Actions taken or omitted in reliance on Proper Instructions, or upon any information, order, indenture, stock certificate, power of attorney, assignment, affidavit or other instrument believed by the Administrator to be genuine or bearing the signature of a person or persons believed to be authorized to sign, countersign or execute the same, or upon the opinion of legal counsel for the Fund or Master Fund or its own counsel, shall be conclusively presumed to have been taken or omitted in good faith.
Notwithstanding any other provision contained in the Administration Agreement, the Administrator shall have no duty or obligation with respect to, including, without limitation, any duty or obligation to determine, or advise or notify the Fund or Master Fund of: (a) the taxable nature of any distribution or amount received or deemed received by, or payable to the Fund or Master Fund; (b) the taxable nature or effect on the Fund or Master Fund or their shareholders of any corporate actions, class actions, tax reclaims, tax refunds, or similar events; (c) the taxable nature or taxable amount of any distribution or dividend paid, payable or deemed paid by the Fund or Master Fund to their shareholders; or (d) the effect under any federal, state, or foreign income tax laws of the Fund or Master Fund making or not making any distribution or dividend payment, or any election with respect thereto.
The Bank of New York, N.A. will serve as the Fund’s custodian, or Custodian. Pursuant to the Global Custody Agreement between the Fund and the Custodian, or Custody Agreement, the Custodian serves as custodian of all the Fund’s securities and cash at any time delivered to Custodian during the term of the Custody Agreement and the Fund has authorized the Custodian to hold its securities in registered form in its name or the name of its nominees. The Custodian has established and will maintain one or more securities accounts and cash accounts pursuant to the Custody Agreement. The Custodian shall maintain books and records segregating the assets.
Either party may terminate the Custody Agreement by giving to the other party a notice in writing specifying the date of such termination, which shall be not less than ninety (90) days after the date of such notice. Upon termination thereof, the Fund shall pay to the Custodian such compensation as may be due to the Custodian, and shall likewise reimburse the Custodian for other amounts payable or reimbursable to the Custodian thereunder. The Custodian shall follow such reasonable oral or written instructions concerning the transfer of custody of records, securities and other items as the Fund shall give; provided, that (a) the Custodian shall have no liability for shipping and insurance costs associated therewith, and (b) full payment shall have been made to Custodian of its compensation, costs, expenses and other amounts to which it is entitled hereunder. If any securities or cash remain in any account, Custodian may deliver to the Fund such securities and cash. Except as otherwise provided herein, all obligations of the parties to each other hereunder shall cease upon termination of the Custody Agreement.
The Custodian is both exculpated and indemnified under the Custody Agreement.
Except as otherwise expressly provided in the Custody Agreement, the Custodian shall not be liable for any costs, expenses, damages, liabilities or claims, including attorneys’ and accountants’ fees, or losses, incurred by or asserted against the Fund, except those losses arising out of the gross negligence or willful misconduct of the Custodian. The Custodian shall have no liability whatsoever for the action or inaction of any depository. Subject to the Custodian’s delegation of its duties to its affiliates, the Custodian’s responsibility with respect to any securities or cash held by a subcustodiansub-custodian is limited to the failure on the part of the Custodian to exercise reasonable care in the selection or retention of such subcustodiansub-custodian in light of prevailing settlement and securities handling practices, procedures and controls in the relevant market. With respect to any losses incurred by the Fund as a result of the acts or the failure to act by any subcustodiansub-custodian (other than an affiliate of the Custodian), the Custodian shall take appropriate action to recover such losses from such subcustodian;sub-custodian; and the Custodian’s sole responsibility and liability to the Fund shall be limited to amounts so received from such subcustodiansub-custodian (exclusive of costs and expenses incurred by the Custodian). In no event shall the Custodian be liable to the Fund or any third party for special, indirect or consequential damages, or lost profits or loss of business, arising in connection with the Custody Agreement.
| (v) | | The conclusive reliance on, or the carrying out by the Transfer Agent or its agents or subcontractors of any instructions or requests of the Fund on behalf of the Fund; |
| (vi) | | The offer or sale of Shares in violation of any requirement under the federal securities laws or regulations or the securities laws; or |
| (vii) | | Regulations of any state that such Shares be registered in such state or in violation of any stop order or other determination or ruling by any federal agency or any state with respect to the offer or sale of such Shares in such state. |
Distribution Services Agreement
The Distributor will provide certain distribution services to the Fund. Pursuant to the Distribution Services Agreement between the Fund and the Distributor, the Distributor will assist the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets.
The Distribution Services Agreement, originally dated January 16, 2007 (as amended on May 15, 2009)2009 and January 7, 2011) shall continue until two years from such date and thereafter shall continue automatically for successive annual periods, provided that such continuance is specifically approved at least annually by the Fund’s Managing Owner or otherwise as provided under the Distribution Services Agreement. The Distribution Services Agreement is terminable without penalty on sixty (60) days’ written notice by the Fund’s Managing Owner or by the Distributor. In accordance with the terms of the Distribution Services Agreement, the Managing Owner has informed the Distributor that instead of automatically renewing it intends to meet with the Distributor to review the terms of the agreement. The terms of the present agreement remains in effect until amended. The Distribution Services Agreement shall automatically terminate in the event of its assignment.
Pursuant to the Distribution Services Agreement, the Fund indemnifies and holds harmless the Distributor and each of its directors and officers and each person, if any, who controls the Distributor within the meaning of Section 15 of the 1933 Act, against any loss, liability, claim, damages or expenses (including the reasonable cost of investigating or defending any alleged loss, liability, claim, damages or expense and reasonable counsel fees incurred in connection therewith) arising by reason of any person acquiring any Shares, based upon the ground that the registration statement, prospectus, statement of additional information, shareholder reports or other information filed or made public by the Fund (as from time-to-time amended) included an untrue statement of a material fact or omitted to state a material fact required to be stated or necessary in order to make the statements not misleading under the 1933 Act or any other statute or the common law. However, the Fund does not indemnify the Distributor or hold it harmless to the extent that the statement or omission was made in reliance upon, and in conformity with, information furnished to the Fund by or on behalf of the Distributor. In no case (i) is the indemnity of the Fund in favor of the Distributor or any person indemnified to be deemed to protect the Distributor or any person against any liability to the Fund or its security holders to which the Distributor or such person would otherwise be subject by reason of willful misfeasance, bad faith or negligence in the performance of its duties or by reason of its reckless disregard of its obligations and duties under this Agreement, or (ii) is the Fund to be liable under its indemnity agreement contained in this paragraph with respect to any claim made against the Distributor or any person indemnified unless the Distributor or person, as the case may be, shall have notified the Fund in writing of the claim promptly after the summons or other first written notification giving information of the nature of the claims shall have been served upon the Distributor or any such person (or after the Distributor or such person shall have received notice of service on any designated agent).
However, failure to notify the Fund of any claim shall not relieve the Fund from any liability which it may have to any person against whom such action is brought otherwise than on account of its indemnity agreement contained in this paragraph. The Fund shall be entitled to participate at its own expense in the defense, or, if it so elects, to assume the defense of any suit brought to enforce any claims, and if the Fund elects to assume the defense, the defense shall be conducted by counsel chosen by the Fund. In the event the Fund elects to assume the defense of any suit and retain counsel, the Distributor, officers or directors or controlling person(s), defendant(s) in the suit, shall bear the fees and expenses of any additional counsel retained by them. If the Fund does not elect to assume the defense of any suit, it will reimburse the Distributor, officers or directors or controlling person(s) or defendant(s) in the suit for the reasonable fees and expenses of any counsel retained by them. The Fund has agreed to notify the Distributor promptly of the commencement of any litigation or proceeding against it or any of its officers in connection with the issuance or sale of any of the Shares.
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Marketing Services Agreement
The Marketing Agent provides certain marketing services to the Fund. Pursuant to the Marketing Agreement, as amended from time-to-time,time to time, between the Managing Owner, on behalf of the Fund and Master Fund, and the Marketing Agent, the Marketing Agent assists the Managing Owner with certain functions and duties such as providing various educational and marketing activities regarding the Fund, primarily in the secondary trading market, which activities include, but are not limited to, communicating the Fund’s name, characteristics, uses, benefits, and risks, consistent with the prospectus, providing support to an extensive broker database and a network of internal and external wholesalers. The Marketing Agent will not open or maintain customer accounts or handle orders for the Fund. The Marketing Agent will engage in public seminars, road shows, conferences, media interviews, field incoming telephone “800” number calls and distribute sales literature and other communications (including electronic media) regarding the Fund.
The date of the Marketing Services Agreement is(dated January 14, 2008 (asas amended, including on April 30, 2009, and May 15, 2009) will continue until2009, and August 16, 2010) had an original term of two years from January 14, 2008, and thereafter will continuecontinuing automatically for successive annual periods, unless a party provides notice to the other party within 60 days of the termination of the then current term.
Pursuant to the Marketing Agreement, each party will indemnify and hold harmless the other party against all losses, costs and expenses (including reasonable attorney’s fees) that an indemnified party incurs by reason or result of or arising from the breach of any terms, provisions, covenants, warranties or representations contained in the Marketing Agreement.
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You could lose money investing in the Shares. You should consider carefully the risks described below and elsewhere in this Form 10K before making an investment decision.
The Value of the Shares Relates Directly to the Value of the Commodity Futures and Other Assets Held by the Master Fund and Fluctuations in the Price of These Assets Could Materially Adversely Affect an Investment in the Shares.
The Shares are designed to reflect, as closely as possible, the performance of the Index through the Master Fund’s portfolio of exchange-traded futures on the Index Commodities. The value of the Shares relate directly to the value of the portfolio, less the liabilities (including estimated accrued but unpaid expenses) of the Fund and the Master Fund. The price of the Index Commodities may fluctuate widely based on many factors. Some of those factors are:
changing supply and demand relationships;
general economic activities and conditions;
weather and other environmental conditions;
acts of God;
| • | weather and other environmental conditions; |
agricultural, fiscal, monetary and exchange control programs and policies of governments;
national and international political and economic events and policies;
changes in rates of inflation; or
| • | agricultural, fiscal, monetary and exchange control programs and policies of governments; |
the general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors.
| • | national and international political and economic events and policies; |
| • | changes in rates of inflation; or |
| • | the general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors. |
In addition to the factors set forth above, each commodity has risks that are inherent in the investment in such commodity.
Metals Commodities: Price movements in futures contracts held by the Master Fund, in metals commodities such as gold, silver, platinum and copper are affected by many specific other factors. Some of these metal specific factors include, but are not limited to:
| • | A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund. |
| • | A sudden shift in political conditions of the world’s leading metal producers may have a negative effect on the global pricing of metals. |
| • | An increase in the hedging of precious metals may result in the price of precious metals to decline. |
| • | Changes in global supply and demand for industrial and precious metals. |
A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund.
| • | The price and quantity of imports and exports of industrial and precious metals. |
A sudden shift in political conditions of the world’s leading metal producers may have a negative effect on the global pricing of metals.
| • | Technological advances in the processing and mining of industrial and precious metals. |
An increase in the hedging of precious metals may result in the price of precious metals to decline.
Changes in global supply and demand for industrial and precious metals.
The price and quantity of imports and exports of industrial and precious metals.
Technological advances in the processing and mining of industrial and precious metals.
Agricultural Commodities: Price movements in futures contracts held by the Master Fund in agricultural commodities, such as wheat, corn and soybeans, are affected by many factors. Some of these agricultural specific factors include, but are not limited to:
Farmer planting decisions, general economic, market and regulatory factors all influence the price of agricultural commodities.
Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities.
Changes in global supply and demand for agriculture products.
The price and quantity of imports and exports of agricultural commodities.
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Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports.
| • | Farmer planting decisions, general economic, market and regulatory factors all influence the price of agricultural commodities. |
| • | Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities. |
| • | Changes in global supply and demand for agriculture products. |
| • | The price and quantity of imports and exports of agricultural commodities. |
| • | Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports. |
| • | Technological advances in agricultural production. |
|
| • | | The price and availability of alternative agricultural commodities. |
The price and availability of alternative agricultural commodities.
Energy Commodities: Price movements in futures contracts held by the Master Fund in energy commodities, such as crude oil, heating oil and natural gas, are subject to risks due to frequent and often substantial fluctuations in energy commodity prices. In the past, the prices of natural gas and crude oil have been extremely volatile, and the Managing Owner expects this volatility to continue. The markets and prices for energy commodities are affected by many factors. Some of those factors include, but are not limited to:
| • | | Changes in global supply and demand for oil and natural gas. |
|
| • | | The price and quantity of imports and exports of oil and natural gas. |
Political conditions, including embargoes and war, in or affecting other oil producing activities.
The level of global oil and natural gas exploration and production.
The level of global oil and natural gas inventories, production or pricing.
| • | Political conditions, including embargoes and war, in or affecting other oil producing activities. |
| • | The level of global oil and natural gas exploration and production. |
| • | The level of global oil and natural gas inventories, production or pricing. |
| • | | Technological advances effecting energy consumption. |
|
| • | | The price and availability of alternative fuels. |
None of these factors can be controlled by the Managing Owner. Even if current and correct information as to substantially all factors are known or thought to be known, prices still will not always react as predicted. The profitability of the Fund and the Master Fund will depend on whether the Master Fund’s commodities portfolio increases in value over time. If the value increases, the Fund will only be profitable if such increases exceed the fees and expenses of the Fund. If these values do not increase, the Fund will not be profitable and will incur losses.
Net Asset Value May Not Always Correspond to Market Price and, as a Result, Baskets may be Created or Redeemed at a Value that Differs from the Market Price of the Shares.
The net asset value per share of the Shares will change as fluctuations occur in the market value of the Master Fund’s portfolio. Investors should be aware that the public trading price of a Basket of Shares may be different from the net asset value of a Basket of Shares (i.e., Shares may trade at a premium over, or a discount to, the net asset value of a Basket of Shares) and similarly the public trading market price per Share may be different from the net asset value per Share. Consequently, an Authorized Participant may be able to create or redeem a Basket of Shares at a discount or a premium to net asset value. This price difference may be due, in large part, to the fact that supply and demand forces are at work in the secondary trading market for Shares that is closely related to, but not identical to, the same forces influencing the prices of the Index Commodities trading individually or in the aggregate at any point in time.
Investors also should note that the size of the Fund in terms of total assets held may change substantially over time and from time-to-timetime to time as Baskets are created and redeemed. Authorized Participants or their clients or customers may have an opportunity to realize a riskless profit if they can purchase a Creation Basket at a discount to the public trading price of the Shares or can redeem a Redemption Basket at a premium over the public trading price of the Shares. The Managing Owner expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will tend to cause the public trading price to track net asset value per Share closely over time.
Your investment could suffer in the event that Thomson Reuters America LLC decides to terminate the license agreement between itself and the Managing Owner.
Thomson Reuters America LLC entered into a License Agreement with the Managing Owner on October 11, 2006 whereby the Managing Owner was granted an exclusive license with respect to the development and creation of U.S. exchange traded funds. The License Agreementamended license agreement granted to the Managing Owner (as subsequently amended on September 18, 2007, July 7, 2008, and September 30, 2010), among other things, to extend the exclusivity period of the license tohas a term ending October 1st, 20101, 2013 and may be terminated under certain circumstances which could cause your investment to decline significantly in value. In addition to that, because the license granted is an exclusive license with respect to a limited type of investment product, a different product could be created, which could also cause your investment to decline in value. If the license expires and is not renewed or is terminated, or a competitive product is created, then the Managing Owner wouldcould seek shareholder approval to either (i) liquidate the Master Fund and the Fund or (ii) approve a different index to track for comparison purposes.
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Your investment could suffer in the event that the Managing Owner creates another product under its exclusive license agreement which directly competes with the Fund and Master Fund.
The License Agreement is between Thomson Reuters America LLC and the Managing Owner and not between Thomson Reuters America LLC and the Fund or Master Fund. Therefore, it is possible that the Managing Owner could create and manage another investment product that is substantially similar to the Fund and the Master Fund. If this were to happen, then your investment could suffer.
Regulatory and Exchange Position Limits and Other Rules May Restrict the Creation of Baskets and the Operation of the Master Fund.
In the past the CFTC and the commodity exchange rules imposehave imposed speculative position limits in certain agricultural commodities on market participants classed as “speculative”, which could includeincluded the Master Fund, trading in certain agricultural commodities. These position limits prohibitprohibited any person from holding a position of more than a specific number of such futures contracts. As part of the Dodd-Frank Wall Street Reform and Consumer Protection Act, these limits are being revised and expanded, and their final form is not yet known. The Managing Owner anticipates that thesesuch position limits, as well as accountability limits currently in place on exchanges, will not become more of an issue whenuntil the Master Fund reaches close to US$1 billion ofa net asset value in excess of US$2.1 billion, at which point the Managing Owner may either prevent the issuance of additional creation units or may apply to the CFTC for relief from certain position limits.
If the Master Fund applies and is unable to obtain such relief, the Fund’s ability to issue new Baskets, or the Master Fund’s ability to reinvest income in these additional futures contracts, may be limited to the extent these activities would cause the Master Fund to exceed applicable position limits. Limiting the size of the Fund may affect the correlation between the price of the Shares, as traded on the NYSE, and the net asset value of the Fund. That is, the inability to create additional Baskets could result in Shares trading at a premium or discount to the net asset value of the Fund.
The Fund May Not Always Be Able Exactly to Replicate the Performance of the Index.
It is possible that the Fund may not fully replicate the performance of the Index due to disruptions in the markets for the Index Commodities or due to other extraordinary circumstances. In addition, the Fund is not able to replicate exactly the performance of the Index because the total return generated by the Master Fund is reduced by expenses and transaction costs, including those incurred in connection with the Master Fund’s trading activities, and increased by interest income from the Master Fund’s holdings of short-term high quality fixed income securities. Tracking the Index requires rebalancing of the Master Fund’s portfolio and is dependent upon the skills of the Managing Owner and its trading principals, among other factors.
If the Managing Owner permits the Fund to control commodity positions in excess of the value of the Fund’s assets, you could lose all or substantially all of your investment.
Commodity pools’ trading positions in futures contracts or other commodity interests are typically required to be secured by the deposit of margin funds that represent only a small percentage of a futures contract’s (or other commodity interests’) entire market value. This feature permits commodity pools to increase their exposure to assets by purchasing or selling futures contracts (or other commodity interests) with an aggregate value in excess of the commodity pool’s assets. While these actions can increase the pool’s profits, relatively small adverse movements in the price of the pool’s futures contracts can cause significant or complete losses to the pool. While the Managing Owner has not and does not intend to have exposure to futures contracts in excess of the Fund’s collateral, the Fund is dependent upon the trading and management skills of the Managing Owner to maintain the proper position sizes.
The Master Fund Is Not Actively Managed and Will Track the Index During Periods in which the Index Is Flat or Declining as well as when the Index Is Rising.
The Master Fund is not actively managed by traditional methods. Therefore, if positions in any one or more of the Index Commodities are declining in value, the Master Fund will not close out such positions, except in connection with a change in the composition or weighting of the Index. The Managing Owner will seek to cause the net asset value to track the Index during periods in which the Index is flat or declining as well as when the Index is rising.
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The Exchange May Halt Trading in the Shares Which Would Adversely Impact Your Ability to Sell Shares.
The Shares are listed for trading on the NYSE Arca platform under the market symbol “GCC.” Trading in Shares may be halted due to market conditions or, in light of NYSE rules and procedures, for reasons that, in the view of the NYSE, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline in the equity markets. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged. The Fund and the Master Fund will be terminated if the Shares are de-listed.
The Lack of an Active Trading Market for the Shares May Result in Losses on Your Investment at the Time of Disposition of Your Shares.
Although the Shares are listed and traded on the NYSE Arca platform, there can be no guarantee that an active trading market for the Shares will be maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, will likely be lower than the price you would have received if an active market did exist.
The Shares Are a New Securities Product and theirShares’ Value Could Decrease if Unanticipated Operational or Trading Problems Arise.
The mechanisms and procedures governing the creation, redemption and offering of the Shares are recently developed securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations and the trading of the Shares that could have a material adverse effect on an investment in the Shares. In addition, although the Master Fund is not actively “managed” by traditional methods, to the extent that unanticipated operational or trading problems or issues arise, the Managing Owner’s past experience and qualifications may not be suitable for solving these problems or issues.
As the Managing Owner and its Principals have no prior History ofOnly Been Operating an Investment Vehicle like the Fund orand the Master Fund Since January 2008, their Experience may be Inadequate or Unsuitable to Manage the Fund or the Master Fund.
The Managing Owner was formed expressly to be the managing owner of the Fund and the Master Fund and has no history of past performance apart from the history of the Fund and the Master Fund. The past performances of the Managing Owner’s management in other positions are no indication of its ability to manage an investment vehicle such as the Fund or the Master Fund. If the experience of the Managing Owner and its principals is not adequate or suitable to manage an investment vehicle such as the Fund and the Master Fund, the operations of the Fund and the Master Fund may be adversely affected.
You Should Not Rely on Past Performance in Deciding Whether to Buy Shares.
The past performance of the Index is not necessarily indicative of the future performance of the Index, or of the Fund or the Master Fund.
Price Volatility May Possibly Cause the Total Loss of Your Investment.
Futures contracts have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment in the Fund.
Fees are Charged Regardless of Profitability and May Result in Depletion of Assets.
The Fund indirectly is subject to the fees and expenses described herein which are payable irrespective of profitability. Such fees and expenses include asset-based fees of up to 0.85% per annum. Additional charges include brokerage fees expected to be approximately 0.24%0.20% per annum in the aggregate. The Fund is expected to earn interest income at an annual rate of .08%.07% per annum, based upon the current yield on a three month U.S. Treasury bill. Consequently, it is expected that interest income will not exceed fees unless short-term Treasury rates rise. If interest rates remain below 1.09%1.05% as they are as of this filing, the Fund will need to have positive performance in order to break-even (net of fees and expenses). Consequently, the expenses of the Master Fund, could, over time, could result in significant losses to your investment in the Shares. You may never achieve profits, significant or otherwise.
33
Possible Illiquid Markets May Exacerbate Losses.
Futures positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position. Such periods of illiquidity and the events that trigger them are difficult to predict and there can be no assurance that the Managing Owner will be able to do so. There can be no assurance that market illiquidity will not cause losses for the Fund. The large size of the positions which the Master Fund may acquire on behalf of the Fund increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.
You May Be Adversely Affected by Redemption Orders that Are Subject To Postponement, Suspension Or Rejection Under Certain Circumstances.
The Distributor may, in its discretion, and will when directed by the Managing Owner, 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. In addition, the Distributor will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the Fund declines during the period of the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may disclaim any liability for any loss or damage that may result from any such suspension or postponement.
Because the Master Fund will not Acquire Any Asset with Intrinsic Value, the Positive Performance of Your Investment Is Wholly Dependent Upon an Equal and Offsetting Loss Borne by Unrelated Participants in the Futures Market.
Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. Unlike most alternative investments, an investment in Shares does not involve acquiring any asset with intrinsic value. Overall stock and bond prices could rise significantly and the economy as a whole could prosper while the Shares may trade below levels which are profitable to your holdings.
Shareholders Will Not Have the Protections Associated With Ownership of Shares in an Investment Company Registered Under the Investment Company Act of 1940.
Neither the Fund nor the Master Fund is registered as an investment company under the Investment Company Act of 1940 and is not required to register under such act. Consequently, Shareholders will not have the regulatory protections provided to investors in investment companies.
Various Actual and Potential Conflicts of Interest May Be Detrimental to Shareholders.
The Managing Owner’s officers, directors or employees do not devote their time exclusively to managing the Index Fund and Master Fund. These persons are directors, officers or employees of other entities that may compete with the Funds for their services. They could have a conflict between their responsibilities to the Funds and to those other entities. In addition, the Managing Owner’s principals, officers, directors or employees may trade futures and related contracts for their own or others’ accounts. 34
Shareholders Will Be Subject to Taxation on Their Share of the Master Fund’s Taxable Income, Whether or Not They Receive Cash Distributions.
Shareholders will be subject to United States federal income taxation and, in some cases, state, local, or foreign income taxation on their share of the Master Fund’s taxable income, whether or not they receive cash distributions from the Fund. Shareholders may not receive cash distributions equal to their share of the Master Fund’s taxable income or even the tax liability that results from such income.
Items of Income, Gain, Deduction, Loss and Credit with respect to Fund Shares could be Reallocated if the IRS does not Accept the Assumptions or Conventions Used by the Master Fund in Allocating Master Fund Tax Items.
U.S. federal income tax rules applicable to partnerships are complex and often difficult to apply to publicly traded partnerships. The Master Fund will apply certain assumptions and conventions in an attempt to comply with applicable rules and to report income, gain, deduction, loss and credit to the Fund’s Shareholders in a manner that reflects the Shareholders’ beneficial shares of partnership items, but these assumptions and conventions may not be in compliance with all aspects of applicable tax requirements. It is possible that the IRS will successfully assert that the conventions and assumptions used by the Master Fund do not satisfy the technical requirements of the Internal Revenue Code and/or Treasury regulations and could require that items of income, gain, deduction, loss or credit be adjusted or reallocated in a manner that adversely affects you.
PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISERS AND COUNSEL WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN ANY SHARES; SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.
Failure or Lack of Segregation of Assets May Increase Losses.
The Commodity Exchange Act requires a clearing broker to segregate all funds received from customers from such broker’s proprietary assets. If the Commodity Broker fails to do so, the assets of the Master Fund might not be fully protected in the event of the Commodity Broker’s bankruptcy. Furthermore, in the event of the Commodity Broker’s bankruptcy, any Master Fund Units could be limited to recovering only apro ratashare of all available funds segregated on behalf of the Commodity Broker’s combined customer accounts, even though certain property specifically traceable to the Master Fund was held by the Commodity Broker. In addition to that, it is possible that in the event of a clearing broker’s bankruptcy, investors experience a loss of all their moneys, which would therefore imply that none of the investments may be recovered, not just apro ratashare. The Commodity Broker may, from time-to-time, have been the subject of certain regulatory and private causes of action. Such material actions, if any, are described under “The Commodity Broker.” In the event of a bankruptcy or insolvency of any exchange or a clearing house, the Master Fund could experience a loss of the funds deposited through its Commodity Broker as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the loss of unrealized profits on its closed positions on the exchange.
Regulatory Changes or Actions May Alter the Nature of an Investment in the Fund.
Considerable regulatory attention has been focused on non-traditional investment pools which are publicly distributed in the United States. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in the Fund or the ability of the Fund to continue to implement its investment strategy. The futures markets are subject to comprehensive statutes, regulations, and margin requirements. In addition, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.
Lack of Independent Experts Representing Investors.
The Managing Owner has consulted with counsel, accountants and other experts regarding the formation and operation of the Fund and the Master Fund. No counsel has been appointed to represent you in connection with your ownership of the Shares. Accordingly, you should consult your own legal, tax and financial advisers regarding the desirability of the Shares and making investments in Shares.
35
Possibility of Termination of the Fund May Adversely Affect Your Portfolio.
