Nuveen Diversified Commodity Fund (CFD) 10-Q 2016 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2016

Or

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

For the transition period from               to             

Commission File Number 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)

Delaware	27-2048014
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
333 West Wacker Drive Chicago Illinois	60606
(Address of principal executive offices)	(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

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

Large accelerated filer	¨		Accelerated filer	x
Non-accelerated filer	¨	(Do not check if smaller reporting company)	Smaller reporting company	¨

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

As of November 4, 2016, the registrant had 9,047,040 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM10-Q

TABLE OF CONTENTS

		Page No.
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements:		3
	Schedule of Investments at September 30, 2016 (Unaudited)		3
	Statements of Financial Condition at September 30, 2016 (Unaudited) and December 31, 2015		9
	Statements of Operations (Unaudited) for the three months ended September 30, 2016 and September 30,  2015 and the nine months ended September 30, 2016 and September 30, 2015		10
	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2016 (Unaudited) and the year ended December 31, 2015		11
	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2016 and September 30, 2015		12
	Notes to Financial Statements (Unaudited)		13
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		26
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		41
Item 4.	Controls and Procedures		44
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		46
Item 1A.	Risk Factors		46
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		46
Item 3.	Defaults Upon Senior Securities		46
Item 4.	Mine Safety Disclosures		46
Item 5.	Other Information		46
Item 6.	Exhibits		46
Signatures			48

2

PART 1. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

September 30, 2016

Investments

Principal Amount (000)		Description	Coupon/ Yield		Maturity		Ratings(1)	Value
		Short-Term Investments
		U.S. Government and Agency Obligations
	$5,000	U.S. Treasury Bills		0.000%		10/13/16	Aaa		$4,999,775
	8,500	U.S. Treasury Bills		0.000%		11/10/16	Aaa		8,498,096
	16,500	U.S. Treasury Bills		0.000%		12/08/16	Aaa		16,494,407
	11,000	U.S. Treasury Bills		0.000%		12/15/16	Aaa		10,995,611
	2,000	U.S. Treasury Bills		0.000%		1/05/17	Aaa		1,998,498
	2,500	U.S. Treasury Bills		0.000%		2/02/17	Aaa		2,497,232
	5,300	U.S. Treasury Bills		0.000%		3/02/17	Aaa		5,291,960
	8,000	U.S. Treasury Bills		0.000%		3/30/17	Aaa		7,982,752
	12,800	U.S. Treasury Bills		0.000%		4/27/17	Aaa		12,765,453
	$71,600	Total U.S. Government and Agency Obligations (cost $71,496,838)							$71,523,784
		Repurchase Agreements
	$1,292	Repurchase Agreement with State Street Bank, dated 9/30/16, repurchase price $1,292,456, collateralized by $1,310,000 U.S. Treasury Notes, 1.000%, due 5/15/18, value $1,320,848		0.010%		10/03/16	N/A		$  1,292,455
		Total Repurchase Agreements (cost $1,292,455)							$  1,292,455
		Total Short-Term Investments (cost $72,789,293)							$72,816,239

Investments in Derivatives

Futures Contracts outstanding:

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts(3)		Notional Amount at Value(3)		Unrealized Appreciation (Depreciation)(4)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		December 2016		97		$4,868,430		$  300,700
	ICE Brent Crude Oil Futures Contract	Long		January 2017		96		4,872,000		330,900
	NYMEX Crude Oil Futures Contract	Long		November 2016		114		5,499,360		414,429
	NYMEX Crude Oil Futures Contract	Long		January 2017		57		2,815,800		110,290
	Total Crude Oil									1,156,319
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract	Long		November 2016		39		1,746,225		126,433
	ICE Low Sulphur Gasoil Futures Contract	Long		December 2016		30		1,344,750		62,125
	NYMEX NY Harbor ULSD Futures Contract	Long		November 2016		53		3,424,256		280,885
	Total Heating Oil									469,443
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		November 2016		144		4,184,640		(50,810	)
	NYMEX Natural Gas Futures Contract	Long		January 2017		35		1,143,800		(19,580	)
	Total Natural Gas									(70,390	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		November 2016		20		1,229,004		71,407
	NYMEX Gasoline RBOB Futures Contract	Long		January 2017		13		781,271		48,489
	Total Unleaded Gas									119,896
	Total Energy									1,675,268

3

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts(3)		Notional Amount at Value(3)		Unrealized Appreciation (Depreciation)(4)
Industrial Metals	Copper
	COMEX Copper Futures Contract	Long		December 2016		23		$1,271,037		$14,387
	LME Copper Futures Contract	Long		October 2016		53		6,430,225		255,725
	Total Copper									270,112
	Aluminum
	LME Primary Aluminum Futures Contract	Long		October 2016		115		4,786,156		211,312
	LME Primary Aluminum Futures Contract	Short		October 2016		2		(83,237)		(413	)
	Total Aluminum									210,899
	Zinc
	LME Zinc Futures Contract	Long		October 2016		16		948,400		14,700
	LME Zinc Futures Contract	Long		December 2016		16		951,700		55,700
	Total Zinc									70,400
	Nickel
	LME Nickel Futures Contract	Long		October 2016		27		1,706,832		49,491
	Lead
	LME Lead Futures Contract	Long		October 2016		16		846,700		71,244
	Total Industrial Metals									672,146
Agriculturals	Soybean
	CBOT Soybean Futures Contract	Long		November 2016		95		4,531,500		(758,913	)
	Corn
	CBOT Corn Futures Contract	Long		December 2016		164		2,761,350		3,763
	Wheat
	CBOT Wheat Futures Contract	Long		December 2016		58		1,165,800		(100,288	)
	KCBT Wheat Futures Contract	Long		December 2016		56		1,163,400		(60,512	)
	Total Wheat									(160,800	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		December 2016		63		1,887,480		(513,660	)
	CBOT Soybean Meal Futures Contract	Long		January 2017		10		300,200		(36,000	)
	Total Soybean Meal									(549,660	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2016		47		943,008		34,656
	Total Agriculturals									(1,430,954	)
Precious Metals	Gold
	CEC Gold Futures Contract	Long		December 2016		57		7,507,470		(51,930	)
	Silver
	CEC Silver Futures Contract	Long		December 2016		23		2,209,610		(60,740	)
	Platinum
	NYMEX Platinum Futures Contract	Long		January 2017		11		568,975		(8,195	)
	Palladium
	NYMEX Palladium Futures Contract	Long		December 2016		7		505,050		6,845
	Total Precious Metals									(114,020	)

