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, 2018

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 every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this Chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit 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 13(a) of the Exchange 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, 2018: 9,400,000 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  

WisdomTree Continuous Commodity Index Fund Financial Statements

     1  

Consolidated Statements of Financial Condition June  30, 2018 (unaudited) and December 31, 2017

     1  

Unaudited Consolidated Schedule of Investments June 30, 2018

     2  

Consolidated Schedule of Investments December 31, 2017

     4  

Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2018 and 2017

     6  

Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2018

     7  

Unaudited Consolidated Statements of Cash Flows For the Six Months Ended June 30, 2018 and 2017

     8  

WisdomTree Continuous Commodity Index Master Fund Financial Statements

     9  

Statements of Financial Condition June  30, 2018 (unaudited) and December 31, 2017

     9  

Unaudited Schedule of Investments June 30, 2018

     10  

Schedule of Investments December 31, 2017

     12  

Unaudited Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2018 and 2017

     14  

Unaudited Statement of Changes in Shareholders’ Equity For the Six Months Ended June 30, 2018

     15  

Unaudited Statements of Cash Flows For the Six Months Ended June  30, 2018 and 2017

     16  

Notes to Unaudited Consolidated Financial Statements June 30, 2018

     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

     33  

Item 4. Controls and Procedures

     35  

PART II - OTHER INFORMATION

     36  

Item 1. Legal Proceedings

     36  

Item 1A. Risk Factors

     36  

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

     36  

Item 3. Defaults Upon Senior Securities

     36  

Item 4. Mine Safety Disclosures

     36  

Item 5. Other Information

     36  

Item 6. Exhibits

     37  

SIGNATURES

     38  

 

i


Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

WisdomTree Continuous Commodity Index Fund

Consolidated Statements of Financial Condition

June 30, 2018 (unaudited) and December 31, 2017

 

     June 30, 2018
(unaudited)
    December 31,
2017
 

Assets:

 

Cash

   $ 5,191,608     $ 4,154,280  

Cash held by broker for futures contracts (Note 3)

     8,636,007       7,078,712  

Short-term investments (cost $164,649,346 and $142,783,200 as of June 30, 2018 and December 31, 2017, respectively)

     164,659,275       142,783,635  

Net unrealized appreciation on futures contracts

     —         1,036,765  
  

 

 

   

 

 

 

Total Assets

     178,486,890       155,053,392  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

 

Net unrealized depreciation on futures contracts

     5,843,457       —    

Net management fee payable to related party (Note 8)

     110,268       97,083  
  

 

 

   

 

 

 

Total Liabilities

     5,953,725       97,083  
  

 

 

   

 

 

 

Shareholders’ equity:

 

General Units:

 

Paid in capital—50 units issued and outstanding as of June 30, 2018 and December 31, 2017

     1,500       1,500  

Accumulated deficit

     (557     (538
  

 

 

   

 

 

 

Total General Units

     943       962  
  

 

 

   

 

 

 

Limited Units:

 

Paid in capital—9,150,000 and 8,050,000 redeemable shares issued and outstanding as of June 30, 2018 and December 31, 2017, respectively

     304,547,575       283,104,814  

Accumulated deficit

     (132,015,353     (128,149,467
  

 

 

   

 

 

 

Total Limited Units

     172,532,222       154,955,347  
  

 

 

   

 

 

 

Total shareholders’ equity

     172,533,165       154,956,309  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 178,486,890     $ 155,053,392  
  

 

 

   

 

 

 

Net asset value per share

 

General Units

   $ 18.86     $ 19.25  
  

 

 

   

 

 

 

Limited Units

   $ 18.86     $ 19.25  
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

1


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2018

 

Description

          Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

1.72%, 7/12/18*

        26.07   $ 44,979,109     $ 45,000,000  

1.86%, 8/2/18*

        26.04       44,930,072       45,000,000  

1.87%, 8/23/18*

        17.34       29,921,188       30,000,000  

1.91%, 9/13/18* (a)

        25.99       44,828,906       45,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $164,649,346)

        95.44   $ 164,659,275     $ 165,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure (Exchange-Traded)

         

Cocoa

         

expiration date 9/13/18

     202        0.14   $ 247,430     $ 5,074,240  

expiration date 12/13/18

     201        (0.01     (11,660     5,087,310  

Coffee “C”

         

expiration date 9/18/18

     116        (0.24     (408,900     5,006,850  

expiration date 12/18/18

     116        (0.15     (264,581     5,156,925  

Copper

         

expiration date 9/26/18

     68        (0.21     (354,137     5,042,200  

expiration date 12/27/18

     68        (0.19     (330,412     5,079,600  

Corn

         

expiration date 9/14/18

     278        (0.23     (388,275     4,997,050  

expiration date 12/14/18

     277        (0.28     (480,475     5,141,812  

Cotton No. 2

         

expiration date 12/6/18

     121        0.14       242,525       5,077,160  

expiration date 3/7/19

     121        (0.24     (414,430     5,061,430  

Gold 100 Ounce

         

expiration date 12/27/18

     40        (0.21     (359,780     5,065,200  

expiration date 2/26/19

     40        (0.11     (192,080     5,089,600  

Lean Hogs

         

expiration date 8/14/18

     101        (0.05     (85,760     3,088,580  

expiration date 10/12/18

     101        (0.14     (244,670     2,414,910  

expiration date 12/14/18

     102        (0.13     (229,320     2,225,640  

expiration date 2/14/19

     101        (0.09     (150,100     2,413,900  

Live Cattle

         

expiration date 10/31/18

     74        (0.04     (64,030     3,256,740  

expiration date 12/31/18

     75        0.04       61,730       3,411,000  

expiration date 2/28/19

     75        0.02       29,790       3,489,750  

Natural Gas

         

expiration date 8/29/18

     68        0.04       77,280       1,972,680  

expiration date 9/26/18

     68        0.04       68,160       1,977,440  

expiration date 10/29/18

     68        0.04       64,210       2,005,320  

expiration date 11/28/18

     67        (0.00     (3,540     2,046,850  

expiration date 12/27/18

     67        (0.00     (6,560     2,100,450  

NY Harbor ULSD

         

