10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

For the quarterly period ended June 30, 2017

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  ☒    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  ☒    No  ☐

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

 

Large accelerated filer      Accelerated filer  
Non-accelerated filer      Smaller reporting company  
     Emerging growth company  

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities

Act.    Yes  ☐    No  ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  ☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock as of August 7, 2017: 8,750,000 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, 2017 (unaudited) and December 31, 2016

     1  

Unaudited Consolidated Schedule of Investments June 30, 2017

     2  

Consolidated Schedule of Investments December 31, 2016

     4  

Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2017 and 2016

     6  

Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2017

     7  

Unaudited Consolidated Statements of Cash Flows For the Six Months Ended June 30, 2017 and 2016

     8  

Statements of Financial Condition June  30, 2017 (unaudited) and December 31, 2016

     9  

Unaudited Schedule of Investments June 30, 2017

     10  

Schedule of Investments December 31, 2016

     12  

Unaudited Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2017 and 2016

     14  

Unaudited Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2017

     15  

Unaudited Statements of Cash Flows For the Six Months Ended June  30, 2017 and 2016

     16  

Notes to Consolidated Financial Statements June 30, 2017

     17  

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

     26  

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     32  

Item 4. Controls and Procedures

     34  

PART II - OTHER INFORMATION

     35  

Item 1. Legal Proceedings

     35  

Item 1A. Risk Factors

     35  

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

     35  

Item 3. Defaults Upon Senior Securities

     35  

Item 4. Mine Safety Disclosures

     35  

Item 5. Other Information

     35  

Item 6. Exhibits

     36  

SIGNATURES

     37  

 

i


Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

WisdomTree Continuous Commodity Index Fund

Consolidated Statements of Financial Condition

June 30, 2017 (unaudited) and December 31, 2016

 

     June 30, 2017
(unaudited)
    December 31,
2016
 

Assets:

 

Cash

   $ 3,109,117     $ 8,738,522  

Cash held by broker for futures contracts (Note 3)

     11,168,965       12,839,693  

Short-term investments (cost $154,831,996 and $199,833,099 as of June 30, 2017 and December 31, 2016, respectively)

     154,837,450       199,838,720  
  

 

 

   

 

 

 

Total Assets

     169,115,532       221,416,935  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

    

Net unrealized depreciation on futures contracts

     3,654,413       1,424,715  

Net management fee payable to related party

     101,233       158,443  

Accrued brokerage fees and expenses payable

     —         173,182  
  

 

 

   

 

 

 

Total Liabilities

     3,755,646       1,756,340  
  

 

 

   

 

 

 

Shareholders’ equity:

    

General Units:

    

Paid in capital - 50 units issued

     1,500       1,500  

Accumulated deficit

     (566     (533
  

 

 

   

 

 

 

Total General Units

     934       967  
  

 

 

   

 

 

 

Limited Units:

    

Paid in capital - 8,850,000 and 11,350,000 redeemable shares issued and outstanding as of June 30, 2017 and December 31, 2016, respectively

     298,202,999       346,357,042  

Accumulated deficit

     (132,844,047     (126,697,414
  

 

 

   

 

 

 

Total Limited Units

     165,358,952       219,659,628  
  

 

 

   

 

 

 

Total shareholders’ equity

     165,359,886       219,660,595  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 169,115,532     $ 221,416,935  
  

 

 

   

 

 

 

Net asset value per share

    

General Units

   $ 18.68     $ 19.35  
  

 

 

   

 

 

 

Limited Units

   $ 18.68     $ 19.35  
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

1


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2017

 

Description

          Percentage of
Net Assets
    Fair Value     Face Amount  

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

0.82%, 7/13/17*

        33.25   $ 54,988,230     $ 55,000,000  

0.87%, 8/10/17*

        31.42       51,952,420       52,000,000  

0.97%, 9/21/17* (a)

        28.97       47,896,800       48,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $154,831,996)

        93.64   $ 154,837,450     $ 155,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure

         

Cocoa

         

expiration date 9/14/17

     248        (0.04 )%    $ (67,950   $ 4,811,200  

expiration date 12/13/17

     248        0.00       (1,990     4,878,160  

Coffee “C”

         

expiration date 9/19/17

     101        (0.25     (411,169     4,760,888  

expiration date 12/18/17

     101        (0.19     (316,181     4,893,450  

Copper

         

expiration date 9/27/17

     72        0.06       102,200       4,879,800  

expiration date 12/27/17

     71        0.13       208,900       4,840,425  

Corn

         

expiration date 9/14/17

     252        (0.05     (79,250     4,800,600  

expiration date 12/14/17

     251        (0.02     (31,762     4,919,600  

Cotton No. 2

         

expiration date 12/6/17

     143        (0.19     (311,885     4,904,185  

expiration date 3/7/18

     142        (0.20     (328,445     4,797,470  

Gold 100 Ounce

         

expiration date 12/27/17

     39        (0.09     (149,910     4,873,440  

expiration date 2/26/18

     39        (0.09     (154,990     4,886,700  

Lean Hogs

         

expiration date 8/14/17

     85        0.12       203,080       2,847,500  

expiration date 10/13/17

     85        0.05       87,700       2,395,300  

expiration date 12/14/17

     86        0.04       61,950       2,183,540  

expiration date 2/14/18

     85        0.01       20,870       2,273,750  

Live Cattle

         

expiration date 10/31/17

     70        0.15       245,000       3,225,600  

expiration date 12/29/17

     70        0.05       89,230       3,242,400  

expiration date 2/28/18

     69        (0.07     (112,680     3,209,190  

Natural Gas

         

expiration date 8/29/17

     62        (0.07     (115,130     1,879,220  

expiration date 9/27/17

     62        (0.10     (171,170     1,895,960  

expiration date 10/27/17

     61        (0.10     (164,960     1,901,980  

expiration date 11/28/17

     61        0.00       (2,630     1,992,870  

expiration date 12/27/17

     61        0.00       3,150       2,047,160  

NY Harbor ULSD

         

expiration date 8/31/17

     31        (0.13     (222,739     1,940,891  

expiration date 9/29/17

     31        (0.12     (192,872     1,951,698  

expiration date 10/31/17

     31        (0.11     (174,615     1,963,156  

expiration date 11/30/17

     31        0.02       32,621       1,975,655  

expiration date 12/29/17

     30        0.02       26,250       1,923,138  

Platinum

         

expiration date 10/27/17

     105        (0.23     (385,285     4,863,600  

expiration date 1/29/18

     104        (0.07     (118,815     4,837,040  

Silver

         

expiration date 9/27/17

     59        (0.18     (304,660     4,904,965  

expiration date 12/27/17

     58        (0.25     (407,475     4,852,280  

Soybean

         

expiration date 11/14/17

     101        0.02       26,975       4,821,487  

expiration date 1/12/18

     101        0.05       88,238       4,860,625  

 

See accompanying notes to unaudited consolidated financial statements

 

2


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2017

(continued)

 

Description

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

Soybean Oil

         

expiration date 9/14/17

     122        (0.02 )%    $ (31,212   $ 2,427,312  

expiration date 10/13/17

     122        (0.02     (27,510     2,428,044  

expiration date 12/14/17

     121        0.06       92,490       2,420,484  

expiration date 1/12/18

     121        0.05       85,728       2,432,100  

Sugar No. 11

         

expiration date 9/29/17

     306        (0.63     (1,037,770     4,732,963  

expiration date 2/28/18

     305        (0.09     (140,885     4,942,952  

Wheat

         

expiration date 9/14/17

     181        0.34       567,375       4,760,300  

expiration date 12/14/17

     182        0.38       625,250       4,959,500  

WTI Crude Oil

         

expiration date 8/22/17

     42        (0.15     (255,780     1,944,180  

expiration date 9/20/17

     42        (0.15     (247,630     1,953,420  

expiration date 10/20/17

     42        (0.14     (239,090     1,964,340  

expiration date 11/20/17

     41        0.00       (6,030     1,929,050  

expiration date 12/19/17

     41        (0.01     (8,950     1,939,710  
     

 

