Unaudited Statements of Cash Flows
For the SixNine Months Ended JuneSeptember 30, 2020 and 2019
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (19,347,799 | ) | $ | 3,617,167 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
| (168,658,770 | ) | (291,508,240 | ) | |||||
| 219,953,521 | 311,942,737 | |||||||
| (450,224 | ) | (1,590,731 | ) | |||||
| (14,440 | ) | 718 | ||||||
| 10,519 | (12,929 | ) | ||||||
| 5,508,181 | (7,150,450 | ) | ||||||
| (36,330 | ) | (15,347 | ) | |||||
Net cash provided by operating activities | 36,964,658 | 15,282,925 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (38,838,625 | ) | (39,586,807 | ) | ||||
Net cash used for financing activities | (38,838,625 | ) | (20,328,164 | ) | ||||
Net decrease in cash | (1,873,967 | ) | (5,045,239 | ) | ||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 4,048,210 | $ | 5,148,184 | ||||
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (11,592,405 | ) | $ | 1,226,819 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (240,644,674 | ) | (410,423,066 | ) | ||||
Proceeds from sales/maturities of investment securities | 284,953,521 | 446,912,018 | ||||||
Net accretion of discount | (466,988 | ) | (2,204,488 | ) | ||||
Net realized gain on investment securities | (14,440 | ) | (1,266 | ) | ||||
Net change in unrealized appreciation/depreciation from investments | 10,537 | (13,262 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 3,185,331 | (8,052,294 | ) | |||||
Changes in assets and liabilities | ||||||||
Decrease in liabilities: | ||||||||
Net management fee payable to related party | (25,544 | ) | (24,483 | ) | ||||
Net cash provided by operating activities | 35,405,338 | 27,419,978 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | 13,631,902 | 19,258,643 | ||||||
Redemption of Limited Units | (43,055,150 | ) | (52,481,381 | ) | ||||
Net cash used for financing activities | (29,423,248 | ) | (33,222,738 | ) | ||||
Net increase (decrease) in cash | 5,982,090 | (5,802,760 | ) | |||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 11,904,267 | $ | 4,390,663 | ||||
| * | Includes cash held by the broker for futures contracts. |
See
accompanying notesn
otes to
unaudited consolidated financial statementsf
inancial
s
tatements
18
WisdomTree Continuous Commodity Index Fund
WisdomTree Continuous Commodity Index Master Fund
Notes to Unaudited Consolidated Financial Statements
(1) Organization
The WisdomTree Continuous Commodity Index Fund (the “Fund”) and the WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. For each of the Funds, WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”), and GreenHaven Advisors LLC serves as the commodity trading advisor (the“Sub-Adviser” “Sub-Adviser”).
Shares representing units of fractional undivided beneficial interest in and ownership of the Fund (“Limited Units” or “Shares”) are listed on the NYSE Arca under the symbol “GCC.” Upon inception of the Fund, 50 general units of the Fund (“General Units” or “General Shares”) were issued to the Managing Owner in exchange for a capital contribution of $1,500. We refer to the General Shares and Shares collectively as “Total Shares,” and the holders of the Shares as the “Shareholders.”
The Master Fund is wholly-owned by the Fund and the Managing Owner. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.
The Fund and Master Fund commenced investment operations on January 23, 2008, with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 under the symbol “GCC.” The term of the Fund is perpetual, unless terminated earlier in certain circumstances as defined in the Trust Agreements (as defined in).
Note 2—Service Providers and Related Party Agreements
The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index” and also known as the“CCI-TR “CCI-TR Index”), before the Funds’ expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil) and natural gas. The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and calculation agent of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.
The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by actively trading exchange traded futures (“Commodity Futures”) on the Index Commodities, with a view to tracking the performance of the Index over time, regardless of whether the Index is rising, falling or flat over any particular period.
The Master Fund’s portfolio (its “Portfolio”) also includes cash and short-term U.S. Treasury obligations (“U.S. Treasuries”) for deposit with the Commodity Broker (as defined below) as margin or otherwise held to cover the Master Fund’s notional exposure to Commodity Futures.
The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined inper Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.
Note 7—Share Creations and Redemptions)
The Managing Owner and the Shareholders share in any profits and losses attributable to the Fund in proportion to the percentage interest owned by each.
The Managing Owner and the Funds retain the services of third party service providers for the ongoing operations of the Funds..
See Note 2—Service Providers and Related Party Agreements
(2) Service Providers and Related Party Agreements
(a)Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement”
Trustee.
and
collectively with the Fund Trust Agreement, the “Trust
19
Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.
(b)WisdomTree Commodity Services, LLC, a Delaware limited liability company, is the managing owner and commodity pool operator of each of the Funds. The Trustee has delegated to the Managing Owner the exclusive power and authority to manage the business and affairs of each of the Funds. The Managing Owner’s principal offices are located in New York, New York.
Managing Owner.
(c)Greenhaven Advisors LLC is the
Sub-Adviser.
sub-adviser
and commodity trading adviser of each of the Funds. TheSub-Adviser,
under authority delegated by the Managing Owner, is responsible for selecting Commodity Brokers and reallocating assets within the Portfolio with a view to achieving the Funds’ investment objective. TheSub-Adviser’s
principal offices are located in Atlanta, Georgia.(d)A variety of executing brokers may execute transactions in Commodity Futures on behalf of the Master Fund. Morgan Stanley & Co. LLC (the “Commodity Broker”) is the Master Fund’s commodity broker to which the executing brokers
Commodity Broker.
give-up
all such transactions. In its capacity as the clearing broker, the Commodity Broker may execute and clear each of the Master Fund’s futures transactions. The Commodity Broker’s principal offices are located in New York, New York.(e)State Street Bank and Trust Company (the “Administrator”) is the administrator of the Funds and has entered into an Administration Agreement in connection therewith. The Administrator also serves as custodian of the Funds pursuant to a Master Custodian Agreement, and transfer agent of the Funds pursuant to a Transfer Agency and Service Agreement. The Administrator performs certain services necessary for the operation and administration of the Funds (other than making investment decisions), including calculations of the Master Fund’s Net Asset Value and accounting and other administrative services. The Administrator retains certain financial books and records, including: fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Administrator has an office in Boston, Massachusetts.
Administrator.