expiration date 8/31/18

     22        0.14       240,097       2,047,769  

expiration date 9/28/18

     22        0.08       143,770       2,053,590  

expiration date 10/31/18

     22        0.10       169,071       2,058,487  

expiration date 11/30/18

     21        0.03       51,710       1,968,536  

expiration date 12/31/18

     21        0.03       51,345       1,972,240  

Platinum

         

expiration date 10/29/18

     118        (0.39     (667,505     5,060,430  

expiration date 1/29/19

     118        (0.17     (291,150     5,088,750  

Silver

         

expiration date 9/26/18

     62        (0.08     (139,125     5,021,380  

expiration date 12/27/18

     62        (0.10     (168,205     5,057,960  

Soybean

         

expiration date 11/14/18

     115        (0.48     (822,163     5,060,000  

See accompanying notes to unaudited consolidated financial statements

 

2


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2018

(continued)

 

Description

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

expiration date 1/14/19

     114        (0.39 )%    $ (680,375   $ 5,067,300  

Soybean Oil

         

expiration date 9/14/18

     143        (0.14     (249,726     2,517,372  

expiration date 10/12/18

     143        (0.14     (245,244     2,528,526  

expiration date 12/14/18

     142        (0.12     (213,102     2,533,848  

expiration date 1/14/19

     142        (0.08     (136,800     2,555,148  

Sugar No. 11

         

expiration date 9/28/18

     361        (0.10     (175,627     4,952,920  

expiration date 2/28/19

     360        (0.03     (54,309     5,221,440  

Wheat

         

expiration date 9/14/18

     199        (0.07     (127,562     4,987,438  

expiration date 12/14/18

     199        (0.16     (268,912     5,141,663  

WTI Crude Oil

         

expiration date 8/21/18

     28        0.19       329,350       2,028,880  

expiration date 9/20/18

     29        0.09       161,510       2,056,680  

expiration date 10/22/18

     29        0.10       166,860       2,034,640  

expiration date 11/19/18

     29        0.08       146,240       2,015,210  

expiration date 12/19/18

     29        0.08       133,980       1,996,650  
     

 

 

   

 

 

   

 

 

 

Total

        (3.39 )%    $ (5,843,457   $ 172,309,494  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $12,950,573 as of June 30, 2018.

See accompanying notes to unaudited consolidated financial statements

 

3


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2017

 

Description

          Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

1.08%, 1/11/18*

        27.74   $ 42,987,395     $ 43,000,000  

1.24%, 2/8/18*

        35.45       54,929,552       55,000,000  

1.37%, 3/22/18*(a)

        28.96       44,866,688       45,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $142,783,200)

        92.15   $ 142,783,635     $ 143,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure (Exchange-Traded)

         

Cocoa

         

expiration date 3/14/18

     160        (0.10 )%    $ (150,290   $ 3,027,200  

expiration date 5/15/18

     160        (0.11     (171,100     3,028,800  

expiration date 7/16/18

     160        (0.24     (373,800     3,041,600  

Coffee “C”

         

expiration date 3/19/18

     63        (0.19     (290,569     2,981,475  

expiration date 5/18/18

     63        (0.16     (244,256     3,036,994  

expiration date 7/19/18

     63        (0.04     (55,369     3,093,694  

Copper

         

expiration date 3/27/18

     37        0.18       280,825       3,052,962  

expiration date 5/29/18

     37        0.18       277,125       3,066,375  

expiration date 7/27/18

     36        0.12       180,150       2,995,200  

Corn

         

expiration date 3/14/18

     169        (0.16     (247,888     2,963,838  

expiration date 5/14/18

     169        (0.16     (242,387     3,033,550  

expiration date 7/13/18

     169        (0.04     (60,100     3,103,262  

Cotton No. 2

         

expiration date 3/7/18

     77        0.21       328,750       3,027,255  

expiration date 5/8/18

     77        0.23       360,975       3,039,960  

expiration date 7/9/18

     76        0.21       326,190       3,011,120  

Gold 100 Ounce

         

expiration date 2/26/18

     23        0.05       73,150       3,011,390  

expiration date 4/26/18

     23        0.03       46,880       3,022,200  

expiration date 6/27/18

     23        0.04       57,980       3,033,010  

Lean Hogs

         

expiration date 2/14/18

     73        0.11       165,100       2,095,830  

expiration date 4/13/18

     72        0.10       157,450       2,178,720  

expiration date 6/14/18

     72        0.02       33,150       2,417,040  

expiration date 7/16/18

     72        0.02       25,240       2,414,160  

Live Cattle

         

expiration date 2/28/18

     64        0.04       59,610       3,111,680  

expiration date 4/30/18

     63        0.14       210,830       3,085,110  

expiration date 6/29/18

     64        (0.10     (158,660     2,909,440  

Natural Gas

         

expiration date 1/29/18

     64        (0.08     (121,160     1,889,920  

expiration date 2/26/18

     64        (0.08     (119,730     1,859,840  

expiration date 3/27/18

     65        (0.04     (65,240     1,786,850  

expiration date 4/26/18

     65        (0.06     (95,570     1,781,650  

expiration date 5/29/18

     65        (0.06     (94,730     1,802,450  

NY Harbor ULSD

         

expiration date 1/31/18

     21        0.21       330,091       1,824,064  

expiration date 2/28/18

     21        0.21       325,525       1,802,632  

expiration date 3/29/18

     21        0.19       297,532       1,775,995  

expiration date 4/30/18

     22        0.05       80,506       1,841,624  

expiration date 5/31/18

     22        0.05       74,592       1,827,857  

Platinum

         

expiration date 4/26/18

     97        (0.12     (190,905     4,550,755  

expiration date 7/27/18

     97        0.00       7,150       4,577,915  

See accompanying notes to unaudited consolidated financial statements

 

4


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2017

(continued)

 