 

   

 

 

   

 

 

 

Total

        (2.21 )%    $ (3,654,413   $ 165,069,278  
     

 

 

   

 

 

   

 

 

 

 

* Interest rate shown reflects the discount rate at time of purchase.
(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, 2016

 

Description

          Percentage of
Net Assets
    Fair Value     Face Amount  

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

0.44%, 2/16/17*

        27.30   $ 59,968,080     $ 60,000,000  

0.47%, 3/2/17*

        31.84       69,946,450       70,000,000  

0.49%, 3/23/17* (a)

        31.83       69,924,190       70,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $199,833,099)

        90.97   $ 199,838,720     $ 200,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure

         

Cocoa

         

expiration date 3/16/17

     203        (0.48 )%    $ (1,048,280   $ 4,315,780  

expiration date 5/15/17

     203        (0.50     (1,088,550     4,289,390  

expiration date 7/14/17

     204        (0.27     (591,860     4,312,560  

Coffee “C”

         

expiration date 3/21/17

     83        (0.16     (341,588     4,265,681  

expiration date 5/18/17

     82        (0.16     (351,750     4,286,550  

expiration date 7/19/17

     82        (0.36     (800,588     4,357,275  

Copper

         

expiration date 3/29/17

     69        0.19       418,950       4,321,988  

expiration date 5/26/17

     68        0.19       418,013       4,270,400  

expiration date 7/27/17

     68        0.01       17,063       4,280,600  

Corn

         

expiration date 3/14/17

     241        0.04       90,475       4,241,600  

expiration date 5/12/17

     240        0.03       73,812       4,290,000  

expiration date 7/14/17

     240        (0.02     (40,100     4,371,000  

Cotton No. 2

         

expiration date 3/9/17

     121        0.08       182,865       4,274,325  

expiration date 5/8/17

     120        0.00       2,000       4,261,200  

expiration date 7/7/17

     121        0.02       50,520       4,318,490  

Gold 100 Ounce

         

expiration date 2/24/17

     38        (0.23     (502,630     4,376,460  

expiration date 4/26/17

     37        (0.26     (566,920     4,270,910  

expiration date 6/28/17

     37        (0.16     (350,480     4,281,270  

Lean Hogs

         

expiration date 2/14/17

     113        0.25       543,570       2,989,980  

expiration date 4/17/17

     113        0.16       341,360       3,076,990  

expiration date 6/14/17

     112        0.06       131,780       3,427,200  

expiration date 7/17/17

     112        0.02       47,760       3,393,600  

Live Cattle

         

expiration date 2/28/17

     96        0.14       306,400       4,456,320  

expiration date 4/28/17

     96        0.10       217,070       4,399,680  

expiration date 6/30/17

     96        0.12       270,810       4,019,520  

Natural Gas

         

expiration date 1/27/17

     71        0.16       344,220       2,644,040  

expiration date 2/24/17

     71        0.15       338,950       2,615,640  

expiration date 3/29/17

     71        0.17       375,650       2,531,860  

expiration date 4/26/17

     72        0.20       444,320       2,550,960  

expiration date 5/26/17

     72        0.20       431,380       2,563,200  

NY Harbor ULSD

         

expiration date 1/31/17

     36        0.15       335,177       2,613,038  

expiration date 2/28/17

     36        0.16       345,064       2,627,856  

expiration date 3/31/17

     35        0.16       353,686       2,557,065  

expiration date 4/28/17

     35        0.16       351,746       2,563,827  

expiration date 5/31/17

     35        0.16       348,386       2,571,324  

 

See accompanying notes to unaudited consolidated financial statements

 

4


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2016

(continued)

 

Description

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

Platinum

         

expiration date 4/26/17

     143        (0.23 )%    $ (507,030   $ 6,475,755  

expiration date 7/27/17

     142        (0.13     (295,105     6,455,320  

Silver

         

expiration date 3/29/17

     54        (0.33     (715,760     4,317,030  

expiration date 5/26/17

     54        (0.33     (735,715     4,331,340  

expiration date 7/27/17

     53        (0.25     (554,420     4,264,380  

Soybean

         

expiration date 3/14/17

     85        0.04       87,063       4,267,000  

expiration date 5/12/17

     85        0.06       120,263       4,303,125  

expiration date 7/14/17

     85        0.00       (2,400     4,330,750  

Soybean Oil

         

expiration date 3/14/17

     206        0.04       78,492       4,283,976  

expiration date 5/12/17

     206        0.04       94,890       4,316,112  

expiration date 7/14/17

     205        (0.03     (61,998     4,320,990  

Sugar No. 11

         

expiration date 2/28/17

     200        (0.11     (239,019     4,370,240  

expiration date 4/28/17

     201        (0.09     (208,936     4,333,560  

expiration date 6/30/17

     199        (0.11     (245,582     4,201,288  

Wheat

         

expiration date 3/14/17

     205        (0.15     (326,863     4,182,000  

expiration date 5/12/17

     204        (0.15     (336,588     4,289,100  

expiration date 7/14/17

     204        (0.08     (178,438     4,429,350  

WTI Crude Oil

         

expiration date 1/20/17

     47        0.12       269,230       2,524,840  

expiration date 2/21/17

     47        0.13       281,350       2,569,020  

expiration date 3/21/17

     47        0.13       288,040       2,605,210  

expiration date 4/20/17

     47        0.15       326,130       2,634,350  

expiration date 5/22/17

     46        0.15       339,400       2,598,540  
     

 

 

   

 

 

   

 

 

 

Total

        (0.65 )%    $ (1,424,715   $ 219,390,855  
     

 

 

   

 

 

   

 

 

 

 

* Interest rate shown reflects the discount rate at time of purchase.
(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

 

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, 2017 and 2016

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2017     2016     2017     2016  

Income:

        

Interest income

   $ 317,895     $ 115,666     $ 565,045     $ 204,966  

Expenses:

        

Management fee to related party

     373,775       471,940       824,049       919,601  

Brokerage fees and expenses

     —         111,043       —         216,375  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     373,775       582,983       824,049       1,135,976  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers

     (43,973     —         (96,947     —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     329,802       582,983       727,102       1,135,976  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (11,907     (467,317     (162,057     (931,010
  

 

 

   

 

 

   

 

 

   

 

 

 

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

        

Net Realized Gain (Loss) from:

        

Investments

     (10,751     —         (10,751     —    

Futures Contracts

     (6,351,768 )*      16,757,478       (3,743,993 )*      4,284,256  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     (6,362,519     16,757,478       (3,754,744     4,284,256  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss) from:

        

Investments

     20,684       (8,809     (167     7,055  

Futures Contracts

     834,178       2,953,219       (2,229,698     17,527,818  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss)

     854,862       2,944,410       (2,229,865     17,534,873  
  

 

 

   

 

 

   

 

 

   

 

 

 

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

     (5,507,657     19,701,888       (5,984,609     21,819,129  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ (5,519,564   $ 19,234,571     $ (6,146,666   $ 20,888,119  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*  Includes brokerage commissions and fees for the three months and six months ended June 30, 2017 of $58,488 and $105,701, respectively. Prior to January 1, 2017, brokerage commissions and fees were included under “Expenses” in “Brokerage fees and expenses”.

