration date 10/14/16

     174         (0.03     (71,700     3,317,832   

expiration date 12/14/16

     174         (0.09     (198,978     3,348,108   

expiration date 1/13/17

     174         (0.05     (115,692     3,372,120   

Sugar No. 11

         

expiration date 9/30/16

     292         0.71        1,620,069        6,648,723   

expiration date 2/28/17

     292         0.12        269,685        6,681,427   

Wheat

         

expiration date 9/14/16

     293         (0.29     (648,300     6,526,575   

expiration date 12/14/16

     293         (0.27     (610,225     6,819,575   

WTI Crude Oil

         

expiration date 8/22/16

     53         0.18        403,870        2,597,530   

expiration date 9/20/16

     53         0.14        320,690        2,628,270   

expiration date 10/20/16

     53         0.14        326,990        2,656,890   

expiration date 11/21/16

     53         (0.03     (74,560     2,682,860   

expiration date 12/20/16

     53         (0.03     (63,930     2,704,060   
     

 

 

   

 

 

   

 

 

 

Total

        3.89   $ 8,821,851      $ 226,425,779   
     

 

 

   

 

 

   

 

 

 

 

(a) All or a portion of this security is held by the broker as collateral for open futures contracts.

See accompanying notes to unaudited consolidated financial statements

 

11


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Consolidated Schedule of Investments

December 31, 2015

 

Description

   Percentage
of Net Assets
    Fair
Value
     Face
Amount
 

U.S. Treasury Obligations

       

U.S. Treasury Bills

       

0.17%, 1/28/16

     22.27   $ 49,995,900       $ 50,000,000   

0.14%, 2/11/16

     22.27        49,993,400         50,000,000   

0.28%, 3/17/16

     22.26        49,990,700         50,000,000   
  

 

 

   

 

 

    

 

 

 

Total U.S. Treasury Obligations ($149,963,671)

     66.80   $ 149,980,000       $ 150,000,000   
  

 

 

   

 

 

    

 

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long

         

Cocoa

         

expiration date 3/15/16

     137         0.05   $ 119,700      $ 4,399,070   

expiration date 5/13/16

     137         0.05        113,380        4,393,590   

expiration date 7/14/16

     138         (0.05     (119,940     4,420,140   

Coffee “C”

         

expiration date 3/18/16

     91         (0.05     (118,144     4,323,638   

expiration date 5/18/16

     91         (0.04     (96,862     4,395,300   

expiration date 7/19/16

     91         0.12        267,150        4,461,844   

Copper

         

expiration date 3/29/16

     82         (0.14     (309,850     4,376,750   

expiration date 5/26/16

     82         (0.15     (338,513     4,390,075   

expiration date 7/27/16

     82         (0.04     (81,925     4,400,325   

Corn

         

expiration date 3/14/16

     242         (0.13     (301,212     4,340,875   

expiration date 5/13/16

     242         (0.14     (315,375     4,410,450   

expiration date 7/14/16

     241         (0.05     (114,900     4,464,525   

Cotton No. 2

         

expiration date 3/8/16

     138         (0.02     (35,815     4,366,320   

expiration date 5/6/16

     137         (0.01     (12,455     4,391,535   

expiration date 7/7/16

     137         0.04        97,490        4,438,115   

Gold 100 Ounce

         

expiration date 2/25/16

     42         (0.18     (401,480     4,452,840   

expiration date 4/27/16

     41         (0.09     (211,170     4,349,280   

expiration date 6/28/16

     41         (0.05     (104,370     4,352,150   

Lean Hogs

         

expiration date 2/12/16

     117         (0.11     (239,750     2,798,640   

expiration date 4/14/16

     117         (0.07     (148,820     3,086,460   

expiration date 6/14/16

     117         0.10        220,880        3,650,400   

expiration date 7/15/16

     117         0.08        185,740        3,643,380   

Live Cattle

         

expiration date 2/29/16

     82         (0.09     (204,150     4,487,040   

expiration date 4/29/16

     82         (0.04     (86,140     4,525,580   

expiration date 6/30/16

     82         0.06        132,670        4,191,840   

Natural Gas

         

expiration date 1/27/16

     111         (0.18     (395,510     2,594,070   

expiration date 2/25/16

     110         (0.14     (318,070     2,599,300   

expiration date 3/29/16

     110         (0.11     (238,510     2,625,700   

expiration date 4/27/16

     110         (0.02     (39,980     2,666,400   

expiration date 5/26/16

     110         (0.02     (46,190     2,714,800   

See accompanying notes to unaudited consolidated financial statements

 

12


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Consolidated Schedule of Investments (continued)

December 31, 2015

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

NY Harbor ULSD

         

expiration date 1/29/16

     54         (0.38 )%    $ (848,266   $ 2,549,005   

expiration date 2/29/16

     54         (0.35     (789,184     2,605,705   

expiration date 3/31/16

     54         (0.32     (719,783     2,647,436   

expiration date 4/29/16

     53         (0.25     (556,471     2,649,163   

expiration date 5/31/16

     53         (0.24     (551,179     2,705,480   

Platinum

         

expiration date 4/27/16

     147         (0.11     (254,960     6,565,020   

expiration date 7/27/16

     148         0.06        126,785        6,615,600   

Silver

         

expiration date 3/29/16

     64         (0.18     (414,395     4,416,960   

expiration date 5/26/16

     64         (0.17     (374,635     4,426,880   

expiration date 7/27/16

     63         (0.07     (151,495     4,368,105   

Soybean

         

expiration date 3/14/16

     101         (0.10     (231,875     4,364,463   

expiration date 5/13/16

     101         (0.10     (221,537     4,390,975   

expiration date 7/14/16

     101         0.01        24,500        4,427,587   

Soybean Oil

         