4

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position(2)		Contract Expiration		Number of Contracts(3)		Notional Amount at Value(3)		Unrealized Appreciation (Depreciation)(4)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		December 2016		117		$4,685,850		$(300,566	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Long		December 2016		80		1,407,200		(254,650	)
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2016		22		1,316,150		(142,850	)
	Total Livestock										(698,066	)
Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		March 2017		80		2,060,800		169,333
	ICE Sugar Futures Contract		Long		May 2017		24		595,661		(7,325	)
	ICE White Sugar Futures Contract		Long		December 2016		8		238,880		20,135
	Total Sugar										182,143
	Coffee
	ICE Coffee C Futures Contract		Long		December 2016		26		1,477,613		100,763
	ICE Coffee C Futures Contract		Long		March 2017		5		290,437		(750	)
	LIFFE Coffee Robusta Futures Contract		Long		November 2016		14		280,560		23,450
	Total Coffee										123,463
	Cotton
	ICE Cotton Futures Contract		Long		December 2016		31		1,055,240		49,395
	ICE Cotton Futures Contract		Long		March 2017		8		274,160		(16,865	)
	Total Cotton										32,530
	Cocoa
	ICE Cocoa Futures Contract		Long		December 2016		25		690,250		(47,250	)
	ICE Cocoa Futures Contract		Long		March 2017		7		191,380		(9,880	)
	Total Cocoa										(57,130	)
	Total Foods and Fibers										281,006
	Total Futures Contracts outstanding						2,000		$86,875,373		$385,380

5

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		December 2016		(97	)		$51.00		$(144,530	)
	NYMEX Crude Oil Futures Options		October 2016		(86	)		47.50		(160,820	)
	Total Crude Oil									(305,350	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2016		(51	)		158.00		(76,041	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2016		(90	)		3.20		(28,800	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2016		(16	)		148.00		(34,541	)
	Total Energy									(444,732	)
Industrial Metals	Copper
	LME Copper Futures Options(5)		October 2016		(32	)		4,850.00		(28,224	)
	Aluminum
	LME Primary Aluminum Futures Options(5)		October 2016		(57	)		1,650.00		(30,395	)
	Zinc
	LME Zinc Futures Options(5)		October 2016		(16	)		2,450.00		(1,336	)
	Nickel
	LME Nickel Futures Options(5)		October 2016		(14	)		11,000.00		(2,248	)
	Lead
	LME Lead Futures Options(5)		October 2016		(8	)		2,050.00		(13,974	)
	Total Industrial Metals									(76,177	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		October 2016		(47	)		1,220.00		(294	)
	Corn
	CBOT Corn Futures Options		November 2016		(82	)		370.00		(8,200	)
	Wheat
	CBOT Wheat Futures Options		November 2016		(29	)		500.00		(1,088	)
	CBOT Wheat Futures Options		November 2016		(28	)		490.00		(1,750	)
	Total Wheat									(2,838	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(36	)		430.00		(900	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(23	)		36.00		(4,968	)
	Total Agriculturals									(17,200	)
Precious Metals	Gold
	COMEX Gold Futures Options		November 2016		(28	)		1,450.00		(6,160	)
	Silver
	CEC Silver Futures Options		November 2016		(11	)		22.00		(5,225	)
	Total Precious Metals									(11,385	)

6

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Livestock	Live Cattle
	CME Live Cattle Futures Options		December 2016		(76	)	$	114.00	$	(22,040	)
	Lean Hogs
	CME Lean Hogs Futures Options		December 2016		(40	)		54.00		(7,600	)
	Total Livestock									(29,640	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		February 2017		(56	)		22.50		(131,712	)
	Coffee
	ICE Coffee C Futures Options		November 2016		(18	)		162.50		(21,127	)
	Cotton
	ICE Cotton Futures Options		November 2016		(19	)		71.00		(10,165	)
	Cocoa
	ICE Cocoa Futures Options		November 2016		(14	)		3,250.00		(420	)
	ICE Cocoa Futures Options		November 2016		(2	)		3,050.00		(240	)
	Total Cocoa									(660	)
	Total Foods and Fibers									(163,664	)
	Total Call Options Written outstanding
	(premiums received $701,196)				(976	)			$	(742,798	)

7

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

(1)	Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
(2)	The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.
(3)	Total number of contracts and notional amount at value include the net effect of LME short futures positions, when applicable.
(4)	The gross unrealized appreciation (depreciation) on futures contracts is $2,826,557 and $(2,441,177), respectively.
(5)	For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Note 2—Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
N/A	Not applicable.
CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
COMEX	Commodities Exchange, Inc.
ICE	Intercontinental Exchange
KCBT	Kansas City Board of Trade
LIFFE	London International Financial Futures Exchange
LME	London Metal Exchange
NY Harbor ULSD	New York Harbor Ultra-Low Sulfur Diesel
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

8

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At September 30, 2016 (Unaudited) and December 31, 2015

	September 30, 2016			December 31, 2015
ASSETS
Short-term investments, at value: U.S. government and agency obligations (cost $71,496,838 and $70,029,645 respectively)	$	71,523,784		$	70,000,297
Repurchase agreements (cost approximates value)		1,292,455			1,088,249
Deposits with brokers		15,418,668			16,182,840
Unrealized appreciation on futures contracts		2,826,557			1,629,675
Total assets	$	91,061,464		$	88,901,061
LIABILITIES
Call options written, at value (premiums received $701,196 and $633,387, respectively)	$	742,798		$	439,772
Unrealized depreciation on futures contracts		2,441,177			2,259,165
Payable for distributions		524,724			—
Accrued expenses:
Conversion		51,147			74,106
Management fees		87,985			91,477
Independent Committee fees		11,131			10,926
Professional fees		297,784			309,773
Other		91,769			84,301
Total liabilities		4,248,515			3,269,520
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at September 30, 2016 and December 31, 2015		217,646,428			217,646,428
Accumulated undistributed earnings (deficit)		(130,833,479	)		(132,014,887	)
Total shareholders’ capital (Net assets)		86,812,949			85,631,541
Total liabilities and shareholders’ capital	$	91,061,464		$	88,901,061
Net assets	$	86,812,949		$	85,631,541
Shares outstanding		9,047,040			9,047,040
Net asset value per share outstanding (net assets divided by shares outstanding)	$	9.60		$	9.47
Market value per share outstanding	$	9.07		$	9.02

See accompanying notes to financial statements.

9

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended September 30, 2016 and September 30, 2015

and the Nine Months Ended September 30, 2016 and September 30, 2015

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Investment Income:
Interest	$	85,483		$	47,524		$	225,772		$	109,335
Total Investment Income		85,483			47,524			225,772			109,335
Expenses:
Management fees		274,206			325,901			805,263			1,055,126
Brokerage commissions		23,347			31,564			80,345			99,541
Conversion expenses		—			221,651			—			320,430
Custodian fees and expenses		21,859			24,021			66,838			80,766
Independent Committee fees and expenses		12,640			13,098			32,377			36,399
Professional fees		107,431			129,815			320,534			359,552
Shareholder reporting expenses		31,922			34,241			83,700			94,243
Other expenses		2,536			7,041			7,929			21,633
Total expenses		473,941			787,332			1,396,986			2,067,690
Net investment income (loss)		(388,458	)		(739,808	)		(1,171,214	)		(1,958,355	)
Net realized gain (loss) from:
Short-term investments		2,569			15			2,670			1,160
Futures contracts		(2,070,837	)		(16,351,021	)		2,812,517			(29,779,957	)
Options written		977,350			1,345,893			3,424,004			4,757,815
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(24,070	)		38,500			56,294			62,932
Futures contracts		(1,562,227	)		(690,315	)		1,014,870			9,579,059
Options written		107,113			414,767			(235,217	)		(526,920	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(2,570,102	)		(15,242,161	)		7,075,138			(15,905,911	)
Net income (loss)	$	(2,958,560	)	$	(15,981,969	)	$	5,903,924		$	(17,864,266	)
Net income (loss) per weighted-average share	$	(0.33	)	$	(1.77	)	$	0.65		$	(1.97	)
Weighted-average shares outstanding		9,047,040			9,047,040			9,047,040			9,047,040

See accompanying notes to financial statements.