(f)Foreside Fund Services LLC is the Funds’ distributor (the “Distributor”) pursuant to a Distribution Services Agreement. The Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including assisting in matters associated with receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor has an office in Portland, Maine.
Distributor.
(g)The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. Each Authorized Participant must (i) be a registered broker-dealer or other securities market participant, such as a bank or other financial institution that is not required to register as a broker-dealer to engage in securities transactions, (ii) be a participant in the Depository Trust Company (“DTC”), and (iii) have entered into a “Participant Agreement.” The Participant Agreement sets forth the procedures for the creation and redemption of Baskets and for the delivery of cash required for such creations or redemptions. The current Authorized Participants are J.P. Morgan Securities LLC, Merrill Lynch Professional Clearing Corporation, and Morgan Stanley & Co. Incorporated.
Authorized Participant.
(3) Summary of Significant Accounting Policies
(a) Basis of Presentation and Consolidation
The financial statements of the Fund and the Master Fund have been prepared using U.S. generally accepted accounting principles (“GAAP”) and in the opinion of management reflects all adjustments, consisting only adjustments,
which are
ofa
normal recurringnature
, necessary for a fair statement of financial condition, results of operations, and cash flows for the period presented. The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative GAAP recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under the authority of federal laws are also sources of authoritative GAAP for SEC registrants.In accordance with ASC Topic 946, Financial Services-Investment Companies (“ASC Topic 946”), the Funds each qualify as an investment company and are applying ASC Topic 946 accounting and reporting guidance for investment companies.
The
Fundinvests substantially all
of itsassets in the
Master Fundin a master-feeder structure
. The financial statements of the Fund include the balances of the Master Fund on a consolidated basis and all inter-company balances and transactions have been eliminated in the consolidation.20
Unaudited Interim Financial Information
The financial statements as of JuneSeptember 30, 2020 and 2019 and for the three-months andsix-months nine-months ended JuneSeptember 30, 2020 and 2019 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statements and include all adjustments, which are of the
a
normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year. Past performance of the Fund is not necessarily indicative of future performance.(b) Use of Estimates
The preparation of the financial statements in conformity with GAAP requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses during the period. Actual results could differ from those estimates.
(c) Cash Held by Broker
A portion of the Master Fund’s cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Fund’s open Commodity Futures. The Commodity Broker allows the Master Fund to apply its U.S. Treasuries positions towards its initial margin requirement for the Master Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and U.S. Treasuries positions are held in segregated accounts at the Commodity Broker and are not insured by the Federal Deposit Insurance Corporation.
(d) U. S. Treasury Obligations
The Master Fund records purchases and sales of U.S. Treasuries on a trade date basis. These holdings are marked to market based on quotations from broker-dealers or independent service providers. The Master Fund may hold U.S. Treasuries for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open Commodity Futures. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasuries.Treasuries
using the straight-line method.
(e) Futures Contracts
The Master Fund utilizes futures contracts to obtain long exposure to Commodity Futures consistent with its investment objective. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges where they are principally traded. In the Schedules of Investments, Commodity Futures are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard.. The Managing Owner will do other procedures (consistent with GAAP) to value an investment when a market quote is not available. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.
See Note 4 — Fair Value Measurements
perform
(f) Income Taxes
The Fund and Master Fund are treated as partnerships for U.S. federal income tax purposes. Accordingly, the Fund and Master Fund are not subject to U.S. federal income tax and may not be subject to state or local income taxes. As a result, no provision for federal, state or local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items.
The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution.
(g) Subsequent Events
For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended JuneSeptember 30, 2020 and when the financial statements were issued on August
November 6,
2020.
21
During that period, 350,000150,000 Shares were created
for $5,818,629$2,606,672
and 100,000400,000 Shares were redeemed for $1,625,102,$6,986,630, resulting in 4,700,0504,750,050 Total Shares outstanding.
Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
(4) Fair Value Measurements
The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Managing Owner will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available. The Master Fund uses a three-tier fair value hierarchy based upon observable and unobservable inputs as follows:
| Level 1 | — | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. | ||
| Level 2 | — | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. | ||
| Level 3 | — | Unobservable inputs for the asset or liability. | ||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Master Fund are either exchange-traded futures contracts that are valued daily at settlement prices provided by the relevant exchanges where they are principally traded or U.S. government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. A summary of the Master Fund’s assets and liabilities at fair value as of JuneSeptember 30, 2020, classified according to the levels used to value them, is as follows:
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 64,990,566 | $ | — | $ | 64,990,566 | ||||||||
Unrealized appreciation on futures contracts | 653,974 | — | — | 653,974 | ||||||||||||
Total | $ | 653,974 | $ | 64,990,566 | $ | — | $ | 65,644,540 | ||||||||
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 71,993,216 | $ | — | $ | 71,993,216 | ||||||||
Unrealized appreciation on futures contracts | 2,976,824 | — | — | 2,976,824 | ||||||||||||
Total | $ | 2,976,824 | $ | 71,993,216 | $ | — | $ | 74,970,040 | ||||||||
The Master Fund did not hold any Level 3 securities during the sixnine months ended JuneSeptember 30, 2020.
A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2019, classified according to the levels used to value them, is as follows:
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 115,831,172 | $ | — | $ | 115,831,172 | ||||||||
Unrealized appreciation on futures contracts | 6,162,155 | — | — | 6,162,155 | ||||||||||||
Total | $ | 6,162,155 | $ | 115,831,172 | $ | — | $ | 121,993,327 | ||||||||
The Master Fund did not hold any Level 3 securities during the year ended December 31, 2019.