Description

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

Silver

         

expiration date 3/27/18

     36        0.01   $ 13,675     $ 3,086,100  

expiration date 5/29/18

     35        0.01       12,895       3,013,675  

expiration date 7/27/18

     35        0.01       11,410       3,026,450  

Soybean

         

expiration date 3/14/18

     63        (0.02     (38,437     3,029,513  

expiration date 5/14/18

     62        (0.02     (28,425     3,016,300  

expiration date 7/13/18

     62        (0.07     (106,725     3,048,075  

Soybean Oil

         

expiration date 3/14/18

     152        (0.08     (124,698     3,033,312  

expiration date 5/14/18

     151        (0.08     (122,088     3,028,758  

expiration date 7/13/18

     151        (0.12     (181,776     3,045,972  

Sugar No. 11

         

expiration date 2/28/18

     180        0.10       147,560       3,056,256  

expiration date 4/30/18

     180        0.08       123,435       3,028,032  

expiration date 6/29/18

     180        0.02       35,582       3,032,064  

Wheat

         

expiration date 3/14/18

     138        (0.23     (354,900     2,946,300  

expiration date 5/14/18

     138        (0.23     (351,913     3,037,725  

expiration date 7/13/18

     137        (0.07     (109,037     3,104,762  

WTI Crude Oil

         

expiration date 1/22/18

     31        0.20       309,230       1,873,020  

expiration date 2/20/18

     30        0.19       300,740       1,813,200  

expiration date 3/20/18

     30        0.20       306,240       1,812,000  

expiration date 4/20/18

     30        0.06       88,130       1,808,100  

expiration date 5/22/18

     30        0.06       88,820       1,801,800  
     

 

 

   

 

 

   

 

 

 

Total

 

     0.67   $ 1,036,765     $ 154,744,831  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $11,964,450 as of December 31, 2017.

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, 2018 and 2017

 

     Three Months Ended
June 30,
    Six Months Ended
June 30,
 
     2018     2017     2018     2017  

Income:

 

Interest income

   $ 713,571     $ 317,895     $ 1,251,497     $ 565,045  

Expenses:

 

Management fee to related party (Note 8)

     384,216       373,775       743,693       824,049  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     384,216       373,775       743,693       824,049  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers (Note 8)

     (45,201     (43,973     (87,493     (96,947
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     339,015       329,802       656,200       727,102  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     374,556       (11,907     595,297       (162,057
  

 

 

   

 

 

   

 

 

   

 

 

 

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

        

Net Realized Gain (Loss) from:

 

Investments

     (18     (10,751     (18     (10,751

Futures Contracts*

     647,973       (6,351,768     2,409,544       (3,743,993
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     647,955       (6,362,519     2,409,526       (3,754,744
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:

 

Investments

     15,733       20,684       9,494       (167

Futures Contracts

     (4,692,279     834,178       (6,880,222     (2,229,698
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation

     (4,676,546     854,862       (6,870,728     (2,229,865
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Loss on Investments and Futures Contracts

     (4,028,591     (5,507,657     (4,461,202     (5,984,609
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

   $ (3,654,035   $ (5,519,564   $ (3,865,905   $ (6,146,666
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* 

Includes brokerage commissions and fees of $54,559 and $58,488 for the three months ended June 30, 2018 and 2017, and $91,306 and $105,701 for the six months ended June 30, 2018 and 2017, respectively.

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, 2018

 

     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, 2017

     50      $ 1,500      $ (538   $ 962       8,050,000     $ 283,104,814     $ (128,149,467   $ 154,955,347     $ 154,956,309  

Creation of Units

     —          —          —         —         1,650,000       32,029,138       —         32,029,138       32,029,138  

Redemption of Units

     —          —          —         —         (550,000     (10,586,377     —         (10,586,377     (10,586,377

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         595,294       595,294       595,297  

Net Realized Gain from Investments and Futures Contracts

     —          —          14       14       —         —         2,409,512       2,409,512       2,409,526  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (36     (36     —         —         (6,870,692     (6,870,692     (6,870,728
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (19     (19     —         —         (3,865,886     (3,865,886     (3,865,905
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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, 2018 and 2017

 

     2018     2017  

Cash flows from operating activities

 

Net Loss

   $ (3,865,905   $ (6,146,666

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

    

Purchases of investment securities

     (354,637,947     (354,348,877

Proceeds from sales of investment securities

     333,999,796       399,904,251  

Net accretion of discount

     (1,228,013     (565,022

Net realized loss on investment securities

     18       10,751  

Net change in unrealized appreciation/depreciation from investments

     (9,494     167  

Net change in unrealized appreciation/depreciation from futures contracts

     6,880,222       2,229,698  

Changes in assets and liabilities

 

Increase/(Decrease) in liabilities:

 

Net management fee payable to related party

     13,185       (57,210

Accrued brokerage fees and expenses payable

     —         (173,182
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     (18,848,138     40,853,910  
  

 

 

   

 

 

 

Cash flows from financing activities

 

Proceeds from creation of Limited Units

     32,029,138       2,001,044  

Redemption of Limited Units

     (10,586,377     (50,155,087
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     21,442,761       (48,154,043
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,594,623       (7,300,133

Cash* at beginning of period

     11,232,992       21,578,215  
  

 

 

   

 

 

 

Cash* at end of period

   $ 13,827,615     $ 14,278,082  
  

 

 

   

 

 

 

*    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, 2018 (unaudited) and December 31, 2017

 

     June 30, 2018
(unaudited)
    December 31,
2017
 

Assets:

 

Cash

   $ 5,191,608     $ 4,154,280  

Cash held by broker for futures contracts (Note 3)

     8,636,007       7,078,712  

Short-term investments (cost $164,649,346 and $142,783,200 as of June 30, 2018 and December 31, 2017, respectively)

     164,659,275       142,783,635  

Net unrealized appreciation on futures contracts

     —         1,036,765  
  

 

 

   

 

 

 

Total Assets

     178,486,890       155,053,392  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

 