10

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Nine Months Ended September 30, 2016 (Unaudited) and the Year Ended December 31, 2015

	Nine Months  Ended September 30, 2016			Year Ended December 31, 2015
Shareholders’ capital—beginning of period	$	85,631,541		$	123,198,004
Repurchase of shares		—			—
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,171,214	)		(2,382,074	)
Net realized gain (loss) from:
Short-term investments		2,670			79
Futures contracts		2,812,517			(40,931,647	)
Call options written		3,424,004			5,739,221
Change in net unrealized appreciation (depreciation) of:
Short-term investments		56,294			(30,540	)
Futures contracts		1,014,870			10,208,143
Call options written		(235,217	)		(462,171	)
Net income (loss)		5,903,924			(27,858,989	)
Distributions to shareholders		(4,722,516	)		(9,707,474	)
Shareholders’ capital—end of period	$	86,812,949		$	85,631,541
Shares—beginning of period		9,047,040			9,047,040
Repurchase of shares		—			—
Shares—end of period		9,047,040			9,047,040

See accompanying notes to financial statements.

11

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Nine Months Ended September 30, 2016 and September 30, 2015

	Nine Months Ended September 30,
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	5,903,924		$	(17,864,266	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(110,058,095	)		(75,929,831	)
Proceeds from sales and maturities of U.S. government and agency obligations		108,798,303			103,199,872
Proceeds from (Purchases of) repurchase agreements, net		(204,206	)		(98,157	)
Premiums received for options written		3,943,367			5,280,496
Cash paid for options written		(451,554	)		(889,382	)
Amortization (Accretion) of short-term investments		(204,731	)		(109,227	)
(Increase) Decrease in:
Deposits with brokers		764,172			7,444,612
Other assets		—			(3,780	)
Increase (Decrease) in:
Accrued conversion fees		(22,959	)		129,167
Accrued management fees		(3,492	)		(36,585	)
Accrued professional fees		(11,989	)		—
Accrued Independent Committee fees		205			(931	)
Other accrued expenses		7,468			(73,637	)
Net realized (gain) loss from:
Short-term investments		(2,670	)		(1,160	)
Options written		(3,424,004	)		(4,757,815	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(56,294	)		(62,932	)
Futures contracts		(1,014,870	)		(9,579,059	)
Options written		235,217			526,920
Net cash provided by (used in) operating activities		4,197,792			7,174,305
Cash flows from financing activities:
Cash distributions paid to shareholders		(4,197,792	)		(7,174,305	)
Net cash provided by (used in) financing activities		(4,197,792	)		(7,174,305	)
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—
Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

12

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

September 30, 2016

1. Organization

Fund Information

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On June 30, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. The Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the proposed rule through September 9, 2016. On September 9, 2016, the SEC further extended the review period for up to an additional 90 days. The SEC may take action on the proposed rule at any time during this review period, and may further extend the review period for up to an additional 60 days. If the SEC approves the proposed rule at the conclusion of the review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. In the event that the proposed rule is not approved, the Manager will consider all available options, including liquidation of the Fund. As of September 30, 2016, the Conversion remains subject to the receipt of regulatory approvals.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Investment Adviser

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “CommoditySub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the SEC as an investment adviser.

13

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

1. Organization (Continued)

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA Global Asset Management.

Investment Objectives and Principal Investment Strategies

The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. Risk-adjusted total return refers to the income and capital appreciation generated by a portfolio (the combination of which equals its total return) per unit of risk taken, with such risk measured by the volatility of the portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three principal elements:

• An actively managed portfolio of commodity futures and forward contracts utilizing Gresham’s proprietary Tangible Asset Program^®, or TAP^®, a long-only rules-based commodity investment strategy designed to maintain consistent, fully-collateralized exposure to commodities as an asset class;

• An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (TAP^® and this options strategy are collectively referred to as TAP PLUS^SM); and

• A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high-grade debt securities.

2. Summary of Significant Accounting Policies

The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2015.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and

14

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the open contracts. If the Fund has unrealized appreciation, the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely, if the Fund has unrealized depreciation, the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker in an amount, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long futures contract. The LME Clearing House is the counterparty for both the long and short positions.

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of futures contracts outstanding during the nine months ended September 30, 2016 and the year ended December 31, 2015 was as follows:

	Nine Months Ended September 30, 2016	Year Ended December 31, 2015
Average number of futures contracts outstanding*	2,113	2,432

* The average number of contracts is calculated based on the number of contracts outstanding at the beginning of the year and at the end of each quarter within the respective period.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity.

15

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30, 2016 and the year ended December 31, 2015, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the nine months ended September 30, 2016 and the year ended December 31, 2015. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as performance is expected from the counterparty.

Transactions in call options written during the nine months ended September 30, 2016 and the year ended December 31, 2015, were as follows:

	Nine Months Ended September 30, 2016						Year Ended December 31,  2015
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,098		$	633,387			1,257		$	952,693
Options written		6,285			3,943,367			11,246			6,566,423
Options terminated in closing purchase transactions		(3,605	)		(2,158,341	)		(6,402	)		(3,978,394	)
Options expired		(1,591	)		(948,171	)		(4,217	)		(2,400,362	)
Options exercised		(1,211	)		(769,046	)		(786	)		(506,973	)
Outstanding, end of the period		976		$	701,196			1,098		$	633,387

The average number of call options written outstanding during the nine months ended September 30, 2016 and the year ended December 31, 2015 was as follows:

	Nine Months Ended September 30, 2016	Year Ended December 31, 2015
Average number of call options written outstanding*	1,030	1,183

* The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the respective period.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

16

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments since its commencement of operations on September 27, 2010. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recognized on the Statements of Operations as unrealized appreciation or depreciation until the contract settlement date.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Fund may collateralize forward commodity contracts with cash and/or certain securities as indicated on its Statements of Financial Condition or Schedule of Investments, when applicable, and such collateral is held for the benefit of the counterparty in a segregated account at the custodian to protect the counterparty against non-payment by the Fund. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.

The Fund remains subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of September 30, 2016 and December 31, 2015, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the

17

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of September 30, 2016 and December 31, 2015, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements.