22
(5) Derivative Instruments and Hedging Activities
The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of JuneSeptember 30, 2020, the Master Fund was invested in Commodity Futures. For the sixnine months ended JuneSeptember 30, 2020 and the year ended December 31, 2019, the volume of derivative activity (based on average$90,367,283$88,078,634 and $134,094,833, respectively.
month-end
notional amounts) were The fair value of derivative instruments at JuneSeptember 30, 2020 and December 31, 2019, were as follows:
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
June 30, 2020 | Commodity Futures | $ | 653,974 | $ | — | |||||||
December 31, 2019 | Commodity Futures | $ | 6,162,155 | $ | — | |||||||
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
September 30, 2020 | Commodity Futures | $ | 2,976,824 | $ | — | |||||||
December 31, 2019 | Commodity Futures | $ | 6,162,155 | $ | — | |||||||
| (i) | Values are disclosed on the Statements of Financial Condition under Net unrealized appreciation on futures contracts. |
| (ii) | Values are disclosed on the Statements of Financial Condition under Net unrealized depreciation on futures contracts |
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the three months and sixnine months ended JuneSeptember 30, 2020 and 2019:
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended June 30, 2020 | Commodity Futures | $ | (10,173,582 | ) | $ | 14,237,053 | ||||||
Three months ended June 30, 2019 | Commodity Futures | (2,029,620 | ) | (41,919 | ) | |||||||
Six months ended June 30, 2020 | Commodity Futures | (13,966,619 | ) | (5,508,181 | ) | |||||||
Six months ended June 30, 2019 | Commodity Futures | (4,618,485 | ) | 7,150,450 | ||||||||
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended September 30, 2020 | Commodity Futures | $ | 5,568,098 | $ | 2,322,850 | |||||||
Three months ended September 30, 2019 | Commodity Futures | (3,693,718 | ) | 901,844 | ||||||||
Nine months ended September 30, 2020 | Commodity Futures | (8,398,521 | ) | (3,185,331 | ) | |||||||
Nine months ended September 30, 2019 | Commodity Futures | (8,312,203 | ) | 8,052,294 | ||||||||
| (i) | Values are disclosed on the Statements of Income and Expenses under Net realized gain (loss) from futures contracts. |
| (ii) | Values are disclosed on the Statements of Income and Expenses under Net increase (decrease) in unrealized appreciation/depreciation from futures contracts. |
(6) Financial Instrument Risk
In the normal course of its business, the Master Fund may be party to financial instruments with“off-balance “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Master Fund are Commodity Futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.
off-balance
sheet risk. The termMarket risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Master Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statement of Financial Condition and not represented by the contract or notional amounts of the instruments.
Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
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 oroff-balance
sheet arrangements of any kind other than agreements entered into in the normal course of business.23
(7) Share Creations and Redemptions
The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. To compensate the Administrator for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $200 per order.
“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. In particular, Net Asset Value includes any unrealized profit or loss on open Commodity Futures, and any other credit or debit accruing to the Master Fund but unpaid or not received by the Master Fund.
(a) Creation of Shares
General.
non-refundable
transaction fee due for the purchase order.Determination of Required Payment.
Because orders to create Baskets must be placed by 10:00 a.m. ET, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m. ET, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.
Rejection of Purchase Orders.
(i) it determines that the creation order is not in proper form;
(ii) the Managing Owner believes that the purchase order would have adverse tax consequences to the Fund or its Shareholders; or
(iii) circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets.
The Distributor and the Managing Owner will not be liable for the rejection of any purchase order.
(b) Redemption of Shares
General.
other than Authorized Participants
non-refundable
transaction fee due for the redemption order.Determination of Required Payment.
24
Delivery of Redemption Proceeds.
time-to-time,
time-to-time
Suspension or Rejection of Redemption Orders.
A redemption order may be rejected if the order is not in proper form as described in the order formforunlawful.unlawful
m
and/or Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be .
(8) Operating Expenses and Brokerage Commissions
(a) Management Fee
The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. The Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Master Fund. For the three months and sixnine months ended JuneSeptember 30, 2020 and 2019, the Management Fee incurred by the Master Fund was as follows:
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended June 30, 2020 | $ | 153,350 | $ | (18,041 | ) | $ | 135,309 | |||||
Three months ended June 30, 2019 | $ | 286,421 | $ | (33,697 | ) | $ | 252,724 | |||||
Six months ended June 30, 2020 | $ | 377,497 | $ | (44,411 | ) | $ | 333,086 | |||||
Six months ended June 30, 2019 | $ | 620,182 | $ | (72,963 | ) | $ | 547,219 | |||||
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended September 30, 2020 | $ | 171,810 | $ | (20,213 | ) | $ | 151,597 | |||||
Three months ended September 30, 2019 | $ | 258,682 | $ | (30,433 | ) | $ | 228,249 | |||||
Nine months ended September 30, 2020 | $ | 549,307 | $ | (64,624 | ) | $ | 484,683 | |||||
Nine months ended September 30, 2019 | $ | 878,864 | $ | (103,396 | ) | $ | 775,468 | |||||
(b) Brokerage CommissionsCommissions
Brokerage commissions are charged against the Fund’s assets on a per transaction basis. The brokerage commissions incurred for the three months ended JuneSeptember 30, 2020 were $30,743$24,585 and for the three months ended JuneSeptember 30, 2019 were $43,311$34,938 and for the sixnine months ended JuneSeptember 30, 2020 were $61,030$85,615 and for the sixnine months ended JuneSeptember 30, 2019 were $82,255.$117,193.
(9) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a
pro-rata
basis in accordance with the respective capital balances of the Shareholders, but the Fund is under no obligation to make periodic distributions to Shareholders. The Fund has made no distributions to its Shareholders since the Fund commenced operations.(10) Commitments and Contingencies
The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Funds, has entered into various service agreements that contain indemnification and exculpation provisions with respect to costs, expenses, damages, liabilities and/or claims that may be incurred by a service provider in connection with the provision of its services to the Funds. As of JuneSeptember 30, 2020, no party to any such service agreement has made a claim against the Funds, and it is therefore not possible to estimate the Funds’ potential future exposure under such indemnification and exculpation provisions.
25
(11) Net Asset Value and Financial Highlights
The Fund is presenting the following Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the three months and sixnine months ended JuneSeptember 30, 2020 and 2019.