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, 2017

 

     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, 2016

     50      $ 1,500      $ (533   $ 967       11,350,000     $ 346,357,042     $ (126,697,414   $ 219,659,628     $ 219,660,595  

Creation of Units

     —          —          —         —         100,000       2,001,044       —         2,001,044       2,001,044  

Redemption of Units

     —          —          —         —         (2,600,000     (50,155,087     —         (50,155,087     (50,155,087

Net Gain (Loss):

                    

Net Investment Loss

     —          —          (0 )*      (0 )*      —         —         (162,057     (162,057     (162,057

Net Realized Loss from Investments and Futures Contracts

     —          —          (22     (22     —         —         (3,754,722     (3,754,722     (3,754,744

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

     —          —          (11     (11     —         —         (2,229,854     (2,229,854     (2,229,865
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (33     (33     —         —         (6,146,633     (6,146,633     (6,146,666
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2017

     50      $ 1,500      $ (566   $ 934       8,850,000     $ 298,202,999     $ (132,844,047   $ 165,358,952     $ 165,359,886  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*  Amount represents less than $1.

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, 2017 and 2016

 

     2017     2016  

Cash flows from operating activities

    

Net Gain (Loss)

   $ (6,146,666   $ 20,888,119  

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

    

Purchases of investment securities

     (354,348,877     (369,743,779

Proceeds from sales of investment securities

     399,904,251       325,000,000  

Net accretion of discount

     (565,022     (204,966

Net realized gain (loss) on investment securities

     10,751       —    

Net change in unrealized gain/loss from investments

     167       (7,055

Net change in unrealized gain/loss from futures contracts

     2,229,698       (17,527,818

Changes in assets and liabilities

    

Increase/(Decrease) in liabilities:

    

Net management fee payable to related party

     (57,210     (5,995

Accrued brokerage fees and expenses payable

     (173,182     52,075  
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     40,853,910       (41,549,419
  

 

 

   

 

 

 

Cash flows from financing activities

    

Proceeds from creation of Limited Units

     2,001,044       4,009,960  

Redemption of Limited Units

     (50,155,087     (22,734,709
  

 

 

   

 

 

 

Net cash used for financing activities

     (48,154,043     (18,724,749
  

 

 

   

 

 

 

Net decrease in cash

     (7,300,133     (60,274,168

Cash* at beginning of period

     21,578,215       83,440,007  
  

 

 

   

 

 

 

Cash* at end of period

   $ 14,278,082     $ 23,165,839  
  

 

 

   

 

 

 

 

*  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

Statements of Financial Condition

June 30, 2017 (unaudited) and December 31, 2016

 

     June 30, 2017
(unaudited)
    December 31,
2016
 

Assets:

 

Cash

   $ 3,109,117     $ 8,738,522  

Cash held by broker for futures contracts (Note 3)

     11,168,965       12,839,693  

Short-term investments (cost $154,831,996 and $199,833,099 as of June 30, 2017 and December 31, 2016, respectively)

     154,837,450       199,838,720  
  

 

 

   

 

 

 

Total Assets

     169,115,532       221,416,935  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

    

Net unrealized depreciation on futures contracts

     3,654,413       1,424,715  

Net management fee payable to related party

     101,233       158,443  

Accrued brokerage fees and expenses payable

     —         173,182  
  

 

 

   

 

 

 

Total Liabilities

     3,755,646       1,756,340  
  

 

 

   

 

 

 

Shareholders’ equity:

    

General Units:

    

Paid in capital - 50 units issued

     1,500       1,500  

Accumulated deficit

     (566     (533
  

 

 

   

 

 

 

Total General Units

     934       967  
  

 

 

   

 

 

 

Limited Units:

    

Paid in capital - 8,850,000 and 11,350,000 redeemable shares issued and outstanding as of June 30, 2017 and December 31, 2016, respectively

     298,202,999       346,357,042  

Accumulated deficit

     (132,844,047     (126,697,414
  

 

 

   

 

 

 

Total Limited Units

     165,358,952       219,659,628  
  

 

 

   

 

 

 

Total shareholders’ equity

     165,359,886       219,660,595  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 169,115,532     $ 221,416,935  
  

 

 

   

 

 

 

Net asset value per share

    

General Units

   $ 18.68     $ 19.35  
  

 

 

   

 

 

 

Limited Units

   $ 18.68     $ 19.35  
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

9


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2017

 

Description

          Percentage of
Net Assets
    Fair Value     Face Amount  

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

0.82%, 7/13/17*

        33.25   $ 54,988,230     $ 55,000,000  

0.87%, 8/10/17*

        31.42       51,952,420       52,000,000  

0.97%, 9/21/17* (a)

        28.97       47,896,800       48,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $154,831,996)

        93.64   $ 154,837,450     $ 155,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure

         

Cocoa

         

expiration date 9/14/17

     248        (0.04 )%    $ (67,950   $  4,811,200  

expiration date 12/13/17

     248        0.00       (1,990     4,878,160  

Coffee “C”

         

expiration date 9/19/17

     101        (0.25     (411,169     4,760,888  

expiration date 12/18/17

     101        (0.19     (316,181     4,893,450  

Copper

         

expiration date 9/27/17

     72        0.06       102,200       4,879,800  

expiration date 12/27/17

     71        0.13       208,900       4,840,425  

Corn

         

expiration date 9/14/17

     252        (0.05     (79,250     4,800,600  

expiration date 12/14/17

     251        (0.02     (31,762     4,919,600  

Cotton No. 2

         

expiration date 12/6/17

     143        (0.19     (311,885     4,904,185  

expiration date 3/7/18

     142        (0.20     (328,445     4,797,470  

Gold 100 Ounce

         

expiration date 12/27/17

     39        (0.09     (149,910     4,873,440  

expiration date 2/26/18

     39        (0.09     (154,990     4,886,700  

Lean Hogs

         

expiration date 8/14/17

     85        0.12       203,080       2,847,500  

expiration date 10/13/17

     85        0.05       87,700       2,395,300  

expiration date 12/14/17

     86        0.04       61,950       2,183,540  

expiration date 2/14/18

     85        0.01       20,870       2,273,750  

Live Cattle

         

expiration date 10/31/17

     70        0.15       245,000       3,225,600  

expiration date 12/29/17

     70        0.05       89,230       3,242,400  

expiration date 2/28/18

     69        (0.07     (112,680     3,209,190  

Natural Gas

         

expiration date 8/29/17

     62        (0.07     (115,130     1,879,220  

expiration date 9/27/17

     62        (0.10     (171,170     1,895,960  

expiration date 10/27/17

     61        (0.10     (164,960     1,901,980  

expiration date 11/28/17

     61        0.00       (2,630     1,992,870  

expiration date 12/27/17

     61        0.00       3,150       2,047,160  

NY Harbor ULSD

         

expiration date 8/31/17

     31        (0.13     (222,739     1,940,891  

expiration date 9/29/17

     31        (0.12     (192,872     1,951,698  

expiration date 10/31/17

     31        (0.11     (174,615     1,963,156  

expiration date 11/30/17

     31        0.02       32,621       1,975,655  

expiration date 12/29/17

     30        0.02       26,250       1,923,138  

Platinum

         

expiration date 10/27/17

     105        (0.23     (385,285     4,863,600  

expiration date 1/29/18

     104        (0.07     (118,815     4,837,040  

Silver

         

expiration date 9/27/17

     59        (0.18     (304,660     4,904,965  

expiration date 12/27/17

     58        (0.25     (407,475     4,852,280  

 