The Managing Owner may withdraw from the Fund upon 120 days’ notice, which would cause the Fund and the Master Fund to terminate unless a substitute managing owner were obtained. You cannot be assured that the Managing Owner will be willing or able to continue to service the Fund for any length of time. If the Managing Owner discontinues its activities on behalf of the Fund, the Fund may be adversely affected. In addition, owners of 75% of the Shares have the power to terminate the Trust. If that right is exercised, investors who wished to continue to invest in the Index through the vehicle of the Trust would have to find another vehicle, and might not be able to find another vehicle that offers the same features as the Trust. Such detrimental developments could cause you to liquidate your investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the NFA of the Managing Owner or the Commodity Broker were revoked or suspended, such entity would no longer be able to provide services to the Fund and the Master Fund.
Shareholders Do Not Have the Rights Enjoyed by Investors in Certain Other Vehicles.
As interests in an investment trust, the Shares have none of the statutory rights normally associated with the ownership of common stock of a corporation (including, for example, the right to bring “oppression” or “derivative” actions). In addition, the Shares have limited voting and distribution rights (for example, Shareholders do not have the right to elect directors and the Fund is not required to pay regular dividends, although the Fund may pay dividends at the discretion of the Managing Owner).
An Investment in the Shares May Be Adversely Affected by Competition From Other Methods of Investing in Commodities.
The Fund and the Master Fund constitute a new, and thus untested, type of investment vehicle. They compete with other financial vehicles, including other commodity pools, hedge funds, traditional debt and equity securities issued by companies in the commodities industry, other securities backed by or linked to such commodities, and direct investments in the underlying commodities or commodity futures contracts. Market and financial conditions, and other conditions that are beyond the Managing Owner’s control, may make it more attractive to invest in other financial vehicles or to invest in such commodities directly, which could limit the market for the Shares and reduce the liquidity of the Shares.
Competing Claims Over Ownership of Intellectual Property Rights Related to the Fund Could Adversely Affect the Fund and an Investment in the Shares.
While the Managing Owner believes that all intellectual property rights needed to operate the Fund are either owned by or licensed to the Managing Owner or have been obtained, third parties may allege or assert ownership of intellectual property rights which may be related to the design, structure and operations of the Fund. To the extent any claims of such ownership are brought or any proceedings are instituted to assert such claims, the negotiation, litigation or settlement of such claims, or the ultimate disposition of such claims in a court of law if a suit is brought, may adversely affect the Fund and an investment in the Shares, resulting in expenses or damages or the termination of the Fund.
An Absence of “Backwardation” in the Prices of Certain Commodities, or the Presence of “Contango” in the Prices of Certain Commodities, May Decrease the Price of Your Shares.
As the futures contracts that underlie the Index near expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 20102013 may specify a January 20112014 expiration. As that contract nears expiration, it may be replaced by selling the January 20112014 contract and purchasing the contract expiring in March 2011.2014. This process is referred to as “rolling.” Historically,At times, the prices of crude oil and heating oil have frequently been higher for contracts with shorter-term expirations are higher than for contracts with longer-term expirations, which is referred toa condition known as “backwardation.” In these circumstances, absent other factors, the sale of thea January 20112014 contract would take place at a price that is higher than the price at which thea March 2011contract2014 contract is purchased, thereby creating a gain in connection with rolling. While crude oil and heating oilsome commodities have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The absence of backwardation in any of the commodities comprising the Index could adversely affect the value of the Index and, accordingly, decrease the value of your Shares.
36
Conversely, gold, corn, soybeans and wheatsome other commodities such as precious metals contracts have historically tended to exhibit “contango” markets rather than backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors. Although gold, corn, soybeans and wheatsome commodities have historically exhibited consistent periods of contango, contango will likelymay not exist in these markets at all times. The persistence of contango in any of the commodities comprising the Index could adversely affect the value of the Index and, accordingly, decrease the value of your Shares.
The Value of the Shares Will be Adversely Affected if the Fund or the Master Fund is Required to Indemnify the Trustee or the Managing Owner.
Under the Trust Declarations, the Trustee and the Managing Owner have the right to be indemnified for any liability or expense it incurs without negligence or misconduct. That means the Managing Owner may require the assets of the Master Fund to be sold in order to cover losses or liability suffered by it or by the Trustee. Any sale of that kind would reduce the net asset value of the Master Fund and the value of the Shares.
Regulatory Reporting and Compliance
Our business
The Fund is subject to changing regulation of corporate governance and public disclosure that have increased both ourthe costs and the risk of noncompliance.
Because ourthe Fund’s common shares are publicly traded, we areit is subject to certain rules and regulations of federal, state and financial market exchange entities charged with the protection of investors and the oversight of companies whose securities are publicly traded. These entities, including the SEC and NYSE Arca, have in recent years issued new requirements and regulations. From time to time, these authorities have continued to develop additional regulations or interpretations of existing regulations. OurThe Fund’s ongoing efforts to comply with these regulations and interpretations have resulted in, and are likely to continue resulting in, increased general and administrative expenses and diversion of management time and attention from revenue-generating activities to compliance activities.
We are
The Fund is responsible for establishing and maintaining adequate internal control over financial reporting. OurThe Fund’s internal control system is designed to provide reasonable assurance to its management and its board of directors 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.
We
The Fund assessed the effectiveness of ourits internal control over financial reporting as of December 31, 2009.2012. Based on itsthat assessment, we believethe Fund believes that, as of December 31, 2009,2012, internal control over financial reporting is effective.
The Net Asset Value Calculation of the Master Fund May Be Overstated or Understated Due to the Valuation Method Employed When a Settlement Price is not Available on the Date of Net Asset Value Calculation.
Calculating the net asset value of the Master Fund (and, in turn, the Fund) includes, in part, any unrealized profits or losses on open commodity futures contracts. Under normal circumstances, the net asset value of the Master Fund reflects the settlement price of open commodity futures contracts on the date when the net asset value is being calculated. However, if a commodity futures contract traded on an exchange (both U.S. and non-U.S. exchanges) could not be liquidated on such day (due to the operation of daily limits or other rules of the exchange upon which that position is traded or otherwise), the settlement price on the most recent day on which the position could have been liquidated shall be the basis for determining the market value of such position for such day. In such a situation, there is a risk that the calculation of the net asset value of the Master Fund on such day will not accurately reflect the realizable market value of such commodity futures contract. For example, daily limits are generally triggered in the event of a significant change in market price of a commodity futures contract. Therefore, as a result of the daily limit, the current settlement price is unavailable. Because the settlement price on the most recent day on which the position could have been liquidated would be used in lieu of the actual settlement price on the date of determination, there is a risk that the resulting calculation of the net asset value of the Master Fund (and, in turn, the Fund) could be under or overstated, perhaps to a significant degree.
37
ITEM 1B. UNRESOLVED STAFF COMMENTS | UNRESOLVED STAFF COMMENTS |
None.
The Fund and the Master Fund do not own or use physical properties in the conduct of itstheir business. ItsTheir assets consist of futures contracts, cash, United States Treasury obligations and other high credit quality short-term fixed income securities. The Managing Owner’s headquarters are located at 3340 Peachtree Road, Suite 1910, Atlanta, Georgia 30326. Any value attributable to an implied or imputed use or sharing of the Managing Owner’s facilities is deemed to be included in other fees paid by the Fund to the Managing Owner.
ITEM 3. LEGAL PROCEEDINGSNone.
ITEM 4. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
None.
38
PART II
None.
| | MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES |
Market Information
The Limited Shares of the Fund trade on the New York Stock Exchange under the symbol “GCC.”
2009 Monthly Stock
2012 Monthly Stock Price Data for GCC |
Date | | Open | | High | | Low | | Close |
December | | 30.02 | | 30.12 | | 28.67 | | 28.83 |
November | | 29.60 | | 30.12 | | 29.09 | | 29.85 |
October | | 30.67 | | 30.80 | | 29.43 | | 29.49 |
September | | 30.78 | | 31.61 | | 29.97 | | 30.50 |
August | | 29.40 | | 30.42 | | 29.06 | | 30.37 |
July | | 29.29 | | 29.99 | | 28.32 | | 29.61 |
June | | 26.66 | | 28.44 | | 26.53 | | 28.36 |
May | | 29.48 | | 29.61 | | 26.88 | | 26.93 |
April | | 30.22 | | 30.64 | | 29.00 | | 29.47 |
March | | 31.75 | | 32.36 | | 29.90 | | 30.28 |
February | | 31.20 | | 32.14 | | 30.92 | | 31.69 |
January | | 30.37 | | 31.90 | | 30.09 | | 31.29 |
2011 Monthly Stock Price Data for GCC |
Date | | Open | | High | | Low | | Close |
December | | 31.05 | | 31.31 | | 28.98 | | 29.96 |
November | | 31.39 | | 32.69 | | 30.42 | | 31.18 |
October | | 30.15 | | 32.80 | | 29.84 | | 32.21 |
September | | 35.19 | | 35.22 | | 30.28 | | 30.34 |
August | | 34.66 | | 35.30 | | 32.66 | | 35.23 |
July | | 33.50 | | 35.13 | | 33.20 | | 34.47 |
June | | 34.80 | | 35.18 | | 32.90 | | 33.50 |
May | | 36.45 | | 36.46 | | 33.10 | | 34.90 |
April | | 35.15 | | 36.51 | | 35.03 | | 36.40 |
March | | 35.57 | | 36.19 | | 32.82 | | 35.23 |
February | | 34.08 | | 36.00 | | 33.98 | | 35.33 |
January | | 33.49 | | 34.25 | | 32.08 | | 34.03 |
2010 Monthly Stock Price Data for GCC |
Date | | Open | | High | | Low | | Close |
December | | 29.99 | | 33.51 | | 29.98 | | 32.95 |
November | | 30.04 | | 33.53 | | 29.02 | | 29.69 |
October | | 28.23 | | 30.01 | | 27.56 | | 29.79 |
September | | 26.45 | | 28.55 | | 26.40 | | 28.16 |
August | | 26.73 | | 27.13 | | 25.68 | | 26.20 |
July | | 24.81 | | 26.43 | | 24.56 | | 26.41 |
June | | 24.39 | | 25.57 | | 23.83 | | 24.93 |
May | | 25.83 | | 25.86 | | 23.88 | | 24.54 |
April | | 25.22 | | 25.96 | | 25.15 | | 25.79 |
March | | 25.79 | | 25.94 | | 24.68 | | 25.08 |
February | | 25.21 | | 25.88 | | 24.27 | | 25.72 |
January | | 26.93 | | 27.30 | | 25.05 | | 25.06 |
Price Data for GCCRange of Units
| | | | | | | | | | | | | | | | |
Date | | High | | | Low | | | Close | | | Open | |
December | | | 26.58 | | | | 25.33 | | | | 26.32 | | | | 26.31 | |
November | | | 26.20 | | | | 24.89 | | | | 26.11 | | | | 25.05 | |
October | | | 26.20 | | | | 23.30 | | | | 25.01 | | | | 23.93 | |
September | | | 24.28 | | | | 22.73 | | | | 23.97 | | | | 23.10 | |
August | | | 24.41 | | | | 22.80 | | | | 23.08 | | | | 23.95 | |
July | | | 23.55 | | | | 21.31 | | | | 23.52 | | | | 23.00 | |
June | | | 25.79 | | | | 22.39 | | | | 22.88 | | | | 24.85 | |
May | | | 24.50 | | | | 21.92 | | | | 24.34 | | | | 21.99 | |
April | | | 23.99 | | | | 21.00 | | | | 21.79 | | | | 21.83 | |
March | | | 23.60 | | | | 19.01 | | | | 21.95 | | | | 20.43 | |
February | | | 22.81 | | | | 20.42 | | | | 20.82 | | | | 21.55 | |
January | | | 22.99 | | | | 20.79 | | | | 21.80 | | | | 22.12 | |
2008 Monthly Stock Price Data for GCCFiscal Year 2012 | | High | | Low |
1st Quarter | | 32.36 | | 29.90 |
2nd Quarter | | 30.64 | | 26.53 |
3rd Quarter | | 31.61 | | 28.32 |
4th Quarter | | 30.80 | | 28.67 |
| | | | |
Fiscal Year 2011 | | High | | Low |
1st Quarter | | 36.19 | | 32.08 |
2nd Quarter | | 36.51 | | 32.90 |
3rd Quarter | | 35.30 | | 30.28 |
4th Quarter | | 32.80 | | 28.98 |
| | | | | | | | | | | | | | | | |
Date | | High | | | Low | | | Close | | | Open | |
December | | | 23.95 | | | | 19.51 | | | | 21.92 | | | | 21.49 | |
November | | | 24.3 | | | | 18.94 | | | | 21.78 | | | | 22.78 | |
October | | | 27.9 | | | | 18.71 | | | | 22.7 | | | | 27.67 | |
September | | | 30.84 | | | | 26.04 | | | | 27.62 | | | | 30.77 | |
August | | | 33.9 | | | | 28.5 | | | | 31.71 | | | | 33.33 | |
July | | | 37.99 | | | | 30.26 | | | | 33.75 | | | | 36.83 | |
June | | | 37.52 | | | | 33.33 | | | | 36.88 | | | | 34.16 | |
May | | | 34.82 | | | | 28 | | | | 33.74 | | | | 33.22 | |
April | | | 35.78 | | | | 31.67 | | | | 33.53 | | | | 32.4 | |
March | | | 37 | | | | 30.55 | | | | 32.34 | | | | 35.99 | |
February | | | 35.85 | | | | 31.5 | | | | 35.35 | | | | 31.94 | |
January | | | 31.9 | | | | 30.45 | | | | 31.7 | | | | 30.45 | |
HoldersShares Outstanding
As of December 31, 2009,2012, the Fund had 8,750,00016,450,000 of its Limited Shares outstanding.
As of December 31, 2008,2011, the Fund had 800,00019,400,000 of its Limited Shares outstanding.
As of December 31, 2010, the Fund had 16,250,000 of its Limited Shares outstanding.
Distributions
There were no distributions during 2009, 2008,2012, 2011, or 2007.2010.
Holders
As of December 31, 2012, there were 29,554 holders of the Fund’s Shares.
Sales and Redemptions
(a) There have been no unregistered sales of the Fund’s securities. No Fund securities are authorized for issuance by the Fund under equity compensation plans.
(b) The Fund filed with the SEC a Registration Statement on Form S-1 (Registration No.: 333-138424), which was declared effective on December 5, 2007 (the “2007 Registration Statement”), and a Post-Effective Amendment 1 to that Registrant’s Registration Statement which was declared effective on April 14, 2009. Under the 2007 Registration Statement, the Fund registered 4,000,000 Shares with the SEC.
39
The Fund filed a second Registration Statement on Form S-1 (Registration No.: 333-158421), which was declared effective on April 24, 2009 (the “2009 Registration Statement”). Under the 2009 Registration Statement, the Fund registered an additional 21,000,000 Shares with the SEC.
The Fund filed a Registration Statement on Form S-3 (Registration No.: 333-170917) on December 2, 2010, which was declared effective on January 14, 2011 (the “2011 Registration Statement”). Under the 2011 Registration Statement, the Fund registered an additional 20,000,000 shares with the SEC.
The Shares began trading on the American Stock Exchange on January 24, 2008 and are now traded on the NYSE ArcaNYSE-Arca as of November 25, 2008.
The proceeds from the sale of the Shares are used to purchase Master Fund Limited Units. The Master Fund uses the proceeds from the sale of the Master Fund Limited Units for general corporate purposes in accordance with its investment objectives and policies.
During the year ended December 31, 2009, 11,000,0002012, 3,250,000 Shares were created for $260,518,098$101,149,075 and 3,050,0006,200,000 Shares were redeemed for $74,556,681.$180,296,699. For the three months ended December 31, 2009, 2,450,0002012, 450,000 Shares were created for $63,002,500$13,215,767 and 2,050,000900,000 Shares were redeemed for $52,322,500.$26,709,067. On December 31, 2009, 8,750,0002012, 16,450,000 Shares of the Fund were outstanding for a market capitalization of $230,300,000.$474,253,500.
During the Year Endedyear ended December 31, 2008, 1,550,0002011, 11,200,000 Shares were created for $49,787,546$383,075,174 and 750,0008,050,000 Shares were redeemed for $25,248,052.$262,514,288. For the three months ended December 31, 2008, 100,0002011, 1,500,000 Shares were created for $2,119,500$47,686,315 and 50,0002,400,000 Shares were redeemed for $1,273,500.$72,318,659. On December 31, 2008, 800,0002011, 19,400,000 Shares of the Fund were outstanding for a market capitalization of $17,536,000.$581,224,000.
The
During the year ended December 31, 2010, 9,200,000 Shares were created for $262,051,675 and 1,700,000 Shares were redeemed for $43,750,891. For the three months ended December 31, 2010, 5,150,000 Shares were created for $155,161,842 and 0 Shares were redeemed. On December 31, 2010, 16,250,000 Shares of the Fund commenced investment operations on January 23, 2008. Prior to that date there were no sales or redemptions.outstanding for a market capitalization of $535,437,500.
Dividends
The Fund has not made and does not intend to make cash distributions to its unitholders.shareholders.
ITEM 6. SELECTED FINANCIAL DATA | | | | | | | | |
| | Year Ended | | | Period Ended | |
| | December 31, 2009 | | | December 31, 2008(i) | |
Total assets | | $ | 229,623,343 | | | $ | 17,550,900 | |
Net realized and unrealized gain (loss) on futures transactions and investments, inclusive of commissions | | $ | 27,112,878 | | | $ | (7,095,792 | ) |
Net income (loss) | | $ | 25,933,097 | | | $ | (7,001,170 | ) |
Cash held by broker | | $ | 97,250,587 | | | $ | 13,331,630 | |
Total assets per share | | $ | 26.24 | | | $ | 21.94 | |
Cash and cash equivalents per share at end of year/period | | $ | 11.11 | | | $ | 16.66 | |
| | Year Ended December 31, 2012 | | | Year Ended December 31, 2011 | | | Year Ended December 31, 2010 | | | Year Ended December 31, 2009 | | | Period Ended December 31, 2008 (i) | |
Revenues (interest income) | | $ | 331,044 | | | $ | 335,677 | | | $ | 301,808 | | | $ | 126,329 | | | $ | 338,455 | |
Total assets | | $ | 479,691,588 | | | $ | 584,077,695 | | | $ | 535,067,061 | | | $ | 229,623,343 | | | $ | 17,550,900 | |
Net realized and unrealized gain (loss) on futures transactions and investments, inclusive of commissions | | $ | (22,718,144 | ) | | $ | (66,905,929 | ) | | $ | 89,562,608 | | | $ | 27,112,878 | | | $ | (7,095,792 | ) |
Net gain (loss) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | | | $ | 25,933,097 | | | $ | (7,001,170 | ) |
Net gain (loss) per share | | $ | (1.67 | ) | | $ | (3.80 | ) | | $ | 5.33 | | | $ | 2.96 | | | $ | (8.75 | ) |
| | |
(i) | | The Fund commenced investment operations on January 23, 2008; therefore there were no items of income or expense for the year ended December 31, 2007 and there were no assets in the Fund as of December 31, 2007.2008. | | | | | | | | | | | | | | | | | |
Selected Quarterly Financial Data (Unaudited)
| | For the Three | | | For the Three | | | For the Three | | | For the Three | |
| | Months Ended | | | Months Ended | | | Months Ended | | | Months Ended | |
| | March 31, 2012 | | | June 30, 2012 | | | September 30, 2012 | | | December 31, 2012 | |
Interest Income | | $ | 30,714 | | | $ | 90,769 | | | $ | 96,791 | | | $ | 112,770 | |
Net Investment Income (Loss) | | $ | (1,368,267 | ) | | $ | (1,106,011 | ) | | $ | (1,010,723 | ) | | $ | (1,199,146 | ) |
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | $ | 6,579,006 | | | $ | (39,652,985 | ) | | $ | 37,730,430 | | | $ | (27,374,596 | ) |
Net Gain (Loss) | | $ | 5,210,739 | | | $ | (40,758,996 | ) | | $ | 36,719,707 | | | $ | (28,573,742 | ) |
Increase (Decrease) in Net Asset Value | | $ | 63,710,745 | | | $ | (133,156,182 | ) | | $ | 4,962,563 | | | $ | (42,067,042 | ) |
Net Gain (Loss) per Share | | $ | 0.39 | | | $ | (1.92 | ) | | $ | 2.14 | | | $ | (1.72 | ) |
| | | | | | | | | | | | | | | | |
| | For the Three | | | For the Three | | | For the Three | | | For the Three | |
| | Months Ended | | | Months Ended | | | Months Ended | | | Months Ended | |
| | March 31, 2011 | | | June 30, 2011 | | | September 30, 2011 | | | December 31, 2011 | |
Interest Income | | $ | 187,623 | | | $ | 119,476 | | | $ | 8,112 | | | $ | 20,465 | |
Net Investment Income (Loss) | | $ | (1,551,905 | ) | | $ | (2,037,214 | ) | | $ | (1,910,989 | ) | | $ | (1,359,888 | ) |
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | | $ | 44,819,207 | | | $ | (35,767,596 | ) | | $ | (64,715,733 | ) | | $ | (11,241,807 | ) |
Net Gain (Loss) | | $ | 43,267,302 | | | $ | (37,804,810 | ) | | $ | (66,626,722 | ) | | $ | (12,601,695 | ) |
Increase (Decrease) in Net Asset Value | | $ | 283,986,486 | | | $ | (84,481,829 | ) | | $ | (115,475,657 | ) | | $ | (37,234,039 | ) |
Net Gain (Loss) per Share | | $ | 2.32 | | | $ | (1.61 | ) | | $ | (3.13 | ) | | $ | (0.50 | ) |
| | |
| | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
The following discussion should be read in conjunction with the consolidated financial statements and the notes thereto of the Fund included elsewhere in this annual report on Form 10-K.
Forward-Looking Information
This annual report on Form 10-K, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Fund’s 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 Fund’s 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 Fund cannot assure investors that these projections included in these forward-looking statements will come to pass. The Fund’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.
40
The Fund has based the forward-looking statements included in this annual report on Form 10-K on information available to it as close to the filing date of this annual report on Form 10-K as reasonably practicable, and the Fund assumes no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the Fund may make directly to them or through reports that the Fund in the future files with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.
Overview / Introduction
The Fund and the Master Fund seek to track changes, whether positive or negative, in the level of the Thomson Reuters Continuous Commodity Index Total Return (the “Index”) over time, plus the excess, if any, of the Master Fund’s interest income from its holdings of United States Treasury Obligations and other high credit quality short-term fixed income securities over the expenses of the Fund and the Master Fund. The Shares are designed for investors who want a cost-effective and convenient way to invest in aan equal weight portfolio of commodity futures.
The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a portfolio of exchange-traded futures contracts on the commodities comprising the Index (the “Index Commodities”). TheThrough January 6, 2013 the Index Commodities arewere wheat, corn, soybeans, live cattle, lean hogs, gold, silver, platinum, copper, cotton, coffee, cocoa, orange juice, sugar, crude oil, heating oil, and natural gas. Following the tenth revision on January 7, 2013, orange juice was removed and soybean oil was added at an equivalent allocation.
The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. The Master Fund’s portfolio also includes United States Treasury Obligations and other high credit quality short-term fixed income securities for deposit with the Master Fund’s Commodity Broker. The Commodity Broker as margin.currently applies part of the total value of the cash and/or Treasury Obligations on deposit towards satisfying any margin requirements related to the futures contracts in the Master Fund’s futures account. The sponsor of the Index is Thompson Reuters (the “Index Sponsor”). Thomson Reuters is not an affiliate of the Fund, the Master Fund or the Managing Owner.
Under the Trust Agreements of each of the Fund and the Master Fund, CSC Trust, the Trustee of the Fund and the Master Fund, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Fund and the Master Fund. The Trustee will have no duty or liability to supervise or monitor the performance of the Managing Owner, nor will the Trustee have any liability for the acts or omissions of the Managing Owner.
The Index Sponsor obtains information for inclusion in, or for use in the calculation of, the Index from sources the Index Sponsor considers reliable. None of the Index Sponsor, the Managing Owner, the Fund, the Master Fund or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of the Index or any data included in the Index.
The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Master Fund’s portfolio. The market price of the Shares may not be identical to the net asset value per Share, but these two valuations are expected to be very close.
The ticker symbol of the Fund is GCC.
Management’s Discussion of Results of Operations
Results of Operations.As of December 31, 2009,2012, the net unrealized loss on Futures Contracts owned or held on that day was $12,514,458 and the Fund had total assets of $479,691,588. The ending per unit NAV on December 31, 2012 was $28.85.
As of December 31, 2011, the net unrealized loss on Futures Contracts owned or held on that day was $45,001,789 and the Fund had total assets of $584,077,695. The ending per unit NAV on December 31, 2011 was $29.96.
As of December 31, 2010, the net unrealized gain on Futures Contracts owned or held on that day was $12,380,231$58,639,682 and the Fund had total assets of $229,623,343.$535,067,061. The ending per unit NAV on December 31, 20092010 was $26.22.$32.88.
As of December 31, 2008, the net unrealized loss on Futures Contracts owned or held on that day was $1,880,290 and the Fund had total assets of $17,550,900. The ending per unit NAV on December 31, 2008 was $21.92.
The Fund commenced investment operations on January 23, 2008 accordingly there were no prior investment transactions.
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Portfolio Expenses. The Fund’s expenses consist of investment management fees, and brokerage fees. The Fund pays the Managing Owner a management fee of 0.85% of NAV on its net assets.
The Fund pays for all brokerage fees. The Managing Owner pays for all taxes and other expenses, including licensing fees for the use of intellectual property, ongoing registration or other fees paid to the SEC, FINRA and any other regulatory agency in connection with offers and sales of its units subsequent to the initial offering and all legal, accounting, printing and other expenses associated therewith. Since inception, the Fund incurredpaid $0 in ongoing registration fees and other offering expenses. The Managing Owner is responsible for paying the fees and expenses, including directors’ and officers’ liability insurance, of the independent directors of the Managing Owner who are also its audit committee members.
The Fund also incurs commissions to brokers for the purchase and sale of Futures Contracts and Treasuries. During 2009, totalTotal commissions and fees paid amounted to $287,584. During 2008 total commissions$377,195, $1,300,472, and fees paid amounted to $54,945. The Managing Owner has estimated its annual level of such commissions to be approximately 0.24% of total net assets. However, there can be no assurance that commission costs$712,620 for the years ended December 31, 2012, December 31, 2011, and portfolio turnover will not cause commission expenses to rise in the future.2010, respectively.
Interest Income. Unlike some alternative investment funds, theThe Fund does not borrow money in order to obtain leverage, so the Fund does not incur any interest expense. Rather, the Fund’s margin deposits are maintained in Treasuries and short term investments and interest is earned on the Fund’s available assets. The Fund earned total interest income for the calendar year of $126,329$331,044, $335,677, and $338,455$301,808, for the years ended December 31, 20092012, 2011, and 2008,2010, respectively.