Three Months Ended June 30, 2020 | Three Months Ended June 30, 2019 | Six Months Ended June 30, 2020 | Six Months Ended June 30, 2019 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 14.83 | $ | 18.04 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations: | ||||||||||||||||
Net realized and unrealized gain (loss) (1) | 0.83 | (0.25 | ) | (3.17 | ) | 0.22 | ||||||||||
Net investment income (loss) (2) | (0.01 | ) | 0.06 | 0.02 | 0.13 | |||||||||||
Net increase (decrease) in net assets from operations | 0.82 | (0.19 | ) | (3.15 | ) | 0.35 | ||||||||||
Net asset value per Limited Share, end of period | $ | 15.65 | $ | 17.85 | $ | 15.65 | $ | 17.85 | ||||||||
Total Return, at net asset value (3) | 5.53 | % | (1.05 | )% | (16.76 | )% | 2.00 | % | ||||||||
Ratio/Supplemental Data: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 69,649 | $ | 129,395 | $ | 69,649 | $ | 129,395 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Net investment income (4) | (0.35 | )% | 1.46 | % | 0.28 | % | 1.47 | % | ||||||||
Expenses, prior to expense waivers (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
Expenses, net of expense waivers (4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 15.65 | $ | 17.85 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations: | ||||||||||||||||
Net realized and unrealized gain (loss) (1) | 1.74 | (0.35 | ) | (1.44 | ) | (0.13 | ) | |||||||||
Net investment income (loss) (2) | (0.03 | ) | 0.06 | (0.00 | ) * | 0.19 | ||||||||||
Net increase (decrease) in net assets from operations | 1.71 | (0.29 | ) | (1.44 | ) | 0.06 | ||||||||||
Net asset value per Limited Share, end of period | $ | 17.36 | $ | 17.56 | $ | 17.36 | $ | 17.56 | ||||||||
Total Return, at net asset value (3) | 10.93 | % | (1.62 | )% | (7.66 | )% | 0.34 | % | ||||||||
Ratio/Supplemental Data: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 86,820 | $ | 114,110 | $ | 86,820 | $ | 114,110 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Net investment income (loss) (4) | (0.67 | )% | 1.31 | % | (0.02 | )% | 1.42 | % | ||||||||
Expenses, prior to expense waivers (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
Expenses, net of expense waivers (4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
| * | Amount represents less than $ (0.01 ). |
| (1) | Includes brokerage commissions of and 2019, respectively, and includes brokerage commissions of page |
| (2) | Based on average shares outstanding. |
| (3) | Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page |
| (4) | Annualized. |
(12) Additional Information
As previously disclosed pursuant to the Fund’s Current Report on Form 8-K filed with the SEC on July 22, 2020, the Managing Owner, on behalf of the Fund, plans to enter into an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization (the “Reorganization”) of the Fund into and with the WisdomTree Enhanced Commodity Strategy Fund (the “Acquiring“Successor Fund”), a newly created series of WisdomTree Trust. WisdomTree Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The terms of the proposed Plan, information about the Reorganization, including the reasons for the Reorganization, and information about the AcquiringSuccessor Fund, will beis contained in a combined proxy statement/prospectus (the “Proxy Statement/Prospectus”) with respect to a special meeting of shareholders expected to bethat has been called for the purpose of asking the Fund’s shareholders to approve the Plan.
* * * * *
A recent outbreak of a respiratory disease caused by a novel coronavirus (COVID-19) has spread globally in a short period of time. In an organized attempt to contain and mitigate the effects of the spread of COVID-19, governments and businesses world-wide have taken aggressive measures, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes,
the cancellation of organized events and educational
26
institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of the Fund’s investments in those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Fund of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of the
Fund.
See Item 1A (Risk Factors) on page 39 for additional information on risk factors that may affect the Fund and its investments.
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
The following discussion should be read in conjunction with the Funds’ Financial Statements and the related Notes to the Funds’ Financial Statements included elsewhere in this Quarterly Report.
This Quarterly Report, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of the Managing Owner for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Funds’ actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Funds’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Funds cannot assure investors that these projections included in these forward-looking statements will come to pass. The Funds’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.
The Funds have based the forward-looking statements included in this Quarterly Report on information available to it as close to the filing date of this Quarterly Report as reasonably practicable, and the Funds assume no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the Funds may make directly to them or through reports that the Funds file in the future with the SEC, including Annual Reports on Form
10-K,
Quarterly Reports on Form10-Q
and Current Reports on Form8-K.
Introduction
WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”) of the Funds, and GreenHaven Advisors LLC serves as the commodity trading advisor (the“Sub-Adviser” “Sub-Adviser”).
The Fund continuously offers shares representing common units of fractional undivided beneficial interest in and ownership of the Fund (“Shares”).
The Fund invests substantially all of its assets in the Master Fund in a master-feeder structure. The Master Fund is wholly-owned by the Fund and the Managing Owner. The Master Fund and the Fund each follow the same investment objective. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Upon inception of the Master Fund, the Master Fund issued 50 of its general units to the Managing Owner in exchange for a capital contribution of $1,500. Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.
The Fund’s investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index” and also known as the “CCI-TR Index”), before Fund expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC, is the owner, publisher and calculation agent of the Index (the “Index Sponsor”). The Index Sponsor is not an affiliate of the Funds or the Managing Owner.
The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a portfolio of Commodity Futures on the Index Commodities (the “Portfolio”). The Portfolio also includes cash and U.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasuries on deposit towards satisfying any margin requirements related to the Commodity Futures in the Master Fund’s futures account.
Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended
July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.
28
Under the Trust Agreements, Delaware Trust Company, the Trustee of the Funds, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor does the Trustee have any liability for the acts or omissions of the Managing Owner.
The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Master Fund’s Portfolio. The market price of the Shares may not be identical to the Net Asset Value per Share, but these two valuations are expected to be very close.
The Fund is listed on the NYSE Arca under the symbol “GCC.”
Performance Summary
There is no performance history prior to the beginning of trading on January 24, 2008. For current five-year performance history subsequent to the beginning of trading, see the “Results of Operations” section below.
Results of Operations
Net Asset Value
“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. The Funds’ Administrator calculates the Net Asset Value once each NYSE Arca trading day. The Net Asset Value for a particular trading day is released after 5:00 p.m. ET and posted at www.wisdomtree.com. To provide updated information relating to the Funds for use by investors and market professionals, the NYSE Arca calculates and disseminates throughout the trading day an updated “indicative fund value.” The indicative intra-day value is calculated by using the prior day’s closing Net Asset Value as a base and updating that value throughout the trading day to reflect changes in the value of the Master Fund’s Commodity Futures during the trading day. The indicative intra-day value will be disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m. ET to 4:00 p.m. ET. The indicative intra-day value is an approximate value and should not be viewed as a “real” time update of the Net Asset Value.