	September 30, 2016
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,292,455	$	(1,292,455	)	$	—

	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,088,249	$	(1,088,249	)	$	—

* As of September 30, 2016 and December 31, 2015, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of September 30, 2016 and December 31, 2015 was $1,320,848 and $1,111,113, respectively.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the CollateralSub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the CollateralSub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts which are traded on an exchange are valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures and forward contracts and options on commodity futures and forward contracts which are not traded on an exchange are valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

18

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2016 and December 31, 2015:

	September 30, 2016
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	71,523,784		$	—	$	71,523,784
Repurchase Agreements		—			1,292,455			—		1,292,455
Investments in Derivatives:
Futures Contracts*		385,380			—			—		385,380
Call Options Written**		(666,621	)		(76,177	)		—		(742,798	)
Total	$	(281,241	)	$	72,740,062		$	—	$	72,458,821

19

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

	December 31, 2015
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	70,000,297		$	—	$	70,000,297
Repurchase Agreements		—			1,088,249			—		1,088,249
Investments in Derivatives:
Futures Contracts*		(629,490	)		—			—		(629,490	)
Call Options Written		(350,916	)		(88,856	)		—		(439,772	)
Total	$	(980,406	)	$	70,999,690		$	—	$	70,019,284

* Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition.

** Refer to the Schedule of Investments for a breakdown of call options written classified as Level 2, which is comprised of the Fund’s call options written on the LME.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

20

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all costs and expenses of its operations, including brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any. Occasionally, the Fund may receive a refund or reduction for certain expenses previously incurred. When such events occur, the Fund may suspend or reverse an expense accrual, which in turn may result in a credit balance to that expense account recognized on the Statements of Operations.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued conversion expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations, when applicable.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on theex-dividend date.

21

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of September 30, 2016 and December 31, 2015, the financial instruments held by the Fund were 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. Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the forwards, futures and option contracts. The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The commodity markets have volatility risk.The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

22

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

The following tables present the fair value of all derivative instruments held by the Fund as of September 30, 2016 and December 31, 2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

		September 30, 2016 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives			Liability Derivatives
		Location	Value		Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts	$	2,826,557	Unrealized depreciation on futures contracts	$	2,441,177
Commodity	Options	—		—	Call options written, at value		742,798
Total			$	2,826,557		$	3,183,975

		December 31, 2015 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives			Liability Derivatives
		Location	Value		Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts	$	1,629,675	Unrealized depreciation on futures contracts	$	2,259,165
Commodity	Options	—		—	Call options written, at value		439,772
Total			$	1,629,675		$	2,698,937

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the nine months ended September 30, 2016 and September 30, 2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net realized gain (loss) from:
Futures contracts	$	2,812,517		$	(29,779,957	)
Call options written		3,424,004			4,757,815
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	1,014,870		$	9,579,059
Call options written		(235,217	)		(526,920	)

4. Related Parties

The Manager, the Commodity Sub-adviser and the CollateralSub-adviser are considered to be related parties to the Fund.

23

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

4. Related Parties (continued)

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:

Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered intosub-advisory agreements with the CommoditySub-adviser and the CollateralSub-adviser. Both the CommoditySub-adviser and the CollateralSub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

The Fund did not have any transactions in share repurchases during the nine months ended September 30, 2016 and the year ended December 31, 2015.

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2016 and the three and nine months ended September 30, 2015. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	10.10		$	12.76		$	9.47		$	13.62
Net investment income (loss)		(0.04	)		(0.08	)		(0.13	)		(0.22	)
Net realized and unrealized gain (loss)		(0.29	)		(1.68	)		0.78			(1.75	)
Distributions		(0.17	)		(0.22	)		(0.52	)		(0.87	)
Net asset value per share—end of period	$	9.60		$	10.78		$	9.60		$	10.78
Market Value:
Market value per share—beginning of period	$	9.82		$	11.91		$	9.02		$	12.83
Market value per share—end of period	$	9.07		$	10.31		$	9.07		$	10.31
Ratios to Average Net Assets:(a)
Net investment income (loss)		(1.77	)%		(2.84	)%		(1.82	)%		(2.32	)%
Expenses		2.16	%		3.02	%		2.17	%		2.45	%
Total Returns:(b)
Based on Net Asset Value		(3.19	)%		(13.80	)%		7.09	%		(15.13	)%
Based on Market Value		(5.86	)%		(11.60	)%		6.49	%		(13.49	)%

(a) Annualized.

(b) Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

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

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-adviser”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Diversified Commodity Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005 and commenced operations on September 27, 2010, with its public offering. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD”. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Bloomberg Commodity Index (“BCOM”) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Proposed Conversion to ETF Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On June 30, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. The Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the proposed rule through September 9, 2016. On September 9, 2016, the SEC further extended the review period for up to an additional 90 days. The SEC may take action on the proposed rule at any time during this review period, and may further extend the review period for up to an additional 60 days. If the SEC approves the proposed rule at the conclusion of the review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. In the event that the proposed rule is not approved, the Manager will consider all available options, including

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liquidation of the Fund. As of September 30, 2016, the Conversion remains subject to the receipt of regulatory approvals.

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, and changes to the Fund’s investment strategy, name and distribution policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Results of Operations

The Quarter Ended September 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $9.07 on the close of business on September 30, 2016. This represents a decrease of 7.64% in share price (not including an assumed reinvestment of distributions) from the $9.82 price at which the shares of the Fund traded on the close of business on June 30, 2016. The high and low intra-day share prices for the quarter were $9.97 (July 12, 2016) and $8.74 (September 28, 2016), respectively. During the quarter, the Fund declared distributions totaling $0.174 per share to shareholders, of which $0.058 was paid on October 3, 2016. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -5.86%. At September 30, 2016, shares of the Fund traded at a 5.52% discount to the Fund’s net asset value of $9.60 per share.

The Quarter Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $10.31 on the close of business on September 30, 2015, a decrease of 13.43% in share price (not including an assumed reinvestment of distributions) from the $11.91 price at which the shares of the Fund traded on the close of business on June 30, 2015. The high and low intra-day share prices for the quarter were $12.30 (July 2, 2015) and $9.23 (August 24, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.222 per share to shareholders, of which $0.074 was paid on October 1, 2015. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was-11.60%. At September 30, 2015, shares of the Fund traded at a 4.36% discount to the Fund’s net asset value of $10.78 per share.

The Quarter Ended September 30, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $91.3 million at June 30, 2016, to $86.8 million at September 30, 2016, a decrease of $4.5 million. The decrease in the Fund’s net assets was due to approximately $1.5 million of distributions to shareholders and a net loss of $3.0 million.

The Fund generated a net loss of $3.0 million for the quarter ended September 30, 2016, resulting from expenses of $0.5 million, net realized losses of $1.1 million and an increase in net unrealized depreciation of $1.5 million, offset by interest income of $0.1 million. During the quarter ended September 30, 2016, the Fund’s collateral investments generated interest income of $85,483, which represents 0.10% of average net assets for the quarter ended September 30, 2016.

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The net asset value per share on September 30, 2016, was $9.60. This represents a decrease of 4.95% in net asset value (not including an assumed reinvestment of distributions) from the $10.10 net asset value as of June 30, 2016. During the quarter, the Fund declared distributions totaling $0.174 per share to shareholders, of which $0.058 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -3.19% for the quarter ended September 30, 2016.