expiration date 3/14/16

     237         0.12        277,464        4,372,650   

expiration date 5/13/16

     237         0.13        288,294        4,402,512   

expiration date 7/14/16

     237         0.18        391,830        4,433,796   

Sugar No. 11

         

expiration date 2/29/16

     263         0.27        600,074        4,489,094   

expiration date 4/29/16

     264         0.26        591,270        4,411,546   

expiration date 6/30/16

     264         0.06        126,717        4,328,755   

Wheat

         

expiration date 3/14/16

     185         (0.14     (314,138     4,347,500   

expiration date 5/13/16

     185         (0.13     (298,525     4,407,625   

expiration date 7/14/16

     184         (0.07     (160,687     4,445,900   

WTI Crude Oil

         

expiration date 1/20/16

     68         (0.22     (502,660     2,518,720   

expiration date 2/22/16

     68         (0.22     (492,250     2,595,560   

expiration date 3/21/16

     68         (0.20     (445,480     2,660,840   

expiration date 4/20/16

     67         (0.15     (334,250     2,678,660   

expiration date 5/20/16

     67         (0.15     (329,010     2,727,570   
     

 

 

   

 

 

   

 

 

 

Total

        (3.88 )%    $ (8,705,967   $ 224,263,539   
     

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

13


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Consolidated Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2016 and 2015

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2016     2015     2016     2015  

Income:

        

Interest income

   $ 115,666      $ 9,418      $ 204,966      $ 19,744   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

        

Management fee to related party

     471,940        538,432        919,601        1,072,462   

Brokerage fees and expenses

     111,043        126,690        216,375        252,344   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     582,983        665,122        1,135,976        1,324,806   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (467,317     (655,704     (931,010     (1,305,062
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and Net Change in Unrealized Gain (Loss) on Investments and Future Contracts:

        

Net Realized Gain (Loss) from:

        

Investments

     —          2,000        —          2,000   

Futures Contracts

     16,757,478        (10,169,680     4,284,256        (38,603,665
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     16,757,478        (10,167,680     4,284,256        (38,601,665
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss) from:

        

Investments

     (8,809     (2,406     7,055        (885

Futures Contracts

     2,953,219        21,430,066        17,527,818        31,977,744   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss)

     2,944,410        21,427,660        17,534,873        31,976,859   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) from Investments and Futures Contracts

     19,701,888        11,259,980        21,819,129        (6,624,806
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ 19,234,571      $ 10,604,276      $ 20,888,119      $ (7,929,868
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Six Months Ended June 30, 2016

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2015

     50       $ 1,500       $ (572   $ 928        12,100,000      $ 360,079,849      $ (135,562,252   $ 224,517,597      $ 224,518,525   

Creation of Units

     —           —           —          —          200,000        4,009,960        —          4,009,960        4,009,960   

Redemption of Units

     —           —           —          —          (1,200,000     (22,734,709     —          (22,734,709     (22,734,709

Net Gain (Loss):

                    

Net Investment Loss

     —           —           (5     (5     —          —          (931,005     (931,005     (931,010

Net Realized Gain (Loss) from Investments and Futures Contracts

     —           —           19        19        —          —          4,284,237        4,284,237        4,284,256   

Net Change in Unrealized Gain (Loss) from Investments and Futures Contracts

     —           —           79        79        —          —          17,534,794        17,534,794        17,534,873   
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain

     —           —           93        93        —          —          20,888,026        20,888,026        20,888,119   
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2016

     50       $ 1,500       $ (479   $ 1,021        11,100,000      $ 341,355,100      $ (114,674,226   $ 226,680,874      $ 226,681,895   
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

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Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2016 and 2015

 

     2016     2015  

Cash flows from operating activities

    

Net Gain (Loss)

   $ 20,888,119      $ (7,929,868

Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:

    

Purchases of investment securities

     (369,743,779     (299,984,853

Proceeds from sales of investment securities

     325,000,000        500,000,666   

Net accretion of discount

     (204,966     (19,744

Net realized gain (loss) on investment securities

     —          (2,000

Change in net unrealized depreciation (appreciation) on investments

     (7,055     885   

Changes in assets and liabilities

    

(Increase)/Decrease in assets:

    

Net unrealized appreciation on future contracts

     (8,821,851     (4,728,668

Increase/(Decrease) in liabilities:

    

Net unrealized depreciation on futures contracts

     (8,705,967     (27,249,076

Management fee payable to related party

     (5,995     (23,116

Accrued brokerage fees and expenses payable

     52,075        (42,381
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     (41,549,419     160,021,845   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Proceeds from creation of Limited Units

     4,009,960        32,576,725   

Redemption of Limited Units

     (22,734,709     (12,261,295
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     (18,724,749     20,315,430   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (60,274,168     180,337,275   

Cash* at beginning of period

     83,440,007        94,433,074   
  

 

 

   

 

 

 

Cash* at end of period

   $ 23,165,839      $ 274,770,349   
  

 

 

   

 

 

 

 

* Includes cash held by the broker for futures contracts.

 

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WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Notes to Consolidated Financial Statements

June 30, 2016

(1) Organization

The WisdomTree Continuous Commodity Index Fund (the “Fund”; “Fund” may also refer to the Fund and the Master Fund (as defined below) collectively as the context requires) was formed as a Delaware statutory trust on October 27, 2006, and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund”), was formed as a Delaware statutory trust on October 27, 2006. WisdomTree Commodity Services, LLC (the “Managing Owner”) serves the Fund as commodity pool operator and managing owner.