See accompanying notes to unaudited consolidated financial statements

 

10


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2017

(continued)

 

Description

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

Soybean

         

expiration date 11/14/17

     101        0.02   $ 26,975     $ 4,821,487  

expiration date 1/12/18

     101        0.05       88,238       4,860,625  

Soybean Oil

         

expiration date 9/14/17

     122        (0.02     (31,212     2,427,312  

expiration date 10/13/17

     122        (0.02     (27,510     2,428,044  

expiration date 12/14/17

     121        0.06       92,490       2,420,484  

expiration date 1/12/18

     121        0.05       85,728       2,432,100  

Sugar No. 11

         

expiration date 9/29/17

     306        (0.63     (1,037,770     4,732,963  

expiration date 2/28/18

     305        (0.09     (140,885     4,942,952  

Wheat

         

expiration date 9/14/17

     181        0.34       567,375       4,760,300  

expiration date 12/14/17

     182        0.38       625,250       4,959,500  

WTI Crude Oil

         

expiration date 8/22/17

     42        (0.15     (255,780     1,944,180  

expiration date 9/20/17

     42        (0.15     (247,630     1,953,420  

expiration date 10/20/17

     42        (0.14     (239,090     1,964,340  

expiration date 11/20/17

     41        0.00       (6,030     1,929,050  

expiration date 12/19/17

     41        (0.01     (8,950     1,939,710  
     

 

 

   

 

 

   

 

 

 

Total

        (2.21 )%    $ (3,654,413   $ 165,069,278  
     

 

 

   

 

 

   

 

 

 

 

* Interest rate shown reflects the discount rate at time of purchase.
(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

Schedule of Investments

December 31, 2016

 

Description

          Percentage of
Net Assets
    Fair Value     Face Amount  

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

0.44%, 2/16/17*

        27.30   $ 59,968,080     $ 60,000,000  

0.47%, 3/2/17*

        31.84       69,946,450       70,000,000  

0.49%, 3/23/17* (a)

        31.83       69,924,190       70,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $199,833,099)

        90.97   $ 199,838,720     $ 200,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure

         

Cocoa

         

expiration date 3/16/17

     203        (0.48 )%    $ (1,048,280   $ 4,315,780  

expiration date 5/15/17

     203        (0.50     (1,088,550     4,289,390  

expiration date 7/14/17

     204        (0.27     (591,860     4,312,560  

Coffee “C”

         

expiration date 3/21/17

     83        (0.16     (341,588     4,265,681  

expiration date 5/18/17

     82        (0.16     (351,750     4,286,550  

expiration date 7/19/17

     82        (0.36     (800,588     4,357,275  

Copper

         

expiration date 3/29/17

     69        0.19       418,950       4,321,988  

expiration date 5/26/17

     68        0.19       418,013       4,270,400  

expiration date 7/27/17

     68        0.01       17,063       4,280,600  

Corn

         

expiration date 3/14/17

     241        0.04       90,475       4,241,600  

expiration date 5/12/17

     240        0.03       73,812       4,290,000  

expiration date 7/14/17

     240        (0.02     (40,100     4,371,000  

Cotton No. 2

         

expiration date 3/9/17

     121        0.08       182,865       4,274,325  

expiration date 5/8/17

     120        0.00       2,000       4,261,200  

expiration date 7/7/17

     121        0.02       50,520       4,318,490  

Gold 100 Ounce

         

expiration date 2/24/17

     38        (0.23     (502,630     4,376,460  

expiration date 4/26/17

     37        (0.26     (566,920     4,270,910  

expiration date 6/28/17

     37        (0.16     (350,480     4,281,270  

Lean Hogs

         

expiration date 2/14/17

     113        0.25       543,570       2,989,980  

expiration date 4/17/17

     113        0.16       341,360       3,076,990  

expiration date 6/14/17

     112        0.06       131,780       3,427,200  

expiration date 7/17/17

     112        0.02       47,760       3,393,600  

Live Cattle

         

expiration date 2/28/17

     96        0.14       306,400       4,456,320  

expiration date 4/28/17

     96        0.10       217,070       4,399,680  

expiration date 6/30/17

     96        0.12       270,810       4,019,520  

Natural Gas

         

expiration date 1/27/17

     71        0.16       344,220       2,644,040  

expiration date 2/24/17

     71        0.15       338,950       2,615,640  

expiration date 3/29/17

     71        0.17       375,650       2,531,860  

expiration date 4/26/17

     72        0.20       444,320       2,550,960  

expiration date 5/26/17

     72        0.20       431,380       2,563,200  

NY Harbor ULSD

         

expiration date 1/31/17

     36        0.15       335,177       2,613,038  

expiration date 2/28/17

     36        0.16       345,064       2,627,856  

expiration date 3/31/17

     35        0.16       353,686       2,557,065  

expiration date 4/28/17

     35        0.16       351,746       2,563,827  

expiration date 5/31/17

     35        0.16       348,386       2,571,324  

 

See accompanying notes to unaudited consolidated financial statements

 

12


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2016

(continued)

 

Description

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

Platinum

         

expiration date 4/26/17

     143        (0.23 )%    $ (507,030   $ 6,475,755  

expiration date 7/27/17

     142        (0.13     (295,105     6,455,320  

Silver

         

expiration date 3/29/17

     54        (0.33     (715,760     4,317,030  

expiration date 5/26/17

     54        (0.33     (735,715     4,331,340  

expiration date 7/27/17

     53        (0.25     (554,420     4,264,380  

Soybean

         

expiration date 3/14/17

     85        0.04       87,063       4,267,000  

expiration date 5/12/17

     85        0.06       120,263       4,303,125  

expiration date 7/14/17

     85        0.00       (2,400     4,330,750  

Soybean Oil

         

expiration date 3/14/17

     206        0.04       78,492       4,283,976  

expiration date 5/12/17

     206        0.04       94,890       4,316,112  

expiration date 7/14/17

     205        (0.03     (61,998     4,320,990  

Sugar No. 11

         

expiration date 2/28/17

     200        (0.11     (239,019     4,370,240  

expiration date 4/28/17

     201        (0.09     (208,936     4,333,560  

expiration date 6/30/17

     199        (0.11     (245,582     4,201,288  

Wheat

         

expiration date 3/14/17

     205        (0.15     (326,863     4,182,000  

expiration date 5/12/17

     204        (0.15     (336,588     4,289,100  

expiration date 7/14/17

     204        (0.08     (178,438     4,429,350  

WTI Crude Oil

         

expiration date 1/20/17

     47        0.12       269,230       2,524,840  

expiration date 2/21/17

     47        0.13       281,350       2,569,020  

expiration date 3/21/17

     47        0.13       288,040       2,605,210  

expiration date 4/20/17

     47        0.15       326,130       2,634,350  

expiration date 5/22/17

     46        0.15       339,400       2,598,540  
     

 

 

   

 

 

   

 

 

 

Total

        (0.65 )%    $ (1,424,715   $ 219,390,855  
     

 

 

   

 

 

   

 

 

 

 

* Interest rate shown reflects the discount rate at time of purchase.
(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

 

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Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2017 and 2016

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2017     2016     2017     2016  

Income:

        

Interest income

   $ 317,895     $ 115,666     $ 565,045     $ 204,966  

Expenses:

        

Management fee to related party

     373,775       471,940       824,049       919,601  

Brokerage fees and expenses

     —         111,043       —         216,375  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     373,775       582,983       824,049       1,135,976  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers

     (43,973     —         (96,947     —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     329,802       582,983       727,102       1,135,976  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (11,907     (467,317     (162,057     (931,010
  

 

 

   

 

 

   

 

 

   

 

 

 

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

        

Net Realized Gain (Loss) from:

        

Investments

     (10,751     —         (10,751     —    

Futures Contracts

     (6,351,768 )*      16,757,478       (3,743,993 )*      4,284,256  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     (6,362,519     16,757,478       (3,754,744     4,284,256  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss) from:

        

Investments

     20,684       (8,809     (167     7,055  

Futures Contracts

     834,178       2,953,219       (2,229,698     17,527,818  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Change in Unrealized Gain (Loss)

     854,862       2,944,410       (2,229,865     17,534,873  
  

 

 

   

 

 

   

 

 

   

 

 

 

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

     (5,507,657     19,701,888       (5,984,609     21,819,129  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ (5,519,564   $ 19,234,571     $ (6,146,666   $ 20,888,119  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*  Includes brokerage commissions and fees for the three months and six months ended June 30, 2017 of $58,488 and $105,701, respectively. Prior to January 1, 2017, brokerage commissions and fees were included under “Expenses” in “Brokerage fees and expenses”.