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Performance Summary
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | NAV | | | Total Shares | | | Extended Value | | | 1 Month | | | 3 Months | | | Year to Date | | | Since Inception | |
1/23/2008 | | $ | 30.00 | | | | 350,050 | | | $ | 10,501,500.00 | | | | — | | | | — | | | | — | | | | — | |
1/31/2008 | | $ | 31.65 | | | | 350,050 | | | $ | 11,079,082.50 | | | | 5.50 | % | | | — | | | | 5.50 | % | | | 5.50 | % |
2/29/2008 | | $ | 35.41 | | | | 900,050 | | | $ | 31,870,770.50 | | | | 11.88 | % | | | — | | | | 18.03 | % | | | 18.03 | % |
3/31/2008 | | $ | 32.46 | | | | 900,050 | | | $ | 29,215,623.00 | | | | -8.33 | % | | | — | | | | 8.20 | % | | | 8.20 | % |
4/30/2008 | | $ | 33.49 | | | | 900,050 | | | $ | 30,142,674.50 | | | | 3.17 | % | | | 5.81 | % | | | 11.63 | % | | | 11.63 | % |
5/31/2008 | | $ | 33.77 | | | | 950,050 | | | $ | 32,083,188.50 | | | | 0.84 | % | | | -4.63 | % | | | 12.57 | % | | | 12.57 | % |
6/30/2008 | | $ | 36.83 | | | | 800,050 | | | $ | 29,465,841.50 | | | | 9.06 | % | | | 13.46 | % | | | 22.77 | % | | | 22.77 | % |
7/31/2008 | | $ | 33.71 | | | | 750,050 | | | $ | 25,284,185.50 | | | | -8.47 | % | | | 0.66 | % | | | 12.37 | % | | | 12.37 | % |
8/31/2008 | | $ | 31.65 | | | | 800,050 | | | $ | 25,321,582.50 | | | | -6.11 | % | | | -6.28 | % | | | 5.50 | % | | | 5.50 | % |
9/30/2008 | | $ | 27.74 | | | | 750,050 | | | $ | 20,806,387.00 | | | | -12.35 | % | | | -24.68 | % | | | -7.53 | % | | | -7.53 | % |
10/31/2008 | | $ | 22.68 | | | | 700,050 | | | $ | 15,877,134.00 | | | | -18.24 | % | | | -32.72 | % | | | -24.40 | % | | | -24.40 | % |
11/28/2008 | | $ | 22.03 | | | | 700,050 | | | $ | 15,422,101.50 | | | | -2.87 | % | | | -30.39 | % | | | -26.57 | % | | | -26.57 | % |
12/31/2008 | | $ | 21.92 | | | | 800,050 | | | $ | 17,537,096.00 | | | | -0.50 | % | | | -20.98 | % | | | -26.93 | % | | | -26.93 | % |
1/31/2009 | | $ | 21.80 | | | | 900,050 | | | $ | 19,621,090.00 | | | | -0.55 | % | | | -3.88 | % | | | -0.55 | % | | | -27.33 | % |
2/28/2009 | | $ | 20.87 | | | | 950,050 | | | $ | 19,827,543.50 | | | | -4.27 | % | | | -5.27 | % | | | -4.79 | % | | | -30.43 | % |
3/31/2009 | | $ | 21.73 | | | | 3,950,050 | | | $ | 85,834,586.50 | | | | 4.12 | % | | | -0.87 | % | | | -0.87 | % | | | -27.57 | % |
4/30/2009 | | $ | 21.69 | | | | 3,950,050 | | | $ | 85,676,584.50 | | | | -0.18 | % | | | -0.50 | % | | | -1.05 | % | | | -27.70 | % |
5/30/2009 | | $ | 24.21 | | | | 5,000,050 | | | $ | 121,051,210.50 | | | | 11.62 | % | | | 16.00 | % | | | 10.45 | % | | | -19.30 | % |
6/30/2009 | | $ | 22.73 | | | | 6,300,050 | | | $ | 143,200,136.50 | | | | -6.11 | % | | | 4.60 | % | | | 3.70 | % | | | -24.23 | % |
7/31/2009 | | $ | 23.44 | | | | 5,550,000 | | | $ | 130,092,000.00 | | | | 3.12 | % | | | 8.07 | % | | | 6.93 | % | | | -21.87 | % |
8/31/2009 | | $ | 23.19 | | | | 6,100,050 | | | $ | 141,460,159.50 | | | | -1.07 | % | | | -4.21 | % | | | 5.79 | % | | | -22.70 | % |
9/30/2009 | | $ | 23.89 | | | | 8,350,050 | | | $ | 199,482,694.50 | | | | 3.02 | % | | | 5.10 | % | | | 8.99 | % | | | -20.37 | % |
10/31/2009 | | $ | 24.94 | | | | 8,850,050 | | | $ | 220,720,247.00 | | | | 4.40 | % | | | 6.40 | % | | | 13.78 | % | | | -16.87 | % |
11/30/2009 | | $ | 26.09 | | | | 7,550,050 | | | $ | 196,980,804.50 | | | | 4.61 | % | | | 12.51 | % | | | 19.02 | % | | | -13.03 | % |
12/31/2009 | | $ | 26.22 | | | | 8,750,050 | | | $ | 229,426,311.00 | | | | 0.50 | % | | | 9.75 | % | | | 19.62 | % | | | -12.60 | % |
Date | | NAV | | Total Shares | | Net Assets | | 1 Month | | 3 Months | | Year to Date | | Since Inception |
1/23/2008 | | $30.00 | | 350,050 | | $10,501,500 | | - | | - | | - | | - |
1/31/2008 | | $31.65 | | 350,050 | | $11,079,083 | | 5.50% | | - | | 5.50% | | 5.50% |
2/29/2008 | | $35.41 | | 900,050 | | $31,870,771 | | 11.88% | | - | | 18.03% | | 18.03% |
3/31/2008 | | $32.46 | | 900,050 | | $29,215,623 | | -8.33% | | - | | 8.20% | | 8.20% |
4/30/2008 | | $33.49 | | 900,050 | | $30,142,675 | | 3.17% | | 5.81% | | 11.63% | | 11.63% |
5/31/2008 | | $33.77 | | 950,050 | | $32,083,189 | | 0.84% | | -4.63% | | 12.57% | | 12.57% |
6/30/2008 | | $36.83 | | 800,050 | | $29,465,842 | | 9.06% | | 13.46% | | 22.77% | | 22.77% |
7/31/2008 | | $33.71 | | 750,050 | | $25,284,186 | | -8.47% | | 0.66% | | 12.37% | | 12.37% |
8/31/2008 | | $31.65 | | 800,050 | | $25,321,583 | | -6.11% | | -6.28% | | 5.50% | | 5.50% |
9/30/2008 | | $27.74 | | 750,050 | | $20,806,387 | | -12.35% | | -24.68% | | -7.53% | | -7.53% |
10/31/2008 | | $22.68 | | 700,050 | | $15,877,134 | | -18.24% | | -32.72% | | -24.40% | | -24.40% |
11/28/2008 | | $22.03 | | 700,050 | | $15,422,102 | | -2.87% | | -30.39% | | -26.57% | | -26.57% |
12/31/2008 | | $21.92 | | 800,050 | | $17,537,096 | | -0.50% | | -20.98% | | -26.93% | | -26.93% |
1/31/2009 | | $21.80 | | 900,050 | | $19,621,090 | | -0.55% | | -3.88% | | -0.55% | | -27.33% |
2/28/2009 | | $20.87 | | 950,050 | | $19,827,544 | | -4.27% | | -5.27% | | -4.79% | | -30.43% |
3/31/2009 | | $21.73 | | 3,950,050 | | $85,834,587 | | 4.12% | | -0.87% | | -0.87% | | -27.57% |
4/30/2009 | | $21.69 | | 3,950,050 | | $85,676,585 | | -0.18% | | -0.50% | | -1.05% | | -27.70% |
5/30/2009 | | $24.21 | | 5,000,050 | | $121,051,211 | | 11.62% | | 16.00% | | 10.45% | | -19.30% |
6/30/2009 | | $22.73 | | 6,300,050 | | $143,200,137 | | -6.11% | | 4.60% | | 3.70% | | -24.23% |
7/31/2009 | | $23.44 | | 5,550,000 | | $130,092,000 | | 3.12% | | 8.07% | | 6.93% | | -21.87% |
8/31/2009 | | $23.19 | | 6,100,050 | | $141,460,160 | | -1.07% | | -4.21% | | 5.79% | | -22.70% |
9/30/2009 | | $23.89 | | 8,350,050 | | $199,482,695 | | 3.02% | | 5.10% | | 8.99% | | -20.37% |
10/31/2009 | | $24.94 | | 8,850,050 | | $220,720,247 | | 4.40% | | 6.40% | | 13.78% | | -16.87% |
11/30/2009 | | $26.09 | | 7,550,050 | | $196,980,805 | | 4.61% | | 12.51% | | 19.02% | | -13.03% |
12/31/2009 | | $26.22 | | 8,750,050 | | $229,426,311 | | 0.50% | | 9.75% | | 19.62% | | -12.60% |
1/31/2010 | | $25.09 | | 9,850,050 | | $247,137,755 | | -4.31% | | 0.60% | | -4.31% | | -16.37% |
2/28/2010 | | $25.67 | | 9,400,050 | | $241,299,284 | | 2.31% | | -1.61% | | -2.10% | | -14.43% |
3/31/2010 | | $25.07 | | 9,550,050 | | $239,419,754 | | -2.34% | | -4.39% | | -4.39% | | -16.43% |
4/30/2010 | | $25.76 | | 9,650,050 | | $248,585,288 | | 2.75% | | 2.67% | | -1.75% | | -14.13% |
5/31/2010 | | $24.50 | | 9,650,050 | | $236,426,225 | | -4.89% | | -4.56% | | -6.56% | | -18.33% |
6/30/2010 | | $24.92 | | 9,750,050 | | $242,971,246 | | 1.71% | | -0.60% | | -4.96% | | -16.93% |
7/31/2010 | | $26.42 | | 10,200,050 | | $269,485,321 | | 6.02% | | 2.56% | | 0.76% | | -11.93% |
8/31/2010 | | $26.21 | | 11,250,050 | | $294,863,811 | | -0.79% | | 6.98% | | -0.04% | | -12.63% |
9/30/2010 | | $28.14 | | 11,100,050 | | $312,355,407 | | 7.36% | | 12.92% | | 7.32% | | -6.20% |
10/31/2010 | | $29.76 | | 13,000,050 | | $386,881,488 | | 5.76% | | 12.64% | | 13.50% | | -0.80% |
11/30/2010 | | $29.67 | | 14,900,050 | | $442,084,484 | | -0.30% | | 13.20% | | 13.16% | | -1.10% |
12/31/2010 | | $32.88 | | 16,250,050 | | $534,301,644 | | 10.82% | | 16.84% | | 25.40% | | 9.60% |
1/31/2011 | | $34.01 | | 17,650,050 | | $600,278,201 | | 3.44% | | 14.28% | | 3.44% | | 13.37% |
2/28/2011 | | $35.16 | | 19,600,050 | | $689,137,758 | | 3.38% | | 18.50% | | 6.93% | | 17.20% |
3/31/2011 | | $35.20 | | 23,250,050 | | $818,401,760 | | 0.11% | | 7.06% | | 7.06% | | 17.33% |
4/30/2011 | | $36.34 | | 23,800,050 | | $864,893,817 | | 3.24% | | 6.85% | | 10.52% | | 21.13% |
5/31/2011 | | $34.87 | | 22,000,050 | | $767,141,744 | | -4.05% | | -0.82% | | 6.05% | | 16.23% |
6/30/2011 | | $33.59 | | 21,850,050 | | $733,943,180 | | -3.67% | | -4.57% | | 2.16% | | 11.97% |
7/31/2011 | | $34.48 | | 21,000,050 | | $724,081,724 | | 2.65% | | -5.12% | | 4.87% | | 14.93% |
8/31/2011 | | $35.23 | | 20,700,050 | | $729,262,762 | | 2.18% | | 1.03% | | 7.15% | | 17.43% |
9/30/2011 | | $30.46 | | 20,600,050 | | $627,498,123 | | -13.54% | | -9.32% | | -7.36% | | 1.54% |
10/31/2011 | | $32.21 | | 19,200,050 | | $618,433,611 | | 5.74% | | -6.58% | | -2.04% | | 7.37% |
11/30/2011 | | $31.12 | | 20,300,050 | | $631,737,556 | | -3.38% | | -11.67% | | -5.35% | | 3.73% |
12/31/2011 | | $29.96 | | 19,400,050 | | $581,225,498 | | -3.73% | | -1.64% | | -8.88% | | -0.13% |
1/31/2012 | | $31.29 | | 19,550,050 | | $611,721,065 | | 4.44% | | -2.86% | | 4.44% | | 4.30% |
2/29/2012 | | $31.70 | | 21,350,050 | | $676,796,585 | | 1.31% | | 1.86% | | 5.81% | | 5.67% |
3/31/2012 | | $30.35 | | 21,250,050 | | $644,939,018 | | -4.26% | | 1.30% | | 1.30% | | 1.17% |
4/30/2012 | | $29.51 | | 20,550,050 | | $606,431,976 | | -2.77% | | -5.69% | | -1.50% | | -1.63% |
5/31/2012 | | $26.95 | | 18,300,050 | | $493,186,348 | | -8.68% | | -14.98% | | -10.05% | | -10.17% |
6/30/2012 | | $28.43 | | 18,000,050 | | $511,741,422 | | 5.49% | | -6.33% | | -5.11% | | -5.23% |
7/31/2012 | | $29.65 | | 17,100,050 | | $507,016,483 | | 4.29% | | 0.47% | | -1.03% | | -1.17% |
8/31/2012 | | $30.35 | | 16,650,050 | | $505,329,018 | | 2.36% | | 12.62% | | 1.30% | | 1.17% |
9/30/2012 | | $30.57 | | 16,900,050 | | $516,634,529 | | 0.72% | | 7.53% | | 2.04% | | 1.90% |
10/31/2012 | | $29.56 | | 16,600,050 | | $490,697,478 | | -3.30% | | -0.30% | | -1.34% | | -1.47% |
11/30/2012 | | $29.83 | | 16,750,050 | | $499,653,992 | | 0.91% | | -1.71% | | -0.43% | | -0.57% |
12/31/2012 | | $28.85 | | 16,450,050 | | $474,583,943 | | -3.29% | | -5.63% | | -3.70% | | -3.83% |
Comparison of the CCI-TR Index and the Greenhaven Continuous Commodity Fund Net Asset Value (“GCC NAV”) for the Years
Ended December 31, 20092012, 2011, and 20082010 and For the Three Months Ended December 31, 20092012, 2011, and 20082010
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44
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The Fund and the Master Fund seek to track changes in the Thomson Reuters Continuous Commodity Index —– Total Return, or the Index, over time. The Fund’s Net Asset Value outperformedexceeded the Index by 2.82%1.30%, 1.61%, and 1.94%1.68% net of fees for the years ended December, 31 20092012, 2011, and 2008,2010, respectively. The Fund’s Net Asset Value outperformedexceeded the Index by .97%0.14%, 0.43%, and .43%0.45% for the three months ended December 31, 20092012, 2011, and 2010, respectively. Since the fund commenced trading on January 24, 2008 respectively.
On March 26, 2009,through December 31, 2012, the Fund issued 1,000,000 shares bringinghas returned -6.09% as measured by its daily closing price on NYSE Arca and the total number of shares outstanding to 3,950,050. At that time theIndex has returned -14.14%.
The Fund hadregistered 4,000,000 shares publicly registered. As a result, the Managing Owner ceased issuance of 50,000 share creation units until the Fund could register additional shares for issuance with the appropriate regulatory bodies.
on December 5, 2007 and commenced investment operations on January 23, 2008. An additional 21,000,000 shares were publicly registered on May 14, 2009.2009 and an additional 20,000,000 shares were publicly registered on January 14, 2011 using Form S-3. As of December 31, 2009,2012, the Fund had 8,750,00016,450,000 Limited Shares outstanding.
Net Asset Value
The Administrator daily calculates a Net Asset Value per share of the Fund daily, based on closing prices of the underlying futures contracts. The first such calculation was as of market close on January 24, 2008, the first day of trading. Values of the underlying Index are computed by Thomson Reuters America, LLC, and disseminated by NYSE Arca every fifteen (15) seconds during the trading day. Only settlement and last-sale prices are used in the Index’s calculation, bids and offers are not recognized —– including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Index value is based on the settlement prices of the component commodities, and explains why the underlying Index often closes at or near the high or low for the day.
Critical Accounting Policies and Estimates
Critical accounting policies for the Fund and Master Fund are as follows:
Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. Both the Fund and the Master Fund apply these policies that involve judgments and actual results may differ from the estimates used.
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The Master Fund holds a significant portion of its assets in futures contracts and United States Treasury Obligations, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Fund’s 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).
In determining fair value of United States Treasury Obligations and commodity futures contracts, the Fund uses unadjusted quoted market prices in active markets. FASB fair value measurement and disclosure guidance requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants.
When market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.
Interest income on United States Treasury Obligations is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations.
Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.
Asset Valuation
The Fund records its futures contracts and United States Treasury Obligations on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses.
The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Fund’s 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).
In determining fair value of United States Treasury Obligations and commodity futures contracts, the Fund uses unadjusted quoted market prices in active markets. Accounting Standard Codification (“ASC”) 820, “Fair Value Measurements” (“ASC 820”), establishesmarkets and a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The objective of a fair value measurement is to determine the price 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 (an exit price). 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 within the financial statements in Item 8 for further information regarding this accounting policy.
Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.
Interest income on United States Treasury Obligations is recognized on an accrual basis when earned.
Market Risk
See section 1A —– Risk Factors and Section 7A —– Quantitative and Qualitative Disclosures About Market Risk for a complete discussion of market risk.risk
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Credit Risk
The Master Fund holds two types of investments. The first is long positions in futures contracts on the seventeen commodities in the Index. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the futures contracts is divided equally among the components. Each of the component commodities is traded on a particular exchange, as follows:the CME Group or ICE exchanges.
The CME Corp
Corn, wheat, soybeans, hogs, cattle (5/17= 29.4% of positions)
NYMEX
Crude oil, heating oil, natural gas, silver, gold, platinum, copper (7/17=41.2% of positions)
Group and ICE
Cotton, sugar, coffee, cocoa, orange juice (5/17= 29.4% of positions)
Each of these exchanges guaranteesguarantee the performance of its outstanding futures contracts. Each exchange is also publicly traded and, in management’s opinion, well-capitalized. Each uses a system of margining and daily cash settlement of unrealized gains and losses in open positions, which reduces counterparty risk for market participants. Hence, management does not believebelieves that the Fund faces anyminimal credit or counterparty risk in its futures trading and contract positions.
The Master Fund will also hold significant cash balances representing the excess of invested funds above the margin requirements for its futures positions. To the extent practical, the Fund will hold this excess cash in short-term obligations of the United States Treasury. Hence, management assigns no counterparty risk to such holdings.
Liquidity
Liquidity
The Exchange May Halt Trading in the Shares Which Would Adversely Impact Your Ability to Sell Shares.
Trading in Shares may be halted due to market conditions or, in light of NYSE rules and procedures, for reasons that, in the view of the NYSE, make trading in Shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker”breake” rules that require trading to be halted for a specified period based on a specified market decline in the equity markets. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged. The Fund and the Master Fund will be terminated if the Shares are de-listed.
The Lack Of An Active Trading Market for the Shares May Result in Losses on Your Investment at the Time of Disposition of Your Shares.
Although the Shares are listed and traded on the NYSE, there can be no guarantee that an active trading market for the Shares will be maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, will likely be lower than the price you would have received if an active market did exist. The liquidity of the Shares is primarily derived from the liquidity of the markets for the various futures contracts that it holds,See Item 1A- Risk Factors
Possible Illiquid Markets May Exacerbate Losses.
Futures positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, can also make it difficult to liquidate a position. Such periods of illiquidity and the events that trigger them are difficult to predict and there can be no assurance that the Managing Owner will be able to do so. There can be no assurance that market illiquidity will not cause losses for the Fund. The large size of the positions which the Master Fund may acquire on behalf of the Fund increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.See Item 1A – Risk Factors
Contractual Obligations
The Fund and Master Fund’s contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of the Master Fund’s Net Asset Value. Commission paymentspaid by the Fund to the Commodity Broker are on a contract-by-contract, or round-turn,per contract half-turn basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to half turns or round turns that will be required under these arrangements for future periods as net asset values are not known until a future date.
47
Off-Balance Sheet Risk
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk”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 contracts traded on regulated exchanges and are recognized on the balance sheet at fair value pursuant to the accounting standards for derivatives and hedging activities, “Accounting for Derivative Instruments and Hedging Activities”. As of the balance sheet date, therefore, the Fund has no unrecorded liabilities relating to futures contracts. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.
ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
INTRODUCTION
The Fund is designed to replicate a commodity index. The market-sensitive instruments held by it are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements can produce frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is primarily influenced by changes in the price of commodities.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
General
The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.
QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE
Under ordinary circumstances, the Managing Owner’sOwner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. These special circumstances, for example, include the unavailability of the Index or certain natural or man-made disasters. The Managing Owner does not apply risk management techniques. The Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.
Accordingly, tabular presentations of Market Risk or Sensitivity or Value-at-Risk analyses thereof are not applicable.
48
| FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA |
ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Index to Financial Statements
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49
To the
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Fund:
We have audited the accompanying consolidated statements of financial condition of GreenHaven Continuous Commodity Index Fund (the Fund)and subsidiary as of December 31, 20092012 and 2008,2011, the consolidated scheduleschedules of investments as of December 31, 20092012 and 2008,2011, and the related consolidated statements of income and expenses, changes in shareholders’ equity, and cash flows for each of the three years in the three-year period ended December 31, 2009.2012. These financial statements are the responsibility of the GreenHaven Continuous Commodity Index Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of GreenHaven Continuous Commodity Index Fund and subsidiary as of December 31, 2012 and 2011, and the results of their operations and their cash flows for each of the three years in the period ended December 31, 2012 in conformity with accounting principles generally accepted in the United States of America.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the GreenHaven Continuous Commodity Index Fund’s internal control over financial reporting as of December 31, 2012, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated February 26, 2013 expressed an unqualified opinion thereon.
/s/ Grant Thornton LLP
Atlanta, Georgia
February 26, 2013
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Master Fund:
We have audited the accompanying statements of financial condition of GreenHaven Continuous Commodity Index Master Fund as of December 31, 2012 and 2011, the schedules of investments as of December 31, 2012 and 2011, and the related statements of income and expenses, changes in shareholders’ equity, and cash flows for each of the three years in the period ended December 31, 2012. These financial statements are the responsibility of the GreenHaven Continuous Commodity Index Master Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of theGreenHaven Continuous Commodity Index Master Fund as of December 31, 20092012 and 2008,2011, and the results of its operations and its cash flows for each of the three years in the three-year period ended December 31, 2009,2012 in conformity with accounting principles generally accepted in the United States of America.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), Greenhaventhe GreenHaven Continuous Commodity Index Master Fund’s internal control over financial reporting as of December 31, 2009,2012, based on criteria established inInternal Control-IntegratedControl—Integrated Frameworkissued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated March 15, 2010February 26, 2013 expressed an unqualified opinion thereon.