Effective January 1, 2016, in accordance with the terms of a Unit Purchase Agreement dated October 29, 2015, GreenHaven LLC sold 100% of the issued and outstanding membership interest in the Managing Owner to WisdomTree Investments Inc. Following the sale, the name of the Fund was changed from “GreenHaven Continuous Commodity Index Fund” to “WisdomTree Continuous Commodity Index Fund,” the name of the Master Fund was changed from “GreenHaven Continuous Commodity Index Master Fund” to “WisdomTree Continuous Commodity Index Master Fund,” and the name of the Managing Owner was changed from “GreenHaven Commodity Services LLC” to “WisdomTree Commodity Services LLC.” As of January 1, 2016, the Fund’s Sub-Advisor and commodity trading advisor is GreenHaven Advisors LLC.

The Fund offers common units of beneficial interest ( “Shares”). Upon inception of the Fund, 50 General Units of the Fund were issued to the Managing Owner in exchange for a capital contribution of $1,500.

The proceeds from the offering of Shares are invested in the Master Fund (See Note 7 for details of the procedures for creation and redemption of Shares in the Fund). The Master Fund actively trades exchange traded futures on the commodities comprising the Thomson Reuters Continuous Commodity Index (the “Index”) with a view to tracking the performance of the Index over time. The Master Fund’s Portfolio also includes U.S. Treasury Obligations and other high credit-quality, short-term fixed income securities for deposit with the Master Fund’s commodity broker as margin. The Fund wholly owns the Master Fund. The Fund and Master Fund commenced investment operations on January 23, 2008 with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca.

The Index is intended to reflect the performance of certain commodities. Through January 6, 2013, the commodities comprising the Index (the “Index Commodities”) were: corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, orange juice, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index was revised on January 7, 2013 to include soybean oil and remove orange juice.

The Managing Owner and the Shareholders share in any profits and losses attributable to the Fund in proportion to the percentage interest owned by each.

The Managing Owner, the Funds, and the Master Fund retain the services of third party service providers for the ongoing operations of the Fund and the Master Fund. (See Note (2)).

In accordance with Accounting Standard Update (“ASU”) 2013-08, Financial Service-Investment Companies, the Fund qualifies as an investment company and is applying the accounting and reporting guidance for investment companies.

Unaudited Interim Financial Information

The financial statements as of June 30, 2016 and for the three-months and six-months ended June 30, 2016 and 2015 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statements and include all adjustments, which are of the normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year. Past performance of the Fund is not necessarily indicative of future performance.

(2) Service Providers and Related Party Agreements

(a) “Trustee” — CSC Trust is the trustee of the Fund and Master Fund. CSC Trust is headquartered in Wilmington, Delaware.

 

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(b) “Managing Owner” — WisdomTree Commodity Services, LLC (f/k/a GreenHaven Commodity Services, LLC) is the managing owner of the Fund and Master Fund and is responsible for the day to day operations of both entities. The Managing Owner charges the Fund a management fee for its services. The Managing Owner is a Delaware limited liability company with operations in New York, New York.

(c) “Administrator” — State Street Bank and Trust Company is the Fund’s Administrator. The Administrator performs or supervises the services necessary for the operation and administration of the Fund (other than making investment decisions) in accordance with various services agreements entered into with the Fund. These services include calculating the daily Net Asset Value of the Fund (the “Net Asset Value”), accounting and other Fund administrative services. As the Fund’s transfer agent, the Administrator processes creations and redemptions of Shares. These transactions are processed on Depository Trust Company’s (“DTC”) book entry system. The Administrator retains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. State Street Bank and Trust Company has an office in Boston, Massachusetts.

(d) “Commodity Broker” — Morgan Stanley & Co. LLC (“MS&Co.”) is the Master Fund’s Commodity Broker. In its capacity as the Commodity Broker, it executes and clears each of the Master Fund’s futures transactions and performs certain administrative services for the Master Fund. MS&Co. is based in New York, New York.

(e) “Distributor” — Foreside Fund Services LLC (“FFS”) is the Fund’s Distributor. The Fund’s Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders, and related functions and duties. FFS has an office in Portland, Maine.

(f) “Authorized Participant” — Authorized Participants may create or redeem shares of the Fund. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a participant in the DTC, and (3) have entered into a Participant Agreement with the Fund and the Managing Owner. The Participant Agreement sets forth the procedures for the creation and redemption of Baskets of Shares and for the delivery of cash required for such creations or redemptions. The current Authorized Participants are J.P. Morgan Securities LLC, Merrill Lynch Professional Clearing Corporation, Morgan Stanley & Co. Incorporated, and RBC Capital Markets, LLC. A similar agreement between the Fund and Master Fund sets forth the procedures for the creation and redemption of Baskets of Master Units.

(3) Summary of Significant Accounting Policies

(a) Use of Estimates

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses during the period. Actual results could differ from those estimates.

(b) Recently Issued Accounting Standards

No recently promulgated accounting standards are expected to have an effect on the Fund’s financial statements.

(c) Cash Held by Broker

The Fund defines cash held by broker to be cash and highly liquid investments with remaining maturities of three months or less from the date of acquisition. MS&Co. allows the Master Fund to apply its U.S. Treasury Bill portfolio towards its initial margin requirement for the Master Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and U.S. Treasury Bill positions held in segregated accounts at MS&Co. and are not insured by the Federal Deposit Insurance Corporation.

(d) U. S. Treasury Obligations

The Master Fund records purchases and sales of U.S. Treasury Obligations on a trade date basis. These holdings are marked to market based on quotations from broker-dealers or independent service providers. The Master Fund may hold U.S. Treasury Obligations for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open futures contracts. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasury Obligations.

(e) Income Taxes

The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. Accordingly, no provision for federal, state or local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.

 

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The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution.

(f) Futures Contracts

The Master Fund purchases and holds commodity futures for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the Consolidated Statements of Financial Condition, commodity futures are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard. (See Note 4 — Fair Value Measurements). However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable provided such principles are consistent with the fair value accounting standard. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Consolidated Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

(g) Basis of Presentation and Consolidation

All of the capital raised by the Fund is used to purchase common units of beneficial interest of the Master Fund. The financial statement balances of the Master Fund are consolidated with the Fund’s financial statement balances and all significant inter-company balances and transactions are eliminated. Separate financial statements of the Master Fund are presented to comply with SEC reporting requirements as the Master Fund is a separate SEC registrant.