See accompanying notes to unaudited consolidated financial statements

 

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Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statement of Changes in Shareholders’ Equity

For the Six Months Ended June 30, 2017

 

     General Units     Limited Units     Total  
     General Units      Accumulated
Deficit
    Total
General
Shareholders’
Equity
    Limited Units     Accumulated
Deficit
    Total
Limited
Shareholders’
Equity
    Total
Shareholders’
Equity
 
     Units      Amount          Units     Amount        

Balance at December 31, 2016

     50      $ 1,500      $ (533   $ 967       11,350,000     $ 346,357,042     $ (126,697,414   $ 219,659,628     $ 219,660,595  

Creation of Units

     —          —          —         —         100,000       2,001,044       —         2,001,044       2,001,044  

Redemption of Units

     —          —          —         —         (2,600,000     (50,155,087     —         (50,155,087     (50,155,087

Net Gain (Loss):

                    

Net Investment Loss

     —          —          (0 )*      (0 )*      —         —         (162,057     (162,057     (162,057

Net Realized Loss from Investments and Futures Contracts

     —          —          (22     (22     —         —         (3,754,722     (3,754,722     (3,754,744

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

     —          —          (11     (11     —         —         (2,229,854     (2,229,854     (2,229,865
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (33     (33     —         —         (6,146,633     (6,146,633     (6,146,666
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2017

     50      $ 1,500      $ (566   $ 934       8,850,000     $ 298,202,999     $ (132,844,047   $ 165,358,952     $ 165,359,886  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

*  Amount represents less than $1.

See accompanying notes to unaudited consolidated financial statements

 

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Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Cash Flows

For the Six Months Ended June 30, 2017 and 2016

 

     2017     2016  

Cash flows from operating activities

    

Net Gain (Loss)

   $ (6,146,666   $ 20,888,119  

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

    

Purchases of investment securities

     (354,348,877     (369,743,779

Proceeds from sales of investment securities

     399,904,251       325,000,000  

Net accretion of discount

     (565,022     (204,966

Net realized gain (loss) on investment securities

     10,751       —    

Net change in unrealized gain/loss from investments

     167       (7,055

Net change in unrealized gain/loss from futures contracts

     2,229,698       (17,527,818

Changes in assets and liabilities

    

Increase/(Decrease) in liabilities:

    

Net management fee payable to related party

     (57,210     (5,995

Accrued brokerage fees and expenses payable

     (173,182     52,075  
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     40,853,910       (41,549,419
  

 

 

   

 

 

 

Cash flows from financing activities

    

Proceeds from creation of Limited Units

     2,001,044       4,009,960  

Redemption of Limited Units

     (50,155,087     (22,734,709
  

 

 

   

 

 

 

Net cash used for financing activities

     (48,154,043     (18,724,749
  

 

 

   

 

 

 

Net decrease in cash

     (7,300,133     (60,274,168

Cash* at beginning of period

     21,578,215       83,440,007  
  

 

 

   

 

 

 

Cash* at end of period

   $ 14,278,082     $ 23,165,839  
  

 

 

   

 

 

 

 

*  Includes cash held by the broker for futures contracts.

See accompanying notes to unaudited consolidated financial statements

 

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Table of Contents

WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Notes to Consolidated Financial Statements

June 30, 2017

(1) Organization

WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. For each of the Funds, WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”), and GreenHaven Advisors LLC serves as the commodity trading advisor (the “Sub-Adviser”).

Shares representing units of fractional undivided beneficial interest in and ownership of the Fund (“Limited Units” or “Shares”) are listed on the NYSE Arca under the symbol “GCC.” Upon inception of the Fund, 50 general units of the Fund (“General Units” or “General Shares”) were issued to the Managing Owner in exchange for a capital contribution of $1,500. We refer to the General Shares and Shares collectively as “Total Shares,” and the holders of the Shares as the “Shareholders.”

The Master Fund is wholly-owned by the Fund and the Managing Owner. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Each Share issued by the Fund correlates to a Master Fund Unit held by the 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 under the symbol “GCC.”

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.”

The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Equal Weight Continuous Commodity Total Return Index (the “Index”), before the Funds’ liabilities and expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, heating oil, and natural gas. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and custodian of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.

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 actively trading exchange traded futures (“Commodity Futures”) on the Index Commodities, with a view to tracking the performance of the Index over time, regardless of whether the Index is rising, falling or flat over any particular period.

The Master Fund’s portfolio (its “Portfolio”) also includes cash, U.S. Treasury obligations and other high credit-quality, short-term fixed income securities (collectively, “U.S. Treasuries”) for deposit with the Commodity Broker (as defined below) as margin or otherwise held to cover the Master Fund’s notional exposure to Commodity Futures.

The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined in Note 7 – Share Creations and Redemptions) per Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.

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 and the Funds retain the services of third party service providers for the ongoing operations of the Funds. See Note (2) – Service Providers and Related Party Agreements.

In accordance with Accounting Standards Update (“ASU”) 2013-08, Financial Service-Investment Companies, the Funds each qualify as an investment company and are applying the accounting and reporting guidance for investment companies.

 

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Table of Contents

Unaudited Interim Financial Information

The financial statements as of June 30, 2017 and for the three-months and six-months ended June 30, 2017 and 2016 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. Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.

(b) Managing Owner. WisdomTree Commodity Services, LLC, a Delaware limited liability company, is the managing owner and commodity pool operator of each of the Funds. The Trustee has delegated to the Managing Owner the exclusive power and authority to manage the business and affairs of each of the Funds. The Managing Owner’s principal offices are located in New York, New York.

(c) Sub-Adviser. GreenHaven Advisors LLC is the sub-adviser and commodity trading adviser of each of the Funds. The Sub-Adviser, under authority delegated by the Managing Owner, is responsible for selecting Commodity Brokers and reallocating assets within the Portfolio with a view to achieving the Funds’ investment objective. The Sub-Adviser’s principal offices are located in Atlanta, Georgia.

(d) Commodity Broker. A variety of executing brokers may execute transactions in Commodity Futures on behalf of the Master Fund. Morgan Stanley & Co. LLC (the “Commodity Broker”) is the Master Fund’s commodity broker to which the executing brokers give-up all such transactions. In its capacity as the clearing broker, the Commodity Broker may execute and clear each of the Master Fund’s futures transactions. The Commodity Broker’s principal offices are located in New York, New York.