/s/ GRANT THORNTONGrant Thornton LLP
Atlanta, Georgia
March 15, 2010
50
February 26, 2013
Consolidated Statements of Financial Condition
December 31, 20092012 and 20082011
| | | | | | | | | | | | | | |
| | 2009 | | 2008 | | | 2012 | | | 2011 | |
Assets | | | | | | | |
Equity in broker trading accounts: | | | | | | | |
Short-term investments (cost $119,990,308 and $4,998,396 as of 2009 and 2008, respectively) | | $ | 119,992,525 | | $ | 4,999,865 | | |
U.S. Treasury Obligations (cost $469,979,439 and $9,999,989 as of 2012 and 2011, respectively) | | | $ | 469,995,420 | | | $ | 9,999,990 | |
Cash held by broker | | 97,250,587 | | 13,331,630 | | | | 22,210,626 | | | | 619,079,494 | |
Net unrealized appreciation (depreciation) on futures contracts | | 12,380,231 | | | (1,880,290 | ) | |
| | | | | | |
Total equity in broker trading accounts | | 229,623,343 | | 16,451,205 | | |
Capital shares receivable | | — | | 1,096,170 | | |
Other assets and prepaid fee to broker | | — | | 3,525 | | |
| | | | | | |
Net unrealized depreciation on futures contracts | | | | (12,514,458 | ) | | | (45,001,789 | ) |
Total assets | | $ | 229,623,343 | | $ | 17,550,900 | | | $ | 479,691,588 | | | $ | 584,077,695 | |
| | | | | | | | | | | | | |
| | |
Liabilities and shareholders’ equity | | | | | | | | | |
Capital shares payable | | | $ | 4,327,722 | | | $ | 1,497,826 | |
Management fee payable to related party | | $ | 149,819 | | $ | 11,076 | | | | 354,469 | | | | 438,205 | |
Broker fee payable | | 39,186 | | — | | |
| | | | | | |
Accrued brokerage fees and expenses payable | | | | 401,297 | | | | 983,648 | |
Total liabilities | | 189,005 | | 11,076 | | | | 5,083,488 | | | | 2,919,679 | |
| | | | | | |
| | | | | | | | | |
Shareholders’ equity | | | | | | | | | |
General Units: | | | | | | | | | |
Paid in capital — 50 units issued | | 1,500 | | 1,500 | | |
Retained earnings (deficit) | | | (189 | ) | | | (404 | ) | |
Paid in capital - 50 units issued | | | | 1,500 | | | | 1,500 | |
Accumulated deficit | | | | (57 | ) | | | (2 | ) |
Total General Units | | | | 1,443 | | | | 1,498 | |
Limited Units: | | | | | | | | | |
| | | | | | | | | | | | | |
Total General Units | | 1,311 | | 1,096 | | |
| | | | | | |
Limited Units: | | |
Paid in capital — 8,750,000 and 800,000 redeemable units issued and outstanding as of 2009 and 2008, respectively | | 210,500,911 | | 24,539,494 | | |
Retained earnings (deficit) | | 18,932,116 | | | (7,000,766 | ) | |
| | | | | | |
Paid in capital - 16,450,000 and 19,400,000 redeemable units issued and outstanding as of 2012 and 2011, respectively | | | | 470,214,957 | | | | 549,362,581 | |
Retained earnings | | | | 4,391,700 | | | | 31,793,937 | |
| | | | | | | | | |
Total Limited Units | | 229,433,027 | | 17,538,728 | | | | 474,606,657 | | | | 581,156,518 | |
| | | | | | | | | | | | | |
| | |
Total shareholders’ equity | | 229,434,338 | | 17,539,824 | | | | 474,608,100 | | | | 581,158,016 | |
| | | | | | | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 229,623,343 | | $ | 17,550,900 | | |
| | | | | | |
Total liabilities and shareholders’ equity | | | $ | 479,691,588 | | | $ | 584,077,695 | |
| | | | | | | | | |
Net asset value per share | | | | | | | | | |
| | | | | | | | | |
General Units | | $ | 26.22 | | $ | 21.92 | | | $ | 28.86 | | | $ | 29.96 | |
| | | | | | | | | |
Limited Units | | $ | 26.22 | | $ | 21.92 | | | $ | 28.85 | | | $ | 29.96 | |
See accompanying notes to consolidated financial statements.statements
51
GreenHaven Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 20092012
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | | | | |
U.S. Treasury Bills, 0.01% due January 21, 2010 | | | 23.97 | % | | $ | 54,999,285 | | | $ | 55,000,000 | |
U.S. Treasury Bills, 0.07% due March 25, 2010 | | | 28.33 | | | | 64,993,240 | | | | 65,000,000 | |
| | | | | | | | | |
Total United States Treasury Obligations (cost $119,990,308) | | | 52.30 | % | | $ | 119,992,525 | | | $ | 120,000,000 | |
| | | | | | | | | |
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (136 contracts, settlement date March 16, 2010) | | | 0.07 | % | | $ | 161,180 | | | $ | 4,473,040 | |
Cocoa (137 contracts, settlement date May 13, 2010) | | | 0.08 | | | | 182,110 | | | | 4,534,700 | |
Cocoa (137 contracts, settlement date July 15, 2010) | | | 0.07 | | | | 154,330 | | | | 4,530,590 | |
Coffee (87 contracts, settlement date March 19, 2010) | | | (0.02 | ) | | | (54,712 | ) | | | 4,435,369 | |
Coffee (87 contracts, settlement date May 18, 2010) | | | (0.02 | ) | | | (44,550 | ) | | | 4,489,200 | |
Coffee (87 contracts, settlement date July 20, 2010) | | | (0.00) | * | | | 5,700 | | | | 4,536,506 | |
Copper (54 contracts, settlement date March 29, 2010) | | | 0.24 | | | | 548,875 | | | | 4,517,775 | |
Copper (54 contracts, settlement date May 26, 2010) | | | 0.25 | | | | 581,925 | | | | 4,536,675 | |
Copper (53 contracts, settlement date July 28, 2010) | | | 0.20 | | | | 449,350 | | | | 4,465,912 | |
Corn (212 contracts, settlement date March 12, 2010) | | | 0.21 | | | | 486,987 | | | | 4,393,700 | |
Corn (212 contracts, settlement date May 14, 2010) | | | 0.22 | | | | 503,862 | | | | 4,497,050 | |
Corn (212 contracts, settlement date July 14, 2010) | | | 0.04 | | | | 97,962 | | | | 4,589,800 | |
Cotton (118 contracts, settlement date March 09, 2010) | | | 0.21 | | | | 491,955 | | | | 4,460,400 | |
Cotton (117 contracts, settlement date May 06, 2010) | | | 0.21 | | | | 479,775 | | | | 4,480,515 | |
Cotton (118 contracts, settlement date July 08, 2010) | | | 0.07 | | | | 163,925 | | | | 4,541,820 | |
Florida Orange Juice (233 contracts, settlement date March 11, 2010) | | | 0.13 | | | | 292,253 | | | | 4,510,298 | |
Florida Orange Juice (236 contracts, settlement date May 10, 2010) | | | 0.29 | | | | 673,343 | | | | 4,699,350 | |
Florida Orange Juice (208 contracts, settlement date July 12, 2010) | | | 0.10 | | | | 220,958 | | | | 4,235,400 | |
Gold (41 contracts, settlement date February 24, 2010) | | | 0.11 | | | | 247,040 | | | | 4,494,420 | |
Gold (41 contracts, settlement date April 28, 2010) | | | 0.12 | | | | 285,440 | | | | 4,500,160 | |
Gold (41 contracts, settlement date June 28, 2010) | | | (0.03 | ) | | | (73,280 | ) | | | 4,505,080 | |
Heating Oil (31 contracts, settlement date January 29, 2010) | | | 0.08 | | | | 171,121 | | | | 2,754,511 | |
Heating Oil (30 contracts, settlement date February 26, 2010) | | | 0.07 | | | | 167,378 | | | | 2,673,594 | |
Heating Oil (30 contracts, settlement date March 31, 2010) | | | 0.07 | | | | 174,531 | | | | 2,679,138 | |
Heating Oil (30 contracts, settlement date April 30, 2010) | | | 0.03 | | | | 79,624 | | | | 2,686,194 | |
Heating Oil (30 contracts, settlement date May 28, 2010) | | | 0.03 | | | | 76,679 | | | | 2,694,132 | |
Lean Hogs (117 contracts, settlement date February 12, 2010) | | | 0.12 | | | | 279,190 | | | | 3,070,080 | |
Lean Hogs (117 contracts, settlement date April 15, 2010) | | | 0.10 | | | | 236,150 | | | | 3,270,150 | |
Lean Hogs (116 contracts, settlement date June 14, 2010) | | | 0.03 | | | | 81,640 | | | | 3,585,560 | |
Lean Hogs (117 contracts, settlement date July 15, 2010) | | | 0.02 | | | | 42,930 | | | | 3,561,480 | |
Light, Sweet Crude Oil (34 contracts, settlement date January 20, 2010) | | | 0.07 | | | | 165,770 | | | | 2,698,240 | |
Light, Sweet Crude Oil (34 contracts, settlement date February 22, 2010) | | | 0.07 | | | | 163,510 | | | | 2,720,680 | |
Light, Sweet Crude Oil (33 contracts, settlement date March 22, 2010) | | | 0.07 | | | | 153,050 | | | | 2,660,790 | |
Light, Sweet Crude Oil (33 contracts, settlement date April 20, 2010) | | | 0.02 | | | | 35,750 | | | | 2,676,630 | |
Light, Sweet Crude Oil (33 contracts, settlement date May 20, 2010) | | | 0.02 | | | | 35,980 | | | | 2,692,470 | |
Live Cattle (128 contracts, settlement date February 26, 2010) | | | (0.00) | * | | | (2,580 | ) | | | 4,412,160 | |
Live Cattle (128 contracts, settlement date April 30, 2010) | | | 0.03 | | | | 62,390 | | | | 4,597,760 | |
Live Cattle (128 contracts, settlement date June 30, 2010) | | | 0.07 | | | | 153,590 | | | | 4,491,520 | |
Natural Gas (49 contracts, settlement date January 27, 2010) | | | 0.04 | | | | 103,110 | | | | 2,730,280 | |
Natural Gas (49 contracts, settlement date February 24, 2010) | | | 0.03 | | | | 71,960 | | | | 2,710,680 | |
Natural Gas (48 contracts, settlement date March 29, 2010) | | | 0.03 | | | | 66,120 | | | | 2,642,400 | |
Natural Gas (48 contracts, settlement date April 28, 2010) | | | 0.11 | | | | 249,020 | | | | 2,661,600 | |
Natural Gas (48 contracts, settlement date May 26, 2010) | | | 0.11 | | | | 240,580 | | | | 2,695,200 | |
Platinum (91 contracts, settlement date April 28, 2010) | | | 0.24 | | | | 545,890 | | | | 6,693,050 | |
Platinum (92 contracts, settlement date July 28, 2010) | | | 0.17 | | | | 385,155 | | | | 6,785,000 | |
Silver (53 contracts, settlement date March 29, 2010) | | | (0.01 | ) | | | (24,685 | ) | | | 4,463,925 | |
Silver (53 contracts, settlement date May 26, 2010) | | | 0.02 | | | | 55,010 | | | | 4,469,490 | |
Silver (54 contracts, settlement date July 28, 2010) | | | (0.06 | ) | | | (130,355 | ) | | | 4,559,220 | |
Soybean (85 contracts, settlement date March 12, 2010) | | | 0.13 | | | | 303,288 | | | | 4,456,125 | |
Soybean (85 contracts, settlement date May 14, 2010) | | | 0.15 | | | | 340,100 | | | | 4,478,438 | |
Soybean (86 contracts, settlement date July 14, 2010) | | | 0.09 | | | | 198,900 | | | | 4,554,775 | |
Sugar (160 contracts, settlement date February 26, 2010) | | | 0.28 | | | | 638,098 | | | | 4,829,440 | |
Sugar (161 contracts, settlement date April 30, 2010) | | | 0.23 | | | | 522,222 | | | | 4,549,474 | |
Sugar (161 contracts, settlement date June 30, 2010) | | | 0.19 | | | | 423,725 | | | | 4,150,966 | |
Wheat (162 contracts, settlement date March 12, 2010) | | | 0.12 | | | | 268,175 | | | | 4,386,150 | |
Wheat (162 contracts, settlement date May 14, 2010) | | | 0.11 | | | | 263,200 | | | | 4,495,500 | |
Wheat (162 contracts, settlement date July 14, 2010) | | | (0.03 | ) | | | (70,413 | ) | | | 4,584,600 | |
| | | | | | | | | |
Net Unrealized Appreciation on Futures Contracts | | | 5.40 | % | | $ | 12,380,231 | | | $ | 229,249,162 | |
| | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | |
U.S. Treasury Bills, 0.06% due January 03, 2013 | | | 37.93 | % | | $ | 180,000,000 | | | $ | 180,000,000 | |
U.S. Treasury Bills, 0.05% due January 10, 2013 | | | 6.32 | | | | 29,999,820 | | | | 30,000,000 | |
U.S. Treasury Bills, 0.05% due January 24, 2013 | | | 40.03 | | | | 189,997,910 | | | | 190,000,000 | |
U.S. Treasury Bills, 0.11% due February 14, 2013 | | | 14.75 | | | | 69,997,690 | | | | 70,000,000 | |
Total U.S. Treasury Obligations (cost $469,979,439) | | | 99.03 | % | | $ | 469,995,420 | | | $ | 470,000,000 | |
| | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (414 contracts, settlement date March 13, 2013) | | | (0.20 | )% | | $ | (948,620 | ) | | $ | 9,257,040 | |
Cocoa (415 contracts, settlement date May 15, 2013) | | | (0.20 | ) | | | (932,590 | ) | | | 9,320,900 | |
Cocoa (414 contracts, settlement date July 16, 2013) | | | (0.10 | ) | | | (485,050 | ) | | | 9,331,560 | |
Coffee (168 contracts, settlement date March 18, 2013) | | | (0.28 | ) | | | (1,303,556 | ) | | | 9,059,400 | |
Coffee (170 contracts, settlement date May 20, 2013) | | | (0.28 | ) | | | (1,324,350 | ) | | | 9,352,125 | |
Coffee (169 contracts, settlement date July 19, 2013) | | | (0.14 | ) | | | (671,381 | ) | | | 9,477,731 | |
Copper (102 contracts, settlement date March 26, 2013) | | | 0.12 | | | | 554,000 | | | | 9,313,875 | |
Copper (102 contracts, settlement date May 29, 2013) | | | 0.11 | | | | 544,763 | | | | 9,338,100 | |
Copper (101 contracts, settlement date July 29, 2013) | | | 0.11 | | | | 529,500 | | | | 9,271,800 | |
Corn (267 contracts, settlement date March 14, 2013) | | | (0.25 | ) | | | (1,180,150 | ) | | | 9,321,637 | |
Corn (266 contracts, settlement date May 14, 2013) | | | (0.23 | ) | | | (1,104,225 | ) | | | 9,313,325 | |
Corn (266 contracts, settlement date July 12, 2013) | | | (0.08 | ) | | | (389,100 | ) | | | 9,273,425 | |
Cotton (246 contracts, settlement date March 06, 2013) | | | 0.08 | | | | 361,630 | | | | 9,242,220 | |
Cotton (244 contracts, settlement date May 08, 2013) | | | 0.02 | | | | 99,440 | | | | 9,254,920 | |
Cotton (245 contracts, settlement date July 09, 2013) | | | 0.10 | | | | 489,040 | | | | 9,416,575 | |
FCOJ-A (838 contracts, settlement date March 08, 2013) | | | (0.06 | ) | | | (301,343 | ) | | | 14,750,895 | |
FCOJ-A (435 contracts, settlement date May 10, 2013) | | | 0.03 | | | | 133,620 | | | | 7,777,800 | |
FCOJ-A (285 contracts, settlement date July 11, 2013) | | | (0.01 | ) | | | (61,987 | ) | | | 5,185,575 | |
Gold (56 contracts, settlement date February 26, 2013) | | | 0.07 | | | | 312,270 | | | | 9,384,480 | |
Gold (55 contracts, settlement date April 26, 2013) | | | 0.05 | | | | 236,130 | | | | 9,229,000 | |
Gold (55 contracts, settlement date June 26, 2013) | | | (0.07 | ) | | | (317,080 | ) | | | 9,240,000 | |
Heating Oil (44 contracts, settlement date January 31, 2013) | | | 0.00 | * | | | (14,960 | ) | | | 5,602,766 | |
Heating Oil (44 contracts, settlement date February 28, 2013) | | | 0.00 | * | | | (10,185 | ) | | | 5,575,046 | |
Heating Oil (44 contracts, settlement date March 28, 2013) | | | 0.00 | * | | | (1,571 | ) | | | 5,535,869 | |
Heating Oil (44 contracts, settlement date April 30, 2013) | | | 0.02 | | | | 85,352 | | | | 5,587,982 | |
Heating Oil (44 contracts, settlement date May 31, 2013) | | | 0.02 | | | | 90,959 | | | | 5,558,045 | |
Lean Hogs (189 contracts, settlement date February 14, 2013) | | | 0.07 | | | | 323,420 | | | | 6,480,810 | |
Lean Hogs (189 contracts, settlement date April 12, 2013) | | | 0.01 | | | | 24,060 | | | | 6,707,610 | |
Lean Hogs (188 contracts, settlement date June 14, 2013) | | | (0.04 | ) | | | (163,170 | ) | | | 7,358,320 | |
Lean Hogs (188 contracts, settlement date July 15, 2013) | | | (0.04 | ) | | | (193,660 | ) | | | 7,322,600 | |
Light, Sweet Crude Oil (60 contracts, settlement date January 22, 2013) | | | (0.01 | ) | | | (45,010 | ) | | | 5,509,200 | |
Light, Sweet Crude Oil (61 contracts, settlement date February 20, 2013) | | | (0.01 | ) | | | (57,300 | ) | | | 5,628,470 | |
Light, Sweet Crude Oil (60 contracts, settlement date March 20, 2013) | | | (0.01 | ) | | | (38,330 | ) | | | 5,563,800 | |
Light, Sweet Crude Oil (60 contracts, settlement date April 22, 2013) | | | 0.06 | | | | 279,100 | | | | 5,589,600 | |
Light, Sweet Crude Oil (60 contracts, settlement date May 21, 2013) | | | 0.06 | | | | 274,100 | | | | 5,609,400 | |
Live Cattle (175 contracts, settlement date February 28, 2013) | | | 0.03 | | | | 163,800 | | | | 9,261,000 | |
Live Cattle (174 contracts, settlement date April 30, 2013) | | | 0.02 | | | | 106,530 | | | | 9,491,700 | |
Live Cattle (175 contracts, settlement date June 28, 2013) | | | 0.02 | | | | 96,290 | | | | 9,152,500 | |
Natural Gas (163 contracts, settlement date January 29, 2013) | | | (0.06 | ) | | | (298,990 | ) | | | 5,462,130 | |
Natural Gas (163 contracts, settlement date Februay 26, 2013) | | | (0.05 | ) | | | (251,910 | ) | | | 5,484,950 | |
Natural Gas (163 contracts, settlement date March 26, 2013) | | | (0.04 | ) | | | (189,680 | ) | | | 5,546,890 | |
Natural Gas (163 contracts, settlement date April 26, 2013) | | | (0.07 | ) | | | (316,420 | ) | | | 5,628,390 | |
Natural Gas (163 contracts, settlement date May 29, 2013) | | | (0.06 | ) | | | (298,280 | ) | | | 5,718,040 | |
Platinum (181 contracts, settlement date April 26, 2013) | | | (0.06 | ) | | | (267,470 | ) | | | 13,958,720 | |
Platinum (180 contracts, settlement date July 29, 2013) | | | (0.07 | ) | | | (329,455 | ) | | | 13,911,300 | |
Silver (62 contracts, settlement date March 26, 2013) | | | 0.01 | | | | 58,585 | | | | 9,370,370 | |
Silver (61 contracts, settlement date May 29, 2013) | | | 0.03 | | | | 143,405 | | | | 9,235,095 | |
Silver (61 contracts, settlement date July 29, 2013) | | | (0.14 | ) | | | (680,860 | ) | | | 9,249,125 | |
Soybean (133 contracts, settlement date March 14, 2013) | | | (0.16 | ) | | | (772,287 | ) | | | 9,373,175 | |
Soybean (132 contracts, settlement date May 14, 2013) | | | (0.10 | ) | | | (461,563 | ) | | | 9,235,050 | |
Soybean (133 contracts, settlement date July 12, 2013) | | | (0.01 | ) | | | (61,712 | ) | | | 9,278,413 | |
Sugar (424 contracts, settlement date February 28, 2013) | | | (0.10 | ) | | | (456,109 | ) | | | 9,264,909 | |
Sugar (424 contracts, settlement date April 30, 2013) | | | (0.07 | ) | | | (317,901 | ) | | | 9,307,648 | |
Sugar (423 contracts, settlement date June 28, 2013) | | | 0.06 | | | | 278,678 | | | | 9,352,022 | |
Wheat (237 contracts, settlement date March 14, 2013) | | | (0.28 | ) | | | (1,303,087 | ) | | | 9,219,300 | |
Wheat (237 contracts, settlement date May 14, 2013) | | | (0.24 | ) | | | (1,134,200 | ) | | | 9,334,838 | |
Wheat (235 contracts, settlement date July 12, 2013) | | | (0.22 | ) | | | (1,015,588 | ) | | | 9,326,563 | |
Net Unrealized Depreciation on Futures Contracts | | | (2.64 | )% | | $ | (12,514,458 | ) | | $ | 473,904,029 | |
| | |
* | | Denotes greater than (0.005)%0.000% yet less than 0.000%0.005% |
See accompanying notes to consolidated financial statements.statements
52
GreenHaven Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 20082011
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | | | | |
U.S. Treasury Bill, 0.53% due February 5, 2009 (cost $4,998,396) | | | 28.51 | % | | $ | 4,999,865 | | | $ | 5,000,000 | |
| | | | | | | | | |
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation (Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (13 contracts, settlement date March 16, 2009) | | | 0.29 | % | | $ | 51,140 | | | $ | 346,450 | |
Cocoa (13 contracts, settlement date May 13, 2009) | | | 0.01 | | | | 1,640 | | | | 345,410 | |
Cocoa (13 contracts, settlement date July 16, 2009) | | | 0.47 | | | | 82,790 | | | | 343,980 | |
Coffee (8 contracts, settlement date March 19, 2009) | | | (0.40 | ) | | | (71,119 | ) | | | 336,150 | |
Coffee (8 contracts, settlement date May 18, 2009) | | | (0.46 | ) | | | (81,356 | ) | | | 342,900 | |
Coffee (8 contracts, settlement date July 21, 2009) | | | (0.06 | ) | | | (9,900 | ) | | | 349,500 | |
Copper (10 contracts, settlement date March 27, 2009) | | | (0.22 | ) | | | (38,538 | ) | | | 352,500 | |
Copper (10 contracts, settlement date May 27, 2009) | | | (1.15 | ) | | | (200,963 | ) | | | 355,125 | |
Copper (9 contracts, settlement date July 29, 2009) | | | (0.34 | ) | | | (59,513 | ) | | | 321,075 | |
Corn (17 contracts, settlement date March 13, 2009) | | | (0.11 | ) | | | (19,950 | ) | | | 345,950 | |
Corn (16 contracts, settlement date May 14, 2009) | | | (0.37 | ) | | | (64,500 | ) | | | 334,200 | |
Corn (16 contracts, settlement date July 14, 2009) | | | 0.08 | | | | 14,663 | | | | 342,400 | |
Cotton (14 contracts, settlement date March 09, 2009) | | | 0.02 | | | | 3,505 | | | | 343,140 | |
Cotton (14 contracts, settlement date May 06, 2009) | | | (0.65 | ) | | | (113,810 | ) | | | 345,170 | |
Cotton (13 contracts, settlement date July 09, 2009) | | | 0.20 | | | | 34,965 | | | | 328,965 | |
Florida Orange Juice (31 contracts, settlement date March 11, 2009) | | | (0.46 | ) | | | (80,873 | ) | | | 315,735 | |
Florida Orange Juice (32 contracts, settlement date May 08, 2009) | | | (0.64 | ) | | | (111,968 | ) | | | 345,360 | |
Florida Orange Juice (31 contracts, settlement date July 13, 2009) | | | (0.36 | ) | | | (63,195 | ) | | | 352,703 | |
Gold (4 contracts, settlement date February 25, 2009) | | | 0.16 | | | | 28,270 | | | | 353,720 | |
Gold (4 contracts, settlement date April 28, 2009) | | | 0.03 | | | | 4,730 | | | | 354,120 | |
Gold (4 contracts, settlement date June 26, 2009) | | | 0.31 | | | | 54,980 | | | | 354,480 | |
Heating Oil (4 contracts, settlement date January 30, 2009) | | | (0.51 | ) | | | (89,321 | ) | | | 242,273 | |
Heating Oil (4 contracts, settlement date February 27, 2009) | | | (0.86 | ) | | | (150,263 | ) | | | 246,557 | |
Heating Oil (3 contracts, settlement date March 31, 2009) | | | (0.87 | ) | | | (152,141 | ) | | | 187,689 | |
Heating Oil (3 contracts, settlement date April 30, 2009) | | | (0.29 | ) | | | (50,518 | ) | | | 190,461 | |
Heating Oil (3 contracts, settlement date May 29, 2009) | | | (0.19 | ) | | | (33,835 | ) | | | 193,296 | |
Lean Hogs (9 contracts, settlement date February 13, 2009) | | | (0.13 | ) | | | (22,780 | ) | | | 219,150 | |
Lean Hogs (9 contracts, settlement date April 15, 2009) | | | (0.19 | ) | | | (33,680 | ) | | | 247,320 | |
Lean Hogs (9 contracts, settlement date June 12, 2009) | | | (0.01 | ) | | | (990 | ) | | | 287,640 | |
Lean Hogs (9 contracts, settlement date July 15, 2009) | | | 0.01 | | | | 1,510 | | | | 286,830 | |
Light, Sweet Crude Oil (5 contracts, settlement date January 20, 2009) | | | (0.47 | ) | | | (81,800 | ) | | | 223,000 | |
Light, Sweet Crude Oil (4 contracts, settlement date February 20, 2009) | | | (0.79 | ) | | | (139,260 | ) | | | 194,360 | |
Light, Sweet Crude Oil (4 contracts, settlement date March 20, 2009) | | | (0.40 | ) | | | (69,720 | ) | | | 202,280 | |
Light, Sweet Crude Oil (4 contracts, settlement date April 21, 2009) | | | (0.16 | ) | | | (27,460 | ) | | | 207,840 | |
Light, Sweet Crude Oil (4 contracts, settlement date May 19, 2009) | | | (0.14 | ) | | | (25,390 | ) | | | 212,640 | |
Live Cattle (10 contracts, settlement date February 27, 2009) | | | (0.17 | ) | | | (30,520 | ) | | | 344,200 | |
Live Cattle (10 contracts, settlement date April 30, 2009) | | | (0.24 | ) | | | (42,410 | ) | | | 356,400 | |
Live Cattle (9 contracts, settlement date June 30, 2009) | | | (0.05 | ) | | | (9,700 | ) | | | 310,320 | |
Natural Gas (4 contracts, settlement date January 28, 2009) | | | (0.02 | ) | | | (4,090 | ) | | | 224,880 | |
Natural Gas (4 contracts, settlement date February 25, 2009) | | | (0.42 | ) | | | (74,570 | ) | | | 226,280 | |
Natural Gas (4 contracts, settlement date March 27, 2009) | | | (0.53 | ) | | | (93,420 | ) | | | 229,000 | |
Natural Gas (3 contracts, settlement date April 28, 2009) | | | (0.11 | ) | | | (20,160 | ) | | | 173,850 | |
Natural Gas (3 contracts, settlement date May 27, 2009) | | | (0.08 | ) | | | (13,380 | ) | | | 177,120 | |
Platinum (11 contracts, settlement date April 28, 2009) | | | 0.26 | | | | 46,325 | | | | 517,825 | |
Platinum (10 contracts, settlement date July 29, 2009) | | | 0.27 | | | | 46,800 | | | | 473,250 | |
Silver (6 contracts, settlement date March 27, 2009) | | | 0.18 | | | | 31,825 | | | | 338,850 | |
Silver (6 contracts, settlement date May 27, 2009) | | | (0.43 | ) | | | (74,830 | ) | | | 339,210 | |
Silver (6 contracts, settlement date July 29, 2009) | | | 0.28 | | | | 49,770 | | | | 339,450 | |
Soybean (7 contracts, settlement date March 13, 2009) | | | (0.11 | ) | | | (18,838 | ) | | | 343,000 | |
Soybean (7 contracts, settlement date May 14, 2009) | | | (0.50 | ) | | | (87,738 | ) | | | 347,025 | |
Soybean (7 contracts, settlement date July 14, 2009) | | | 0.21 | | | | 35,788 | | | | 350,963 | |
Sugar (26 contracts, settlement date February 27, 2009) | | | (0.04 | ) | | | (7,806 | ) | | | 343,907 | |
Sugar (25 contracts, settlement date April 30, 2009) | | | (0.24 | ) | | | (41,742 | ) | | | 344,400 | |
Sugar (24 contracts, settlement date June 30, 2009) | | | 0.08 | | | | 14,605 | | | | 340,301 | |
Wheat (11 contracts, settlement date March 13, 2009) | | | (0.14 | ) | | | (24,412 | ) | | | 335,913 | |
Wheat (11 contracts, settlement date May 14, 2009) | | | (0.44 | ) | | | (77,575 | ) | | | 342,925 | |
Wheat (11 contracts, settlement date July 14, 2009) | | | 0.17 | | | | 30,438 | | | | 348,700 | |
| | | | | | | | | |
Net Unrealized Depreciation on Futures Contracts | | | (10.72 | )% | | $ | (1,880,290 | ) | | $ | 17,498,138 | |
| | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | |
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989) | | | 1.72 | % | | $ | 9,999,990 | | | $ | 10,000,000 | |
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (535 contracts, settlement date March 15, 2012) | | | (0.55 | )% | | $ | (3,205,990 | ) | | $ | 11,283,150 | |