The Quarter Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $115.5 million at June 30, 2015, to approximately $97.5 million at September 30, 2015, a decrease of $18.0 million. The decrease in the Fund’s net assets was due to a net loss of $16.0 million, in addition to $2.0 million of distributions to shareholders.

The Fund generated a net loss of $16.0 million for the quarter ended September 30, 2015, resulting from net realized losses of $15.0 million, change in net unrealized depreciation of $0.2 million and total expenses of $0.8 million.

During the quarter ended September 30, 2015, the Fund’s collateral investments generated interest income of $47,524, which represents 0.05% of average net assets for the quarter ended September 30, 2015.

The net asset value per share on September 30, 2015, was $10.78, a decrease of 15.52% in net asset value (not including an assumed reinvestment of distributions) from the $12.76 net asset value as of June 30, 2015. During the quarter, the Fund declared distributions totaling $0.222 per share to shareholders, of which $0.074 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -13.80% for the quarter ended September 30, 2015.

The Quarter Ended September 30, 2016 – Overall Commodity Market Commentary

After a strong second quarter, the broad commodity market reversed course in the third quarter, falling 3.9% as measured by the Bloomberg Commodity Index (BCOM).

Weather drove losses in grain commodities and boosted soft commodities. Corn and wheat prices sank as ideal grain growing conditions in the U.S. boosted crop yield estimates. Conversely, unfavorable weather in India and Brazil hurt sugar and coffee production expectations, respectively, driving prices higher. Also during the quarter, the U.S. National Oceanic and Atmospheric Administration (NOAA) removed its La Niña watch for winter 2017, thereby removing some uncertainty and possibly applying downward pressure on prices for grain commodities.

Excess inventory also continued to weigh on the energy and livestock markets. The ongoing supply glut in crude oil dampened prices early in the quarter. But, later in the quarter, the Organization of the Petroleum Exporting Countries (OPEC) began hinting at, then agreed to, a production cut, which helped petroleum markets to partially recover earlier losses. Livestock, however, suffered a double-digit decline for the quarter, with robust supply of both cattle and lean hogs driving their futures prices lower.

Currency fluctuations also contributed to commodity price volatility during the quarter. Speculation on the timing of the U.S. Federal Reserve’s (the “Fed”) next interest rate increase drove volatility in the U.S. dollar (in which all of the Fund’s commodities are priced), as did the release of key economic data reports such as payroll, employment and consumer confidence. Shifting sentiment about the U.K.’s vote to leave the European Union, known as Brexit, caused U.K. sterling to drop to a 31 year low in early July, then rally when the Bank of England (BOE) took no action, then fall again when the BOE announced a large stimulus program. Adding to currency volatility during the quarter were concerns about a banking crisis in Italy and the European Central Bank’s decision not to extend its bond buying program.

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Within the BCOM, the foods and fibers and the industrial metals groups led performance for the quarter. The livestock and agriculture groups were the weakest performers, with energy posting a modest loss. The precious metals group was flat for the quarter.

The Quarter Ended September 30,2015 –Overall Commodity Market Commentary

Declines were widespread in the broad commodity market during the third quarter of 2015, with all six commodity groups in the BCOM finishing the quarter lower. Of all of the commodities represented in the BCOM, only five didn’t post a loss in excess of 10%, and of those five only lean hogs had a positive return.

The largest group by weight, energy commodities represented 32.6% of the BCOM at the end of the period. The energy group led the BCOM’s decline, down 22.4% for the quarter. An ongoing supply glut, particularly for crude oil, and global macroeconomic worries, especially in China, weighed heavily on energy prices. The finalization of Iran’s nuclear deal, which lifts sanctions on oil exports, also disrupted oil markets—even though Iranian exports aren’t expected to impact the global oil supply until 2016. West Texas Intermediate (WTI) and Brent crude were the worst-performing individual commodities in the BCOM, falling 27.4% and 26.3%, respectively.

Agricultural commodities, as grouped by Gresham, made up 23.1% of the BCOM at the end of the period. The agriculture group sustained double-digit declines across all of its commodities, which resulted in a 14.1% loss for the group overall. Abundant crop yields in South America, favorable growing conditions in the U.S. Midwest, and weak currencies in Brazil and Argentina continued to put downward pressure on grain prices.

The precious metals group, which is made up of gold and silver commodities, represented 16.6% of the BCOM at the end of the period. Precious metals prices were choppy over the quarter, driven by global macroeconomic concerns, fluctuating currencies and the Fed’s decision to leave interest rates unchanged at its September meeting. The group fell 5.6% for the quarter. Platinum and palladium, which are held in the Fund’s portfolio but not in the BCOM, also had negative performance over the quarter. Platinum prices were further roiled by the Volkswagen emissions scandal in September. The metal is widely used in diesel engines, and the auto industry consumes roughly 30% of global supply. Investors feared shrinking platinum demand if consumers switched to gasoline or electric vehicles.

The commodities in the industrial metals group comprised 15.5% of the BCOM at the end of the period. Industrial metals continued their decline due to concerns about China’s economy. Investors reacted negatively to the country’s unexpected currency devaluation and other policy measures taken to try to counteract its slackening growth. Adding to the sector’s bearish tone were rumors of inventory reductions and/or liquidations following the collapse of Swiss mining giant Glencore PLC’s stock price. The industrial metals group sank 11.1% for the quarter.

Foods and fibers commodities, as grouped by Gresham, made up a combined 7.4% of the BCOM at the end of the period. For most of the quarter, sugar prices declined due to favorable weather in Brazil, one of the main sugar producers, boosting supply expectations and the weak Brazilian real. Coffee prices were also hurt by the real’s weakness and a supply increase due to timely rainfall in Brazil. Cotton futures also declined over the quarter, contributing to a 7.6% drop for the foods and fibers group overall.

The livestock group, at 4.8% of the BCOM at the end of the period, is the smallest group. Lean hogs prices rallied 13.4% and were the only commodity in the BCOM to post a gain in the third quarter. Hot summer weather stifled weight gain in pigs, and U.S. retail demand was strong as pork continued to be cheaper than beef. However, live cattle prices fell 14.6%, as beef’s supply-demand imbalance persisted amid reports of higher carcass weights, price competition from pork, and a strong dollar, which slowed exports and encouraged imports. The overall livestock group was down 5.4% for the quarter.

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The Quarter Ended September 30, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio declined 2.8% for the quarter, before considering the expenses of the Fund or the performance of its collateral portfolio. The overall commodities market, as measured by the BCOM, fell 3.9%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -3.19%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the quarter the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity added to performance for the period, and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

At the commodity group level, the Fund’s absolute return surpassed that of the BCOM in livestock, energy and precious metals, slightly trailed the BCOM in foods and fibers and industrial metals, and performed in line with the BCOM in the agriculture group.