Critical Accounting Policies
Critical accounting policies for the Funds are as follows:
Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. Both the Fund and the Master Fund apply these policies that involve judgments and actual results may differ from the estimates used.
The Master Fund holds a significant portion of its assets in Commodity Futures and U.S. Treasuries, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the statements of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Master Fund’s financial statements. The fair value of a financial instrument is the 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. The Managing Owner will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available.
Interest income on U.S. Treasuries is recognized on an accrual basis when earned. Discounts and premiums are amortized or accreted over the life of the U.S. Treasuries using the straight-line method.
Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.
Asset Valuation
In determining fair value of U.S. Treasuries and Commodity Futures, the Fund uses unadjusted quoted market prices in active markets and a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. for further information regarding this accounting policy.
See Note 4 – Fair Value Measurements
29
Market Risk
See Item 1A – Risk Factors and Item 3 – Quantitative and Qualitative Disclosures About Market Risk
Credit Risk
The Master Fund holds two types of investments: (1) short-term U.S. Treasury obligations, and (2) long positions in futures contracts on the seventeen Index Commodities. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the Commodity Futures is divided equally among the components. Each of the Index Commodities is traded on the CME Group or ICE exchanges.
The CME Group and ICE exchanges guarantee the performance of its outstanding Commodity Futures. Each exchange clearinghouse is also publicly traded and, in the Managing Owner’s opinion, well-capitalized. Each uses a system of margining and daily cash settlement of unrealized gains and losses in open positions, which reduces counterparty risk for market participants. Hence, the Managing Owner believes that the Master Fund faces minimal credit or counterparty risk in its futures trading and contract positions.
The Master Fund will also hold significant cash balances representing the excess of invested funds above the margin requirements for its Commodity Futures. To the extent practical, the Fund will hold this excess cash in short-term U.S. Treasury obligations. Hence, the Managing Owner assigns no counterparty risk to such holdings.
Liquidity
The Funds do not anticipate making use of borrowings or other lines of credit to meet their obligations. The Funds meet liquidity needs in the normal course of business from cash, cash equivalents, and/or the sale of U.S. Treasuries it holds. The Funds’ liquidity needs include: redeeming Shares, providing margin deposits for existing Commodity Futures, the purchase of additional Commodity Futures and paying expenses.
The Funds generate cash primarily from (i) the sale of creation Baskets and (ii) interest earned on cash, cash equivalents and investments in collateralizing U.S. Treasuries. Substantially all of the net assets of the Master Fund are allocated to trading in Commodity Futures. Most of the assets of the Master Fund are held in U.S. Treasuries, cash and/or cash equivalents that could or are used as margin or collateral for trading in Commodity Futures. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Commodity Futures change. Interest earned on interest-bearing assets of the Master Fund is paid to the Master Fund.
The investments of the Master Fund in Commodity Futures could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Master Fund from promptly liquidating a position in Commodity Futures.
Contractual Obligations
The Funds’ contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of Net Asset Value. Commissions paid by the Master Fund to the Commodity Broker are on a per contract half-turn basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to half-turns or round-turns that will be required under these arrangements for future periods as the amount and level of future trading activity is unknown.
Off-Balance Sheet Risk
In the normal course of business, the Funds are party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Master Fund are standardized Commodity Futures traded on regulated exchanges and are recognized on the balance sheet at fair value pursuant to the accounting standards for derivatives and hedging activities, “Accounting for Derivative Instruments and Hedging Activities.” As of September 30, 2020, therefore, the Funds have no unrecorded liabilities relating to Commodity Futures. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.
30
Results of Operations
FOR THE FIVE-YEAR PERIOD ENDED JUNESEPTEMBER 30, 2020
The Fund was launched on January 23, 2008 at $30.00 per share and listed for trading on the NYSE Arca, formerly the American Stock Exchange, on January 24, 2008. The total returns shown in the below table are based on Net Asset Value. Net Asset Value returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at Net Asset Value. The Net Asset Value returns do not reflect brokerage commissions or taxes on transactions in Shares or taxes that a shareholder would pay on Fund distributions.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
7/31/2015 | $ | 20.14 | 12,350,050 | $ | 248,781,672 | -8.79 | % | -8.04 | % | -11.71 | % | -32.87 | % | |||||||||||||||
8/31/2015 | $ | 19.89 | 12,250,050 | $ | 243,701,247 | -1.24 | % | -7.53 | % | -12.80 | % | -33.70 | % | |||||||||||||||
9/30/2015 | $ | 19.48 | 12,350,050 | $ | 240,610,264 | -2.06 | % | -11.78 | % | -14.60 | % | -35.07 | % | |||||||||||||||
10/31/2015 | $ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 | $ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 | $ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 | $ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 | $ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 | $ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 | $ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 | $ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 | $ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 | $ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 | $ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 | $ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 | $ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 | $ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 | $ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 | $ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 | $ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 | $ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 | $ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 | $ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 | $ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 | $ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 | $ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 | $ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 | $ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 | $ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 | $ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % | |||||||||||||||
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
10/31/2015 | $ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 | $ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 | $ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 | $ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 | $ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 | $ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 | $ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 | $ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 | $ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 | $ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 | $ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 | $ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 | $ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 | $ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 | $ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 | $ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 | $ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 | $ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 | $ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 | $ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 | $ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 | $ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 | $ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 | $ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 | $ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 | $ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 | $ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % | |||||||||||||||