Cocoa (536 contracts, settlement date May 15, 2012) | | | (0.53 | ) | | | (3,093,380 | ) | | | 11,422,160 | |
Cocoa (536 contracts, settlement date July 16, 2012) | | | (0.33 | ) | | | (1,932,240 | ) | | | 11,513,280 | |
Coffee (133 contracts, settlement date March 20, 2012) | | | (0.15 | ) | | | (896,456 | ) | | | 11,314,144 | |
Coffee (132 contracts, settlement date May 18, 2012) | | | (0.16 | ) | | | (919,744 | ) | | | 11,367,675 | |
Coffee (132 contracts, settlement date July 19, 2012) | | | (0.06 | ) | | | (352,538 | ) | | | 11,493,900 | |
Copper (133 contracts, settlement date March 28, 2012) | | | (0.10 | ) | | | (592,150 | ) | | | 11,424,700 | |
Copper (132 contracts, settlement date May 29, 2012) | | | (0.11 | ) | | | (608,013 | ) | | | 11,376,750 | |
Copper (132 contracts, settlement date July 27, 2012) | | | 0.01 | | | | 51,438 | | | | 11,401,500 | |
Corn (349 contracts, settlement date March 14, 2012) | | | (0.15 | ) | | | (862,200 | ) | | | 11,281,425 | |
Corn (349 contracts, settlement date May 14, 2012) | | | (0.15 | ) | | | (839,875 | ) | | | 11,425,387 | |
Corn (348 contracts, settlement date July 13, 2012) | | | 0.01 | | | | 33,125 | | | | 11,505,750 | |
Cotton (249 contracts, settlement date March 08, 2012) | | | (0.13 | ) | | | (726,570 | ) | | | 11,429,100 | |
Cotton (248 contracts, settlement date May 08, 2012) | | | (0.15 | ) | | | (851,265 | ) | | | 11,368,320 | |
Cotton (248 contracts, settlement date July 09, 2012) | | | (0.12 | ) | | | (721,380 | ) | | | 11,322,440 | |
FCOJ-A (561 contracts, settlement date March 12, 2012) | | | 0.04 | | | | 257,978 | | | | 14,221,350 | |
FCOJ-A (486 contracts, settlement date May 10, 2012) | | | 0.15 | | | | 856,470 | | | | 12,261,780 | |
FCOJ-A (306 contracts, settlement date July 11, 2012) | | | (0.01 | ) | | | (32,880 | ) | | | 7,738,740 | |
Gold (72 contracts, settlement date February 27, 2012) | | | (0.09 | ) | | | (527,380 | ) | | | 11,280,960 | |
Gold (72 contracts, settlement date April 26, 2012) | | | (0.21 | ) | | | (1,233,460 | ) | | | 11,299,680 | |
Gold (73 contracts, settlement date June 27, 2012) | | | (0.25 | ) | | | (1,434,620 | ) | | | 11,472,680 | |
Heating Oil (57 contracts, settlement date January 31, 2012) | | | (0.02 | ) | | | (109,389 | ) | | | 6,976,595 | |
Heating Oil (56 contracts, settlement date February 29, 2012) | | | (0.02 | ) | | | (101,056 | ) | | | 6,834,677 | |
Heating Oil (56 contracts, settlement date March 30, 2012) | | | (0.02 | ) | | | (111,661 | ) | | | 6,789,283 | |
Heating Oil (56 contracts, settlement date April 30, 2012) | | | (0.09 | ) | | | (493,088 | ) | | | 6,734,482 | |
Heating Oil (56 contracts, settlement date May 31, 2012) | | | (0.08 | ) | | | (488,053 | ) | | | 6,693,557 | |
Lean Hogs (236 contracts, settlement date February 14, 2012) | | | (0.07 | ) | | | (384,030 | ) | | | 7,957,920 | |
Lean Hogs (236 contracts, settlement date April 16, 2012) | | | (0.06 | ) | | | (325,560 | ) | | | 8,278,880 | |
Lean Hogs (235 contracts, settlement date June 14, 2012) | | | (0.05 | ) | | | (275,680 | ) | | | 8,977,000 | |
Lean Hogs (236 contracts, settlement date July 16, 2012) | | | (0.04 | ) | | | (210,990 | ) | | | 8,951,480 | |
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012) | | | 0.13 | | | | 727,240 | | | | 6,819,270 | |
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012) | | | 0.13 | | | | 746,950 | | | | 6,831,000 | |
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012) | | | 0.13 | | | | 746,560 | | | | 6,845,490 | |
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012) | | | 0.01 | | | | 82,600 | | | | 6,859,290 | |
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012) | | | 0.02 | | | | 113,320 | | | | 6,764,640 | |
Live Cattle (229 contracts, settlement date February 29, 2012) | | | 0.00 | * | | | 2,380 | | | | 11,124,820 | |
Live Cattle (230 contracts, settlement date April 30, 2012) | | | (0.02 | ) | | | (131,730 | ) | | | 11,541,400 | |
Live Cattle (230 contracts, settlement date June 29, 2012) | | | (0.02 | ) | | | (122,410 | ) | | | 11,460,900 | |
Natural Gas (224 contracts, settlement date January 27, 2012) | | | (0.40 | ) | | | (2,315,920 | ) | | | 6,695,360 | |
Natural Gas (224 contracts, settlement date February 27, 2012) | | | (0.38 | ) | | | (2,204,450 | ) | | | 6,755,840 | |
Natural Gas (220 contracts, settlement date March 28, 2012) | | | (0.36 | ) | | | (2,067,940 | ) | | | 6,773,800 | |
Natural Gas (220 contracts, settlement date April 26, 2012) | | | (0.20 | ) | | | (1,188,850 | ) | | | 6,888,200 | |
Natural Gas (219 contracts, settlement date May 29, 2012) | | | (0.20 | ) | | | (1,169,040 | ) | | | 6,968,580 | |
Platinum (243 contracts, settlement date April 26, 2012) | | | (0.43 | ) | | | (2,468,450 | ) | | | 17,069,535 | |
Platinum (243 contracts, settlement date July 27, 2012) | | | (0.44 | ) | | | (2,566,290 | ) | | | 17,124,210 | |
Silver (82 contracts, settlement date March 28, 2012) | | | (0.35 | ) | | | (2,055,925 | ) | | | 11,445,150 | |
Silver (81 contracts, settlement date May 29, 2012) | | | (0.38 | ) | | | (2,222,650 | ) | | | 11,323,800 | |
Silver (81 contracts, settlement date July 27, 2012) | | | (0.33 | ) | | | (1,944,665 | ) | | | 11,338,785 | |
Soybean (186 contracts, settlement date March 14, 2012) | | | (0.17 | ) | | | (1,016,225 | ) | | | 11,232,075 | |
Soybean (187 contracts, settlement date May 14, 2012) | | | (0.16 | ) | | | (954,425 | ) | | | 11,383,625 | |
Soybean (187 contracts, settlement date July 13, 2012) | | | 0.05 | | | | 264,900 | | | | 11,472,450 | |
Sugar (444 contracts, settlement date February 29, 2012) | | | (0.24 | ) | | | (1,406,339 | ) | | | 11,586,624 | |
Sugar (444 contracts, settlement date April 30, 2012) | | | (0.20 | ) | | | (1,152,122 | ) | | | 11,412,576 | |
Sugar (444 contracts, settlement date June 29, 2012) | | | (0.09 | ) | | | (545,496 | ) | | | 11,218,637 | |
Wheat (343 contracts, settlement date March 14, 2012) | | | (0.20 | ) | | | (1,133,987 | ) | | | 11,194,662 | |
Wheat (340 contracts, settlement date May 14, 2012) | | | (0.19 | ) | | | (1,118,513 | ) | | | 11,411,250 | |
Wheat (340 contracts, settlement date July 13, 2012) | | | 0.04 | | | | 230,325 | | | | 11,666,250 | |
Net Unrealized Depreciation on Futures Contracts | | | (7.74 | )% | | $ | (45,001,789 | ) | | $ | 580,606,964 | |
* | Denotes greater than 0.000% yet less than 0.005% |
See accompanying notes to consolidated financial statements.statements
53
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Income and Expenses
For the Years Ended December 31, 2009, 2008,2012, 2011, and 2007(i)2010
| | | | | | | | |
| | 2009 | | | 2008 | |
Income | | | | | | | | |
Interest Income | | $ | 126,329 | | | $ | 338,455 | |
| | | | | | |
| | | | | | | | |
Expenses | | | | | | | | |
Management fee to related party | | | 1,018,526 | | | | 188,888 | |
Brokerage commissions and fees | | | 287,584 | | | | 54,945 | |
| | | | | | |
Total expenses | | | 1,306,110 | | | | 243,833 | |
| | | | | | |
Net Investment Income (Loss) | | | (1,179,781 | ) | | | 94,622 | |
| | | | | | |
| | | | | | | | |
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | | | | | | | | |
Realized Gain (Loss) on | | | | | | | | |
Investments | | | 397 | | | | 2,725 | |
Futures Contracts | | | 12,851,212 | | | | (5,219,696 | ) |
| | | | | | |
Net Realized Gain (Loss) | | | 12,851,609 | | | | (5,216,971 | ) |
| | | | | | |
Net Change in Unrealized Gain (Loss) on | | | | | | | | |
Investments | | | 748 | | | | 1,469 | |
Futures Contracts | | | 14,260,521 | | | | (1,880,290 | ) |
| | | | | | |
Net Change in Unrealized Gain (Loss) | | | 14,261,269 | | | | (1,878,821 | ) |
| | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts | | | 27,112,878 | | | | (7,095,792 | ) |
| | | | | | |
| | | | | | | | |
Net Income (Loss) | | $ | 25,933,097 | | | $ | (7,001,170 | ) |
| | | | | | |
| | 2012 | | | 2011 | | | 2010 | |
Income | | | | | | | | | |
Interest Income | | $ | 331,044 | | | $ | 335,677 | | | $ | 301,808 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fee to related party | | | 4,637,997 | | | | 5,895,201 | | | | 2,523,863 | |
Brokerage fees and expenses | | | 377,195 | | | | 1,300,472 | | | | 712,620 | |
Total expenses | | | 5,015,192 | | | | 7,195,673 | | | | 3,236,483 | |
Net Investment Loss | | | (4,684,148 | ) | | | (6,859,996 | ) | | | (2,934,675 | ) |
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | | | | | | | | | | | | |
Realized Gain (Loss) on | | | | | | | | | | | | |
Investments | | | 1,429 | | | | 451 | | | | (403 | ) |
Futures Contracts | | | (55,222,884 | ) | | | 36,755,383 | | | | 43,285,484 | |
Net Realized Gain (Loss) | | | (55,221,455 | ) | | | 36,755,834 | | | | 43,285,081 | |
Net Change in Unrealized Gain (Loss) on | | | | | | | | | | | | |
Investments | | | 15,980 | | | | (20,292 | ) | | | 18,076 | |
Futures Contracts | | | 32,487,331 | | | | (103,641,471 | ) | | | 46,259,451 | |
Net Change in Unrealized Gain (Loss) | | | 32,503,311 | | | | (103,661,763 | ) | | | 46,277,527 | |
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts | | | (22,718,144 | ) | | | (66,905,929 | ) | | | 89,562,608 | |
| | | | | | | | | | | | |
Net Gain (Loss) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | |
| | |
(i) | | There were no items of income or expense for the year ended December 31, 2007. The Fund commenced investment operations on January 23, 2008. |
See accompanying notes to consolidated financial statements.statements
54
Consolidated StatementStatements of Changes in Shareholders’ Equity
For the Year Ended December 31, 20092012
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | | | General | | | | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Defecit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2009 | | | 50 | | | $ | 1,500 | | | $ | (404 | ) | | $ | 1,096 | | | | 800,000 | | | $ | 24,539,494 | | | $ | (7,000,766 | ) | | $ | 17,538,728 | | | $ | 17,539,824 | |
Sale of Units | | | — | | | | — | | | | — | | | | — | | | | 11,000,000 | | | | 260,518,098 | | | | — | | | | 260,518,098 | | | | 260,518,098 | |
Redemption of Limited Units | | | — | | | | — | | | | — | | | | — | | | | (3,050,000 | ) | | | (74,556,681 | ) | | | — | | | | (74,556,681 | ) | | | (74,556,681 | ) |
Net gain: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | — | | | | — | | | | (14 | ) | | | (14 | ) | | | — | | | | — | | | | (1,179,767 | ) | | | (1,179,767 | ) | | | (1,179,781 | ) |
Net realized gain (loss) on Investments and Futures Contracts | | | — | | | | — | | | | (2 | ) | | | (2 | ) | | | — | | | | — | | | | 12,851,611 | | | | 12,851,611 | | | | 12,851,609 | |
Net change in unrealized gain on Investments and Futures Contracts | | | — | | | | — | | | | 231 | | | | 231 | | | | — | | | | — | | | | 14,261,038 | | | | 14,261,038 | | | | 14,261,269 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net gain | | | — | | | | — | | | | 215 | | | | 215 | | | | — | | | | — | | | | 25,932,882 | | | | 25,932,882 | | | | 25,933,097 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2009 | | | 50 | | | $ | 1,500 | | | $ | (189 | ) | | $ | 1,311 | | | | 8,750,000 | | | $ | 210,500,911 | | | $ | 18,932,116 | | | $ | 229,433,027 | | | $ | 229,434,338 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total | | | | | | | | | Total | | | | |
| | | | | | | | General | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2012 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 3,250,000 | | | | 101,149,075 | | | | - | | | | 101,149,075 | | | | 101,149,075 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (6,200,000 | ) | | | (180,296,699 | ) | | | - | | | | (180,296,699 | ) | | | (180,296,699 | ) |
Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (13 | ) | | | (13 | ) | | | - | | | | - | | | | (4,684,135 | ) | | | (4,684,135 | ) | | | (4,684,148 | ) |
Net realized loss on Investments and Futures Contracts | | | - | | | | - | | | | (135 | ) | | | (135 | ) | | | - | | | | - | | | | (55,221,320 | ) | | | (55,221,320 | ) | | | (55,221,455 | ) |
Net change in unrealized gain on Investments and Futures Contracts | | | - | | | | - | | | | 93 | | | | 93 | | | | - | | | | - | | | | 32,503,218 | | | | 32,503,218 | | | | 32,503,311 | |
Net loss | | | - | | | | - | | | | (55 | ) | | | (55 | ) | | | - | | | | - | | | | (27,402,237 | ) | | | (27,402,237 | ) | | | (27,402,292 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2012 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
See accompanying notes to consolidated financial statements.statements
55
Consolidated StatementStatements of Changes in Shareholders’ Equity
For the Year Ended December 31, 20082011
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | | | | | | | General | | | | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Subscription | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Deficit | | | Receivable | | | Equity | | | Units | | | Amount | | | Deficit | | | Equity | | | Equity | |
Balance at January 1, 2008 | | | 50 | | | $ | 1,500 | | | $ | — | | | $ | (1,500 | ) | | $ | — | | | | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Collection of Subscription receivable | | | | | | | | | | | | | | | 1,500 | | | | 1,500 | | | | | | | | | | | | | | | | | | | | | |
Sale of Units | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,550,000 | | | | 49,787,546 | | | | — | | | | 49,787,546 | | | | 49,787,546 | |
Redemption of Limited Units | | | — | | | | — | | | | — | | | | — | | | | — | | | | (750,000 | ) | | | (25,248,052 | ) | | | — | | | | (25,248,052 | ) | | | (25,248,052 | ) |
Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | — | | | | — | | | | 6 | | | | — | | | | 6 | | | | — | | | | — | | | | 94,616 | | | | 94,616 | | | | 94,622 | |
Net realized loss on Investments and Futures Contracts | | | — | | | | — | | | | (359 | ) | | | — | | | | (359 | ) | | | — | | | | — | | | | (5,216,612 | ) | | | (5,216,612 | ) | | | (5,216,971 | ) |
Net change in unrealized loss on Investments and Futures Contracts | | | — | | | | — | | | | (51 | ) | | | — | | | | (51 | ) | | | — | | | | — | | | | (1,878,770 | ) | | | (1,878,770 | ) | | | (1,878,821 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net loss: | | | — | | | | — | | | | (404 | ) | | | — | | | | (404 | ) | | | — | | | | — | | | | (7,000,766 | ) | | | (7,000,766 | ) | | | (7,001,170 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2008 | | | 50 | | | $ | 1,500 | | | $ | (404 | ) | | $ | — | | | $ | 1,096 | | | | 800,000 | | | $ | 24,539,494 | | | $ | (7,000,766 | ) | | $ | 17,538,728 | | | $ | 17,539,824 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2011 | | | 50 | | | $ | 1,500 | | | $ | 144 | | | $ | 1,644 | | | | 16,250,000 | | | $ | 428,801,695 | | | $ | 105,559,716 | | | $ | 534,361,411 | | | $ | 534,363,055 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 11,200,000 | | | | 383,075,174 | | | | - | | | | 383,075,174 | | | | 383,075,174 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (8,050,000 | ) | | | (262,514,288 | ) | | | - | | | | (262,514,288 | ) | | | (262,514,288 | ) |
Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (17 | ) | | | (17 | ) | | | - | | | | - | | | | (6,859,979 | ) | | | (6,859,979 | ) | | | (6,859,996 | ) |
Net realized gain on Investments and Futures Contracts | | | - | | | | - | | | | 88 | | | | 88 | | | | - | | | | - | | | | 36,755,746 | | | | 36,755,746 | | | | 36,755,834 | |
Net change in unrealized loss on Investments and Futures Contracts | | | - | | | | - | | | | (217 | ) | | | (217 | ) | | | - | | | | - | | | | (103,661,546 | ) | | | (103,661,546 | ) | | | (103,661,763 | ) |
Net loss | | | - | | | | - | | | | (146 | ) | | | (146 | ) | | | - | | | | - | | | | (73,765,779 | ) | | | (73,765,779 | ) | | | (73,765,925 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2011 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
See accompanying notes to consolidated financial statements.statements
56
GreenHaven ContinuousContinous Commodity Index Fund
Consolidated StatementStatements of Changes in Shareholders’ Equity
For the Year Ended December 31, 20072010
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | | | | | | | | General | | | | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Subscription | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Earnings | | | Receivable | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2007 | | | 50 | | | $ | 1,500 | | | $ | — | | | $ | (1,500 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Activity for 2007 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2007 | | | 50 | | | $ | 1,500 | | | | | | | $ | (1,500 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | | Limited Units | | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Earnings | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2010 | | | 50 | | | $ | 1,500 | | | $ | (189 | ) | | $ | 1,311 | | | | 8,750,000 | | | $ | 210,500,911 | | | $ | 18,932,116 | | | $ | 229,433,027 | | | $ | 229,434,338 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 9,200,000 | | | | 262,051,675 | | | | - | | | | 262,051,675 | | | | 262,051,675 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (1,700,000 | ) | | | (43,750,891 | ) | | | - | | | | (43,750,891 | ) | | | (43,750,891 | ) |
Net gain: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (2,934,660 | ) | | | (2,934,660 | ) | | | (2,934,675 | ) |
Net realized gain on Investments and Futures Contracts | | | - | | | | - | | | | 165 | | | | 165 | | | | - | | | | - | | | | 43,284,916 | | | | 43,284,916 | | | | 43,285,081 | |
Net change in unrealized gain on Investments and Futures Contracts | | | - | | | | - | | | | 183 | | | | 183 | | | | - | | | | - | | | | 46,277,344 | | | | 46,277,344 | | | | 46,277,527 | |
Net gain | | | - | | | | - | | | | 333 | | | | 333 | | | | - | | | | - | | | | 86,627,600 | | | | 86,627,600 | | | | 86,627,933 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2010 | | | 50 | | | $ | 1,500 | | | $ | 144 | | | $ | 1,644 | | | | 16,250,000 | | | $ | 428,801,695 | | | $ | 105,559,716 | | | $ | 534,361,411 | | | $ | 534,363,055 | |
See accompanying notes to consolidated financial statements | |
GreenHaven Continuous Commodity Index Fund
For the Years Ended December 31, 2012, 2011, and 2010
| | | | | | | | | |
| | 2012 | | | 2011 | | | 2010 | |
Cash flow from operating activities: | | | | | | | | | |
Net gain (loss) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | |
Adjustments to reconcile net gain (loss) to net cash used for operating activities: | | | | | | | | | | | | |
Purchase of investment securities | | | (2,089,638,671 | ) | | | (1,594,743,929 | ) | | | (1,159,625,357 | ) |
Proceeds from sales of investment securities | | | 1,629,991,694 | | | | 2,054,999,635 | | | | 809,997,503 | |
Net accretion of discount | | | (331,044 | ) | | | (335,677 | ) | | | (301,808 | ) |
Net realized loss (gain) on investment securities | | | (1,429 | ) | | | (451 | ) | | | 403 | |
Unrealized depreciation (appreciation) on investments | | | (32,503,311 | ) | | | 103,661,763 | | | | (46,277,527 | ) |
Increase in payable - capital shares | | | 2,829,896 | | | | 1,497,826 | | | | - | |
Increase (decrease) in accrued expenses | | | (666,087 | ) | | | 717,847 | | | | 515,001 | |
Net cash provided by (used for) operating activities | | | (517,721,244 | ) | | | 492,031,089 | | | | (309,063,852 | ) |
| | | | | | | | | | | | |
Cash flows from financing activities: | | | | | | | | | | | | |
Proceeds from creation of Limited Units | | | 101,149,075 | | | | 383,075,174 | | | | 262,051,675 | |
Redemption of Limited Units | | | (180,296,699 | ) | | | (262,514,288 | ) | | | (43,750,891 | ) |
Net cash provided by (used for) financing activities | | | (79,147,624 | ) | | | 120,560,886 | | | | 218,300,784 | |
| | | | | | | | | | | | |
Net change in cash | | | (596,868,868 | ) | | | 612,591,975 | | | | (90,763,068 | ) |
Cash held by broker at beginning of year | | | 619,079,494 | | | | 6,487,519 | | | | 97,250,587 | |
Cash held by broker at end of year | | $ | 22,210,626 | | | $ | 619,079,494 | | | $ | 6,487,519 | |
See accompanying notes to consolidated financial statements | |
December 31, 2012 and 2011
| | | | | | |
| | 2012 | | | 2011 | |
Assets | | | | | | |
Equity in broker trading accounts: | | | | | | |
U.S. Treasury Obligations (cost $469,979,439 and $9,999,989 as of 2012 and 2011, respectively) | | $ | 469,995,420 | | | $ | 9,999,990 | |
Cash held by broker | | | 22,210,626 | | | | 619,079,494 | |
Net unrealized depreciation on futures contracts | | | (12,514,458 | ) | | | (45,001,789 | ) |
Total assets | | $ | 479,691,588 | | | $ | 584,077,695 | |
| | | | | | | | |
Liabilities and shareholders’ equity | | | | | | | | |
Capital shares payable | | $ | 4,327,722 | | | $ | 1,497,826 | |
Management fee payable to related party | | | 354,469 | | | | 438,205 | |
Accrued brokerage fees and expenses payable | | | 401,297 | | | | 983,648 | |
Total liabilities | | | 5,083,488 | | | | 2,919,679 | |
| | | | | | | | |
Shareholders’ equity | | | | | | | | |
General Units: | | | | | | | | |
Paid in capital - 50 units issued | | | 1,500 | | | | 1,500 | |
Accumulated deficit | | | (57 | ) | | | (2 | ) |
Total General Units | | | 1,443 | | | | 1,498 | |
Limited Units: | | | | | | | | |
Paid in capital - 16,450,000 and 19,400,000 redeemable units | | | | | | | | |
issued and outstanding as of 2012 and 2011, respectively | | | 470,214,957 | | | | 549,362,581 | |
Retained earnings | | | 4,391,700 | | | | 31,793,937 | |
| | | | | | | | |
Total Limited Units | | | 474,606,657 | | | | 581,156,518 | |
| | | | | | | | |
Total shareholders’ equity | | | 474,608,100 | | | | 581,158,016 | |
| | | | | | | | |
Total liabilities and shareholders’ equity | | $ | 479,691,588 | | | $ | 584,077,695 | |
| | | | | | | | |
Net asset value per share | | | | | | | | |
| | | | | | | | |
General Units | | $ | 28.86 | | | $ | 29.96 | |
| | | | | | | | |
Limited Units | | $ | 28.85 | | | $ | 29.96 | |
See accompanying notes to consolidated financial statements | |
| | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | |
U.S. Treasury Bills, 0.06% due January 03, 2013 | | | 37.93 | % | | $ | 180,000,000 | | | $ | 180,000,000 | |
U.S. Treasury Bills, 0.05% due January 10, 2013 | | | 6.32 | | | | 29,999,820 | | | | 30,000,000 | |
U.S. Treasury Bills, 0.05% due January 24, 2013 | | | 40.03 | | | | 189,997,910 | | | | 190,000,000 | |
U.S. Treasury Bills, 0.11% due February 14, 2013 | | | 14.75 | | | | 69,997,690 | | | | 70,000,000 | |
Total U.S. Treasury Obligations (cost $469,979,439) | | | 99.03 | % | | $ | 469,995,420 | | | $ | 470,000,000 | |
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (414 contracts, settlement date March 13, 2013) | | | (0.20 | )% | | $ | (948,620 | ) | | $ | 9,257,040 | |
Cocoa (415 contracts, settlement date May 15, 2013) | | | (0.20 | ) | | | (932,590 | ) | | | 9,320,900 | |
Cocoa (414 contracts, settlement date July 16, 2013) | | | (0.10 | ) | | | (485,050 | ) | | | 9,331,560 | |
Coffee (168 contracts, settlement date March 18, 2013) | | | (0.28 | ) | | | (1,303,556 | ) | | | 9,059,400 | |
Coffee (170 contracts, settlement date May 20, 2013) | | | (0.28 | ) | | | (1,324,350 | ) | | | 9,352,125 | |
Coffee (169 contracts, settlement date July 19, 2013) | | | (0.14 | ) | | | (671,381 | ) | | | 9,477,731 | |
Copper (102 contracts, settlement date March 26, 2013) | | | 0.12 | | | | 554,000 | | | | 9,313,875 | |
Copper (102 contracts, settlement date May 29, 2013) | | | 0.11 | | | | 544,763 | | | | 9,338,100 | |
Copper (101 contracts, settlement date July 29, 2013) | | | 0.11 | | | | 529,500 | | | | 9,271,800 | |
Corn (267 contracts, settlement date March 14, 2013) | | | (0.25 | ) | | | (1,180,150 | ) | | | 9,321,637 | |
Corn (266 contracts, settlement date May 14, 2013) | | | (0.23 | ) | | | (1,104,225 | ) | | | 9,313,325 | |
Corn (266 contracts, settlement date July 12, 2013) | | | (0.08 | ) | | | (389,100 | ) | | | 9,273,425 | |
Cotton (246 contracts, settlement date March 06, 2013) | | | 0.08 | | | | 361,630 | | | | 9,242,220 | |
Cotton (244 contracts, settlement date May 08, 2013) | | | 0.02 | | | | 99,440 | | | | 9,254,920 | |
Cotton (245 contracts, settlement date July 09, 2013) | | | 0.10 | | | | 489,040 | | | | 9,416,575 | |