In the livestock group, the Fund performed better than the BCOM on its live cattle position and to a lesser extent in its lean hogs position in absolute terms. On a relative basis, however, livestock was a detractor since the Fund’s overweight position hurt the portfolio as prices declined in the period. Though the Fund’s absolute returns in agriculture were in line with the BCOM, agriculture was one of the top contributors on a relative basis; the Fund benefitted from underweight positions in the group as prices declined. Within the energy complex, which was the top contributor to Fund performance on a relative basis, the Fund’s largest relative gain was in natural gas, with a small relative outperformance in crude oil. The Fund’s positions in platinum and palladium generated positive performance relative to the BCOM within the precious metals group (the BCOM does not hold platinum and palladium).

The Fund’s foods and fibers position, as grouped by Gresham, underperformed the BCOM’s position, with a loss in cocoa (which is not included in the BCOM) overwhelming positive relative performance from cotton and coffee. Underweight sugar hurt on relative basis as prices rose during the period. The Fund’s industrial metals group slightly outperformed the BCOM’s group on a relative basis. Relative weakness in nickel and zinc was offset by gains in lead (which is not represented in the BCOM), copper, and aluminum. In addition, zinc, nickel and lead call options written by the Fund went in-the-money during the quarter and were exercised, reducing the amount of premiums collected by the Fund.

The Quarter Ended September 30,2015 –Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 13.3% for the quarter, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, declined 14.5%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -13.80%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. Overall, the Fund’s option-writing activity contributed positively to performance for the period and helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return. Call options

30

written on all of the Fund’s commodity positions expired out of the money, enabling the Fund to retain all of those premiums.

At the commodity group level, the Fund’s positions in agriculture, industrial metals, energy and livestock contributed to relative performance, foods and fibers had a neutral impact, and precious metals detracted from returns relative to the BCOM, as highlighted below.

The agriculture group added the most to the Fund’s relative returns during the quarter. The Fund’s underweight to agricultural commodities as well as outperformance in its soybean, wheat and soybean oil positions were beneficial. Relative gains in the industrial metals group came from the Fund’s larger and more diversified position. The Fund includes London Metal Exchange (LME) copper and lead, which are not represented in the BCOM. Although both of these contracts had negative performance for the quarter, they were among the better-performing commodities on a relative basis to the BCOM as their losses were smaller than the BCOM’s overall decline. In the energy group, the Fund’s relative results were boosted by its underweight in natural gas and by its options strategy. When volatility spiked in September, the Fund collected higher premiums on the crude oil options it wrote, which was advantageous to performance. Driving relative outperformance in the livestock group was the Fund’s overweight to lean hogs, the top-performing commodity in both the Fund and the BCOM for the quarter.

Performance in the foods and fibers group was mixed. While the Fund’s exposure to sugar (New York-traded) was detrimental to relative performance, the loss was offset by small relative gains across the Fund’s cotton, coffee and cocoa (cocoa is not represented in the BCOM) positions. The precious metals group, however, was a meaningful detractor over the quarter. The Fund’s underweight allocations to gold and silver were unfavorable to relative returns. Although both gold and silver saw falling prices over the period, their single-digit losses placed them among the better-performing commodities.

The Nine Months Ended September 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $9.07 on the close of business on September 30, 2016, an increase of 0.55% in share price (not including an assumed reinvestment of distributions) from the $9.02 price at which the shares of the Fund traded on the close of business on December 31, 2015. The high and lowintra-day share prices for the nine month period were $9.97 (July 12, 2016) and $7.88 (January 20, 2016), respectively. During the nine month period, the Fund declared distributions totaling $0.522 per share to shareholders, of which $0.058 was paid on October 3, 2016. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was 6.49%. At September 30, 2016, shares of the Fund traded at a 5.52% discount to the Fund’s net asset value of $9.60 per share.

The Nine Months Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $10.31 on the close of business on September 30, 2015, a decrease of 19.64% in share price (not including an assumed reinvestment of distributions) from the $12.83 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the nine month period were $13.00 (January 15, 2015) and $9.23 (August 24, 2015), respectively. During the nine month period, the Fund declared distributions totaling $0.867 per share to shareholders, of which $0.074 was paid on October 1, 2015. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -13.49%. At September 30, 2015, shares of the Fund traded at a 4.36% discount to the Fund’s net asset value of $10.78.

The Nine Months Ended September 30, 2016 – Net Assets of the Fund

The Fund’s net assets increased from $85.6 million at December 31, 2015, to $86.8 million at September 30, 2016, an increase of $1.2 million. The increase in the Fund’s net assets was due to net income of $5.9 million offset by $4.7 million of distributions to shareholders.

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The Fund generated net income of $5.9 million for the nine month period ended September 30, 2016, resulting from interest income of $0.2 million, net realized gains of approximately $6.3 million and an increase in net unrealized appreciation of $0.8 million, offset by expenses of $1.4 million. During the nine month period ended September 30, 2016, the Fund’s collateral investments generated interest income of $225,772, which represents 0.26% of average net assets for the nine month period ended September 30, 2016.

The net asset value per share on September 30, 2016, was $9.60. This represents an increase of 1.37% in net asset value (not including an assumed reinvestment of distributions) from the $9.47 net asset value as of December 31, 2015. During the nine month period, the Fund declared distributions totaling $0.522 per share to shareholders, of which $0.058 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 7.09% for the nine month period ended September 30, 2016.

The Nine Months Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $123.2 million at December 31, 2014, to $97.5 million at September 30, 2015, a decrease of $25.7 million. The decrease in the Fund’s net assets was due to a net loss of $17.9 million, in addition to $7.8 million of distributions to shareholders.

The Fund generated a net loss of $17.9 million for the nine month period ended September 30, 2015, resulting from interest income of $0.1 million and change in net unrealized appreciation of $9.1 million, offset by expenses of $2.1 million and net realized losses of $25.0 million.

During the nine month period ended September 30, 2015, the Fund’s collateral investments generated interest income of $109,335, which represents 0.10% of average net assets for the nine month period ended September 30, 2015.

The net asset value per share on September 30, 2015, was $10.78, a decrease of 20.85% in net asset value (not including an assumed reinvestment of distributions) from the $13.62 net asset value as of December 31, 2014. During the nine month period, the Fund declared distributions totaling $0.867 per share to shareholders, of which $0.074 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -15.13% for the nine month period ended September 30, 2015.

The Nine Months Ended September 30, 2016 – Overall Commodity Market Commentary

Commodities broadly delivered positive performance in the nine-month period, up 8.9% as measured by the BCOM. Early in 2016, the broad commodity market suffered declines amid fears about China’s economic deceleration and the ongoing supply glut in oil. In the following months, these concerns lessened, adverse weather conditions provided upside to grain and soft commodity prices, and low global interest rates and Brexit-related worries spurred renewed demand for gold. The turnaround in sentiment led to a strong rally in nearly every commodity sector during the second quarter. However, the BCOM swung to a modest loss in the third quarter on bearish news for grain supplies due to a boost in crop yield estimates and waning optimism about the pace of the oil market’s rebalancing.