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
1/31/2018 | $ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018 | $ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018 | $ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018 | $ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018 | $ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018 | $ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018 | $ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018 | $ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018 | $ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018 | $ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018 | $ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018 | $ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019 | $ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019 | $ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019 | $ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019 | $ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019 | $ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019 | $ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % | |||||||||||||||
7/31/2019 | $ | 17.62 | 7,250,050 | $ | 127,772,592 | -1.29 | % | -1.56 | % | 0.69 | % | -41.27 | % | |||||||||||||||
8/31/2019 | $ | 17.10 | 6,700,050 | $ | 114,556,679 | -2.95 | % | -2.45 | % | -2.29 | % | -43.00 | % | |||||||||||||||
9/30/2019 | $ | 17.56 | 6,500,050 | $ | 114,110,261 | 2.69 | % | -1.62 | % | 0.34 | % | -41.47 | % | |||||||||||||||
10/31/2019 | $ | 17.95 | 6,850,050 | $ | 122,956,931 | 2.22 | % | 1.87 | % | 2.57 | % | -40.17 | % | |||||||||||||||
11/30/2019 | $ | 17.86 | 6,850,050 | $ | 122,348,578 | -0.50 | % | 4.44 | % | 2.06 | % | -40.47 | % | |||||||||||||||
12/31/2019 | $ | 18.80 | 6,800,050 | $ | 127,835,843 | 5.26 | % | 7.06 | % | 7.43 | % | -37.33 | % | |||||||||||||||
1/31/2020 | $ | 17.61 | 6,400,050 | $ | 112,722,603 | -6.33 | % | -1.89 | % | -6.33 | % | -41.30 | % | |||||||||||||||
2/29/2020 | $ | 16.76 | 6,000,050 | $ | 100,581,288 | -4.83 | % | -6.16 | % | -10.85 | % | -44.13 | % | |||||||||||||||
3/31/2020 | $ | 14.83 | 5,050,050 | $ | 74,876,112 | -11.52 | % | -21.12 | % | -21.12 | % | -50.57 | % | |||||||||||||||
4/30/2020 | $ | 14.85 | 4,950,050 | $ | 73,491,909 | 0.13 | % | -15.67 | % | -21.01 | % | -50.50 | % | |||||||||||||||
5/31/2020 | $ | 15.45 | 4,850,050 | $ | 74,932,143 | 4.04 | % | -7.82 | % | -17.82 | % | -48.50 | % | |||||||||||||||
6/30/2020 | $ | 15.65 | 4,450,050 | $ | 69,649,419 | 1.29 | % | 5.53 | % | -16.76 | % | -47.83 | % | |||||||||||||||
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
1/31/2018 | $ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018 | $ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018 | $ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018 | $ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018 | $ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018 | $ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018 | $ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018 | $ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018 | $ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018 | $ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018 | $ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018 | $ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019 | $ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019 | $ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019 | $ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019 | $ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019 | $ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019 | $ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % | |||||||||||||||
7/31/2019 | $ | 17.62 | 7,250,050 | $ | 127,772,592 | -1.29 | % | -1.56 | % | 0.69 | % | -41.27 | % | |||||||||||||||
8/31/2019 | $ | 17.10 | 6,700,050 | $ | 114,556,679 | -2.95 | % | -2.45 | % | -2.29 | % | -43.00 | % | |||||||||||||||
9/30/2019 | $ | 17.56 | 6,500,050 | $ | 114,110,261 | 2.69 | % | -1.62 | % | 0.34 | % | -41.47 | % | |||||||||||||||
10/31/2019 | $ | 17.95 | 6,850,050 | $ | 122,956,931 | 2.22 | % | 1.87 | % | 2.57 | % | -40.17 | % | |||||||||||||||
11/30/2019 | $ | 17.86 | 6,850,050 | $ | 122,348,578 | -0.50 | % | 4.44 | % | 2.06 | % | -40.47 | % | |||||||||||||||
12/31/2019 | $ | 18.80 | 6,800,050 | $ | 127,835,843 | 5.26 | % | 7.06 | % | 7.43 | % | -37.33 | % | |||||||||||||||
1/31/2020 | $ | 17.61 | 6,400,050 | $ | 112,722,603 | -6.33 | % | -1.89 | % | -6.33 | % | -41.30 | % | |||||||||||||||
2/29/2020 | $ | 16.76 | 6,000,050 | $ | 100,581,288 | -4.83 | % | -6.16 | % | -10.85 | % | -44.13 | % | |||||||||||||||
3/31/2020 | $ | 14.83 | 5,050,050 | $ | 74,876,112 | -11.52 | % | -21.12 | % | -21.12 | % | -50.57 | % | |||||||||||||||
4/30/2020 | $ | 14.85 | 4,950,050 | $ | 73,491,909 | 0.13 | % | -15.67 | % | -21.01 | % | -50.50 | % | |||||||||||||||
5/31/2020 | $ | 15.45 | 4,850,050 | $ | 74,932,143 | 4.04 | % | -7.82 | % | -17.82 | % | -48.50 | % | |||||||||||||||
6/30/2020 | $ | 15.65 | 4,450,050 | $ | 69,649,419 | 1.29 | % | 5.53 | % | -16.76 | % | -47.83 | % | |||||||||||||||
7/31/2020 | $ | 16.69 | 4,550,050 | $ | 75,919,118 | 6.65 | % | 12.39 | % | -11.22 | % | -44.37 | % | |||||||||||||||
8/31/2020 | $ | 17.66 | 4,850,050 | $ | 85,662,794 | 5.81 | % | 14.30 | % | -6.06 | % | -41.13 | % | |||||||||||||||
9/30/2020 | $ | 17.36 | 5,000,050 | $ | 86,820,190 | -1.70 | % | 10.93 | % | -7.66 | % | -42.13 | % | |||||||||||||||
33
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
34
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
35
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The Fund and the Master Fund seek to track changes in the Index over time. For the sixnine months ended JuneSeptember 30, 2020, the Fund’s Net Asset Value underperformed the Index by 0.27%0.56%. For the sixnine months ended JuneSeptember 30, 2019, the Fund’s Net Asset Value underperformed the Index by 0.50%0.69%.
The Funds are unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
The Funds are designed to replicate a commodity index. The market-sensitive instruments held by the Master Fund are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Funds’ main line of business.
Qualitative Disclosures Regarding
Non-Trading
Risk ExposureMarket risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.
Market movements can produce frequent changes in the fair market value of the Master Fund’s open positions and, consequently, in its earnings and cash flows. The Funds’ market risk is primarily influenced by changes in the price of the Index Commodities.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. Examples of these special circumstances include the unavailability of the Index or certain natural or
man-made
disasters impacting the United States and global financial markets. The Managing Owner does not apply risk management techniques. The Master Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.Quantitative Disclosures
Market Risk by Sector
The following were the primary trading risk exposures of the Fund as of JuneSeptember 30, 2020 by market sector. The table below indicates the sector weighting of the Commodity Futures held within the Master Fund.
Sector | Sector Weight | Commodity | ||||
Energy | % | WTI Crude Oil, Natural Gas, NY Harbor ULSD | ||||
Grains | % | Corn, Soybean, Wheat, Soybean Oil | ||||
Livestock | % | |||||
Metals | % | Gold 100 Ounce, Silver, Platinum, Copper | ||||
Softs | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 | ||||
Commodity Price Sensitivity and Interest Rate Sensitivity
The Master Fund is exposed to commodity price risk through its holdings of Commodity Futures and interest rate risk through its holdings of short-term U.S. Treasuries. The following tables provide information about the Master Fund’s investments, which were sensitive to both commodity price and interest rate risk.