(h) Subsequent Events

For purposes of disclosure in the consolidated financial statements, the Fund has evaluated events occurring between the period ended June 30, 2016 and the date on which the financial statements were issued.

During that period, 250,000 Limited Units were created and 0 Limited Units were redeemed resulting in 11,350,000 Limited Units outstanding.

Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

(4) Fair Value Measurements

The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Fund uses a three-tier fair value hierarchy based upon observable and unobservable inputs as follows:

Level 1 — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.

Level 3 — Unobservable inputs for the asset or liability.

 

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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Fund are either exchange-traded securities that are valued at the official closing price on the exchange where they are principally traded or U.S. government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Fund’s assets and liabilities at fair value as of June 30, 2016, classified according to the levels used to value them, is as follows:

 

Assets

   Quoted
Prices in
Active
Market
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Totals  

U.S. Treasury Obligations

   $ —         $ 194,935,800       $ —         $ 194,935,800   

Unrealized appreciation on futures contracts

     8,821,851         —           —           8,821,851   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 8,821,851       $ 194,935,800       $ —         $ 203,757,651   
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Fund during the six months ended June 30, 2016. The Fund did not hold any Level 3 securities during the six months ended June 30, 2016.

A summary of the Fund’s assets and liabilities at fair value as of December 31, 2015, classified according to the levels used to value them, is as follows:

 

Assets

   Quoted
Prices in
Active
Market
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Totals  

U.S. Treasury Obligations

   $ —         $ 149,980,000       $ —         $ 149,980,000   

Liabilities

  

  

 

 

    

 

 

    

 

 

    

 

 

 

Unrealized depreciation on futures contracts

     (8,705,967      —           —           (8,705,967
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (8,705,967    $ 149,980,000       $ —         $ 141,274,033   
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2015. The Fund did not hold any Level 3 securities during the year ended December 31, 2015.

(5) Derivative Instruments and Hedging Activities

The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2016, the Fund was invested in commodity futures. For the six months ended June 30, 2016 and year ended December 31, 2015, the volumes of derivative activity (based on average month-end notional amounts) were $218,821,698 and $247,056,205, respectively.

The fair value of derivative instruments at June 30, 2016 and December 31, 2015, were as follows:

 

Period

   Derivative Instruments    Asset Derivatives
(i)
     Liability Derivatives
(ii)
 

June 30, 2016

   Commodity Futures    $ 8,821,851         —     

December 31, 2015

   Commodity Futures      —         $ 8,705,967   

 

(i) Values are disclosed on the Consolidated Statements of Financial Condition under Net unrealized appreciation on futures contracts.
(ii) Values are disclosed on the Consolidated Statements of Financial Condition under Net unrealized depreciation on futures contracts.

 

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The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund for the three months and six months ended June 30, 2016 and 2015:

 

Period

  

Derivative Instruments

   Realized Gain
(Loss) on Derivative
Instruments (i)
     Net Change in
Unrealized Gain (Loss)
on Derivative
Instruments (ii)
 

Three months ended June 30, 2016

   Commodity Futures    $ 16,757,478       $ 2,953,219   

Three months ended June 30, 2015

   Commodity Futures      (10,169,680      21,430,066   

Six months ended June 30, 2016

   Commodity Futures      4,284,256         17,527,818   

Six months ended June 30, 2015

   Commodity Futures      (38,603,665      31,977,744   

 

(i) Values are disclosed on the Consolidated Statements of Income and Expenses under Net realized gain (loss) from futures contracts.
(ii) Values are disclosed on the Consolidated Statements of Income and Expenses under Net change in unrealized gain (loss) from futures contracts.

(6) Financial Instrument Risk

In the normal course of its business, the Fund may be party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Consolidated Statement of Financial Condition and not represented by the contract or notional amounts of the instruments.

The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.

(7) Share Creations and Redemptions

(a) Creation of Shares

General. On any business day, an Authorized Participant may place an order with the Fund’s Distributor (as facilitated by the Fund’s Administrator) to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day when NYSE Arca is open for regular trading. Purchase orders must be placed by 10:00 a.m., New York time. The day on which a valid purchase order is received is the purchase order date. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the purchase order.

Determination of Required Payment. The total payment required to create each Basket is the Net Asset Value of 50,000 Shares as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m., New York time, on the business day immediately following the purchase order date at Net Asset Value per Share as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.

 

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Because orders to create Baskets must be placed by 10:00 a.m., New York time, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m., New York time, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.

Rejection of Purchase Orders. The Administrator may reject a creation order if:

(i) it determines that the creation order is not in proper form;

(ii) the Managing Owner believes that the purchase order would have adverse tax consequences to the Fund or its Shareholders; or

(iii) circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets.

The Distributor and the Managing Owner will not be liable for the rejection of any purchase order.

(b) Redemption of Shares

General. The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m., New York time. The day on which a valid redemption order is received in proper form is the redemption order date. Redemption orders are irrevocable. Individual Shareholders may not redeem directly from the Fund.

By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than 12:00 p.m., New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.

Determination of Required Payment. The redemption proceeds from the Fund consist of the cash redemption amount equal to the Net Asset Value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at 12:00 p.m., New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.

Delivery of Redemption Proceeds. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 12:00 p.m., New York time, on the business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Distributor receives the fee applicable to the extension of the redemption distribution date which the Distributor may, from time-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 12:00 p.m., New York time, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Distributor is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 12:00 p.m., New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Distributor and the Managing Owner may from time-to-time agree upon.