Commodity group returns diverged widely over the nine-month period. Within the BCOM, the precious metals and foods and fibers groups posted the largest gains, followed by the industrial metals group. The energy group appreciated moderately, while agriculture ended the period lower. Robust supply and weakened demand expectations pushed the livestock group considerably lower over the nine-month period, making it the BCOM’s weakest performer for the period.

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TheNineMonths EndedSeptember 30, 2015 – Overall Commodity Market Commentary

The broad commodity market continued to face significant headwinds, falling 15.8% for the nine-month period, as measured by the BCOM. All sectors in the BCOM posted negative results, with five of the six sectors declining by double digits.

In the energy group, oversupply conditions persisted, while global macroeconomic uncertainties, led by worries about China’s economy, continued to undermine demand expectations. Despite a 10.9% rally in the second quarter of 2015, the energy group suffered considerable volatility early in 2015 and again in the third quarter to finish the nine-month period down 20.9%. Crude oil and natural gas were the worst performers, down 26.7% and 23.0% over the period, respectively.

Agriculture commodities, as grouped by Gresham, followed a similar trajectory to energy commodities. A turbulent first quarter was followed by a 10.4% rebound in the second quarter, but expectations for abundant crops and the weakness in Brazil’s currency drove grain prices lower during the third quarter. The agriculture group posted a 12.3% loss for the nine-month period.

The precious metals group, down 6.8% for the nine-month period, was the best-performing sector in the BCOM. Gold and silver prices remained choppy throughout the period, amid waning demand, anticipation of rising interest rates in the U.S. and the strength of the U.S. dollar.

Industrial metals prices were hit hard by China’s economic woes and fears of rising inventories. Declines were compounded by periods of aggressive selling of long positions in the marketplace. The group plunged 20.3% for the nine-month period, with nickel leading the decline with losses exceeding 30% for the nine-month period.

Coffee was the other commodity down more than 30% in the nine-month period, leading the foods and fibers group, as grouped by Gresham, to an 18.9% loss overall. Sugar also declined sharply over the period. Both coffee and sugar are predominantly produced in Brazil, where favorable weather bolstered expectations for crop yields, which would in turn contribute to a growing global supply glut. In addition, the weakening Brazilian real made exporting these two commodities more attractive. In contrast, cotton, down 1.5%, was the top-performing individual commodity for all of the BCOM over the nine-month period.

In the livestock group, both lean hogs and live cattle prices fell by double digits for the period. Lean hogs futures sustained most of their losses early in the year, as supply outpaced demand, but prices reversed course, rallying strongly in the third quarter, as pork demand accelerated and weight gain in hogs was less than expected during the summer months. Live cattle prices were choppy, impacted by herd rebuilding continued from last year, cold and rainy weather in the U.S. which hampered weight gain and transport, lower beef demand due to price competition with pork and poultry, and a slowdown in exports while imports increased. Overall, the livestock

group dropped 16.0% for the period.

The Nine Months Ended September 30, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio rose 8.4% for the nine months ended September 30, 2016, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, advanced 8.9%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was 7.09%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

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During the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity had a positive impact on performance for the period, and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

At the commodity group level, the Fund’s commodity portfolio underperformed the BCOM in foods and fibers, precious metals and industrial metals, on an absolute return basis. Within these groups, the Fund’s position in cocoa fell by double-digits (and is not represented in the BCOM) and holdings in gold, nickel and zinc lagged those of the BCOM.

The Fund outperformed the BCOM in the energy, livestock and agriculture groups, on an absolute return basis. Within the energy group, the Fund’s performance was led by favorable positioning in crude oil and heating oil. In crude oil, the Fund’s allocation to Brent crude was especially advantageous as Brent prices performed strongly during the period. In heating oil, the Fund benefited from holding two contracts (No. 2 heating oil and gas oil) that both rallied over the period, while the BCOM only holds No. 2 heating oil. Although all livestock commodities and most agriculture commodities posted losses over the nine-month period, the Fund’s positions in live cattle, lean hogs, corn and wheat declined less than the BCOM’s positions on an absolute basis. On a relative basis though, livestock detracted from the Fund’s performance due to significant overweight in the group relative to BCOM, which hurt performance due to the group’s significant decline during the period.

TheNine Months Ended September 30, 2015– Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 13.7% for the nine months ended September 30, 2015, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, lost 15.8%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was-15.13%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity added to performance for the period, and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

At the commodity group level, the Fund’s commodity portfolio outperformed relative to the BCOM on its energy, foods and fibers, industrial metals and agriculture positions, livestock had a nearly neutral impact, and precious metals detracted from relative performance.

Relative outperformance in the energy group was led by the Fund’s natural gas, WTI crude and heating oil positions, although its Brent crude position slightly diminished relative gains. In the foods and fibers group, the Fund’s relative performance benefited from its Arabica coffee and cocoa exposures. The largest contributors in the industrial metals group were its copper (which includes both LME and COMEX contracts) and nickel position. The agriculture group added to relative performance primarily due to its soybean position.

Within the livestock group, the added value from the Fund’s lean hogs position was offset by relative losses in the live cattle and feeder cattle exposures, resulting in a nearly neutral impact on relative returns. The precious metals group hurt relative performance, driven mainly by the Fund’s underweight in gold.

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Fund Total Returns

The following table presents selected total returns for the Fund and BCOM as of September 30, 2016. Market value and net asset value total returns are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the market price at the end of the period for total returns based on market value, and at the net asset value at the end of the period for total returns based on net asset value.

	Total Returns as of September 30, 2016
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			5 Year			Since Inception
Market Value		-5.86	%		6.49	%		-4.83	%		-7.04	%		-7.91	%
Net Asset Value		-3.19	%		7.09	%		-3.97	%		-8.69	%		-6.87	%
BCOM		-3.86	%		8.87	%		-2.58	%		-9.37	%		-7.80	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on September 27, 2010.

Returns represent past performance, which is no guarantee of future performance.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

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Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s TAP PLUS^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the BCOM as of September 30, 2016. The table below serves as a guide to how the composition and weightings of the Fund’s TAP PLUS^SM investment strategy compared to that of the BCOM, a leading commodity market benchmark, as of September 30, 2016.

		Composition
Commodity Group	Commodity	TAP PLUSSM			BCOM
Energy	Crude Oil		20.79	%		17.79	%
	Heating Oil		7.50	%		4.49	%
	Natural Gas		6.13	%		8.97	%
	Unleaded Gas		2.31	%		3.85	%
			36.73	%		35.10	%
Industrial Metals	Copper		8.87	%		6.76	%
	Aluminum		5.41	%		4.35	%
	Zinc		2.19	%		3.25	%
	Nickel		1.96	%		2.42	%
	Lead		0.97	%		0.00	%
			19.40	%		16.78	%
Agriculturals	Soybean		5.21	%		5.26	%
	Corn		3.18	%		5.87	%
	Wheat		2.68	%		3.29	%
	Soybean Meal		2.52	%		2.65	%
	Soybean Oil		1.09	%		2.66	%
			14.68	%		19.73	%
Precious Metals	Gold		8.65	%		11.48	%
	Silver		2.54	%		4.84	%
	Platinum		0.65	%		0.00	%
	Palladium		0.58	%		0.00	%
			12.42	%		16.32	%
Livestock	Live Cattle		5.40	%		2.19	%
	Lean Hogs		1.62	%		1.25	%
	Feeder Cattle		1.51	%		0.00	%
			8.53	%		3.44	%
Foods and Fibers	Sugar		3.34	%		4.84	%
	Coffee		2.36	%		2.42	%
	Cotton		1.53	%		1.37	%
	Cocoa		1.01	%		0.00	%
			8.24	%		8.63	%
Total			100.00	%		100.00	%

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Liquidity and Capital Resources

The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as part of an integrated program designed to enhance the risk-adjusted total return of the Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with the Fund’s clearing broker to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares as of the authorization date in open-market transactions. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity, if any, during the nine months ended September 30, 2016.