(e) Administrator. Prior to January 1, 2016, Bank of New York Mellon Corporation served as the administrator, custodian and transfer agent of the Funds. As of January 1, 2016, the Managing Owner, on behalf of the Funds, appointed State Street Bank and Trust Company (the “Administrator”) as the administrator of the Funds and has entered into an Administration Agreement in connection therewith. The Administrator also serves as custodian of the Funds pursuant to a Master Custodian Agreement, and transfer agent of the Funds pursuant to a Transfer Agency and Service Agreement. The Administrator performs certain services necessary for the operation and administration of the Funds (other than making investment decisions), including calculations of the Master Fund’s Net Asset Value and accounting and other administrative services. The Administrator retains certain financial books and records, including: 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. The Administrator has an office in Boston, Massachusetts.

(f) Distributor. Foreside Fund Services LLC is the Funds’ distributor (the “Distributor”) pursuant to a Distribution Services Agreement. The Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including assisting in matters associated with receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor has an office in Portland, Maine.

(g) Authorized Participant. The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. Each Authorized Participant must (i) be a registered broker-dealer or other securities market participant, such as a bank or other financial institution that is not required to register as a broker-dealer to engage in securities transactions, (ii) be a participant in the Depository Trust Company (“DTC”), and (iii) have entered into a “Participant Agreement.” The Participant Agreement sets forth the procedures for the creation and redemption of Baskets 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, and Morgan Stanley & Co. Incorporated.

 

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Table of Contents

(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 the Managing Owner 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

In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other provisions. The effective date of the Regulation S-X amendments is August 1, 2017. While neither the Fund nor the Master Fund is registered as an investment company under the Investment Company Act of 1940, both the Fund and Master Fund qualify as an investment company under ASU 2013-08 and therefore are applying the accounting and reporting guidance for investment companies. As a result, the Managing Owner has evaluated the impact that the adoption of the amendments to Regulation S-X will have on the Fund’s and Master Fund’s financial statements and related disclosures and has determined there is no material impact. The Regulation S-X amendments will be reflected in the Fund’s and Master Fund’s financial statements and related disclosures for the period ending September 30, 2017.

(c) Cash and Cash Held by Broker

Cash — Non-segregated cash held by the Administrator for the purpose of meeting redemptions of Shares, payment of brokerage commissions and fees, and the payment of management fees to the Managing Owner.

Cash Held by Broker — A portion of the Master Fund’s cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Fund’s open Commodity Futures. The Commodity Broker allows the Master Fund to apply its U.S. Treasuries positions 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. Treasuries positions are held in segregated accounts at the Commodity Broker 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. Treasuries 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. Treasuries for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open Commodity Futures. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasuries.

(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. As a result, 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.

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. 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.

 

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Table of Contents

(g) Basis of Presentation and Consolidation

All of the capital raised by the Fund from the offering of its Shares is used to purchase Master Fund Units. 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 reporting requirements of the SEC as both the Fund and the Master Fund are SEC registrants.

(h) Subsequent Events

For purposes of disclosure in the consolidated financial statements, the Fund has evaluated events occurring between the period ended June 30, 2017 and when the financial statements were issued.

During that period, 50,000 Shares were created for $941,058 and 150,000 Shares were redeemed for $2,799,540, resulting in 8,750,000 Shares 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 Master 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.

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 Master 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 Master Fund’s assets and liabilities at fair value as of June 30, 2017, classified according to the levels used to value them, is as follows:

 

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

Assets

           

U.S. Treasury Obligations

   $ —        $ 154,837,450      $ —        $ 154,837,450  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Unrealized depreciation on futures contracts

     (3,654,413      —          —          (3,654,413
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (3,654,413    $ 154,837,450      $ —        $ 151,183,037  
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Master Fund during the six months ended June 30, 2017. The Master Fund did not hold any Level 3 securities during the six months ended June 30, 2017.

A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2016, classified according to the levels used to value them, is as follows:

 

20


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

Assets

        

U.S. Treasury Obligations

   $ —        $ 199,838,720      $ —        $ 199,838,720  

Liabilities

           

Unrealized depreciation on futures contracts

     (1,424,715      —          —          (1,424,715
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (1,424,715    $ 199,838,720      $ —        $ 198,414,005  
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Master Fund during the year ended December 31, 2016. The Master Fund did not hold any Level 3 securities during the year ended December 31, 2016.

(5) Derivative Instruments and Hedging Activities

The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2017, the Master Fund was invested in Commodity Futures. For the six months ended June 30, 2017 and year ended December 31, 2016, the volumes of derivative activity (based on average month-end notional amounts) were $194,551,731 and $218,760,963, respectively.

The fair value of derivative instruments at June 30, 2017 and December 31, 2016, were as follows:

 

Period

   Derivative
Instruments
     Asset
Derivatives
     Liability
Derivatives (i)
 

June 30, 2017

     Commodity Futures      $ —        $ 3,654,413  

December 31, 2016

     Commodity Futures      $ —        $ 1,424,715  

 

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

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the three months and six months ended June 30, 2017 and 2016:

 

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, 2017

     Commodity Futures      $ (6,351,768    $ 834,178  

Three months ended June 30, 2016

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

Six months ended June 30, 2017

     Commodity Futures        (3,743,993      (2,229,698

Six months ended June 30, 2016

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

 

(i) Values are disclosed on the Statements of Income and Expenses under Net realized gain (loss) from futures contracts.
(ii) Values are disclosed on the 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 Master 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 Master 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 Master 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 Master Fund could experience substantial losses.

 

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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 Master Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the 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 has 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

The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. To compensate the Administrator for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $200 per order.

“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. In particular, Net Asset Value includes any unrealized profit or loss on open Commodity Futures, and any other credit or debit accruing to the Master Fund but unpaid or not received by the Master Fund.

(a) Creation of Shares

General. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Purchase orders must be placed by 10:00 a.m. ET. 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. ET, on the business day immediately following the purchase order date at the 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.

Because orders to purchase Baskets must be placed by 10:00 a.m. ET, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m. ET, 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. ET. The day on which a valid redemption order is received in proper form is the redemption order date. Redemption orders are irrevocable. Shareholders may not redeem directly from the Fund.

 

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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. ET, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, 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. ET, 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. ET, 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. ET, 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. ET, 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.

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.

(8) Operating Expenses

(a) Management Fee

The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. Effective January 1, 2017, the Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum. Based on the average daily Net Asset Value of the Master Fund. For the three months and six months ended June 30, 2017 and 2016, the Management Fee paid by the Master Fund was as follows:

 

Period

   Management
Fee
     Voluntary
Fee Waiver
    Net Management
Fee
 

Three months ended June 30, 2017

   $ 373,775      $ (43,973   $ 329,802  

Three months ended June 30, 2016

   $ 471,940      $ —       $ 471,940  

Six months ended June 30, 2017

   $ 824,049      $ (96,947   $ 727,102  

Six months ended June 30, 2016

   $ 919,601      $ —       $ 919,601  

 

(b) Initial Organization and Offering Expenses

Expenses incurred in connection with formation of the Fund and the offering of the Shares prior to January 1, 2016, 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.

 

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

Prior to January 1, 2017, the Funds’ brokerage commissions and fees as well as routine operational, administrative and other ordinary expenses, 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, were accrued at a rate of 0.20% of the Net Asset Value per annum in the aggregate. Of the amounts so accrued, the Funds first paid brokerage commissions and fees, and secondly, from the remainder of the amounts so accrued, reimbursed the Managing Owner for the Funds’ routine operational, administrative and other ordinary expenses paid by the Managing Owner.