36
As of JuneSeptember 30, 2020, the Master Fund’s long exposure Commodity Futures subject to commodity price risk were as follows:
Description | Range of Expiration Dates | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | August 2020—December 2020 | 176 | $ | 2.32 | 10,000 | $ | 4,084,630 | $ | (304,330 | ) | ||||||||||||
NY Harbor ULSD | August 2020—December 2020 | 79 | 1.24 | 42,000 | 4,102,139 | 221,521 | ||||||||||||||||
WTI Crude Oil | August 2020—December 2020 | 103 | 39.57 | 1,000 | 4,075,600 | 696,860 | ||||||||||||||||
Grains | ||||||||||||||||||||||
Corn | September 2020—December 2020 | 236 | 3.46 | 5,000 | 4,082,800 | (57,262 | ) | |||||||||||||||
Soybean | November 2020—January 2021 | 92 | 8.84 | 5,000 | 4,064,100 | 32,550 | ||||||||||||||||
Soybean Oil | September 2020—January 2021 | 238 | 0.29 | 60,000 | 4,090,548 | (115,308 | ) | |||||||||||||||
Wheat | September 2020—December 2020 | 165 | 4.95 | 5,000 | 4,087,025 | (320,213 | ) | |||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | August 2020—February 2021 | 195 | 0.53 | 40,000 | 4,096,390 | (235,270 | ) | |||||||||||||||
Live Cattle | October 2020—February 2021 | 99 | 1.04 | 40,000 | 4,102,230 | (23,360 | ) | |||||||||||||||
Metals | ||||||||||||||||||||||
Copper | September 2020—December 2020 | 60 | 2.74 | 25,000 | 4,103,250 | 335,438 | ||||||||||||||||
Gold 100 Ounce | December 2020—February 2021 | 22 | 1,823.95 | 100 | 4,012,690 | 190,070 | ||||||||||||||||
Platinum | October 2020—January 2021 | 96 | 853.65 | 50 | 4,097,520 | 159,170 | ||||||||||||||||
Silver | September 2020—December 2020 | 44 | 18.72 | 5,000 | 4,118,400 | 424,950 | ||||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | September 2020—December 2020 | 188 | 2,185.50 | 10 | 4,108,740 | (383,990 | ) | |||||||||||||||
Coffee “C” | September 2020—December 2020 | 107 | 1.02 | 37,500 | 4,101,319 | (274,388 | ) | |||||||||||||||
Cotton No. 2 | December 2020—March 2021 | 133 | 0.61 | 50,000 | 4,070,300 | 192,445 | ||||||||||||||||
Sugar No. 11 | September 2020—February 2021 | 299 | 0.12 | 112,000 | 4,105,293 | 115,091 | ||||||||||||||||
$ | 69,502,974 | $ | 653,974 | |||||||||||||||||||
Description | Range of Expiration Dates | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | November 2020—March 2021 | 164 | $ | 3.10 | 10,000 | $ | 5,086,400 | $ | 243,760 | |||||||||||||
NY Harbor ULSD | November 2020—March 2021 | 102 | 1.19 | 42,000 | 5,104,109 | (388,664 | ) | |||||||||||||||
WTI Crude Oil | November 2020—March 2021 | 125 | 41.13 | 1,000 | 5,141,000 | (45,540 | ) | |||||||||||||||
Grains | ||||||||||||||||||||||
Corn | December 2020—May 2021 | 264 | 3.87 | 5,000 | 5,107,300 | 536,375 | ||||||||||||||||
Soybean | January 2021—May 2021 | 100 | 10.22 | 5,000 | 5,111,500 | 600,612 | ||||||||||||||||
Soybean Oil | December 2020—May 2021 | 256 | 0.33 | 60,000 | 5,105,280 | 393,672 | ||||||||||||||||
Wheat | December 2020—May 2021 | 175 | 5.83 | 5,000 | 5,098,100 | 522,487 | ||||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | December 2020—April 2021 | 188 | 0.68 | 40,000 | 5,089,940 | 533,590 | ||||||||||||||||
Live Cattle | December 2020—April 2021 | 110 | 1.15 | 40,000 | 5,073,690 | 225,320 | ||||||||||||||||
Metals | ||||||||||||||||||||||
Copper | December 2020—May 2021 | 67 | 3.04 | 25,000 | 5,088,513 | 277,901 | ||||||||||||||||
Gold 100 Ounce | December 2020—April 2021 | 27 | 1,901.97 | 100 | 5,135,310 | 75,230 | ||||||||||||||||
Platinum | January 2021—April 2021 | 112 | 912.50 | 50 | 5,110,000 | (203,200 | ) | |||||||||||||||
Silver | December 2020—May 2021 | 43 | 23.61 | 5,000 | 5,076,620 | (312,480 | ) | |||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | December 2020—May 2021 | 202 | 2,530.74 | 10 | 5,112,100 | 220,820 | ||||||||||||||||
Coffee “C” | December 2020—May 2021 | 121 | 1.13 | 37,500 | 5,109,038 | (196,387 | ) | |||||||||||||||
Cotton No. 2 | December 2020—May 2021 | 153 | 0.67 | 50,000 | 5,089,800 | 334,635 | ||||||||||||||||
Sugar No. 11 | February 2021—April 2021 | 342 | 0.13 | 112,000 | 5,119,329 | 158,693 | ||||||||||||||||
$ | 86,758,029 | $ | 2,976,824 | |||||||||||||||||||
As of JuneSeptember 30, 2020, the Master Fund’s aggregate position in short-term U.S. Treasuries subject to interest rate risk was as follows:
Description | Range of Yields to Maturity | Range of Maturity Dates | Face Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||||
U.S. Treasury Bills | 0.08% – 0.15% | July 2020 – September 2020 | $ | 65,000,000 | $ | 64,990,566 | $ | (215 | ) | |||||||||
Description | Range of Yields to Maturity | Range of Maturity Dates | Face Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||||
U.S. Treasury Bills | 0.06% – 0.12% | October 2020 – December 2020 | $ | 72,000,000 | $ | 71,993,216 | $ | (233 | ) | |||||||||
Item 4. Controls and Procedures.