Suspension or Rejection of Redemption Orders. The Managing Owner may suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. The Managing Owner will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.

A redemption order may be rejected if the order is not in proper form as described in the order form and/or Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful.

 

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(8) Operating Expenses

(a) Management Fee

The Fund pays the Managing Owner a management fee (the “Management Fee”) monthly in arrears, in an amount equal to 0.85% per annum of the net asset value of the Master Fund. The management fee incurred for the three months ended June 30, 2016 and 2015 were $471,940 and $538,432 and for the six months ended June 30, 2016 and 2015 were $919,601 and $1,072,462, respectively. The Management Fees were charged to the Fund and paid to the Managing Owner.

(b) Organization and Offering Expenses

Expenses incurred in connection with organizing the Fund and the offering of the Shares were paid by GreenHaven, LLC. GreenHaven, LLC is the former sole member of the Managing Owner. The Fund does not have an obligation to reimburse GreenHaven, LLC or its affiliates for organization and offering expenses paid on their behalf.

(c) Brokerage Commissions, Fees, and Routine Operational, Administrative, and Other Ordinary Expenses

The Fund will pay to the Commodity Brokers all brokerage commissions, including applicable exchange fees, National Futures Association fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities. On average, total charges paid to the Commodity Broker are expected to be less than $20.00 per round-turn trade, although the Commodity Broker’s brokerage commissions and trading fees will be determined on a contract-by-contract basis. The Fund will also reimburse the Managing Owner for any routine operational, administrative and other ordinary expenses of the Fund and the Master Fund paid by the Managing Owner (including, but not limited to, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs), out of any remaining portion of the 0.20% of the Fund’s Net Asset Value accrued for the payment of brokerage commissions and fees.

Brokerage commissions and fees are charged against the Fund’s assets on a per transaction basis. The brokerage commissions, trading fees and routine operational, administrative, and other ordinary expenses incurred for the three months ended June 30, 2016 and 2015 were $111,043 and $126,690 and for the six months ended June 30, 2016 and 2015 were $216,375 and $252,344, respectively.

(9) Termination

The term of the Fund is perpetual, unless terminated earlier in certain circumstances as defined in the Trust Agreement.

(10) Profit and Loss Allocations and Distributions

The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a pro-rata basis in accordance with the respective capital balances of the Shareholders, but the Fund is under no obligation to make periodic distributions to Shareholders. The Fund made no distributions to its Shareholders during the six months ended June 30, 2016.

(11) Commitments and Contingencies

The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interest of the Fund. As of June 30, 2016, no claims had been received by the Fund and it was therefore not possible to estimate the Fund’s potential future exposure under such indemnification provisions.

 

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(12) Net Asset Value and Financial Highlights

The Fund is presenting the following Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the three months and six months ended June 30, 2016 and 2015. The total return at Net Asset Value is based on the change in Net Asset Value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of capital transactions.

 

     Three Months
Ended
June 30, 2016
    Three Months
Ended
June 30, 2015
    Six Months
Ended
June 30, 2016
    Six Months
Ended
June 30, 2015
 

Net Asset Value

        

Net asset value per Limited Share, beginning of period

   $ 18.73      $ 21.20      $ 18.56      $ 22.81   

Net realized and change in unrealized gain (loss)

     1.73        0.94        1.94        (0.62

Net investment loss(1)

     (0.04     (0.06     (0.08     (0.11
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     1.69        0.88        1.86        (0.73
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Limited Share, end of period

   $ 20.42      $ 22.08      $ 20.42      $ 22.08   
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratio to average Net Assets(2)

        

Net investment loss

     (0.84 )%      (1.03 )%      (0.86 )%      (1.03 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1.05     1.05     1.05     1.05
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return, at net asset value(3)

     9.02     4.15     10.02     (3.20 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(1)  Based on average shares outstanding.
(2)  Annualized.
(3)  Total return calculated for a period of less than one year is not annualized.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operation.

The following discussion should be read in conjunction with the Funds’ Financial Statements and the related Notes to the Funds’ Financial Statements included elsewhere in this Quarterly Report.

This Quarterly Report, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operation,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Funds’ actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Funds’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Funds cannot assure investors that these projections included in these forward-looking statements will come to pass. The Funds’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

Overview/Introduction

The Fund seeks to track changes, whether positive or negative, in the level of the Thomson Reuters Continuous Commodity Index Total Return over time, plus the excess, if any, of the Master Fund’s interest income from its holdings of U.S. Treasury Obligations and other high credit-quality short-term fixed income securities over the expenses of the Funds. The Shares are designed for investors who want a cost-effective and convenient way to invest in an equal-weight portfolio of commodity futures.

The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a Portfolio of exchange-traded futures contracts on the commodities comprising the Index. Through January 6, 2013, the Index Commodities were wheat, corn, soybeans, live cattle, lean hogs, gold, silver, platinum, copper, cotton, coffee, cocoa, orange juice, sugar, crude oil, heating oil, and natural gas. Following the tenth revision on January 7, 2013, orange juice was removed and soybean oil was added at an equivalent allocation.

The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. The Master Fund’s Portfolio also includes U.S. Treasury Obligations and other high credit-quality short-term fixed income securities for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasury Obligations on deposit towards satisfying any margin requirements related to the futures contracts in the Master Fund’s futures account. The Index Sponsor is Thomson Reuters. Thomson Reuters is not an affiliate of the Fund, the Master Fund or the Managing Owner.

Under the Trust Agreements of each of the Fund and the Master Fund, CSC Trust, the Trustee of the Funds, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor does the Trustee have any liability for the acts or omissions of the Managing Owner.

The Index Sponsor obtains information for inclusion in, or for use in the calculation of, the Index from sources the Index Sponsor considers reliable. None of the Index Sponsor, the Managing Owner, the Fund, the Master Fund or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of the Index or any data included in the Index.