Net unrealized depreciation on futures contracts

     5,843,457       —    

Net management fee payable to related party (Note 8)

     110,268       97,083  
  

 

 

   

 

 

 

Total Liabilities

     5,953,725       97,083  
  

 

 

   

 

 

 

Shareholders’ equity:

 

General Units:

 

Paid in capital - 50 units issued and outstanding as of June 30, 2018 and December 31, 2017

     1,500       1,500  

Accumulated deficit

     (557     (538
  

 

 

   

 

 

 

Total General Units

     943       962  
  

 

 

   

 

 

 

Limited Units:

 

Paid in capital - 9,150,000 and 8,050,000 redeemable shares issued and outstanding as of June 30, 2018 and December 31, 2017, respectively

     304,547,575       283,104,814  

Accumulated deficit

     (132,015,353     (128,149,467
  

 

 

   

 

 

 

Total Limited Units

     172,532,222       154,955,347  
  

 

 

   

 

 

 

Total shareholders’ equity

     172,533,165       154,956,309  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 178,486,890     $ 155,053,392  
  

 

 

   

 

 

 

Net asset value per share

 

General Units

   $ 18.86     $ 19.25  
  

 

 

   

 

 

 

Limited Units

   $ 18.86     $ 19.25  
  

 

 

   

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

9


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2018

 

Description

     Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

 

U.S. Treasury Bills

 

1.72%, 7/12/18*

 

     26.07   $ 44,979,109     $ 45,000,000  

1.86%, 8/2/18*

 

     26.04       44,930,072       45,000,000  

1.87%, 8/23/18*

 

     17.34       29,921,188       30,000,000  

1.91%, 9/13/18* (a)

 

     25.99       44,828,906       45,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $164,649,346)

 

     95.44   $ 164,659,275     $ 165,000,000  
     

 

 

   

 

 

   

 

 

 

Description

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

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

 

expiration date 9/13/18

     202        0.14   $ 247,430     $ 5,074,240  

expiration date 12/13/18

     201        (0.01     (11,660     5,087,310  

Coffee “C”

         

expiration date 9/18/18

     116        (0.24     (408,900     5,006,850  

expiration date 12/18/18

     116        (0.15     (264,581     5,156,925  

Copper

         

expiration date 9/26/18

     68        (0.21     (354,137     5,042,200  

expiration date 12/27/18

     68        (0.19     (330,412     5,079,600  

Corn

         

expiration date 9/14/18

     278        (0.23     (388,275     4,997,050  

expiration date 12/14/18

     277        (0.28     (480,475     5,141,812  

Cotton No. 2

         

expiration date 12/6/18

     121        0.14       242,525       5,077,160  

expiration date 3/7/19

     121        (0.24     (414,430     5,061,430  

Gold 100 Ounce

         

expiration date 12/27/18

     40        (0.21     (359,780     5,065,200  

expiration date 2/26/19

     40        (0.11     (192,080     5,089,600  

Lean Hogs

         

expiration date 8/14/18

     101        (0.05     (85,760     3,088,580  

expiration date 10/12/18

     101        (0.14     (244,670     2,414,910  

expiration date 12/14/18

     102        (0.13     (229,320     2,225,640  

expiration date 2/14/19

     101        (0.09     (150,100     2,413,900  

Live Cattle

         

expiration date 10/31/18

     74        (0.04     (64,030     3,256,740  

expiration date 12/31/18

     75        0.04       61,730       3,411,000  

expiration date 2/28/19

     75        0.02       29,790       3,489,750  

Natural Gas

         

expiration date 8/29/18

     68        0.04       77,280       1,972,680  

expiration date 9/26/18

     68        0.04       68,160       1,977,440  

expiration date 10/29/18

     68        0.04       64,210       2,005,320  

expiration date 11/28/18

     67        (0.00     (3,540     2,046,850  

expiration date 12/27/18

     67        (0.00     (6,560     2,100,450  

NY Harbor ULSD

         

expiration date 8/31/18

     22        0.14       240,097       2,047,769  

expiration date 9/28/18

     22        0.08       143,770       2,053,590  

expiration date 10/31/18

     22        0.10       169,071       2,058,487  

expiration date 11/30/18

     21        0.03       51,710       1,968,536  

expiration date 12/31/18

     21        0.03       51,345       1,972,240  

Platinum

         

expiration date 10/29/18

     118        (0.39     (667,505     5,060,430  

expiration date 1/29/19

     118        (0.17     (291,150     5,088,750  

Silver

         

expiration date 9/26/18

     62        (0.08     (139,125     5,021,380  

expiration date 12/27/18

     62        (0.10     (168,205     5,057,960  

Soybean

         

expiration date 11/14/18

     115        (0.48     (822,163     5,060,000  

See accompanying notes to unaudited consolidated financial statements

 

10


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2018

(continued)

 

Description

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

expiration date 1/14/19

     114        (0.39 )%    $ (680,375   $ 5,067,300  

Soybean Oil

         

expiration date 9/14/18

     143        (0.14     (249,726     2,517,372  

expiration date 10/12/18

     143        (0.14     (245,244     2,528,526  

expiration date 12/14/18

     142        (0.12     (213,102     2,533,848  

expiration date 1/14/19

     142        (0.08     (136,800     2,555,148  

Sugar No. 11

         

expiration date 9/28/18

     361        (0.10     (175,627     4,952,920  

expiration date 2/28/19

     360        (0.03     (54,309     5,221,440  

Wheat

         

expiration date 9/14/18

     199        (0.07     (127,562     4,987,438  

expiration date 12/14/18

     199        (0.16     (268,912     5,141,663  

WTI Crude Oil

         

expiration date 8/21/18

     28        0.19       329,350       2,028,880  

expiration date 9/20/18

     29        0.09       161,510       2,056,680  

expiration date 10/22/18

     29        0.10       166,860       2,034,640  

expiration date 11/19/18

     29        0.08       146,240       2,015,210  

expiration date 12/19/18

     29        0.08       133,980       1,996,650  
     

 

 

   

 

 

   

 

 

 

Total

        (3.39 )%    $ (5,843,457   $ 172,309,494  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $12,950,573 as of June 30, 2018.