FCOJ-A (838 contracts, settlement date March 08, 2013) | | | (0.06 | ) | | | (301,343 | ) | | | 14,750,895 | |
FCOJ-A (435 contracts, settlement date May 10, 2013) | | | 0.03 | | | | 133,620 | | | | 7,777,800 | |
FCOJ-A (285 contracts, settlement date July 11, 2013) | | | (0.01 | ) | | | (61,987 | ) | | | 5,185,575 | |
Gold (56 contracts, settlement date February 26, 2013) | | | 0.07 | | | | 312,270 | | | | 9,384,480 | |
Gold (55 contracts, settlement date April 26, 2013) | | | 0.05 | | | | 236,130 | | | | 9,229,000 | |
Gold (55 contracts, settlement date June 26, 2013) | | | (0.07 | ) | | | (317,080 | ) | | | 9,240,000 | |
Heating Oil (44 contracts, settlement date January 31, 2013) | | | 0.00 | * | | | (14,960 | ) | | | 5,602,766 | |
Heating Oil (44 contracts, settlement date February 28, 2013) | | | 0.00 | * | | | (10,185 | ) | | | 5,575,046 | |
Heating Oil (44 contracts, settlement date March 28, 2013) | | | 0.00 | * | | | (1,571 | ) | | | 5,535,869 | |
Heating Oil (44 contracts, settlement date April 30, 2013) | | | 0.02 | | | | 85,352 | | | | 5,587,982 | |
Heating Oil (44 contracts, settlement date May 31, 2013) | | | 0.02 | | | | 90,959 | | | | 5,558,045 | |
Lean Hogs (189 contracts, settlement date February 14, 2013) | | | 0.07 | | | | 323,420 | | | | 6,480,810 | |
Lean Hogs (189 contracts, settlement date April 12, 2013) | | | 0.01 | | | | 24,060 | | | | 6,707,610 | |
Lean Hogs (188 contracts, settlement date June 14, 2013) | | | (0.04 | ) | | | (163,170 | ) | | | 7,358,320 | |
Lean Hogs (188 contracts, settlement date July 15, 2013) | | | (0.04 | ) | | | (193,660 | ) | | | 7,322,600 | |
Light, Sweet Crude Oil (60 contracts, settlement date January 22, 2013) | | | (0.01 | ) | | | (45,010 | ) | | | 5,509,200 | |
Light, Sweet Crude Oil (61 contracts, settlement date February 20, 2013) | | | (0.01 | ) | | | (57,300 | ) | | | 5,628,470 | |
Light, Sweet Crude Oil (60 contracts, settlement date March 20, 2013) | | | (0.01 | ) | | | (38,330 | ) | | | 5,563,800 | |
Light, Sweet Crude Oil (60 contracts, settlement date April 22, 2013) | | | 0.06 | | | | 279,100 | | | | 5,589,600 | |
Light, Sweet Crude Oil (60 contracts, settlement date May 21, 2013) | | | 0.06 | | | | 274,100 | | | | 5,609,400 | |
Live Cattle (175 contracts, settlement date February 28, 2013) | | | 0.03 | | | | 163,800 | | | | 9,261,000 | |
Live Cattle (174 contracts, settlement date April 30, 2013) | | | 0.02 | | | | 106,530 | | | | 9,491,700 | |
Live Cattle (175 contracts, settlement date June 28, 2013) | | | 0.02 | | | | 96,290 | | | | 9,152,500 | |
Natural Gas (163 contracts, settlement date January 29, 2013) | | | (0.06 | ) | | | (298,990 | ) | | | 5,462,130 | |
Natural Gas (163 contracts, settlement date Februay 26, 2013) | | | (0.05 | ) | | | (251,910 | ) | | | 5,484,950 | |
Natural Gas (163 contracts, settlement date March 26, 2013) | | | (0.04 | ) | | | (189,680 | ) | | | 5,546,890 | |
Natural Gas (163 contracts, settlement date April 26, 2013) | | | (0.07 | ) | | | (316,420 | ) | | | 5,628,390 | |
Natural Gas (163 contracts, settlement date May 29, 2013) | | | (0.06 | ) | | | (298,280 | ) | | | 5,718,040 | |
Platinum (181 contracts, settlement date April 26, 2013) | | | (0.06 | ) | | | (267,470 | ) | | | 13,958,720 | |
Platinum (180 contracts, settlement date July 29, 2013) | | | (0.07 | ) | | | (329,455 | ) | | | 13,911,300 | |
Silver (62 contracts, settlement date March 26, 2013) | | | 0.01 | | | | 58,585 | | | | 9,370,370 | |
Silver (61 contracts, settlement date May 29, 2013) | | | 0.03 | | | | 143,405 | | | | 9,235,095 | |
Silver (61 contracts, settlement date July 29, 2013) | | | (0.14 | ) | | | (680,860 | ) | | | 9,249,125 | |
Soybean (133 contracts, settlement date March 14, 2013) | | | (0.16 | ) | | | (772,287 | ) | | | 9,373,175 | |
Soybean (132 contracts, settlement date May 14, 2013) | | | (0.10 | ) | | | (461,563 | ) | | | 9,235,050 | |
Soybean (133 contracts, settlement date July 12, 2013) | | | (0.01 | ) | | | (61,712 | ) | | | 9,278,413 | |
Sugar (424 contracts, settlement date February 28, 2013) | | | (0.10 | ) | | | (456,109 | ) | | | 9,264,909 | |
Sugar (424 contracts, settlement date April 30, 2013) | | | (0.07 | ) | | | (317,901 | ) | | | 9,307,648 | |
Sugar (423 contracts, settlement date June 28, 2013) | | | 0.06 | | | | 278,678 | | | | 9,352,022 | |
Wheat (237 contracts, settlement date March 14, 2013) | | | (0.28 | ) | | | (1,303,087 | ) | | | 9,219,300 | |
Wheat (237 contracts, settlement date May 14, 2013) | | | (0.24 | ) | | | (1,134,200 | ) | | | 9,334,838 | |
Wheat (235 contracts, settlement date July 12, 2013) | | | (0.22 | ) | | | (1,015,588 | ) | | | 9,326,563 | |
Net Unrealized Depreciation on Futures Contracts | | | (2.64 | )% | | $ | (12,514,458 | ) | | $ | 473,904,029 | |
* Denotes greater than 0.000% yet less than 0.005% | | | | | | | | | | | |
See accompanying notes to consolidated financial statements.statements
57
| | | | | | | | | |
| | Percentage of | | | Fair | | | Face | |
Description | | Net Assets | | | Value | | | Value | |
U.S. Treasury Obligations | | | | | | | | | |
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989) | | | 1.72 | % | | $ | 9,999,990 | | | $ | 10,000,000 | |
| | | | | | | | | | | | |
| | Percentage of | | | Fair | | | Notional | |
Description | | Net Assets | | | Value | | | Value | |
Unrealized Appreciation/(Depreciation) on Futures Contracts | | | | | | | | | | | | |
Cocoa (535 contracts, settlement date March 15, 2012) | | | (0.55 | ) % | | $ | (3,205,990 | ) | | $ | 11,283,150 | |
Cocoa (536 contracts, settlement date May 15, 2012) | | | (0.53 | ) | | | (3,093,380 | ) | | | 11,422,160 | |
Cocoa (536 contracts, settlement date July 16, 2012) | | | (0.33 | ) | | | (1,932,240 | ) | | | 11,513,280 | |
Coffee (133 contracts, settlement date March 20, 2012) | | | (0.15 | ) | | | (896,456 | ) | | | 11,314,144 | |
Coffee (132 contracts, settlement date May 18, 2012) | | | (0.16 | ) | | | (919,744 | ) | | | 11,367,675 | |
Coffee (132 contracts, settlement date July 19, 2012) | | | (0.06 | ) | | | (352,538 | ) | | | 11,493,900 | |
Copper (133 contracts, settlement date March 28, 2012) | | | (0.10 | ) | | | (592,150 | ) | | | 11,424,700 | |
Copper (132 contracts, settlement date May 29, 2012) | | | (0.11 | ) | | | (608,013 | ) | | | 11,376,750 | |
Copper (132 contracts, settlement date July 27, 2012) | | | 0.01 | | | | 51,438 | | | | 11,401,500 | |
Corn (349 contracts, settlement date March 14, 2012) | | | (0.15 | ) | | | (862,200 | ) | | | 11,281,425 | |
Corn (349 contracts, settlement date May 14, 2012) | | | (0.15 | ) | | | (839,875 | ) | | | 11,425,387 | |
Corn (348 contracts, settlement date July 13, 2012) | | | 0.01 | | | | 33,125 | | | | 11,505,750 | |
Cotton (249 contracts, settlement date March 08, 2012) | | | (0.13 | ) | | | (726,570 | ) | | | 11,429,100 | |
Cotton (248 contracts, settlement date May 08, 2012) | | | (0.15 | ) | | | (851,265 | ) | | | 11,368,320 | |
Cotton (248 contracts, settlement date July 09, 2012) | | | (0.12 | ) | | | (721,380 | ) | | | 11,322,440 | |
FCOJ-A (561 contracts, settlement date March 12, 2012) | | | 0.04 | | | | 257,978 | | | | 14,221,350 | |
FCOJ-A (486 contracts, settlement date May 10, 2012) | | | 0.15 | | | | 856,470 | | | | 12,261,780 | |
FCOJ-A (306 contracts, settlement date July 11, 2012) | | | (0.01 | ) | | | (32,880 | ) | | | 7,738,740 | |
Gold (72 contracts, settlement date February 27, 2012) | | | (0.09 | ) | | | (527,380 | ) | | | 11,280,960 | |
Gold (72 contracts, settlement date April 26, 2012) | | | (0.21 | ) | | | (1,233,460 | ) | | | 11,299,680 | |
Gold (73 contracts, settlement date June 27, 2012) | | | (0.25 | ) | | | (1,434,620 | ) | | | 11,472,680 | |
Heating Oil (57 contracts, settlement date January 31, 2012) | | | (0.02 | ) | | | (109,389 | ) | | | 6,976,595 | |
Heating Oil (56 contracts, settlement date February 29, 2012) | | | (0.02 | ) | | | (101,056 | ) | | | 6,834,677 | |
Heating Oil (56 contracts, settlement date March 30, 2012) | | | (0.02 | ) | | | (111,661 | ) | | | 6,789,283 | |
Heating Oil (56 contracts, settlement date April 30, 2012) | | | (0.09 | ) | | | (493,088 | ) | | | 6,734,482 | |
Heating Oil (56 contracts, settlement date May 31, 2012) | | | (0.08 | ) | | | (488,053 | ) | | | 6,693,557 | |
Lean Hogs (236 contracts, settlement date February 14, 2012) | | | (0.07 | ) | | | (384,030 | ) | | | 7,957,920 | |
Lean Hogs (236 contracts, settlement date April 16, 2012) | | | (0.06 | ) | | | (325,560 | ) | | | 8,278,880 | |
Lean Hogs (235 contracts, settlement date June 14, 2012) | �� | | (0.05 | ) | | | (275,680 | ) | | | 8,977,000 | |
Lean Hogs (236 contracts, settlement date July 16, 2012) | | | (0.04 | ) | | | (210,990 | ) | | | 8,951,480 | |
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012) | | | 0.13 | | | | 727,240 | | | | 6,819,270 | |
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012) | | | 0.13 | | | | 746,950 | | | | 6,831,000 | |
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012) | | | 0.13 | | | | 746,560 | | | | 6,845,490 | |
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012) | | | 0.01 | | | | 82,600 | | | | 6,859,290 | |
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012) | | | 0.02 | | | | 113,320 | | | | 6,764,640 | |
Live Cattle (229 contracts, settlement date February 29, 2012) | | | 0.00 | * | | | 2,380 | | | | 11,124,820 | |
Live Cattle (230 contracts, settlement date April 30, 2012) | | | (0.02 | ) | | | (131,730 | ) | | | 11,541,400 | |
Live Cattle (230 contracts, settlement date June 29, 2012) | | | (0.02 | ) | | | (122,410 | ) | | | 11,460,900 | |
Natural Gas (224 contracts, settlement date January 27, 2012) | | | (0.40 | ) | | | (2,315,920 | ) | | | 6,695,360 | |
Natural Gas (224 contracts, settlement date February 27, 2012) | | | (0.38 | ) | | | (2,204,450 | ) | | | 6,755,840 | |
Natural Gas (220 contracts, settlement date March 28, 2012) | | | (0.36 | ) | | | (2,067,940 | ) | | | 6,773,800 | |
Natural Gas (220 contracts, settlement date April 26, 2012) | | | (0.20 | ) | | | (1,188,850 | ) | | | 6,888,200 | |
Natural Gas (219 contracts, settlement date May 29, 2012) | | | (0.20 | ) | | | (1,169,040 | ) | | | 6,968,580 | |
Platinum (243 contracts, settlement date April 26, 2012) | | | (0.43 | ) | | | (2,468,450 | ) | | | 17,069,535 | |
Platinum (243 contracts, settlement date July 27, 2012) | | | (0.44 | ) | | | (2,566,290 | ) | | | 17,124,210 | |
Silver (82 contracts, settlement date March 28, 2012) | | | (0.35 | ) | | | (2,055,925 | ) | | | 11,445,150 | |
Silver (81 contracts, settlement date May 29, 2012) | | | (0.38 | ) | | | (2,222,650 | ) | | | 11,323,800 | |
Silver (81 contracts, settlement date July 27, 2012) | | | (0.33 | ) | | | (1,944,665 | ) | | | 11,338,785 | |
Soybean (186 contracts, settlement date March 14, 2012) | | | (0.17 | ) | | | (1,016,225 | ) | | | 11,232,075 | |
Soybean (187 contracts, settlement date May 14, 2012) | | | (0.16 | ) | | | (954,425 | ) | | | 11,383,625 | |
Soybean (187 contracts, settlement date July 13, 2012) | | | 0.05 | | | | 264,900 | | | | 11,472,450 | |
Sugar (444 contracts, settlement date February 29, 2012) | | | (0.24 | ) | | | (1,406,339 | ) | | | 11,586,624 | |
Sugar (444 contracts, settlement date April 30, 2012) | | | (0.20 | ) | | | (1,152,122 | ) | | | 11,412,576 | |
Sugar (444 contracts, settlement date June 29, 2012) | | | (0.09 | ) | | | (545,496 | ) | | | 11,218,637 | |
Wheat (343 contracts, settlement date March 14, 2012) | | | (0.20 | ) | | | (1,133,987 | ) | | | 11,194,662 | |
Wheat (340 contracts, settlement date May 14, 2012) | | | (0.19 | ) | | | (1,118,513 | ) | | | 11,411,250 | |
Wheat (340 contracts, settlement date July 13, 2012) | | | 0.04 | | | | 230,325 | | | | 11,666,250 | |
Net Unrealized Depreciation on Futures Contracts | | | (7.74 | )% | | $ | (45,001,789 | ) | | $ | 580,606,964 | |
* Denotes greater than 0.000% yet less than 0.005% | | | | | | | | | | | | |
Consolidated Statement
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
Income and Expenses
For the Years Ended December 31, 2009, 2008,2012, 2011, and 2007(i)2010
| | | | | | | | |
| | 2009 | | | 2008 | |
Cash flow from operating activities: | | | | | | | | |
Net Gain/Loss | | $ | 25,933,097 | | | $ | (7,001,170 | ) |
Adjustments to reconcile net gain to net cash used for operating activities: | | | | | | | | |
Purchase of investment securities | | | (604,867,964 | ) | | | (101,741,449 | ) |
Proceeds from sale of investment securities | | | 489,996,097 | | | | 97,065,528 | |
Net accretion of discount and amortization of premium | | | (119,648 | ) | | | (319,750 | ) |
Net realized gain on investment securities | | | (397 | ) | | | (2,725 | ) |
Unrealized (appreciation) depreciation on investments | | | (14,261,269 | ) | | | 1,878,821 | |
(Increase) decrease in capital shares receivable and other assets | | | 1,099,695 | | | | (1,099,695 | ) |
Increase in accrued expenses | | | 177,929 | | | | 11,076 | |
| | | | | | |
Net cash used for operating activities | | | (102,042,460 | ) | | | (11,209,364 | ) |
| | | | | | | | |
Cash flows from financing activities: | | | | | | | | |
Collection of subscription receivable | | | — | | | | 1,500 | |
Proceeds from sale of Limited Units | | | 260,518,098 | | | | 49,787,546 | |
Redemption of Limited Units | | | (74,556,681 | ) | | | (25,248,052 | ) |
| | | | | | |
Net cash provided by financing activities | | | 185,961,417 | | | | 24,540,994 | |
| | | | | | | | |
Net change in cash | | | 83,918,957 | | | | 13,331,630 | |
Cash held by broker at beginning of period | | | 13,331,630 | | | | — | |
| | | | | | |
Cash held by broker at end of period | | $ | 97,250,587 | | | $ | 13,331,630 | |
| | | | | | |
| | 2012 | | | 2011 | | | 2010 | |
Income | | | | | | | | | |
Interest Income | | $ | 331,044 | | | $ | 335,677 | | | $ | 301,808 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fee to related party | | | 4,637,997 | | | | 5,895,201 | | | | 2,523,863 | |
Brokerage fees and expenses | | | 377,195 | | | | 1,300,472 | | | | 712,620 | |
Total expenses | | | 5,015,192 | | | | 7,195,673 | | | | 3,236,483 | |
Net Investment Loss | | | (4,684,148 | ) | | | (6,859,996 | ) | | | (2,934,675 | ) |
| | | | | | | | | | | | |
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts | | | | | | | | | | | | |
Realized Gain (Loss) on | | | | | | | | | | | | |
Investments | | | 1,429 | | | | 451 | | | | (403 | ) |
Futures Contracts | | | (55,222,884 | ) | | | 36,755,383 | | | | 43,285,484 | |
Net Realized Gain (Loss) | | | (55,221,455 | ) | | | 36,755,834 | | | | 43,285,081 | |
Net Change in Unrealized Gain (Loss) on | | | | |
Investments | | | 15,980 | | | | (20,292 | ) | | | 18,076 | |
Futures Contracts | | | 32,487,331 | | | | (103,641,471 | ) | | | 46,259,451 | |
Net Change in Unrealized Gain (Loss) | | | 32,503,311 | | | | (103,661,763 | ) | | | 46,277,527 | |
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts | | | (22,718,144 | ) | | | (66,905,929 | ) | | | 89,562,608 | |
| | | | | | | | | | | | |
Net Gain (Loss) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | |
| | |
(i) | | There were no cash transactions or any activities affecting cash for the year ended December 31, 2007. The Fund commenced investment operations on January 23, 2008. |
See accompanying notes to consolidated financial statements.statements
58
GreenHaven Continuous Commodity Index Master Fund
For the Year Ended December 31, 2012
| | General Units | | Limited Units | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2012 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 3,250,000 | | | | 101,149,075 | | | | - | | | | 101,149,075 | | | | 101,149,075 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (6,200,000 | ) | | | (180,296,699 | ) | | | - | | | | (180,296,699 | ) | | | (180,296,699 | ) |
Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (13 | ) | | | (13 | ) | | | - | | | | - | | | | (4,684,135 | ) | | | (4,684,135 | ) | | | (4,684,148 | ) |
Net realized loss on Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
and Futures Contracts | | | - | | | | - | | | | (135 | ) | | | (135 | ) | | | - | | | | - | | | | (55,221,320 | ) | | | (55,221,320 | ) | | | (55,221,455 | ) |
Net change in unrealized gain on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments and | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | - | | | | - | | | | 93 | | | | 93 | | | | - | | | | - | | | | 32,503,218 | | | | 32,503,218 | | | | 32,503,311 | |
Net loss | | | - | | | | - | | | | (55 | ) | | | (55 | ) | | | - | | | | - | | | | (27,402,237 | ) | | | (27,402,237 | ) | | | (27,402,292 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2012 | | | 50 | | | $ | 1,500 | | | $ | (57 | ) | | $ | 1,443 | | | | 16,450,000 | | | $ | 470,214,957 | | | $ | 4,391,700 | | | $ | 474,606,657 | | | $ | 474,608,100 | |
See accompanying notes to consolidated financial statements
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | Limited Units | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Deficit | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2011 | | | 50 | | | $ | 1,500 | | | $ | 144 | | | $ | 1,644 | | | | 16,250,000 | | | $ | 428,801,695 | | | $ | 105,559,716 | | | $ | 534,361,411 | | | $ | 534,363,055 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 11,200,000 | | | | 383,075,174 | | | | - | | | | 383,075,174 | | | | 383,075,174 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (8,050,000 | ) | | | (262,514,288 | ) | | | - | | | | (262,514,288 | ) | | | (262,514,288 | ) |
Net loss: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (17 | ) | | | (17 | ) | | | - | | | | - | | | | (6,859,979 | ) | | | (6,859,979 | ) | | | (6,859,996 | ) |
Net realized gain on Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
and Futures Contracts | | | - | | | | - | | | | 88 | | | | 88 | | | | - | | | | - | | | | 36,755,746 | | | | 36,755,746 | | | | 36,755,834 | |
Net change in unrealized loss on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments and | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | - | | | | - | | | | (217 | ) | | | (217 | ) | | | - | | | | - | | | | (103,661,546 | ) | | | (103,661,546 | ) | | | (103,661,763 | ) |
Net loss | | | - | | | | - | | | | (146 | ) | | | (146 | ) | | | - | | | | - | | | | (73,765,779 | ) | | | (73,765,779 | ) | | | (73,765,925 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2011 | | | 50 | | | $ | 1,500 | | | $ | (2 | ) | | $ | 1,498 | | | | 19,400,000 | | | $ | 549,362,581 | | | $ | 31,793,937 | | | $ | 581,156,518 | | | $ | 581,158,016 | |
See accompanying notes to consolidated financial statements
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | General Units | | Limited Units | | Total | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total | | | | | | | | | | | | Total | | | | |
| | | | | | | | | | | General | | | | | | | | | | | | Limited | | | Total | |
| | General Units | | | Accumulated | | | Shareholders’ | | | Limited Units | | | Accumulated | | | Shareholders’ | | | Shareholders’ | |
| | Units | | | Amount | | | Earnings | | | Equity | | | Units | | | Amount | | | Earnings | | | Equity | | | Equity | |
Balance at January 1, 2010 | | | 50 | | | $ | 1,500 | | | $ | (189 | ) | | $ | 1,311 | | | | 8,750,000 | | | $ | 210,500,911 | | | $ | 18,932,116 | | | $ | 229,433,027 | | | $ | 229,434,338 | |
Creation of Limited Units | | | - | | | | - | | | | - | | | | - | | | | 9,200,000 | | | | 262,051,675 | | | | - | | | | 262,051,675 | | | | 262,051,675 | |
Redemption of Limited Units | | | - | | | | - | | | | - | | | | - | | | | (1,700,000 | ) | | | (43,750,891 | ) | | | - | | | | (43,750,891 | ) | | | (43,750,891 | ) |
Net gain: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | - | | | | - | | | | (15 | ) | | | (15 | ) | | | - | | | | - | | | | (2,934,660 | ) | | | (2,934,660 | ) | | | (2,934,675 | ) |
Net realized gain on Investments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
and Futures Contracts | | | - | | | | - | | | | 165 | | | | 165 | | | | - | | | | - | | | | 43,284,916 | | | | 43,284,916 | | | | 43,285,081 | |
Net change in unrealized gain on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments and | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts | | | - | | | | - | | | | 183 | | | | 183 | | | | - | | | | - | | | | 46,277,344 | | | | 46,277,344 | | | | 46,277,527 | |
Net gain | | | - | | | | - | | | | 333 | | | | 333 | | | | - | | | | - | | | | 86,627,600 | | | | 86,627,600 | | | | 86,627,933 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at December 31, 2010 | | | 50 | | | $ | 1,500 | | | $ | 144 | | | $ | 1,644 | | | | 16,250,000 | | | $ | 428,801,695 | | | $ | 105,559,716 | | | $ | 534,361,411 | | | $ | 534,363,055 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Master Fund
Statements of Cash Flows
For the Years Ended December 31, 2012, 2011, and 2010 | | | | | | | | | |
| | 2012 | | | 2011 | | | 2010 | |
Cash flow from operating activities: | | | | | | | | | |
Net gain (loss) | | $ | (27,402,292 | ) | | $ | (73,765,925 | ) | | $ | 86,627,933 | |
Adjustments to reconcile net gain (loss) to net cash used for operating activities: | | | | | | | | | | | | |
Purchase of investment securities | | | (2,089,638,671 | ) | | | (1,594,743,929 | ) | | | (1,159,625,357 | ) |
Proceeds from sales of investment securities | | | 1,629,991,694 | | | | 2,054,999,635 | | | | 809,997,503 | |
Net accretion of discount | | | (331,044 | ) | | | (335,677 | ) | | | (301,808 | ) |
Net realized loss (gain) on investment securities | | | (1,429 | ) | | | (451 | ) | | | 403 | |
Unrealized depreciation (appreciation) on investments | | | (32,503,311 | ) | | | 103,661,763 | | | | (46,277,527 | ) |
Increase in payable - capital shares | | | 2,829,896 | | | | 1,497,826 | | | | - | |
Increase (decrease) in accrued expenses | | | (666,087 | ) | | | 717,847 | | | | 515,001 | |
Net cash provided by (used for) operating activities | | | (517,721,244 | ) | | | 492,031,089 | | | | (309,063,852 | ) |
| | | | | | | | | | | | |
Cash flows from financing activities: | | | | | | | | | | | | |
Proceeds from creation of Limited Units | | | 101,149,075 | | | | 383,075,174 | | | | 262,051,675 | |
Redemption of Limited Units | | | (180,296,699 | ) | | | (262,514,288 | ) | | | (43,750,891 | ) |
Net cash provided by (used for) financing activities | | | (79,147,624 | ) | | | 120,560,886 | | | | 218,300,784 | |
| | | | | | | | | | | | |
Net change in cash | | | (596,868,868 | ) | | | 612,591,975 | | | | (90,763,068 | ) |
Cash held by broker at beginning of year | | | 619,079,494 | | | | 6,487,519 | | | | 97,250,587 | |
Cash held by broker at end of year | | $ | 22,210,626 | | | $ | 619,079,494 | | | $ | 6,487,519 | |
See accompanying notes to consolidated financial statements
GreenHaven Continuous Commodity Index Fund
GreenHaven Continuous Commodity Index Master Fund Years Ended December 31, 2009, 2008,2012, 2011, and 20072010
(1) Organization
The GreenHaven Continuous Commodity Index Fund (the “Fund”) was formed as a Delaware statutory trust on October 27, 2006, and GreenHaven Continuous Commodity Master Index Fund (the “Master Fund”, and together with the Fund, the “Funds”), was formed as a Delaware statutory trust on October 27, 2006. The Fund offers common units of beneficial interest (the “Shares”). Upon inception of the Fund, 50 General Units of the Fund were issued to GreenHaven Commodity Services, LLC (the “Managing Owner”) in exchange for a capital contribution of $1,500. The Managing Owner serves the Fund as commodity pool operator, commodity trading advisor, and managing owner.
Shares are purchased from the Fund only by Authorized Participants in one or more blocks of 50,000 Shares, called a Basket. The proceeds from the offering of Shares are invested in the Master Fund. The Master Fund actively trades exchange traded futures onin the commodities comprising the Reuters Continuous Commodity Index (“the Index”), with a view to tracking the performance of the Index over time. The Master Fund’s portfolio also includes United States Treasury securities and other high credit quality short term fixed income securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.margin. The Fund wholly owns the Master Fund.