Effective January 1, 2017, the Managing Owner has voluntarily agreed to assume all routine operational, administrative and other ordinary expenses of the Funds, and will not be reimbursed for any such expenses. As a result, the Funds will no longer accrue for such expenses. In addition, effective January 1, 2017, the Master Fund will pay its brokerage commissions and fees directly. As a result, the Funds will no longer accrue for such commissions and fees as an expense accrual, but will be included as a component of Net Realized Gain (Loss) on the Consolidated Statements of Income and Expenses. Accordingly, effective January 1, 2017, the Fund’s expense accrual of 0.20% of the Fund’s Net Asset Value for (i) brokerage commissions and fees, and (ii) routine operational, administrative and other ordinary expenses, was eliminated.

Brokerage commissions and fees were 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 were $111,043 and for the six months ended June 30, 2016 were $216,375. Brokerage commissions and fees incurred for the three months ended June 30, 2017 were $58,488 and for the six months ended June 30, 2017 were $105,701.

(9) Termination

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

(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 has made no distributions to its Shareholders since the Fund commenced operations.

(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 Funds, has entered into various service agreements that contain indemnification and exculpation provisions with respect to costs, expenses, damages, liabilities and/or claims that may be incurred by a service provider in connection with the provision of its services to the Funds. As of June 30, 2017, no party to any such service agreement has made a claim against the Funds, and it is therefore not possible to estimate the Funds’ potential future exposure under such indemnification and exculpation provisions.

(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, 2017 and 2016.

 

 

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     Three Months
Ended
June 30, 2017
    Three Months
Ended
June 30, 2016
    Six Months
Ended
June 30, 2017
    Six Months
Ended
June 30, 2016
 

Net Asset Value

 

Net asset value per Limited Share, beginning of period

   $ 19.25     $ 18.73     $ 19.35     $ 18.56  

Investment operations:

        

Net realized and change in unrealized gain (loss)

     (0.57 ) (1)      1.73       (0.65 ) (1)      1.94  

Net investment loss(2)

     (0.00 )*      (0.04 ) (3)      (0.02     (0.08 ) (3) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     (0.57     1.69       (0.67     1.86  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Limited Share, end of period

   $ 18.68     $ 20.42     $ 18.68     $ 20.42  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return, at net asset value(4)

     (2.96 )%      9.02     (3.46 )%      10.02
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratio/Supplemental Data:

        

Net assets, end of period (000’s omitted)

   $ 165,360     $ 226,682     $ 165,360     $ 226,682  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss(5)

     (0.03 )%      (0.84 )%(6)      (0.17 )%      (0.86 )%(6) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, prior to expense waivers(5)

     0.85     1.05 %(6)      0.85     1.05 %(6) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, net of expense waivers(5)

     0.75     1.05 %(6)      0.75     1.05 %(6) 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*  Amount represents less than $0.01.
(1)  Includes brokerage fees/commissions of $0.01 and $0.01 per share for the three months and six months ended June 30, 2017, respectively. See Note 8(c) on page 24.
(2)  Based on average shares outstanding.
(3)  Includes brokerage fees/commissions of $0.01 and $0.01 per share for the three months and six months ended June 30, 2016, respectively. See Note 8(c) on page 24.
(4)  Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page 23.
(5)  Annualized.
(6)  Includes brokerage fees/commissions of 0.17% and 0.15% (annualized) (as a percentage of average daily net assets) for the three months ended June 30, 2016 and the six months ended June 30, 2016, respectively. See Note 8(c) on page 24.

 

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

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 Operations,” contains forward-looking statements regarding the plans and objectives of the Managing Owner 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.

The Fund has based the forward-looking statements included in this Quarterly Report on information available to it as close to the filing date of this Quarterly Report as reasonably practicable, and the Fund assumes no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the Fund may make directly to them or through reports that the Fund files in the future with the SEC, including Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q and Current Reports on Form 8-K.

Introduction

WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. For each of the Funds, WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”), and GreenHaven Advisors LLC serves as the commodity trading advisor (the “Sub-Adviser”). Shares representing units of fractional undivided beneficial interest in and ownership of the Fund (“Limited Units” or “Shares”) are listed on the NYSE Arca under the symbol “GCC.”

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.”

The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Equal Weight Continuous Commodity Total Return Index (the “Index”), before liabilities and expenses of the Funds. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, heating oil, and natural gas. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and custodian of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.

The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund in a master-feeder structure. The Master Fund pursues its investment objective by actively trading exchange traded futures (“Commodity Futures”) on the Index Commodities, with a view to tracking the performance of the Index over time, regardless of whether the Index is rising, falling or flat over any particular period. The Master Fund’s non-discretionary investment strategy is designed to provide investors with a cost-effective and convenient way to invest in an equal-weight portfolio of commodity futures.

The Master Fund’s portfolio (its “Portfolio”) also includes cash, U.S. Treasury obligations and other high credit-quality, short-term fixed income securities (collectively, “U.S. Treasuries”) for deposit with the Funds’ Commodity Broker as margin or otherwise held to cover the Master Fund’s notional exposure to Commodity Futures.

The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined below) per Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.

Under the Trust Agreements, Delaware Trust Company, 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 Funds 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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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 Portfolio. The market price of the Shares may not be identical to the Master Fund’s Net Asset Value per Share, but these two valuations are expected to be very close.

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

“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. The Funds’ Administrator calculates the Net Asset Value once each NYSE Arca trading day. The Net Asset Value for a particular trading day is released after 5:00 p.m. ET and posted at www.wisdomtree.com. To provide updated information relating to the Funds for use by investors and market professionals, the NYSE Arca calculates and disseminates throughout the trading day an updated “indicative fund value.” The indicative intra-day value is calculated by using the prior day’s closing Net Asset Value as a base and updating that value throughout the trading day to reflect changes in the value of the Master Fund’s Commodity Futures during the trading day. The indicative intra-day value will be disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m. ET to 4:00 p.m. ET. The indicative intra-day value is an approximate value and should not be viewed as a “real” time update of the Net Asset Value.

Critical Accounting Policies

Critical accounting policies for the Funds 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 Commodity Futures and U.S. Treasuries, 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 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 Master Fund’s 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 such other principles as the Managing Owner deems fair and equitable.

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

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

Asset Valuation

The Master Fund records its Commodity Futures and U.S. Treasuries on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the statement of income and expenses.

In determining fair value of U.S. Treasuries 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 – Fair Value Measurements for further information regarding this accounting policy.

Market Risk

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

 

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Credit Risk

The Master Fund holds two types of investments: (1) short-term U.S. Treasury obligations, and (2) long positions in futures contracts on the seventeen Index Commodities. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the Commodity Futures is divided equally among the components. Each of the Index Commodities is traded on the CME Group or ICE exchanges.

The CME Group and ICE exchanges guarantee the performance of its outstanding Commodity Futures. Each exchange is also publicly traded and, in the Managing Owner’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, the Managing Owner believes that the Master 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 Commodity Futures. To the extent practical, the Fund will hold this excess cash in short-term U.S. Treasury obligations. Hence, the Managing Owner assigns no counterparty risk to such holdings.

Liquidity

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

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

The investments of the Master Fund in Commodity Futures 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 Commodity Futures.

Contractual Obligations

The Funds’ 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 Net Asset Value. Commissions paid by the Master Fund to the Commodity Broker are on a per contract half-turn basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to half-turns or round-turns that will be required under these arrangements for future periods as Net Asset Values are not known until a future date.

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, therefore, the Funds have no unrecorded liabilities relating to Commodity Futures. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.