Disclosure controls and procedures
Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Funds carried out an evaluation of the effectiveness of the design and operation of their respective disclosure controls and procedures (as defined in Rule
13a-15(f))
of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Funds’ disclosure controls and procedures were effective as of the end of the period covered by this quarterly report.Changes in Internal Control over Financial Reporting
The Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. The Managing Owner’s internal control system is designed to provide reasonable assurance to the Funds’ management regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.
The Managing Owner does not believe that there have been any change in the Funds’ internal control over financial reporting during the three months and sixnine months ended JuneSeptember 30, 2020 that has materially affected, or is reasonably likely to materially affect, the Funds’ internal control over financial reporting.
PART II—OTHER INFORMATION
Item 1. Legal Proceedings.
Not Applicable.
Item 1A. Risk Factors.
The risk factors as previously disclosed in Item 1A contained in Part I of the Fund’s Annual Report on Form 10-K for the year ended December 31, 2019 are updated to add the risk factor set forth below.
The ongoing COVID-19 pandemic and measures intended to prevent its spread could have a material adverse effect on the Fund’s business, results of operations, cash flows and financial condition.
An investment in the Shares should be made with an understanding that the value of Index Commodities may fluctuate (including significantly decrease) in accordance with changes in the financial condition of an issuer or counterparty, changes in specific economic or political conditions that affect a particular security or issuer, changes in general economic or political conditions, local, regional or global events such as war, threats of war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, natural and environmental disasters, systemic market dislocations, supply disruptions, or other events. Such events may disparately impact a particular Index Commodity or Index Commodities, exchange, counterparty, country, group of countries, region, market, industry, group of industries, sector or asset class.
A recent outbreak of a respiratory disease caused by a novel coronavirus (COVID-19) has spread globally in a short period of time. The effects of COVID-19COVID19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of the Fund’s investments in those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Shares of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the Shares and/or risk profile of the Fund. Contemporaneous with the onset of COVID-19 in the United States, the oil market experienced fluctuations in supply and demand, significantly impacting the price and volatility of oil. The impact of COVID-19 may result in further changes to the supply and demand of other commodities. The COVID-19 pandemic may also have the effect of heightening or contributing to many of the other risks described in the “Risk Factors” section of the Fund’s Annual Report on Form 10-K for the year ended December 31, 2019.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) For the three months ended JuneSeptember 30, 2020, 600,000250,000 Limited Shares were redeemed for $9,165,759$4,216,525 and no800,000 Limited Shares were created.created for $13,631,902. The Fund’s Shares were registered pursuant to the Fund’s Registration Statement ona prospectus supplements under Rule 424(b) of the Exchange Act on October 25, 2019 and July 21, 2020 to update certain information contained in the Registration Statement. On JuneSeptember 30, 2020, 4,450,0005,000,000 Limited Shares of the Fund were outstanding for a market capitalization of $69,375,500,$86,450,000, based on the JuneSeptember 30, 2020 closing price of $15.59$17.29 on the NYSE Arca.
Form S-3 (Registration
No.: 333-214153), which
was declared effective by the SEC on October 22, 2019. The Fund filed 39
(c) The following table shows the number of Shares redeemed (purchased back by the Fund, or “Issuer”) from Authorized Participants for each month during the quarter ended JuneSeptember 30, 2020:
Issuer Purchases of Equity Securities | ||||||||||||||||
Period | Total Number of Shares Redeemed | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs | ||||||||||||
April 1, 2020 to April 30, 2020 | 100,000 | $ | 14.39 | N/A | N/A | |||||||||||
May 1, 2020 to May 31, 2020 | 100,000 | $ | 14.90 | N/A | N/A | |||||||||||
June 1, 2020 to June 30, 2020 | 400,000 | $ | 15.59 | N/A | N/A | |||||||||||
Total | 600,000 | $ | 15.28 | N/A | N/A | |||||||||||
Issuer Purchases of Equity Securities | ||||||||||||||||
Period | Total Number of Shares Redeemed | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs | ||||||||||||
July 1, 2020 to July 31, 2020 | 100,000 | $ | 16.25 | N/A | N/A | |||||||||||
August 1, 2020 to August 31, 2020 | — | $ | N/A | N/A | N/A | |||||||||||
September 1, 2020 to September 30, 2020 | 150,000 | $ | 17.28 | N/A | N/A | |||||||||||
Total | 250,000 | $ | 16.87 | N/A | N/A | |||||||||||
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
None.
Item 5. Other Information.
As previously disclosed pursuant to the Fund’s Current Report on Form 8-K filed with the SEC on July 22, 2020, the Managing Owner, on behalf of the Fund, plans to enter into an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization (the “Reorganization”) of the Fund into and with the WisdomTree Enhanced Commodity Strategy Fund (the “Acquiring“Successor Fund”), a newly created series of WisdomTree Trust. WisdomTree Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The terms of the proposed Plan, information about the Reorganization, including the reasons for the Reorganization, and information about the AcquiringSuccessor Fund, will beis contained in a combined proxy statement/prospectus (the “Proxy Statement/Prospectus”) with respect to a special meeting of shareholders expected to bethat has been called for the purpose of asking the Fund’s shareholders to approve the Plan.
Item 6. Exhibits.
(1)
Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant and
co-registrant
have duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.| WisdomTree Commodity Services, LLC, | ||
| Managing Owner of the WisdomTree Continuous Commodity Index Fund (registrant) | ||
| By: | /s/ Jeremy Schwartz | |
| Jeremy Schwartz | ||
| President and Chief Executive Officer | ||
| (Principal Executive Officer) | ||
| Date: | ||
| By: | /s/ David Castano | |
| David Castano | ||
| Chief Financial Officer and Treasurer | ||
| (Principal Financial Officer) | ||
| Date: | ||
| WisdomTree Commodity Services, LLC, | ||
| Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (co-registrant) | ||
| By: | /s/ Jeremy Schwartz | |
| Jeremy Schwartz | ||
| President and Chief Executive Officer | ||
| (Principal Executive Officer) | ||
| Date: | ||
| By: | /s/ David Castano | |
| David Castano | ||
| Chief Financial Officer and Treasurer | ||
| (Principal Financial Officer) | ||
| Date: | ||