The Fund and Master Fund registration statement for the issuance of 4,000,000 Shares went effective on December 5, 2007. 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 (the AMEX) on January 24, 2008. On November 24, 2008 the Fund de-listed from the AMEX and on November 25, 2008 the Fund listed on NYSE Arca. On May 14, 2009 the Fund registered an additional 21,000,000 units. Prior to January 23, 2008, the only activity in the Fund was the subscription in 2006 by the Managing Owner for the General Units and the related payment for them in January 2008. Accordingly, Statements of Income and Expenses and Cash Flows are inapplicable for the year ended December 31, 2007.
The Index is intended to reflect the performance of certain commodities. TheThrough January 6, 2013 the commodities comprising the Index (the “Index Commodities”) are:were: corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, orange juice, platinum, crude oil, heating oil, and natural gas. The Index was revised on January 7, 2013 to include soybean oil and remove orange juice.
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each.
The Managing Owner, the Fund, and the Master Fund retainsretain the services of third party service providers to operate the ongoing operations of the Fund and the Master Fund.Fund (See Note (2)).
(2) Service Providers and Related Party Agreements
(a) “The Trustee” —– CSC Trust is the trustee for the Fund and Master Fund. CSC Trust is headquartered in Wilmington, DE.
(b) “The Managing Owner” —– GreenHaven Commodity Services, LLC is the managing owner of the Fund and Master Fund and is responsible for the day to day operations of both entities. The Managing Owner charges the Fund a management fee for its services. GreenHaven Commodity Services, LLC is a Delaware limited liability company with operations in Atlanta, GA.
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(c) “The Administrator” —– The Bank of New York Mellon Corporation has been appointed by the Managing Owner as the administrator, custodian and transfer agent of the Fund and the Master Fund, and has entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). Pursuant to the Administration Agreement, the Administrator performs or supervises the services necessary for the operation and administration of the Fund and the Master Fund (other than making investment decisions), including receiving net asset value calculations, accounting and other fund administrative services. As the Fund’s transfer agent, the Administrator will process additionscreations and redemptions of Shares. These transactions will be processed on Depository Trust Company’s (“DTC’s”) book entry system. The Administrator retains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Bank of New York Mellon Corporation is based in New York, New York.
(d) “The Commodity Broker” —– Morgan Stanley & Co. Incorporated (“MS&Co.”) is the Master Fund’s Commodity Broker. In its capacity as the Commodity Broker, it executes and clears each of the Master Fund’s futures transactions and performs certain administrative services for the Master Fund. MS&Co. is based in New York, New York.
(e) “The Distributor” —– The Managing Owner, on behalf of the Fund and the Master Fund, has appointed ALPS Distributors, Inc., or the Distributor, to assist the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor retains all marketing materials and Basket creation and redemption books and records at c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, CO 80203; Telephone number (303) 623-2577. Investors may contact the Distributor toll-free in the U.S. at (800) 320-2577. The Fund has entered into a Distribution Services Agreement with the Distributor.
The Distributor is affiliated with ALPS Mutual Fund Services, Inc., a Denver-based service provider of administration, fund accounting, transfer agency and shareholder services for mutual funds, closed-end funds and exchange-traded funds, with over 100,000 shareholder accounts and approximately $10 billion in client mutual fund assets under administration. The Distributor provides distribution services and has approximately $120 billion in client assets under distribution.funds.
(f) “The Authorized Participant” — Authorized Participants may create or redeem shares of the Master Fund. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a participant in the Depository Trust Company, or DTC, and (3) have entered into a participant agreement with the Fund and the Managing Owner, or a Participant Agreement. The Participant Agreement sets forth the procedures for the creation and redemption of Baskets of Shares and for the delivery of cash required for such creations or redemptions. A list of the current Authorized Participants can be obtained from the Administrator. A similar agreement between the Fund and the Master Fund sets forth the procedures for the creation and redemption of Master Unit Baskets by the Fund.
(3) Summary of Significant Accounting Policies
(a) Use of Estimates
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates.
(b) Cash Held by Broker
The Fund defines cash held by broker to be cash and highly liquid investments with originalremaining maturities of three months or less when acquired. MS&Co. allows the Fund to apply its Treasury Bill portfolio towards its initial margin requirement for the Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and Treasury bill positions are held in segregated accounts at MS&Co and are not insured by the Federal Deposit Insurance Corporation.
60
(c) United States Treasury Obligations
The Master Fund records purchases and sales of United States Treasury Obligations on a trade date basis. These holdings are marked to market based on quoted market closing prices. The Master Fund holds United States Treasury Obligations for deposit with the Master Fund’s commodity brokersbroker as margin and for trading and heldholding against initial margin of the open futures contracts. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations.
(d) Income Taxes
The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. Accordingly, no provision for federal, state, and 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 must 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. The Fund’s reassessment of its tax positions did not have a material impact on the Fund’s financial condition, results of operations or liquidity.
The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. Accordingly, no provision for federal, state, and 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.
(e) Futures Contracts
The Master Fund purchases and holds commodity futures contracts for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the consolidated statement of financial condition, futures contracts are presented at their published settlement prices on the last business day of the period, in accord 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(See Note 4 —– Fair Value Measurements)
However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable so long asprovided such principles are consistent with the fair value accounting standard. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.
(f) Basis of Presentation and Consolidation
Upon the initial offering of the limited shares of the Fund, 100% of the capital raised by the Fund was used to purchase common units of beneficial interest of the Master Fund. The financial statement balances of the Master Fund were consolidated with the Fund’s financial statement balances beginning with the first reporting period subsequent to the initial offering, and all significant inter-company balances and transactions were eliminated. Separate financial statements of the Master Fund are presented to comply with SEC reporting requirements as the Master Fund is a separate SEC registrant.
(g) Recently Issued Accounting Pronouncements
The FASB has issued additionalFund is required to follow recent disclosure guidance clarifying existingwhich includes common requirements for measurement of and disclosure requirements, about fair value. The new guidance requires reporting entities to disclose the following information for fair value measurements. The additional requirements include disclosure regardingmeasurements categorized within Level 3 of the fair value hierarchy: Quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. It also requires reporting entities to make disclosures about amounts and reasons for significantall transfers in and out of Level 1 and Level 2 of the fair value hierarchymeasurements. Previously issued guidance continues to require the same information regarding transfers in and also separate presentationout of purchases, sales, issuances and settlementsLevel 3. The disclosures required by this guidance are reflected in Note (4).
In December 2011, additional disclosure guidance was issued requiring financial statements prepared under principles generally accepted in the United States of items measured using significant unobservable inputs (i.e. Level 3).America to be more comparable to those prepared under International Financial Reporting Standards. The guidance clarifies existingnew disclosure requirements regardingmandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the inputsstatement of assets and valuation techniques usedliabilities as well as instruments and transactions subject to measure fair valuean agreement similar to a master netting arrangement. In addition, disclosure of collateral received and posted in connection with master netting agreements or similar arrangements is required. New disclosures are required for measurements that fall in either Level 2 or Level 3 of the hierarchy. The requirements are effective for interim and annual reporting periods beginning on or after December 15, 2009, except for the disclosures about purchases, sales, issuances January 1, 2013,and settlements which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The Fundannual periods. Management is evaluating the impact of this newadditional disclosure guidance will have on itsthe financial statements.statements and disclosures.
61
(h) Recently Adopted Accounting StandardsSubsequent Events
In June 2009, the Financial Accounting Standards Board (“FASB”) issued new accounting requirements, which made the FASB Accounting Standards Codification (“Codification”) the single source
For purposes of authoritative literature for U.S. accounting and reporting standards. The Codification is not meant to change existing GAAP but rather provide a single source for all literature. The Fund adopted the standard during the quarter ended September 30, 2009, which required changing certain disclosuresdisclosure in the financial statements, to reflect Codification or “Plain English” references rather than references to FASB Statements, Staff Positions or Emerging Issues Task Force Abstracts. The adoption of this requirement is reflected in certain disclosures inthe Fund has evaluated events occurring between the year ending December 31, 2012 and when the financial statements butwere issued.
400,000 Limited Shares created and 350,000 Limited Shares redeemed resulting in 16,500,000 Limited Shares outstanding.
In accordance with the terms of the Distribution Services Agreement which would have renewed on January 7, 2013, the Managing Owner has informed the Distributor that instead of automatically renewing it intends to meet with the Distributor to review the terms of the agreement. The terms of the present agreement remains in effect until amended.
Other than these events, the evaluation did not have an impact on the Fund’s financial position, results of operations, or cash flows.
Effective January 1, 2009, the Fund adopted a new accounting standard that requires enhanced disclosures about the Fund’s derivative instruments and hedging activities. The new disclosures required by this standard are reflectedresult in Note 5.
During the quarter ended June 30, 2009, the Fund adopted a new accounting standard which establishes general standards of accounting and disclosure ofany subsequent events that occur after the balance sheet date but before the financial statements are issued necessitated disclosures and/or available to be issued The Fund has added disclosure in this Note 12 regarding which subsequent events have been evaluated.adjustments.
(4) Fair Value Measurements
The FASB has issued guidance allowing entities determining the fair value of a liability to use the perspective of an investor that holds the related obligation as an asset. The guidance was effective for interim and annual periods beginning after August 27, 2009 and applied to all fair value measurements of liabilities. This accounting standards update did not have a material impact onestablishes the Fund’s financial statements.
(4) Fair Value Measurements
In September 2006, the Financial Accounting Standards Board (“FASB”) issued Accounting Standard Codification (“ASC”) 820, “Fair Value Measurements and Disclosures” (“ASC 820”). ASC 820 definesauthoritative definition for fair value, establishessets out a framework for the measurement ofmeasuring fair value and enhancesoutlines the required disclosures aboutregarding 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 Statement does not require any newCompany uses a three-tier fair value measures. The Fund adopted ASC 820 when investment operations commenced on January 23, 2008. The Fund believes that all of the measurements of operations are recurring measurements. The assets of the Fund are either exchange-traded or government securities that have widely disseminated market prices.
Additional guidance in applying this standard became effective for the Company for the second fiscal quarter of 2009. This guidance relates to valuations when the volume of relevant transactions has decreased or when transactions have become “not orderly.” The Fund believes that there have been no circumstances to date in which application of this guidance has had an impact on the Fund’s financial statements.
The Fund utilizes varioushierarchy based upon observable and non-observable inputs used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below as follows:
Level 1 — quotedQuoted prices (unadjusted) in active markets for identical securitiesassets or liabilities that the reporting entity can access at the measurement date.
Level 2 — Inputs other significant observable inputs (includingthan quoted prices included within Level 1 that are observable for similar securities, interest rates, prepayment speeds, credit risk, etc.)the asset or liability, either directly or indirectly.
Level 3 — significant unobservableUnobservable inputs (includingfor the Fund’s own assumptions in determining the fair value of investments)asset or liability.
62
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Fund are either exchange-traded securities or government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Fund’s assets and liabilities at fair value as of December 31, 2009,2012, classified according to the levels used to value them, are as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Other | | | | | | | |
| | Quoted Prices in | | | Significant | | | Significant | | | | |
| | Active Market | | | Observable | | | Unobservable | | | | |
Assets | | (Level 1) | | | Inputs (Level 2) | | | Inputs (Level 3) | | | Totals | |
U.S. Treasuries | | $ | — | | | $ | 119,992,525 | | | $ | — | | | $ | 119,992,525 | |
Futures Contracts | | | 12,380,231 | | | | — | | | | — | | | | 12,380,231 | |
| | | | | | | | | | | | |
Total | | $ | 12,380,231 | | | $ | 119,992,525 | | | $ | — | | | $ | 132,372,756 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | Other | | | | | | | |
| | Quoted Prices in | | | Significant | | | Significant | | | | |
| | Active Market | | | Observable | | | Unobservable | | | | |
Liabilities | | (Level 1) | | | Inputs (Level 2) | | | Inputs (Level 3) | | | Totals | |
Futures Contracts
| | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
Total
| | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | |
Assets | | Quoted Prices in Active Market (Level 1) | | Other Significant Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Totals | |
U.S. Treasuries | | $ | - | | $ | 469,995,420 | | $ | - | | $ | 469,995,420 | |
Futures Contracts | | | (12,514,458 | ) | | - | | | - | | | (12,514,458 | ) |
Total | | $ | (12,514,458 | ) | $ | 469,995,420 | | $ | - | | $ | 457,480,962 | |
There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2012. The Fund did not hold any Level 3 securities during the year ended December 31, 2012.
A summary of the Fund’s assets and liabilities at fair value as of December 31, 2008,2011, classified according to the levels used to value them, are as follows:
| | | | | | | | | | | | | | | | | |
| | Other | | | | | | |
| | Quoted Prices in | | Significant | | Significant | | | | |
| | Active Market | | Observable | | Unobservable | | | | | | | | | | | | | | | | |
Assets | | (Level 1) | | Inputs (Level 2) | | Inputs (Level 3) | | Totals | | | Quoted Prices in Active Market (Level 1) | | Other Significant Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Totals | |
U.S. Treasuries | | $ | — | | $ | 4,999,865 | | $ | — | | $ | 4,999,865 | | | $ | - | | $ | 9,999,990 | | $ | - | | $ | 9,999,990 | |
Futures Contracts | | | (1,880,290 | ) | | — | | — | | | (1,880,290 | ) | | | (45,001,789 | ) | | - | | | - | | | (45,001,789 | ) |
| | | | | | | | | | |
Total | | $ | (1,880,290 | ) | | $ | 4,999,865 | | $ | — | | $ | 3,119,575 | | | $ | (45,001,789 | ) | $ | 9,999,990 | | $ | - | | $ | (35,001,799 | ) |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | Other | | | | | | | |
| | Quoted Prices in | | | Significant | | | Significant | | | | |
| | Active Market | | | Observable | | | Unobservable | | | | |
Liabilities | | (Level 1) | | | Inputs (Level 2) | | | Inputs (Level 3) | | | Totals | |
Futures Contracts
| | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
Total
| | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2011. The Fund did not hold any Level 3 securities during the year ended December 31, 2011.
(5) Derivative Instruments and Hedging Activities
The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of December 31, 2009,2012, the Funds were invested in futures contracts.
At December 31, 2009,2012, the fair value of derivative instruments were as follows:
| | | | | | | | | | | | |
Derivative Instruments | | Asset Derivatives* | | | Liability Derivatives* | | | Net Derivatives* | |
Futures Contracts | | $ | 12,380,231 | | | $ | — | | | $ | 12,380,231 | |
| | |
* | | Fair values of derivative instruments include variation margin receivable for futures contracts. |
63
Derivative Instruments | | Asset Derivatives | | | | | | Net Derivatives | |
Futures Contracts | | $ | (12,514,458 | ) | | $ | - | | | $ | (12,514,458 | ) |
The following is a summary of the realized and unrealized gains of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2009:
| | | | | | | | |
| | Realized Gain on | | | Net Change in Unrealized Gain | |
Derivative Instruments | | Derivative Instruments | | | on Derivative Instruments | |
Futures Contracts | | $ | 12,851,212 | | | $ | 14,260,521 | |
At December 31, 2008, the fair value of derivative instruments were as follows:
| | | | | | | | | | | | |
Derivative Instruments | | Asset Derivatives* | | | Liability Derivatives* | | | Net Derivatives* | |
Futures Contracts | | $ | (1,880,290 | ) | | $ | — | | | $ | (1,880,290 | ) |
| | |
* | | Fair values of derivative instruments include variation margin receivable/payable for futures contracts. |
The following is a summary of the realized and unrealized losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2008:2012:
| | | | | | | | |
| | Realized Loss on | | | Net Change in Unrealized Gain | |
Derivative Instruments | | Derivative Instruments | | | on Derivative Instruments | |
Futures Contracts | | $ | (5,219,696 | ) | | $ | (1,880,290 | ) |
Derivative Instruments | | Net Realized Loss on Derivative Instruments | | | Net Change in Unrealized Gain on Derivative Instruments | |
Futures Contracts | | $ | (55,222,884 | ) | | $ | 32,487,331 | |
At December 31, 2011, the fair value of derivative instruments were as follows:
Derivative Instruments | | Asset Derivatives | | | Liability Derivatives | | | Net Derivatives | |
Futures Contracts | | $ | (45,001,789 | ) | | $ | - | | | $ | (45,001,789 | ) |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2011:
Derivative Instruments | | Net Realized Gain on Derivative Instruments | | | Net Change in Unrealized Loss on Derivative Instruments | |
Futures Contracts | | $ | 36,755,383 | | | $ | (103,641,471 | ) |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the year ended December 31, 2010:
Derivative Instruments | | Net Realized Gain on Derivative Instruments | | | Net Change in Unrealized Gain on Derivative Instruments | |
Futures Contracts | | $ | 43,285,484 | | | $ | 46,259,451 | |
(6) Financial Instrument Risk
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, whose values are based upon an underlying asset and generally represent future commitments tothat have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner was unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of assets and liabilities 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.
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(7) Share PurchasesCreations and Redemptions
(a) PurchasesCreation of shares
Shares may be purchased from the Fund only by certain eligible financial institutions (“Authorized Participants”) in one or more blocks of 50,000 Shares, called Baskets.
The Fund will issue Shares in Basketsbaskets of 50,000 Shares (“Baskets”) only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 50,000 SharesFund. The Baskets will be valued 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 date that a valid order to create a Basket is accepted by the Fund.
The total payment required to create each Basket is the value of the Fund’s Net Asset Value per Share for 50,000 Shares as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m., New York time, on the Business Day immediately following the creation order date at Net Asset Value per Share as of the closing time of NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.
Because orders to create Baskets must be placed by 10:00 a.m., New York time, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m., New York time, on the date the creation 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 creation order is submitted and the time the amount of the creation price in respect thereof is determined.
On any business day, an Authorized Participant may place an order with the Distributor to create one or more Baskets. Creation orders must be placed by 10:00 a.m., New York time. The day on which the Distributor receives a valid creation order is the creation order date.
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 creation 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 creation order.
(b) RedemptionsRedemption of Shares
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 to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m., New York time. The day on which the Distributor receives a valid redemption order is the redemption order date. The redemption procedures allow only Authorized Participants to purchase and redeem Baskets. Individual Shareholders may not redeem Shares 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 noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset valueNet 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 Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, 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 Administrator receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Administrator 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 noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Administrator and the Managing Owner may from time to time agree upon.
The Distributor may, in its discretion, and will when directed by the Managing Owner, 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. In addition, the Distributor will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the Fund declines during the period of the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may disclaim any liability for any loss or damage that may result from any such suspension or postponement.
65
(8) Operating Expenses
(a) Management Fee
The Master Fund pays the Managing Owner a management fee (the “Management Fee”) monthly in arrears, in an amount equal to 0.85% per annum of the net asset value of the Master Fund. No separate management fee will be paid by the Master Fund. The Management Fee will be paid in consideration of the use of the license for the Thomson Reuters Continuous Commodity Index held by GreenHaven, LLC, a Georgia limited liability company formed in August 2005, and its subsidiary GreenHaven Commodity Services, LLC, as well as for commodity futures trading advisory services. The management feefees incurred for the years ended December 31, 20092012, 2011 and 2008 was $1,018,5262010 were $4,637,997, $5,895,201 and $188,888,$2,523,863, respectively. The management fee wasManagement Fees were charged to the Master Fund and paid to the Managing Owner. The Fund did not commence investment operations until January 23, 2008 so there were no management fees incurred for the year ended December 31, 2007.
(b) Organization and Offering Expenses
(b) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the offering of the Shares will bewere paid by GreenHaven, LLC. GreenHaven, LLC is the sole member of the Managing Owner. The Fund and the Master Fund do not have an obligation to reimburse GreenHaven, LLC or its affiliates for organization and offering expenses paid on their behalf.
(c) Brokerage Commissions and Fees
The Master Fund pays to the Commodity Broker all brokerage commissions, including applicable exchange fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities. On average, total charges paid to the Commodity Broker are expected to be less than $20 per round-turn trade. A round-turn trade is a buy and sell pair.
The Managing Owner currently does not expect brokerage commissions and fees as well as routine operational, administrative and other ordinary expenses for which the Funds are responsible, including, but not limited to, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs, to exceed 0.24%0.20% of the net asset value of the Master Fund in any year. year, although the actual amount of such fees and expenses in any year may be greater. The Fund’s brokerage commissions and fees and routine operational, administrative and other ordinary expenses are accrued at a rate of 0.20% per annum in the aggregate. Of the amounts so accrued, the Master Fund first pays brokerage fees, and secondly from the remainder of the amounts so accrued, reimburses the Managing Owner for the Fund’s and Master Fund’s routine operational, administrative, and other ordinary expenses paid by the Managing Owner.
Brokerage commissions and fees will beare charged against the Master Fund’s Assets on a per transaction basis on the date of the transaction. The brokerage commissions and trading fees incurred for the years ended December 31, 20092012, 2011 and 20082010 were $287,584$377,195, $1,300,472 and $54,945,$712,620, respectively. The Fund did not commence investment operations until January 23, 2008 so there were no brokerage commissions or fees incurred for the year ended December 31, 2007. These fees were charged to the Fund and paid to the Commodity Broker. Brokerage commissions and trading fees are typically charged by the Commodity Broker to the Fund on a half-turn basis, i.e. half is charged when a contract is opened and half is charged when a position is closed. Currently, the Fund accrues monthly an amount equal to 0.02% of the net asset value of the Master Fund.
(d) ExtraordinaryUnusual Fees and Expenses
The Master Fund will pay all the extraordinaryunusual fees and expenses, if any, of the Fund and the Master Fund. Such extraordinaryunusual fees and expenses, by their nature, are unpredictable in terms of timing and amount. There have been no extraordinaryunusual fees and expenses since the Fund commenced investment operations on January 23, 2008.
(e) Routine Operational, Administrative and Other Ordinary Expenses
During the Continuous Offering Periodcontinuous offering period the Managing Owner payspaid all of the routine operational, administrative and other ordinary expenses of the Index Fund and the Master Fund, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, legal fees and expenses, tax preparation expenses, filing fees, fees in connection with fund administration, and printing, mailing and duplication costs. The Managing Owner may be reimbursed for routine operational, administrative and other ordinary expenses. See Note 8 (c) for details of the Fund’s brokerage commissions and fees and routine operational, administrative and other ordinary expenses accrual policy.
66
(9) Termination
The term of the Fund is perpetual, unless terminated in certain circumstances as set forth below.
The Fund will dissolve at any time upon the happening of any of the following events:
| (i) | | The filing of a certificate of dissolution or revocation of the Managing Owner’s charter (and the expiration of ninety (90) days after the date of notice to the Managing Owner of revocation without a reinstatement of its charter) or upon the withdrawal, removal, adjudication or admission of bankruptcy or insolvency of the Managing Owner, or an event of withdrawal unless (i) at the time there is at least one remaining Managing Owner and that remaining Managing Owner carries on the business of the Fund or (ii) within ninety (90) days of such event of withdrawal all the remaining Shareholders agree in writing to continue the business of the Fund and to select, effective as of the date of such event, one or more successor Managing Owners. If the Fund is terminated as the result of an event of withdrawal and a failure of all remaining Shareholders to continue the business of the Fund and to appoint a successor Managing Owner as provided above within one hundred and twenty (120) days of such event of withdrawal, Shareholders holding Shares representing at least seventy-five percent (75%) of the net asset value (not including Shares held by the Managing Owner and its affiliates) may elect to continue the business of the Fund by forming a new statutory trust, or reconstituted trust, on the same terms and provisions as set forth in the Trust Declaration. Any such election must also provide for the election of a Managing Owner to the reconstituted trust. If such an election is made, all Shareholders of the Fund shall be bound thereby and continue as Shareholders of the reconstituted trust. |
| (ii) | | The occurrence of any event which would make unlawful the continued existence of the Fund. |
| (iii) | | In the event of the suspension, revocation or termination of the Managing Owner’s registration as a commodity pool operator, or membership as a commodity pool operator with the NFA (if, in either case, such registration is required at such time unless at the time there is at least one remaining Managing Owner whose registration or membership has not been suspended, revoked or terminated). |
| (iv) | | The Fund becomes insolvent or bankrupt. |
| (v) | | The Shareholders holding Shares representing at least seventy-five percent (75%) of the Net Asset Value (which excludes the Shares of the Managing Owner) vote to dissolve the Fund, notice of which is sent to the Managing Owner not less than ninety (90) Business Days prior to the effective date of termination. |
| (vi) | | The determination of the Managing Owner that the aggregate net assets of the Fund in relation to the operating expenses of the Fund make it unreasonable or imprudent to continue the business of the Fund. |
| (vii) | | The Fund becoming required to be registered as an investment company under the Investment Company Act of 1940. |
DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable.
| (viii) | DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable. |
(10) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the shareholders.
67
(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 periodsyears ended December 31, 20092012, 2011 and December 31, 2008.2010. The net investment incomeloss and total expense ratios have been annualized. The total return is based on the change in net asset value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of capital transactions.
| | | | | | | | |
| | Year Ended | | | Year Ended | |
| | December 31, 2009 | | | December 31, 2008 (iii) | |
Net Asset Value | | | | | | | | |
Net asset value per Limited Share, beginning of period | | $ | 21.92 | | | $ | 30.00 | |
| | | | | | | | |
Net realized and unrealized gain (loss) from investments and futures contracts | | | 4.53 | | | | (8.20 | ) |
Net investment income (loss) | | | (0.23 | ) | | | 0.12 | |
| | | | | | |
Net increase (decrease) in net assets from operations | | | 4.30 | | | | (8.08 | ) |
| | | | | | |
Net asset value per Limited Share, end of period | | | 26.22 | | | | 21.92 | |
| | | | | | |
| | | | | | | | |
Market value per Limted Share, beginning of period | | | 21.92 | | | | 30.00 | |
| | | | | | |
Market value per Limted Share, end of period | | $ | 26.32 | | | $ | 21.92 | |
| | | | | | |
| | | | | | | | |
Ratio to average net assets (i) | | | | | | | | |
Net investment income (loss) | | | (0.98 | )% | | | 0.43 | % |
Total expenses | | | 1.08 | % | | | 1.10 | % |
| | | | | | | | |
Total Return, at net asset value (ii) | | | 19.62 | % | | (26.90 | )% (iv) |
| | | | | | |
Total Return, at market value (ii) | | | 20.07 | % | | (26.90 | )% (iv) |
| | | | | | |
| | |
(i) | | Percentages are annualized. |
|
(ii) | | Percentages are not annualized. |
|
(iii) | | Reflects operating results since January 23, 2008, the date of commencement of investment operations. |
|
(iv) | | Percentages are calculated for the period January 23, 2008 to December 31, 2008 based on initial offering price upon commencement of investment operations of $30.00. |
(12) Subsequent Events
For purposes of disclosure in the financial statements, the Fund has evaluated events occurring between the end of its fiscal year, December 31, 2009 and when the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments. | | Year | | | Year | | | Year | |
| | Ended | | | Ended | | | Ended | |
| | December 31, 2012 | | | December 31, 2011 | | | December 31, 2010 | |
| | | | | | | | | |
Net Asset Value | | | | | | | | | |
Net asset value per Limited Share, beginning of year | | $ | 29.96 | | | $ | 32.88 | | | $ | 26.22 | |
| | | | | | | | | | | | |
Net realized and change in unrealized gain (loss) from investments | | | (0.85 | ) | | | (2.59 | ) | | | 6.93 | |
Net investment loss | | | (0.26 | ) | | | (0.33 | ) | | | (0.27 | ) |
Net increase (decrease) in net assets from operations | | | (1.11 | ) | | | (2.92 | ) | | | 6.66 | |
Net asset value per Limited Share, end of year | | $ | 28.85 | | | $ | 29.96 | | | $ | 32.88 | |
| | | | | | | | | | | | |
Market value per Limited Share, beginning of year | | $ | 29.96 | | | $ | 32.95 | | | $ | 26.32 | |
Market value per Limited Share, end of year | | $ | 28.85 | | | $ | 29.96 | | | $ | 32.95 | |
| | | | | | | | | | | | |
Ratio to average net assets (i) | | | | | | | | | | | | |
Net investment loss | | | (0.86 | )% | | | (0.99 | )% | | | (0.98 | )% |
Total expenses | | | 0.92 | % | | | 1.04 | % | | | 1.09 | % |
| | | | | | | | | | | | |
Total Return, at net asset value (ii) | | | (3.70 | )% | | | (8.88 | )% | | | 25.40 | % |
Total Return, at market value (ii) | | | (3.77 | )% | | | (9.07 | )% | | | 25.19 | % |
| | | | | | | | | | | | |
(i) Percentages are annualized. | | | | | | | | | | | | |
(ii) Percentages are not annualized. | | | | | | | | | | | | |
68
None.