 

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Table of Contents

The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Master Fund’s Portfolio. The market price of the Shares may not be identical to the Net Asset Value per Share, but these two valuations are expected to be very close.

The ticker symbol of the Fund is “GCC.”

Performance Summary

There is no performance history prior to the beginning of trading on January 24, 2008. For current five-year performance history subsequent to the beginning of trading, see the “Results of Operations” section below.

Net Asset Value

The Administrator calculates a Net Asset Value per Share of the Fund daily, based on closing prices of the underlying futures contracts. The first such calculation was as of market close on January 24, 2008, the first day of trading. Values of the underlying Index are computed by Thomson Reuters America, LLC, and disseminated by NYSE Arca every 15 seconds during the trading day. Only settlement and last-sale prices are used in the Index’s calculation, bids and offers are not recognized – including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Index value is based on the settlement prices of the component commodities, and explains why the underlying Index often closes at or near the high or low for the day.

Critical Accounting Policies

Critical accounting policies for the Fund and Master Fund are as follows:

Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. Both the Fund and the Master Fund apply these policies that involve judgments and actual results may differ from the estimates used.

The Master Fund holds a significant portion of its assets in futures contracts and U.S. Treasury Obligations, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statements of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Fund’s consolidated financial statements. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

When market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.

Interest income on U.S. Treasury Obligations is recognized on an accrual basis when earned. Discounts and premiums are amortized or accreted over the life of the U.S. Treasury Obligations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the consolidated statements of income and expenses in the period in which the contract is closed or the changes occur, respectively.

Asset Valuation

The Fund records its futures contracts and U.S. Treasury Obligations on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses.

In determining fair value of U.S. Treasury Obligations and commodity futures, the Fund uses unadjusted quoted market prices in active markets and a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. See Note 4 to the financial statements for further information regarding this accounting policy.

 

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Table of Contents

Market Risk

See Item 1A – Risk Factors and Item 3 – Quantitative and Qualitative Disclosures About Market Risk for a complete discussion of market risk.

Credit Risk

The Master Fund holds two types of investments. The first is long positions in futures contracts on the seventeen commodities in the Index. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the futures contracts is divided equally among the components. Each of the component commodities is traded on the CME Group or ICE exchanges.

The CME Group and ICE exchanges guarantee the performance of its outstanding futures contracts. Each exchange is also publicly traded and, in management’s opinion, well-capitalized. Each uses a system of margining and daily cash settlement of unrealized gains and losses in open positions, which reduces counterparty risk for market participants. Hence, management believes that the Fund faces minimal credit or counterparty risk in its futures trading and contract positions.

The Master Fund will also hold significant cash balances representing the excess of invested funds above the margin requirements for its futures positions. To the extent practical, the Fund will hold this excess cash in short-term U.S. Treasury Obligations. Hence, management assigns no counterparty risk to such holdings.

Liquidity

The Funds do not anticipate making use of borrowings or other lines of credit to meet its obligations. The Master Fund meets liquidity needs in the normal course of business from cash, cash equivalents, and/or from the sale of U.S. Treasury Obligations it holds. The Funds’ liquidity needs include: redeeming Shares, providing margin deposits for existing futures contracts, the purchase of additional futures contracts and paying expenses.

The Funds generate cash primarily from (i) the sale of creation Baskets, (ii) the sale of futures contracts, and (iii) interest earned on cash, cash equivalents and investments in collateralizing U.S. Treasury Obligations. Substantially all of the net assets of the Master Fund are allocated to trading in futures contracts. Most of the assets of the Master Fund are held in U.S. Treasury Obligations, cash and/or cash equivalents that could or are used as margin or collateral for trading in futures contracts. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the futures contracts change. Interest earned on interest-bearing assets of the Master Fund is paid to the Master Fund.

The investments of the Master Fund in futures contracts could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Master Fund from promptly liquidating a position in futures contracts.

Contractual Obligations

The Fund’s contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of the Master Fund’s Net Asset Value. Commissions paid by the Fund to the Commodity Broker are on a per trade basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to future trades.

Off-Balance Sheet Risk

In the normal course of business, the Funds are party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are standardized commodity futures traded on regulated exchanges and are recognized on the balance sheet at fair value pursuant to the accounting standards for derivatives and hedging activities, “Accounting for Derivative Instruments and Hedging Activities.” As of the balance sheet date, the Funds have no unrecorded liabilities relating to futures contracts. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.

Results of Operations

FOR THE PERIOD FROM JUNE 30, 2011 TO JUNE 30, 2016

The Fund was launched on January 23, 2008 at $30.00 per share and listed for trading on the NYSE Arca, formerly the American Stock Exchange, on January 24, 2008.

 

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Table of Contents

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Date     Net Asset
Value
    Total Shares     Net Assets     1 Month     3 Months      Year to Date      Cumulative Return
Since Inception
 