See accompanying notes to unaudited consolidated financial statements

 

11


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2017

 

Description

   Percentage
of Net Assets
    Fair
Value
     Face
Amount
 

U.S. Treasury Obligations

 

U.S. Treasury Bills

       

1.08%, 1/11/18*

     27.74   $ 42,987,395      $ 43,000,000  

1.24%, 2/8/18*

     35.45       54,929,552        55,000,000  

1.37%, 3/22/18* (a)

     28.96       44,866,688        45,000,000  
  

 

 

   

 

 

    

 

 

 

Total U.S. Treasury Obligations (Cost: $142,783,200)

     92.15   $ 142,783,635      $ 143,000,000  
  

 

 

   

 

 

    

 

 

 

 

Description

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

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

 

expiration date 3/14/18

     160        (0.10 )%    $ (150,290   $ 3,027,200  

expiration date 5/15/18

     160        (0.11     (171,100     3,028,800  

expiration date 7/16/18

     160        (0.24     (373,800     3,041,600  

Coffee “C”

         

expiration date 3/19/18

     63        (0.19     (290,569     2,981,475  

expiration date 5/18/18

     63        (0.16     (244,256     3,036,994  

expiration date 7/19/18

     63        (0.04     (55,369     3,093,694  

Copper

         

expiration date 3/27/18

     37        0.18       280,825       3,052,962  

expiration date 5/29/18

     37        0.18       277,125       3,066,375  

expiration date 7/27/18

     36        0.12       180,150       2,995,200  

Corn

         

expiration date 3/14/18

     169        (0.16     (247,888     2,963,838  

expiration date 5/14/18

     169        (0.16     (242,387     3,033,550  

expiration date 7/13/18

     169        (0.04     (60,100     3,103,262  

Cotton No. 2

         

expiration date 3/7/18

     77        0.21       328,750       3,027,255  

expiration date 5/8/18

     77        0.23       360,975       3,039,960  

expiration date 7/9/18

     76        0.21       326,190       3,011,120  

Gold 100 Ounce

         

expiration date 2/26/18

     23        0.05       73,150       3,011,390  

expiration date 4/26/18

     23        0.03       46,880       3,022,200  

expiration date 6/27/18

     23        0.04       57,980       3,033,010  

Lean Hogs

         

expiration date 2/14/18

     73        0.11       165,100       2,095,830  

expiration date 4/13/18

     72        0.10       157,450       2,178,720  

expiration date 6/14/18

     72        0.02       33,150       2,417,040  

expiration date 7/16/18

     72        0.02       25,240       2,414,160  

Live Cattle

         

expiration date 2/28/18

     64        0.04       59,610       3,111,680  

expiration date 4/30/18

     63        0.14       210,830       3,085,110  

expiration date 6/29/18

     64        (0.10     (158,660     2,909,440  

Natural Gas

         

expiration date 1/29/18

     64        (0.08     (121,160     1,889,920  

expiration date 2/26/18

     64        (0.08     (119,730     1,859,840  

expiration date 3/27/18

     65        (0.04     (65,240     1,786,850  

expiration date 4/26/18

     65        (0.06     (95,570     1,781,650  

expiration date 5/29/18

     65        (0.06     (94,730     1,802,450  

NY Harbor ULSD

         

expiration date 1/31/18

     21        0.21       330,091       1,824,064  

expiration date 2/28/18

     21        0.21       325,525       1,802,632  

expiration date 3/29/18

     21        0.19       297,532       1,775,995  

expiration date 4/30/18

     22        0.05       80,506       1,841,624  

expiration date 5/31/18

     22        0.05       74,592       1,827,857  

Platinum

         

expiration date 4/26/18

     97        (0.12     (190,905     4,550,755  

expiration date 7/27/18

     97        0.00       7,150       4,577,915  

See accompanying notes to unaudited consolidated financial statements

 

12


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2017

(continued)

 

 

Description

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

Silver

         

expiration date 3/27/18

     36        0.01   $ 13,675     $ 3,086,100  

expiration date 5/29/18

     35        0.01       12,895       3,013,675  

expiration date 7/27/18

     35        0.01       11,410       3,026,450  

Soybean

         

expiration date 3/14/18

     63        (0.02     (38,437     3,029,513  

expiration date 5/14/18

     62        (0.02     (28,425     3,016,300  

expiration date 7/13/18

     62        (0.07     (106,725     3,048,075  

Soybean Oil

         

expiration date 3/14/18

     152        (0.08     (124,698     3,033,312  

expiration date 5/14/18

     151        (0.08     (122,088     3,028,758  

expiration date 7/13/18

     151        (0.12     (181,776     3,045,972  

Sugar No. 11

         

expiration date 2/28/18

     180        0.10       147,560       3,056,256  

expiration date 4/30/18

     180        0.08       123,435       3,028,032  

expiration date 6/29/18

     180        0.02       35,582       3,032,064  

Wheat

         

expiration date 3/14/18

     138        (0.23     (354,900     2,946,300  

expiration date 5/14/18

     138        (0.23     (351,913     3,037,725  

expiration date 7/13/18

     137        (0.07     (109,037     3,104,762  

WTI Crude Oil

         

expiration date 1/22/18

     31        0.20       309,230       1,873,020  

expiration date 2/20/18

     30        0.19       300,740       1,813,200  

expiration date 3/20/18

     30        0.20       306,240       1,812,000  

expiration date 4/20/18

     30        0.06       88,130       1,808,100  

expiration date 5/22/18

     30        0.06       88,820       1,801,800  
     

 

 

   

 

 

   

 

 

 

Total

        0.67   $ 1,036,765     $ 154,744,831  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $11,964,450 as of December 31, 2017.