ITEM 9A. CONTROLS AND PROCEDURES
Disclosure controls and procedures
For purposes of this Item 9A, references to the “Fund” and “our” include both the Fund and the Master Fund. Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Fund carried out an evaluation of the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(f)) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures with respect to the Fund were effective as of the end of the period covered by this annual report.
Internal control over financial reporting
We areThe Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. OurThe Managing Owner’s internal control system is designed to provide reasonable assurance to the Fund’s management and its board of directors 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.
We
The Managing Owner assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2009.2012. In making this assessment, wethe Managing Owner used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission onInternal Control Integrated Framework. Based on our assessment, we believeManagement believes that, as of December 31, 2009, our2012, its internal control over financial reporting is effective.
Grant Thornton LLP, the independent registered public accounting firm that audited the Fund’s consolidated financial statements included in this Annual Report on Form 10-K, has issued an attestation report on the Fund’s internal control over financial reporting, which appears on page 70pages 76 and 77 of this Annual Report on Form 10-K.
Management evaluated whether there was a change in the Fund’s internal control over financial reporting during the three months ended December 31, 20092012 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting. Based on ourthis evaluation, we believeManagement believes that there was no such change during the three months ended December 31, 2009.2012.
69
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Fund:
We have audited GreenHaven Continuous Commodity Index Fund’sthe internal control over financial reporting of GreenHaven Continuous Commodity Index Fund and subsidiary as of December 31, 2009,2012, based on criteria established inInternal Control — Control—Integrated Frameworkissued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). GreenHaven Continuous Commodity Index Fund’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Report on Internal Control Over Financial Reporting. Our responsibility is to express an opinion on the GreenHaven Continuous Commodity Index Fund’s internal control over financial reporting based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, GreenHaven Continuous Commodity Index Fund maintained, in all material respects, effective internal control over financial reporting as of December 31, 2009,2012, based on criteria established inInternal Control — Control—Integrated Frameworkissued by COSO.
70
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated statementfinancial statements of financial condition, including the consolidated schedule of investments, of GreenHaven Continuous Commodity Index Fund as of December 31, 2009 and 2008, andfor the related consolidated statements of income and expenses, changes in shareholders’ equity, and cash flows for each of the three-years in the periodyear ended December 31, 20092012, and our report dated March 15, 2010February 26, 2013 expressed an unqualified opinion on those financial statements.
/s/ Grant Thornton LLP
Atlanta, Georgia
February 26, 2013
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Board of Managers and Shareholders of
GreenHaven Continuous Commodity Index Master Fund:
We have audited the internal control over financial reporting of GreenHaven Continuous Commodity Index Master Fund as of December 31, 2012, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). GreenHaven Continuous Commodity Index Master Fund’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Report on Internal Control Over Financial Reporting. Our responsibility is to express an opinion on the GreenHaven Continuous Commodity Index Master Fund’s internal control over financial reporting based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, GreenHaven Continuous Commodity Index Master Fund maintained, in all material respects, effective internal control over financial reporting as of December 31, 2012, based on criteria established in Internal Control—Integrated Framework issued by COSO.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of the GreenHaven Continuous Commodity Index Master Fund as of and for the year ended December 31, 2012, and our report dated February 26, 2013 expressed an unqualified opinion on those financial statements.
/s/ GRANT THORNTONGrant Thornton LLP
Atlanta, Georgia
March 15, 2010
ITEM 9B. OTHER INFORMATION
None.
71
ITEM 10. MANAGERS AND EXECUTIVE OFFICERS OF THE REGISTRANTThe Fund has no directors or executive officers and also does not have any employees. It is managed
by the Managing Owner.
The current board of directors and executive officers of the Managing Owner are as follows:
Name | | | | |
Name | | Age | | Position | |
Ashmead Pringle | | 6466 | | Chief Executive Officer and Member of the Board of Directors |
Thomas FernandesCooper Anderson | | 3633 | | Chief Financial Officer and Member of the Board of Directors |
Michael LoungoTJ Mangold | | 3861 | | Independent Director, Audit Committee Member |
Marcus BensmanSteve O'Grady | | 3665 | | Independent Director, Audit Committee Member |
Edward O’NeiilCengiz Searfoss | | 5943 | | Independent Director, Audit Committee Member |
Mr. Ashmead Pringle and Mr. Thomas FernandesCooper Anderson serve as executive officers of the Managing Owner. Mr. Michael LoungoTJ Mangold is the Audit Committee Chair. The Fund has no executive officers. Its affairs are generally managed by the Managing Owner. The following individuals serve as Management & Directors of the Managing Owner.
Principals and Key Employees.Ashmead Pringle and Thomas FernandesCooper Anderson serve as the chief decision makers of the Managing Owner.
Ashmead Pringle, 63, President66, Chief Executive Officer
Mr. Pringle founded the Managing Owner and has served as the President since October of 2006. Since 1984, Mr. Pringle founded and has acted as the President of Grain Service Corporation (GSC), a commodity research and trading company. Mr. Pringle has conducted hundreds of seminars on hedging, risk management, and basis trading in energy and agriculture, and is a recognized expert in commodity risk management. Mr. Pringle became a registered Associated Person and listed Principal of the Managing Owner on November 15, 2006. He became a listed Principal of GreenHaven, LLC on November 15, 2006 and a registered Associated Person of GreenHaven, LLC on September 18, 2006. GreenHaven LLC is a Georgia LLC, registered as a CTA on September 14, 2006, which focuses on the development of private and public commodity investments. He became a listed Principal of Grain Service Corporation, Inc. on June 12, 1985 and a registered Associated Person of Grain Service Corporation, Inc. on October 31, 1985.
Thomas Fernandes, 35, Treasurer
Cooper Anderson, 33, Chief Financial Officer and Manager of Operations
Mr. Fernandes is the Chief Operations Officer of the Managing Owner and has held that position since October of 2006. From May 2005 to October 2006, Mr. Fernandes has worked as a commodity derivatives expert at GSC. Prior to joining GSC, Mr. Fernandes worked as an analyst at West Broadway Partners, an investment partnership, from March 2002 to April 2005. From March 2000 to March 2002, Mr. Fernandes was employed as a trader at Fleet Bank of Boston. Mr. Fernandes became a registered Associated Person and listed Principal of the Managing Owner on October 26, 2006. He became a listed Principal of GreenHaven, LLC on August 29, 2006 and an Associated Person of GreenHaven, LLC on September 14, 2006. He became an Associated Person of Grain Service Corporation, Inc. on June 8, 2005.
Cooper Anderson, 30, Trader
Mr. Anderson is a traderthe Manager of Operations for the Managing Owner and is responsible for daily futures trading, cash flow management, treasury portfolio management, and quantitative analysis for the GreenHaven Continuous Commodity Index Fund. Prior to joining GreenHaven LLC, in April of 2007, Mr. Anderson worked from December of 2002 until March of 2006 as an analyst in Institutional Equity Sales and Trading for Credit Suisse Securities USA LLC, a securities broker dealer and investment bank based in Zurich, Switzerland. Mr. Anderson’s duties atAt Credit Suisse Securities USA LLC, Mr. Anderson served as a brokerage sales person covering the major financial institutions in the Southeastern USUnited States and the Caribbean. Between the March of 2006 and April of 2007, Mr. Anderson took time off from work. He has passed the Level 3 CFA®CFA® exam and has a B.B.A. in Finance from the University of Georgia. Mr. Anderson became a registered Associated Person on May 29, 2007 with GreenHaven LLC and registered Associated Person and as listed Principal of the Managing Owner on November 30, 2009. The registration associated with GreenHaven, LLC became inactive as of February 2, 2011.
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Scott Glasing, 47,50, Trader
Mr. Glasing is a trader for the Managing Owner and is responsible for daily futures trading. Mr. Glasing has held this position since November of 2006. Mr. Glasing has an expertise, concentrated in trading, back office operations and compliance. A native of Chicago, he has interest in finance, economics, and hedging. Mr. Glasing has worked for Grain Service Corporation, Inc. since 1998. Mr. Glasing became a registered Associated Person on November 15, 2006 and listed Principal of the Managing Owner on November 30, 2009. He became a registered Associated Person of GreenHaven, LLC on September 14, 2006. He became an Associated Person of Grain Service Corporation, Inc. on February 9, 1998 and was listed as a principal of Grain Service Corporation, Inc. on March 26, 1998.
None of Mr. Pringle, Mr. Fernandes, Mr. Anderson, or Mr. Glasing receives a salary directly from the Master Fund or the Fund as a result of serving in any capacity. However, a portion the Management Fee that is received for the services provided by the Managing Owner may be used for payment of compensation to such individuals.
The following individuals serve as Independent Directors of the Managing Owner.
Michael Loungo
Thomas J Mangold spent thirty seven years in public accounting with PricewaterhouseCoopers LLP (PwC), serving national and international public and private clients. He has beenextensive experience in providing financial reporting, accounting, internal control and mergers and acquisitions expertise. He also served in various leadership roles for PwC including leading its Information and Communication practice and as a member of the firm’s U.S. Extended Leadership Team. Mr. Mangold is a certified public accountant and holds a bachelor’s degree in accounting from the University of Cincinnati.
Stephen O’Grady has more than thirty nine years experience in the financial services sector, most recently as part of GFI Group where he helped start the company’s ETF division. Prior to GFI, Mr. O’Grady spent 7 years as a partner at Kellogg Capital Group, and for six years served as a Senior Vice President and Floor Manager for ABN-AMRO on the American Stock Exchange. Mr. O’Grady was also President for SOG, Inc, a New York Stock Exchange options brokerage firm. He was co-founder and President of Labranche Futures, and a partner at the New York Futures Exchange. Mr. O’Grady started his career in the municipal bond markets, serving as Vice President and Head of Municipal Bond Trading and Underwriting at Chemical Bank, and as an Independentemployee in the Municipal Bond Department of Bankers Trust Company. Mr. O'Grady holds a Masters of Business Administration from Harvard Business School and a Bachelors of Arts Degree in Economics from Williams College.
Cengiz Searfoss is a Senior Director of theCorporate Finance at Aetna Inc. He serves as Managing Owner since January 2, 2008Director of DCS Capital, a US hedge fund, and as such, serves on the board of directors of the Managing Owner, which acts on behalf of the Fund. Mr. Loungo is an analyst for Liberum Capital Limited,previously was a London-based investment banking firm. Mr. Loungo was formerly a portfolio manager for TQA Investors LLC, and senior research analystPartner at West Broadway Partners.Partners, a multi-strategy hedge fund. Prior to his position at West Broadway Partners, he was a Manager for PricewaterhouseCoopersFinancial Analyst at Goldman, Sachs and Company, and began his career as an Auditor at KPMG Peat Marwick, where he qualified as a Certified Public Accountant. He received his BBA in New York, Philadelphia, and several of PricewaterhouseCooper’s Latin American offices. Michael is a graduate ofAccountancy from the University of Notre Dame, earned his CPA qualification, and holds a Spanish Language degree from the Ministry of Education and Science of Spain.Dame.
Marcus Bensmanhas been an Independent Director of the Managing Owner since January 2, 2008. Mr. Bensman has a background working on quarterly and annual budgets and financial statement reporting, and is currently serving as the Chief Financial Officer for a private corporation, and in the past as a financial director for two successful public companies. He is familiar with compliance, GAAP, Sarbanes and the issues associated with public accounting. Marc’s currently works for Phytest, Inc. where he has recently been hired as the Chief Financial Officer. Prior to joining Phytest, Marc worked for McKesson Corporation (NYSE: MCK) serving as the company’s Financial Director for the Revenue Cycle Management division overseeing total revenues of approximately $400 million dollars annually. Marc is a graduate of the University of New York at Buffalo, with a degree in managerial finance.
Edward O’Neilhas been an Independent Director of the Managing Owner since January 2, 2008. Mr. O’Neil currently is a principal of Riverview Capital, LLC, a boutique investment banking and private equity company. Prior to joining Riverview Capital, LLC, Mr. O’Neil spent twenty-five years with Salomon Brothers and Prudential Securities, Inc. His duties included oversight of all capital commitments and trading decisions in the Preferred Stock markets, structuring new products and coordinating all investment banking activities within the preferred stock arena. Mr. O’Neil is a graduate of the U.S. Naval Academy and has an MBA from the Wharton Business School of the University of Pennsylvania.
The Managing Owner has an audit committee which is made up of the three independent directors, Michael Loungo, Marcus Bensman,TJ Mangold, Stephen O’Grady, and Edward O’Neil.Cengiz Searfoss. Mr. LoungoMangold is the Chair of the Audit Committee. The audit committee is governed by an audit committee charter that is posted on the Fund’s website. The Board has not made a determination as to whether any of the members of the audit committee may be consideredconsiders TJ Mangold to be an “Audit Committee Financial Expert” as such term is definedreferenced in Item 407(d)(5) of Regulation S-K. However, theThe Board also believes that Messrs, Loungo, BensmanO’Grady and O’NeilSearfoss are able to read and understand financial statements and meet the financial sophistication requirements of the NYSE Arca and applicable FINRA rules as they relate to audit committees. As such, given the limited scope of the Fund’s activities and the qualifications and experience of all of the members of the audit committee, the board of directors does not believe it is necessary to designate a member of the audit committee as an “Audit Committee Financial Expert.”
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As of December 31, 2009,2012, none of either Mr. Pringle, Mr. Fernandes, Mr. Anderson, Mr. Glasing or any Director owned any Shares, and the Managing Owner owned fifty (50) Shares.
Other Committees
Since the individuals who perform work on behalf of the Managing Owner are not compensated by the Fund, but instead by the Managing Owner, the Fund does not have a compensation committee. Similarly, since the Directors noted above serve on the board of directors of the Managing Owner, there is no nominating committee of the board of directors that acts on behalf of the Fund.
Code of Ethics
The Fund has no officers or employees and is managed by GreenHaven Commodity Services LLC (the “Managing Owner”). The Managing Owner has adopted the code of ethics of ALPS, Inc (the “Distributor”), which applies to all of its directors. Ethics training and annual review applies to all officers of the Managing Owner. A copy of the Policy and Procedure Manual of the Managing Owner, which includes ethics training and review, can be obtained on the Managing Owner’s website: www.greenhavenfunds.com.
ITEM 11. EXECUTIVE COMPENSATION
Executive Compensation
The Fund has no employees, officers or directors and is managed by GreenHaven Commodity Services LLC. None of the directors or officers of GreenHaven Commodity Services LLC receive compensation from the Fund. GreenHaven Commodity Services LLC receives a monthly management fee of 1/12 of 0.85% (0.85% annually) of the average daily net assets of the Fund during the preceding month. During 2009,2012, 2011, and 2010 the Fund incurred management fees of $1,018,526$4,637,997, $5,895,201, and brokerage commission expenses of $287,584. During 2008, the Fund incurred management fees of $188,888 and brokerage commission expenses of $54,945. Since the Fund commenced investment operations on January 23, 2008, the Fund did not incur any management fees or brokerage commission expenses during 2007.
$2,523,863, respectively.
The Fund has no officers or directors. The following table sets forth certain information regarding beneficial ownership of our General Shares and Limited Shares as of December 31, 2009,2010, by management. No person is known by us to own beneficially more than 5% of the outstanding shares of such class.
| | | | | | | | | | |
| | | | Amount and Nature of | | | | |
| | Name and Address of Beneficial Owner | | Amount and Nature of Beneficial Ownership | | | Percent of Class | |
General Shares | | GreenHaven Commodity Services LLC
c/o GreenHaven Commodity Services LLC 3340 Peachtree Rd, Suite 1910 Atlanta, GA 30326 | | 50 shares | | | | 100 | % |
| | c/o GreenHaven Commodity Services LLC
| | | | | | | | |
| | 3340 Peachtree Rd, Suite 1910
| | | | | | | | |
| | Atlanta, GA 30326 | | | | | | | | |
The Fund has no securities authorized for issuance under equity compensation plans.
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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS AND DIRECTOR INDEPENDENCE
The following table sets forth compensation earned from the Managing Owner during the year ended December 31, 2009,2012, by the Directors of the Managing Owner.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Change in | | | | | | | |
| | | | | | | | | | | | | | | | | | Pension | | | | | | | |
| | | | | | | | | | | | | | | | | | Value and | | | | | | | |
| | Fees | | | | | | | | | | | | | | | Nonqualified | | | | | | | |
| | Earned or | | | | | | | | | | | Non-Equity | | | Deferred | | | | | | | |
| | Paid in | | | Stock | | | Option | | | Incentive Plan | | | Compensation | | | All Other | | | | |
Name | | Cash | | | Awards | | | Awards | | | Compensation | | | Plan | | | Compensation(1) | | | Total | |
Independent Directors | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Michael Loungo | | $ | 3,375 | | | NA | | | NA | | | NA | | | $ | NA | | | $ | NA | | | $ | 3,375 | |
Edward O’Neil | | $ | 1,875 | | | NA | | | NA | | | NA | | | $ | NA | | | $ | NA | | | $ | 1,875 | |
Marcus Bensman | | $ | 1,875 | | | NA | | | NA | | | NA | | | $ | NA | | | $ | NA | | | $ | 1,875 | |
| | | | | | | | | | Change in | | | | | | | |
| | | | | | | | | | Pension | | | | | | | |
| | | | | | | | | | Value and | | | | | | | |
| | Fees | | | | | | | | Nonqualified | | | | | | | |
| | Earned or | | | | | | Non-Equity | | Deferred | | | | | | | |
| | Paid in | | Stock | | Option | | Incentive Plan | | Compensation | | | All Other | | | | |
Name | | Cash | | Awards | | Awards | | Compensation | | Plan | | | Compensation(1) | | | Total | |
Independent Directors | | | | | | | | | | | | | | | | | | | | | |
Michael Loungo | | $ | 21,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 21,000 | |
Edward O’Neil | | $ | 15,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 15,000 | |
Marcus Bensman | | $ | 15,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 15,000 | |
Cengiz Searfoss | | $ | 10,000 | | NA | | NA | | NA | | $ | NA | | | $ | NA | | | $ | 10,000 | |
Thomas Mangold | | $ | 0 | | NA | | NA | | NA | | | NA | | | $ | NA | | | $ | 0 | |
Stephen O’Grady | | $ | 0 | | NA | | NA | | NA | | | NA | | | $ | NA | | | $ | 0 | |
ITEM 14. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Audit and Non-Audit Fees
The following table sets forth the fees for professional services rendered by Grant Thornton, the Fund’s independent registered public accounting firm.
| | | | | | | | | | | | |
| | Fiscal Year Ended | | | Fiscal Year Ended | | | Fiscal Year Ended | |
| | December 31, 2009 | | | December 31, 2008 | | | December 31, 2007 | |
Audit Fees | | $ | 152,810 | | | $ | 130,218 | | | $ | 85,612 | |
Audit-Related Fees | | | | | | | | | | | | |
Tax Fees | | | | | | | | | | | | |
All Other Fees | | | | | | | | | | | | |
| | | | | | | | | |
Total | | $ | 152,810 | | | $ | 130,218 | | | $ | 85,612 | |
| | | | | | | | | |
| | Fiscal Year Ended December 31, 2012 | | | Fiscal Year Ended December 31, 2011 | |
Audit Fees | | $ | 151,000 | | | $ | 151,000 | |
Audit-Related Fees | | | | | | | | |
Tax Fees | | | | | | | | |
All Other Fees | | | | | | | | |
Total | | $ | 151,000 | | | $ | 151,000 | |
Approval of Independent Registered Public Accounting Firm Services and Fees
The Audit Committee of the Managing Owner approved 100% of the services provided by Grant Thornton to the Fund described above. The Audit Committee of the Managing Owner pre-approves all audit and allowed non-audit services of the Fund’s independent registered public accounting firm, including all engagement fees and terms.
ITEM 15. EXHIBITS AND FINANCIAL STATEMENT SCHEDULES
(a)(1) Financial Statements
See financial statements commencing on page 50 hereof.
(a)(2) Financial Statement Schedules
No financial statement schedules are filed herewith because (i) such schedules are not required or (ii) the information required has been presented in the aforementioned financial statements.
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(a)(3) Exhibits
| | | | |
EXHIBIT NO. | | DESCRIPTION |
| 4.1 | | | Amended Declaration of Trust and Trust Agreement of the Registrant*Registrant1 |
| | | | |
| 4.2 | | | Amended Declaration of Trust and Trust Agreement of the Co-Registrant*Co-Registrant1 |
| |
4.3 | Form of Participant Agreement2 |
| |
10.1 | Form of Escrow Agreement3 |
| |
| 4.3 |
10.2 | | | Form of Participant Agreement****Global Custody Agreement3 |
| |
10.3 | Form of Administration Agreement4 |
| |
| 10.1 | | | Form of Escrow Agreement*** |
| | | | |
| 10.2 | | | Form of Global Custody Agreement*** |
| | | | |
| 10.3 | | | Form of Administration Agreement*** |
| | | | |
| 10.4 | | | Form of Transfer Agency and Service Agreement***Agreement3 |
| |
10.5 | Form of Distribution Services Agreement4 |
| |
10.6 10.7 10.9 10.10 10.11 10.12 10.13 10.14 10.15 | 10.5 | | | Form of Distribution Services Agreement** |
| | | | |
| 10.6 | | | Marketing Agreement with ALPS Distributors, Inc**. |
| | | | |
| 10.7 | | | Inc4 License Agreement* |
| | | | |
| 10.9 | | | Agreement1 Addendum to License Agreement*****Agreement5 Addendum to License Agreement6 Addendum to License Agreement7 Addendum to License Agreement8 Amendment to Marketing Services Agreement9 Amendment to Marketing Services Agreement10 Amendment to Marketing Services Agreement11 |
1 Previously filed as an exhibit to Form S-1 on November 3, 2006 and incorporated herein by reference.
2 Previously filed as an exhibit to Pre-Effective Amendment No. 3 to Form S-1 on October 2, 2007 and incorporated herein by reference.
3 Previously filed as an exhibit to Pre-Effective Amendment No. 2 to Form S-1 on August 1, 2007 and incorporated herein by reference.
4 Previously filed as an exhibit to Form 8-K on January 14, 2008 and incorporated herein by reference.
5 Previously filed as an exhibit to Form 8-K on March 6, 2009 and incorporated herein by reference.
6 Previously filed as an exhibit to Form 8-K on October 1, 2009 and incorporated herein by reference.
7 Previously filed as an exhibit to Form 8-K on October 14, 2010 and incorporated herein by reference.
8 Previously filed as an exhibit to Form 8-K on October 6, 2011 and incorporated herein by reference.
9 Previously filed as an exhibit to Form 8-K on May 1, 2009 and incorporated herein by reference.
10 Previously filed as an exhibit to Form 8-K on May 19, 2009 and incorporated herein by reference.
10.16 | Amendment to Distribution Agreement9 |
10.17 | | | | Addendum to License Agreement12 |
23.1 | Consent of Independent Registered Public Accounting Firm |
31.1 | | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
31.2 | | | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exhange Act of 1934 (filed herewith) |
| 31.2 | | 31.3 | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
31.4 | | | | Certificate Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934 (filed herewith) |
| 32.1 | | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
| | | | |
| 32.2 | | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
32.3 | | | | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
32.4 | Certificate Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) |
99.1 | | | Prospectus filed by the registrant on April 15, 2009 as supplemented on January 12, 201013, 2011 pursuant to Rule 424(b)(3) of the Securities Act (File No.333-138424)No.333-170917) |
11 Previously filed as an exhibit to Form 8-K on August 16, 2010 and incorporated herein by reference.
12 Previously filed as an exhibit to Form 8-K on March 3, 2012, and incorporated herein by reference.
| | |
* | | Previously filed as an exhibit to Form S-1 on November 3, 2006 and incorporated herein by reference. |
|
** | | Previously filed as an exhibit to Form 8-K on January 14, 2008 and incorporated herein by reference. |
|
*** | | Previously filed as an exhibit to Pre-Effective Amendment No. 2 to Form S-1 on August 1, 2007 and incorporated herein by reference. |
|
**** | | Previously filed as an exhibit to Pre-Effective Amendment No. 3 to Form S-1 on October 2, 2007 and incorporated herein by reference. |
|
***** | | Previously filed as an exhibit to Form 8-K on March 6, 2009 and incorporated herein by reference. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| GreenHaven Continuous Commodity Index Fund | | | | |
| | |
| By: | GreenHaven Continuous Commodity Index Fund | | Services LLC, |
| | its Managing Owner | | | |
| | |
| By: | By:/s/ Ashmead Pringle |
| GreenHaven Commodity Services LLC,Name: | Ashmead Pringle |
| Title: | Director and Chief Executive Officer |
| | |
Dated: February 26, 2013 | its Managing OwnerBy: | | /s/ Cooper Anderson |
| Name: | Cooper Anderson |
| Title: | Chief Operating Officer (principal financial officer) |
| GreenHaven Continuous Commodity Index Master Fund |
| | |
| | By: | | /s/ Ashmead Pringle | | GreenHaven Commodity Services LLC, |
| | its Managing Owner | |
| | |
| By: | /s/ Ashmead Pringle |
| Name: | | Ashmead Pringle |
| Title: | Director and Chief Executive Officer |
| | |
Dated: February 26, 2013 | Title:By: | | Director and Chief Executive Officer | | /s/ Cooper Anderson |
| Name: | | | | | | | |
Dated: March 15, 2010 | | By: | | /s/ Thomas J. Fernandes | | Cooper Anderson |
| | | | | | |
| | | | Name: | | Thomas J. Fernandes | | |
| | | | Title: | | Chief Operating Officer (principal financial officer) | | |
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