  7/31/2011      $ 34.48        21,000,050      $ 724,116,753        2.65     -5.12      4.87      14.93
  8/31/2011      $ 35.23        20,700,050      $ 729,239,416        2.18     1.03      7.15      17.43
  9/30/2011      $ 30.46        20,600,050      $ 627,529,793        -13.54     -9.32      -7.36      1.54
  10/31/2011      $ 32.21        19,200,050      $ 618,385,071        5.74     -6.58      -2.04      7.37
  11/30/2011      $ 31.12        20,300,050      $ 631,805,637        -3.38     -11.67      -5.35      3.73
  12/31/2011      $ 29.96        19,400,050      $ 581,157,491        -3.73     -1.64      -8.88      -0.13
  1/31/2012      $ 31.29        19,550,050      $ 611,797,377        4.44     -2.86      4.44      4.30
  2/29/2012      $ 31.70        21,350,050      $ 676,876,258        1.31     1.86      5.81      5.67
  3/31/2012      $ 30.35        21,250,050      $ 644,868,253        -4.26     1.30      1.30      1.17
  4/30/2012      $ 29.51        20,550,050      $ 606,519,698        -2.77     -5.69      -1.50      -1.63
  5/31/2012      $ 26.95        18,300,050      $ 493,144,321        -8.68     -14.98      -10.05      -10.17
  6/30/2012      $ 28.43        18,000,050      $ 511,712,177        5.49     -6.33      -5.11      -5.23
  7/31/2012      $ 29.65        17,100,050      $ 506,949,216        4.29     0.47      -1.03      -1.17
  8/31/2012      $ 30.35        16,650,050      $ 505,295,771        2.36     12.62      1.30      1.17
  9/30/2012      $ 30.57        16,900,050      $ 516,674,737        0.72     7.53      2.04      1.90
  10/31/2012      $ 29.56        16,600,050      $ 490,720,396        -3.30     -0.30      -1.34      -1.47
  11/30/2012      $ 29.83        16,750,050      $ 499,587,285        0.91     -1.71      -0.43      -0.57
  12/31/2012      $ 28.85        16,450,050      $ 474,607,729        -3.29     -5.63      -3.70      -3.83
  1/31/2013      $ 29.50        16,450,050      $ 485,228,210        2.25     -0.20      2.25      -1.67
  2/28/2013      $ 28.21        16,500,050      $ 465,398,977        -4.37     -5.43      -2.22      -5.97
  3/31/2013      $ 28.26        17,000,050      $ 480,366,427        0.18     -2.05      -2.05      -5.80
  4/30/2013      $ 27.65        16,800,050      $ 464,578,302        -2.16     -6.27      -4.16      -7.83
  5/31/2013      $ 26.89        16,200,050      $ 435,577,235        -2.75     -4.68      -6.79      -10.37
  6/30/2013      $ 25.76        15,700,050      $ 404,488,312        -4.20     -8.85      -10.71      -14.13
  7/31/2013      $ 26.01        14,900,050      $ 387,484,507        0.97     -5.93      -9.84      -13.30
  8/31/2013      $ 26.84        13,550,050      $ 363,732,451        3.19     -0.19      -6.97      -10.53
  9/30/2013      $ 26.48        13,400,050      $ 354,838,812        -1.34     2.80      -8.21      -11.73
  10/31/2013      $ 26.15        13,300,050      $ 347,770,766        -1.25     0.54      -9.36      -12.83
  11/30/2013      $ 25.84        13,300,050      $ 343,662,899        -1.19     -3.73      -10.43      -13.87
  12/31/2013      $ 25.70        12,450,050      $ 319,992,417        -0.54     -2.95      -10.92      -14.33
  1/31/2014      $ 25.87        11,900,050      $ 307,883,915        0.66     -1.07      0.66      -13.77
  2/28/2014      $ 27.80        12,350,050      $ 343,355,140        7.46     7.59      8.17      -7.33
  3/31/2014      $ 28.19        12,350,050      $ 348,183,222        1.40     9.69      9.69      -6.03
  4/30/2014      $ 28.74        12,500,050      $ 359,209,409        1.95     11.09      11.83      -4.20
  5/31/2014      $ 27.78        12,800,050      $ 355,553,581        -3.34     -0.07      8.09      -7.40
  6/30/2014      $ 27.91        12,900,050      $ 359,978,141        0.47     -0.99      8.60      -6.97
  7/31/2014      $ 26.62        13,150,050      $ 350,041,597        -4.62     -7.38      3.58      -11.27
  8/31/2014      $ 26.25        13,150,050      $ 345,220,665        -1.39     -5.51      2.14      -12.50
  9/30/2014      $ 24.79        12,950,050      $ 321,017,239        -5.56     -11.18      -3.54      -17.37
  10/31/2014      $ 24.73        12,750,050      $ 315,332,090        -0.24     -7.10      -3.77      -17.57
  11/30/2014      $ 23.97        12,250,050      $ 293,666,858        -3.07     -8.69      -6.73      -20.10
  12/31/2014      $ 22.81        11,700,050      $ 266,897,995        -4.84     -7.99      -11.25      -23.97
  1/31/2015      $ 21.83        11,600,050      $ 253,276,499        -4.30     -11.73      -4.30      -27.23
  2/28/2015      $ 22.21        11,400,050      $ 253,156,514        1.74     -7.34      -2.63      -25.97
  3/31/2015      $ 21.20        11,500,050      $ 243,765,407        -4.55     -7.06      -7.06      -29.33
  4/30/2015      $ 21.90        11,450,050      $ 250,728,635        3.30     0.32      -3.99      -27.00
  5/31/2015      $ 21.51        11,550,050      $ 248,405,407        -1.78     -3.15      -5.70      -28.30
  6/30/2015      $ 22.08        12,650,050      $ 279,283,550        2.65     4.15      -3.20      -26.40
  7/31/2015      $ 20.14        12,350,050      $ 248,781,672        -8.79     -8.04      -11.71      -32.87
  8/31/2015      $ 19.89        12,250,050      $ 243,701,247        -1.24     -7.53      -12.80      -33.70
  9/30/2015      $ 19.48        12,350,050      $ 240,610,264        -2.06     -11.78      -14.60      -35.07
  10/31/2015      $ 19.80        12,450,050      $ 246,482,902        1.64     -1.69      -13.20      -34.00
  11/30/2015      $ 18.65        12,600,050      $ 234,930,303        -5.81     -6.23      -18.24      -37.83
  12/31/2015      $ 18.56        12,100,050      $ 224,518,407        -0.48     -4.72      -18.63      -38.13
  1/31/2016      $ 18.08        11,800,050      $ 213,290,323        -2.59     -8.69      -2.59      -39.73
  2/29/2016      $ 17.95        11,500,050      $ 206,423,399        -0.72     -3.75      -3.29      -40.17
  3/31/2016      $ 18.73        11,350,050      $ 212,556,966        4.35     0.92      0.92      -37.57