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2018 and 2017

 

     Three Months Ended
June 30,
    Six Months Ended
June 30,
 
     2018     2017     2018     2017  

Income:

 

Interest income

   $ 713,571     $ 317,895     $ 1,251,497     $ 565,045  

Expenses:

 

Management fee to related party (Note 8)

     384,216       373,775       743,693       824,049  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     384,216       373,775       743,693       824,049  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers (Note 8)

     (45,201     (43,973     (87,493     (96,947
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     339,015       329,802       656,200       727,102  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     374,556       (11,907     595,297       (162,057
  

 

 

   

 

 

   

 

 

   

 

 

 

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

        

Net Realized Gain (Loss) from:

 

Investments

     (18     (10,751     (18     (10,751

Futures Contracts*

     647,973       (6,351,768     2,409,544       (3,743,993
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     647,955       (6,362,519     2,409,526       (3,754,744
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:

 

Investments

     15,733       20,684       9,494       (167

Futures Contracts

     (4,692,279     834,178       (6,880,222     (2,229,698
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation

     (4,676,546     854,862       (6,870,728     (2,229,865
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Loss on Investments and Futures Contracts

     (4,028,591     (5,507,657     (4,461,202     (5,984,609
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

   $ (3,654,035   $ (5,519,564   $ (3,865,905   $ (6,146,666
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Includes brokerage commissions and fees of $54,559 and $58,488 for the three months ended June 30, 2018 and 2017, and $91,306 and $105,701 for the six months ended June 30, 2018 and 2017, respectively.

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, 2018

 

     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, 2017

     50      $ 1,500      $ (538   $ 962       8,050,000     $ 283,104,814     $ (128,149,467   $ 154,955,347     $ 154,956,309  

Creation of Units

     —          —          —         —         1,650,000       32,029,138       —         32,029,138       32,029,138  

Redemption of Units

     —          —          —         —         (550,000     (10,586,377     —         (10,586,377     (10,586,377

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         595,294       595,294       595,297  

Net Realized Gain from Investments and Futures Contracts

     —          —          14       14       —         —         2,409,512       2,409,512       2,409,526  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (36     (36     —         —         (6,870,692     (6,870,692     (6,870,728
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (19     (19     —         —         (3,865,886     (3,865,886     (3,865,905
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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, 2018 and 2017

 

     2018     2017  

Cash flows from operating activities

 

Net Loss

   $ (3,865,905   $ (6,146,666

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

 

Purchases of investment securities

     (354,637,947     (354,348,877

Proceeds from sales of investment securities

     333,999,796       399,904,251  

Net accretion of discount

     (1,228,013     (565,022

Net realized loss on investment securities

     18       10,751  

Net change in unrealized appreciation/depreciation from investments

     (9,494     167  

Net change in unrealized appreciation/depreciation from futures contracts

     6,880,222       2,229,698  

Changes in assets and liabilities

 

Increase/(Decrease) in liabilities:

 

Net management fee payable to related party

     13,185       (57,210

Accrued brokerage fees and expenses payable

     —         (173,182
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     (18,848,138     40,853,910  
  

 

 

   

 

 

 

Cash flows from financing activities

 

Proceeds from creation of Limited Units

     32,029,138       2,001,044  

Redemption of Limited Units

     (10,586,377     (50,155,087
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     21,442,761       (48,154,043
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,594,623       (7,300,133

Cash* at beginning of period

     11,232,992       21,578,215  
  

 

 

   

 

 

 

Cash* at end of period

   $ 13,827,615     $ 14,278,082  
  

 

 

   

 

 

 

 

* 

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 Unaudited Consolidated Financial Statements

June 30, 2018

(1) Organization

The WisdomTree Continuous Commodity Index Fund (the “Fund”) and the WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as a 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.” The term of the Fund is perpetual, unless terminated earlier in certain circumstances as defined in the Trust Agreements (as defined in Note 2—Service Providers and Related Party Agreements).

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, NY Harbor ULSD (formerly known as heating oil) and natural gas. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and calculation agent 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 Services-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, 2018 and for the three months and six months ended June 30, 2018 and 2017 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) Basis of Presentation and Consolidation

The financial statements of the Fund and the Master Fund have been prepared using U.S. generally accepted accounting principles (“GAAP”). The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative GAAP recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under the authority of federal laws are also sources of authoritative GAAP for SEC registrants.

All of the capital raised by the Fund from the offering of its Shares is used to purchase Master Fund Units. The financial statements of the Fund include the balances of the Master Fund on a consolidated basis and all inter-company balances and transactions have been eliminated in the consolidation. Separate financials 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

(b) Use of Estimates

The preparation of the financial statements in conformity with GAAP 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.

(c) 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) Futures Contracts

The Master Fund utilizes futures contracts to obtain long exposure to Commodity Futures consistent with its investment objective. 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 Schedules of Investments, 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 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 Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

(f) Income Taxes

The Fund and Master Fund are treated as partnerships for U.S. federal income tax purposes. Accordingly, the Fund and Master Fund are not subject to U.S. federal income tax and may not be subject to 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.

 

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Table of Contents

(g) Subsequent Events

For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended June 30, 2018 and when the financial statements were issued.

During that period, 600,000 Shares were created for $10,991,732 and 350,000 Shares were redeemed for $6,350,910, resulting in 9,400,050 Total 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, 2018, classified according to the levels used to value them, is as follows:

 

Assets

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

U.S. Treasury Obligations

   $ —        $ 164,659,275      $ —        $ 164,659,275  

Liabilities

           

Unrealized depreciation on futures contracts

     (5,843,457      —          —          (5,843,457
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (5,843,457    $ 164,659,275      $ —        $ 158,815,818  
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Master Fund during the six months ended June 30, 2018. The Master Fund did not hold any Level 3 securities during the six months ended June 30, 2018.

 

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Table of Contents

A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2017, classified according to the levels used to value them, is as follows:

 

Assets

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

U.S. Treasury Obligations

   $ —        $ 142,783,635      $ —        $ 142,783,635  

Unrealized appreciation on futures contracts

     1,036,765        —          —          1,036,765  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 1,036,765      $ 142,783,635      $ —        $ 143,820,400  
  

 

 

    

 

 

    

 

 

    

 

 

 

There were no transfers between Level 1 and Level 2 for the Master Fund during the year ended December 31, 2017. The Master Fund did not hold any Level 3 securities during the year ended December 31, 2017.