Results of Operations

FOR THE PERIOD FROM JUNE 30, 2012 TO JUNE 30, 2017

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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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
 
7/31/2012    $ 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      $ 474,608,100        -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      $ 319,992,548        -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      $ 266,898,134        -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      $ 224,518,525        -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
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
7/31/2016    $ 19.83        11,350,050      $ 225,092,558        -2.89     0.00     6.84     -33.90
8/31/2016    $ 19.33        11,450,050      $ 221,349,718        -2.52     -1.43     4.15     -35.57
9/30/2016    $ 19.51        10,950,050      $ 213,673,816        0.93     -4.46     5.12     -34.97
10/31/2016    $ 19.62        10,950,050      $ 214,888,405        0.56     -1.06     5.71     -34.60
11/30/2016    $ 19.39        11,300,050      $ 219,111,876        -1.17     0.31     4.47     -35.37

 

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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
 
12/31/2016    $ 19.35        11,350,050      $ 219,660,595        -0.21     -0.82     4.26     -35.50
1/31/2017    $ 19.82        11,350,050      $ 224,901,754        2.43     1.02     2.43     -33.93
2/28/2017    $ 19.70        10,750,050      $ 211,819,623        -0.61     1.60     1.81     -34.33
3/31/2017    $ 19.25        10,150,050      $ 195,428,354        -2.28     -0.52     -0.52     -35.83
4/30/2017    $ 18.93        9,450,050      $ 178,936,038        -1.66     -4.49     -2.17     -36.90
5/31/2017    $ 18.85        8,900,050      $ 167,788,181        -0.42     -4.31     -2.58     -37.17
6/30/2017    $ 18.68        8,850,050      $ 165,359,886        -0.90     -2.96     -3.46     -37.73

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

LOGO

 

31


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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 over time. For the six months ended June 30, 2017 and June 30, 2016, the Fund’s Net Asset Value underperformed the Index by 0.51% and 0.72%, respectively.

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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

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.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

Market risk is the potential for changes in the value of the financial instruments traded by the Master 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 Master Fund could experience substantial losses.

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 the Index Commodities.

 

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Table of Contents

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. Examples of these special circumstances include the unavailability of the Index or certain natural or man-made disasters impacting the United States and global financial markets. 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.

Quantitative Disclosures

Market Risk by Sector

The following were the primary trading risk exposures of the Fund as of June 30, 2017 by market sector. The table below indicates the sector weighting of the Commodity Futures held within the Master Fund.

 

Sector

   Sector Weight    

Commodity

Grains

     23.52  

Corn, Soybean, Wheat, Soybean Oil

Livestock

     11.74  

Hogs, Cattle

Metals

     23.59  

Gold, Silver, Platinum, Copper

Energy

     17.69  

Crude Oil, Natural Gas, NY Harbor ULSD

Softs

     23.46  

Coffee, Cocoa, Sugar, Cotton

Commodity Price Sensitivity and Interest Rate Sensitivity

The Master Fund is exposed to commodity price risk through its holdings of Commodity Futures and interest rate risk through its holdings of short-term U.S. Treasuries. The following tables provides information about the Master Fund’s investments, which were sensitive to both commodity price and interest rate risk.

As of June 30, 2017, the Master Fund’s long exposure Commodity Futures subject to commodity price risk were as follows:

 

Description

   Range of
Expiration Dates
   Number
of

Contracts
     Weighted-
Average
Price

per
Contract
     Contract
Multiplier
     Notional Value      Unrealized
Appreciation/
(Depreciation)
 

Energy

                 

Natural Gas

   August 2017 - December 2017      307      $ 3.17      $ 10,000      $ 9,717,190      $ (450,740

NY Harbor ULSD

   August 2017 - December 2017      154        1.51        42,000        9,754,538        (531,355

WTI Crude Oil

   August 2017 - December 2017      208        46.78        1,000        9,730,700        (757,480

Grains

                 

Corn

   September 2017 - December 2017      503        3.86        5,000        9,720,200        (111,012

Soybean

   November 2017 - January 2018      202        9.59        5,000        9,682,112        115,213  

Soybean Oil

   September 2017 - January 2018      486        0.33        60,000        9,707,940        119,496  

Wheat

   September 2017 - December 2017      363        5.36        5,000        9,719,800        1,192,625  

Livestock

                 

Lean Hogs

   August 2017 - February 2018      341        0.71        40,000        9,700,090        373,600  

Live Cattle

   October 2017 - February 2018      209        1.16        40,000        9,677,190        221,550  

Metals

                 

Copper

   September 2017 - December 2017      143        2.72        25,000        9,720,225        311,100  

Gold 100 Ounce

   December 2017 - February 2018      78        1,251.30        100        9,760,140        (304,900

Platinum

   October 2017 - January 2018      209        928.29        50        9,700,640        (504,100

Silver

   September 2017 - December 2017      117        16.68        5,000        9,757,245        (712,135

Softs

                 

Cocoa

   September 2017 - December 2017      496        1,953.50        10        9,689,360        (69,940

Coffee “C”

   September 2017 - December 2017      202        1.27        37,500        9,654,338        (727,350

Cotton No. 2

   December 2017 - March 2018      285        0.68        50,000        9,701,655        (640,330

Sugar No. 11

   September 2017 - February 2018      611        0.14        112,000        9,675,915        (1,178,655
              

 

 

    

 

 

 
               $ 165,069,278      $ (3,654,413
              

 

 

    

 

 

 

 

33


Table of Contents

As of June 30, 2017, the Master Fund’s aggregate position in short-term U.S. Treasuries subject to interest rate risk were as follows:

 

Description

   Range of
Discount Rates
     Range of
Expiration Dates
     Face Amount      Fair Value      Unrealized
Appreciation/
(Depreciation)
 

U.S. Treasury Obligations

              

U.S. Treasury Bills

     0.82% - 0.97%        July 2017 - September 2017      $ 155,000,000      $ 154,837,450      $ 5,454  

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 Funds carried out an evaluation of the effectiveness of the design and operation of their respective 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 Funds’ disclosure controls and procedures 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 Funds’ 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.

The Managing Owner does not believe that there have been any change in the Funds’ internal control over financial reporting during the three months ended June 30, 2017 that has materially affected, or is reasonably likely to materially affect, the Funds’ internal control over financial reporting.

 

34


Table of Contents

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, 2016, with the SEC on February 27, 2017, 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, 2016.

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

(a) None.

(b) For the three-months ended June 30, 2017, 1,300,000 Limited Shares were redeemed for $24,548,904 and no Limited Shares were created. On June 30, 2017, 8,850,000 Limited Shares were outstanding for a market capitalization of $165,052,500, based on the June 30, 2017 closing price of $18.65 on the NYSE Arca.

(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, 2017:

Issuer Purchases of Equity Securities

 

Period

   Total Number of
Shares Redeemed
     Average Price
Paid per Share
     Total Number of
Shares Purchased
as

Part of Publicly
Announced Plans or
Programs
     Maximum Number (or
Approximate Dollar
Value) of Shares That
May Yet Be Purchased
Under the Plans or
Programs
 

April 1, 2017 to April 30, 2017

     700,000      $ 18.97        N/A        N/A  

May 1, 2017 to May 31, 2017

     550,000      $ 18.81        N/A        N/A  

June 1, 2017 to June 30, 2017

     50,000      $ 18.50        N/A        N/A  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

     1,300,000      $ 18.88        
  

 

 

    

 

 

    

 

 

    

 

 

 

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

None.

Item 5. Other Information

None.

 

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Table of Contents

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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Table of Contents

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 7, 2017
By:  

/s/ David Castano

David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 7, 2017
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 7, 2017
By:  

/s/ David Castano

David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 7, 2017