 

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Table of Contents
Date     Net Asset
Value
    Total Shares     Net Assets     1 Month     3 Months      Year to Date      Cumulative Return
Since Inception
 
  4/30/2016      $ 19.83        11,400,050      $ 226,055,159        5.87     9.68      6.84      -33.90
  5/31/2016      $ 19.61        11,450,050      $ 224,548,529        -1.11     9.25      5.66      -34.63
  6/30/2016      $ 20.42        11,100,050      $ 226,681,895        4.13     9.02      10.02      -31.93

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

 

LOGO

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

 

LOGO

The Fund and the Master Fund seek to track changes in the Thomson Reuters Equal Weight Continuous Commodity Index-Total Return, or the “Index”, over time. For the six months ended June 30, 2016 and June 30, 2015, the Fund’s Net Asset Value underperformed the Index by 0.72% and 0.27%, respectively.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

The Funds are designed to replicate a commodity index. The market-sensitive instruments held by the Master Fund are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Funds’ main line of business.

Market movements can produce frequent changes in the fair market value of the Master Fund’s open positions and, consequently, in its earnings and cash flows. The Funds’ market risk is primarily influenced by changes in the price of commodities.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The Funds are unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. These special circumstances, for example, include the unavailability of the Index or certain natural or man-made disasters. The Managing Owner does not apply risk management techniques. The Master Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.

Accordingly, tabular presentations of Market Risk or Sensitivity or Value-at-Risk analyses thereof are not applicable.

 

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Item 4. Controls and Procedures.

Disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Fund carried out an evaluation of the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(f)) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures with respect to the Fund were effective as of the end of the period covered by this quarterly report.

Changes in Internal Control over Financial Reporting

The Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. The Managing Owner’s internal control system is designed to provide reasonable assurance to the Fund’s management regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Effective January 1, 2016, in accordance with the terms of a Unit Purchase Agreement dated October 29, 2015, GreenHaven Group LLC sold to WisdomTree Investments Inc., 100% of the issued and outstanding membership interest in the Managing Owner. In connection with such sale, the Managing Owner appointed State Street Bank and Trust as the Fund’s Administrator. The Administrator retains certain financial books and records on behalf of the Fund, including fund accounting records and ledgers with respect to assets, liabilities, capital, income and expenses. Also in connection with such sale, the Managing Owner appointed new executive officers, who participate in the management of the Fund. See the Fund’s Form 8-K filed January 4, 2016. Except as noted above, the Managing Owner does not believe that there have been any change in the Fund’s internal control over financial reporting during the three months ended June 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

Not Applicable.

Item 1A. Risk Factors.

We filed our Annual Report on Form 10-K for the year ended December 31, 2015, with the Securities and Exchange Commission on March 15, 2016, which sets forth certain risk factors in Part I, Item 1A therein. We have not experienced any material changes from the risk factors previously described in our Annual Report on Form 10-K for the year ended December 31, 2015.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

(a) None.

(b) For the three-months ended June 30, 2016, 450,000 Limited Units were redeemed for $9,119,602 and 200,000 Limited Units were created for $4,009,960. On June 30, 2016, 11,100,000 Limited Units of the Fund were outstanding for a market capitalization of $227,106,000, based on the June 30, 2016 closing price of $20.46 on the NYSE Arca.

 

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(c) The following table shows the number of Shares redeemed (purchased back by the Fund, or “Issuer”) from Authorized Participants for each month during the quarter ended June 30, 2016:

Issuer Purchases of Equity Securities

 

                         

Maximum Number (or

Approximate Dollar

Value) of Shares That

 
                   Total Number of     
                   Shares Purchased
as
    
                   Part of Publicly      May Yet Be Purchased  
     Total Number of      Average Price      Announced Plans or      Under the Plans or  

Period

   Shares Redeemed      Paid per Share      Programs      Programs  

April 1, 2016 to April 30, 2016

     —         $ —           N/A         N/A   

May 1, 2016 to May 31, 2016

     —         $ —           N/A         N/A   

June 1, 2016 to June 30, 2016

     450,000      $ 20.27        N/A         N/A   
  

 

 

    

 

 

       

Total

     450,000       $ 20.27        
  

 

 

    

 

 

       

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

None.

Item 5. Other Information

None.

 

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Item 6. Exhibits.

 

Exhibit
No.

  

Description of Document

  31.1    Certification by Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
  31.2    Certification by Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
  31.3    Certification by Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
  31.4    Certification by Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
  32.1    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.2    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.3    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.4    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS    XBRL Instance Document.
101.SCH    XBRL Taxonomy Extension Schema Document.
101.CAL    XBRL Taxonomy Extension Calculation Linkbase Document.
101.DEF    XBRL Taxonomy Extension Definition Linkbase Document.
101.LAB    XBRL Taxonomy Extension Label Linkbase Document.
101.PRE    XBRL Taxonomy Extension Presentation Linkbase Document.

 

(1) Filed herewith.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant and co-registrant have duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

WisdomTree Commodity Services, LLC,

Managing Owner of the WisdomTree Continuous

Commodity Index Fund (registrant)

By:  

/s/ Gregory Barton

Gregory Barton
Chief Executive Officer
(Principal Executive Officer)
Date: August 5, 2016
By:  

/s/ David Castano

David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 5, 2016
WisdomTree Commodity Services, LLC,

Managing Owner of the WisdomTree Continuous

Commodity Index Master Fund (co-registrant)

By:  

/s/ Gregory Barton

Gregory Barton
Chief Executive Officer
(Principal Executive Officer)
Date: August 5, 2016
By:  

/s/ David Castano

David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 5, 2016