(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, 2018, the Master Fund was invested in Commodity Futures. For the six months ended June 30, 2018 and the year ended December 31, 2017, the volumes of derivative activity (based on average month-end notional amounts) were $174,695,569 and $178,860,477, respectively.

The fair value of derivative instruments at June 30, 2018 and December 31, 2017, were as follows:

 

As of:

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

June 30, 2018

     Commodity Futures      $ —        $ 5,843,457  

December 31, 2017

     Commodity Futures      $ 1,036,765      $ —    

 

(i)

Values are disclosed on the Statements of Financial Condition under Net unrealized appreciation on futures contracts.

(ii)

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, 2018 and 2017:

 

Period

   Derivative
Instruments
     Realized Gain
(Loss)
on Derivative
Instruments (i)
     Net Increase (Decrease) in
Unrealized
Appreciation/Depreciation
on Derivative
Instruments (ii)
 

Three months ended June 30, 2018

     Commodity Futures      $ 647,973      $ (4,692,279

Three months ended June 30, 2017

     Commodity Futures        (6,351,768      834,178  

Six months ended June 30, 2018

     Commodity Futures        2,409,544        (6,880,222

Six months ended June 30, 2017

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

 

(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 increase (decrease) in unrealized appreciation/depreciation 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.

 

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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.

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 have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.

(7) Share Creations and Redemptions

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 the 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 the 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 create 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.

 

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(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. 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 consists 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, 2018 and 2017, 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, 2018

   $ 384,216      $ (45,201    $ 339,015  

Three months ended June 30, 2017

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

Six months ended June 30, 2018

   $ 743,693      $ (87,493    $ 656,200  

Six months ended June 30, 2017

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

(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 its behalf.

 

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

Brokerage commissions and fees were charged against the Fund’s assets on a per transaction basis. Brokerage commissions and fees incurred for the three months ended June 30, 2018 and 2017 were $54,559 and $58,488, and for the six months ended June 30, 2018 and 2017 were $91,306 and $105,701, respectively.

(9) 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.

(10) 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, 2018, 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.

(11) 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, 2018 and 2017.

 

     Three Months
Ended
June 30, 2018
    Three Months
Ended
June 30, 2017
    Six Months
Ended
June 30, 2018
    Six Months
Ended
June 30, 2017
 

Net Asset Value

 

Net asset value per Limited Share, beginning of period

   $ 19.25     $ 19.25     $ 19.25     $ 19.35  

Investment operations:

 

Net realized and unrealized loss(1)

     (0.43     (0.57     (0.46     (0.65

Net investment income (loss)(2)

     0.04       (0.00 )*      0.07       (0.02
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations

     (0.39     (0.57     (0.39     (0.67
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Limited Share, end of period

   $ 18.86     $ 18.68     $ 18.86     $ 18.68  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return, at net asset value(3)

     (2.03 )%      (2.96 )%      (2.03 )%      (3.46 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratio/Supplemental Data:

 

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

   $ 172,533     $ 165,360     $ 172,533     $ 165,360  
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average net assets of:

 

Net investment income (loss)(4)

     0.83     (0.03 )%      0.68     (0.17 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, prior to expense waivers(4)

     0.85     0.85     0.85     0.85
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, net of expense waivers(4)

     0.75     0.75     0.75     0.75
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Amount represents less than $0.01.

(1)

Includes brokerage fees/commissions of less than $0.01 per share for the three months ended June 30, 2018 and 2017, respectively, and includes brokerage fees/commissions of $0.01 per share for the six months ended June 30, 2018 and 2017, respectively. See Note 8(c) on page 24.

(2)

Based on average shares outstanding.

 

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(3)

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.

(4)

Annualized.

 

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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 Funds have 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 Funds assume 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 Funds may make directly to them or through reports that the Funds file 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. WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”) of the Funds, and GreenHaven Advisors LLC serves as the commodity trading advisor (the “Sub-Adviser”).

The Fund continuously offers shares representing common units of fractional undivided beneficial interest in and ownership of the Fund (“Shares”). Upon inception of the Fund, the Fund issued 50 of its general units to the Managing Owner in exchange for a capital contribution of $1,500.

The Fund invests substantially all of its assets in the Master Fund in a master-feeder structure. The Master Fund is wholly-owned by the Fund and the Managing Owner. The Master Fund and the Fund each follow the same investment objective. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Upon inception of the Master Fund, the Master Fund issued 50 of its general units to the Managing Owner in exchange for a capital contribution of $1,500. Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.

The Fund’s 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 (the “Index”), before Fund liabilities and expenses. The Index Commodities consist of corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC, is the owner, publisher and calculation agent of the Index (the “Index Sponsor”). 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 investing in a portfolio of Commodity Futures on the Index Commodities (the “Portfolio”). The Portfolio also includes U.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasuries on deposit towards satisfying any margin requirements related to the Commodity Futures in the Master Fund’s futures account.

 

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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.

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

The Fund is listed on the NYSE Arca under the symbol “GCC.”

Performance Summary

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

Net Asset Value

“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.

 

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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.

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 the amount and level of future trading activity is unknown.

 

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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 June 30, 2018, 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, 2013 TO JUNE 30, 2018

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. The total returns shown in the below table are based on Net Asset Value. Net Asset Value returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at Net Asset Value. The Net Asset Value returns do not reflect brokerage commissions or taxes on transactions in Shares or taxes that a shareholder would pay on Fund distributions.

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Date

   Net Asset Value
Per Share
     Total Shares      Net Assets      1 Month     3 Months     Year to Date     Cumulative Return
Since Inception
 

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
Per Share
     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

7/31/2017

   $ 19.15        8,750,050      $ 167,534,220        2.52     1.16     -1.03     -36.17

8/31/2017

   $ 18.84        8,750,050      $ 164,834,840        -1.62     -0.05     -2.64     -37.20

9/30/2017

   $ 18.76        8,550,050      $ 160,409,438        -0.42     0.43     -3.05     -37.47

10/31/2017

   $ 19.08        8,400,050      $ 160,283,921        1.71     -0.37     -1.40     -36.40

11/30/2017

   $ 19.11        8,200,050      $ 156,718,600        0.16     1.43     -1.24     -36.30

12/31/2017

   $ 19.25        8,050,050      $ 154,956,309        0.73     2.61     -0.52     -35.83

1/31/2018

   $ 19.50        8,800,050      $ 171,590,704        1.30     2.20     1.30     -35.00

2/28/2018

   $ 19.45        9,150,050      $ 177,987,164        -0.26     1.78     1.04     -35.17

3/31/2018

   $ 19.25        9,400,050      $ 180,938,291        -1.03     0.00     0.00     -35.83

4/30/2018

   $ 19.48        9,300,050      $ 181,169,802        1.19     -0.10     1.19     -35.07

5/31/2018

   $ 19.73        9,400,050      $ 185,447,260        1.28     1.44     2.49     -34.23

6/30/2018

   $ 18.86        9,150,050      $ 172,533,165        -4.41     -2.03     -2.03     -37.13

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

LOGO

 

32


Table of Contents

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, 2018 and 2017, the Fund’s Net Asset Value underperformed the Index by 0.56% and 0.51%, 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.

 

33


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, 2018 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

     11.78   Hogs, Cattle

Metals

     23.51   Gold, Silver, Platinum, Copper

Energy

     17.61   Crude Oil, Natural Gas, NY Harbor ULSD

Softs

     23.58   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, 2018, 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 2018 - December 2018      338      $ 2.99        10,000      $ 10,102,740      $ 199,550  

NY Harbor ULSD

   August 2018 - December 2018      108        2.23        42,000        10,100,622        655,993  

WTI Crude Oil

   August 2018 - December 2018      144        70.36        1,000        10,132,060        937,940  

Grains

                 

Corn

   September 2018 - December 2018      555        3.65        5,000        10,138,862        (868,750

Soybean

   November 2018 - January 2019      229        8.84        5,000        10,127,300        (1,502,538

Soybean Oil

   September 2018 - January 2019      570        0.30        60,000        10,134,894        (844,872

Wheat

   September 2018 - December 2018      398        5.09        5,000        10,129,101        (396,474

Livestock

                 

Lean Hogs

   August 2018 - February 2019      405        0.63        40,000        10,143,030        (709,850

Live Cattle

   October 2018 - February 2019      224        1.13        40,000        10,157,490        27,490  

Metals

                 

Copper

   September 2018 - December 2018      136        2.98        25,000        10,121,800        (684,549

 

34


Table of Contents

Description

  

Range of
Expiration Dates

   Number of
Contracts
     Weighted-
Average
Price
per
Contract
     Contract
Multiplier
     Notional Value      Unrealized
Appreciation/
(Depreciation)
 

Gold 100 Ounce

   December 2018 - February 2019      80      $ 1,269.35        100      $ 10,154,800      $ (551,860

Platinum

   October 2018 - January 2019      236        860.10        50        10,149,180        (958,655

Silver

   September 2018 - December 2018      124        16.26        5,000        10,079,340        (307,330

Softs

                 

Cocoa

   September 2018 - December 2018      403        2,521.48        10        10,161,550        235,770  

Coffee “C”

   September 2018 - December 2018      232        1.17        37,500        10,163,775        (673,481

Cotton No. 2

   December 2018 - March 2019      242        0.84        50,000        10,138,590        (171,905

Sugar No. 11

   September 2018 - February 2019      721        0.13        112,000        10,174,360        (229,936
              

 

 

    

 

 

 
Total                $ 172,309,494      $ (5,843,457
              

 

 

    

 

 

 

As of June 30, 2018, 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
Maturity Dates
     Face Amount      Fair Value      Unrealized
Appreciation/
(Depreciation)
 

U.S. Treasury Obligations

           

U.S. Treasury Bills

   1.72% - 1.91%      July 2018 – September 2018      $ 165,000,000      $ 164,659,275      $ 9,929  

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 and six months ended June 30, 2018 that has materially affected, or is reasonably likely to materially affect, the Funds’ internal control over financial reporting.

 

35


Table of Contents

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

Not Applicable.

Item 1A. Risk Factors.

The Funds have filed their Annual Report on Form 10-K for the year ended December 31, 2017, with the SEC on February 28, 2018, which sets forth certain risk factors in Part I, Item 1A therein. The Funds have not experienced any material changes from the risk factors previously described in the Annual Report on Form 10-K for the year ended December 31, 2017.

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

(a) None.

(b) For the three months ended June 30, 2018, 450,000 Limited Shares were redeemed for $8,648,395 and 200,000 Limited Shares were created for $3,897,304. The created Shares were registered pursuant to the Fund’s Registration Statement on Form S-3 (Registration No.: 333-214153), which was declared effective by the SEC on October 28, 2016. The Fund filed a prospectus under Rule 424(b) of the Exchange Act on October 26, 2017 to update certain information contained in the Registration Statement. On June 30, 2018, 9,150,000 Limited Shares of the Fund were outstanding for a market capitalization of $172,386,000, based on the June 29, 2018 closing price of $18.84 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, 2018:

 

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, 2018 to April 30, 2018

     100,000      $ 19.40        N/A        N/A  

May 1, 2018 to May 31, 2018

     100,000      $ 19.48        N/A        N/A  

June 1, 2018 to June 30, 2018

     250,000      $ 19.04        N/A        N/A  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

     450,000      $ 19.22        
  

 

 

    

 

 

       

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.

 

37


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 8, 2018
By: /s/ David Castano                                        
David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 8, 2018
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 8, 2018
By: /s/ David Castano                                        
David Castano
Chief Financial Officer
(Principal Financial Officer)
Date: August 8, 2018

 

38