The Fund is unaware of any other trends, demands, conditions or events, other than the proposed Conversion, that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency

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exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-adviser implements procedures which include, but are not limited to:

• Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

• Executing and clearing trades only with counterparties the Commodity Sub-adviser believes are creditworthy;

• Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

• Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of the commodity broker.

If the Fund purchases over-the-counter (“OTC”) commodity put options, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. In cases where the Fund purchases OTC commodity put options with a counterparty, the sole recourse of the Fund will be the financial resources of the counterparty to the transaction since there is no clearing house to assume the obligations of the counterparty.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of September 30, 2016, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-

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balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Collateral Sub-adviser, the Commodity Sub-adviser, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC transactions, dealers. Management fee payments made to the Manager are calculated as a percentage of the Fund’s net assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis, and payments to forward contract dealers are usually based on a fee or percentage of the notional value of the contract. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

• Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

• The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high-grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as change in net unrealized appreciation (depreciation).

• The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) 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.

• Generally, commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

• Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

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• Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

• Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

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41

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of September 30, 2016. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of September 30, 2016, the Fund has not invested in forward contracts.

Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration			Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		December 2016			97		50.1900		1,000	$	4,868,430
	ICE Brent Crude Oil Futures Contract		Long		January 2017			96	$	50.7500		1,000		4,872,000
	NYMEX Crude Oil Futures Contract		Long		November 2016			114		48.2400		1,000		5,499,360
	NYMEX Crude Oil Futures Contract		Long		January 2017			57		49.4000		1,000		2,815,800
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		November 2016			39		447.7500		100		1,746,225
	ICE Low Sulphur Gasoil Futures Contract		Long		December 2016			30		448.2500		100		1,344,750
	NYMEX NY Harbor ULSD Futures Contract		Long		November 2016	��		53		1.5383		42,000		3,424,256
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		November 2016			144		2.9060		10,000		4,184,640
	NYMEX Natural Gas Futures Contract		Long		January 2017			35		3.2680		10,000		1,143,800
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		November 2016			20		1.4631		42,000		1,229,004
	NYMEX Gasoline RBOB Futures Contract		Long		January 2017			13		1.4309		42,000		781,271
Industrial Metals	Copper
	COMEX Copper Futures Contract		Long		December 2016			23		2.2105		25,000		1,271,037
	LME Copper Futures Contract		Long		October 2016			53		4,853.0000		25		6,430,225
	Aluminum
	LME Primary Aluminum Futures Contract		Long		October 2016			115		1,664.7500		25		4,786,156
	LME Primary Aluminum Futures Contract		Short		October 2016			2		1,664.7500		25		(83,237	)
	Zinc
	LME Zinc Futures Contract		Long		October 2016			16		2,371.0000		25		948,400
	LME Zinc Futures Contract		Long		December 2016			16		2,379.2500		25		951,700
	Nickel
	LME Nickel Futures Contract		Long		October 2016			27		10,536.0000		6		1,706,832
	Lead
	LME Lead Futures Contract		Long		October 2016			16		2,116.7500		25		846,700

Futures Contracts (Continued)

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculturals	Soybean
	CBOT Soybean Futures Contract		Long		November 2016		95	$	9.5400		5,000	$	4,531,500
	Corn
	CBOT Corn Futures Contract		Long		December 2016		164		3.3675		5,000		2,761,350
	Wheat
	CBOT Wheat Futures Contract		Long		December 2016		58		4.0200		5,000		1,165,800
	KCBT Wheat Futures Contract		Long		December 2016		56		4.1550		5,000		1,163,400
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2016		63		299.6000		100		1,887,480
	CBOT Soybean Meal Futures Contract		Long		January 2017		10		300.2000		100		300,200
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2016		47		0.3344		60,000		943,008
Precious Metals	Gold
	CEC Gold Futures Contract		Long		December 2016		57		1,317.1000		100		7,507,470
	Silver
	CEC Silver Futures Contract		Long		December 2016		23		19.2140		5,000		2,209,610
	Platinum
	NYMEX Platinum Futures Contract		Long		January 2017		11		1,034.5000		50		568,975
	Palladium
	NYMEX Palladium Futures Contract		Long		December 2016		7		721.5000		100		505,050
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		December 2016		117		1.0013		40,000		4,685,850
	Lean Hogs
	CME Lean Hogs Futures Contract		Long		December 2016		80		0.4398		40,000		1,407,200
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2016		22		1.1965		50,000		1,316,150
Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		March 2017		80		0.2300		112,000		2,060,800
	ICE Sugar Futures Contract		Long		May 2017		24		0.2216		112,000		595,661
	ICE White Sugar Futures Contract		Long		December 2016		8		597.2000		50		238,880
	Coffee
	ICE Coffee C Futures Contract		Long		December 2016		26		1.5155		37,500		1,477,613
	ICE Coffee C Futures Contract		Long		March 2017		5		1.5490		37,500		290,437
	LIFFE Coffee Robusta Futures Contract		Long		November 2016		14		2,004.0000		10		280,560
	Cotton
	ICE Cotton Futures Contract		Long		December 2016		31		0.6808		50,000		1,055,240
	ICE Cotton Futures Contract		Long		March 2017		8		0.6854		50,000		274,160
	Cocoa
	ICE Cocoa Futures Contract		Long		December 2016		25		2,761.0000		10		690,250
	ICE Cocoa Futures Contract		Long		March 2017		7		2,734.0000		10		191,380

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Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		December 2016		(97	)	$	51.00	$	(144,530	)
	NYMEX Crude Oil Futures Options		October 2016		(86	)		47.50		(160,820	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2016		(51	)		158.00		(76,041	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2016		(90	)		3.20		(28,800	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2016		(16	)		148.00		(34,541	)
Industrial Metals	Copper
	LME Copper Futures Options		October 2016		(32	)		4,850.00		(28,224	)
	Aluminum
	LME Primary Aluminum Futures Options		October 2016		(57	)		1,650.00		(30,395	)
	Zinc
	LME Zinc Futures Options		October 2016		(16	)		2,450.00		(1,336	)
	Nickel
	LME Nickel Futures Options		October 2016		(14	)		11,000.00		(2,248	)
	Lead
	LME Lead Futures Options		October 2016		(8	)		2,050.00		(13,974	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		October 2016		(47	)		1,220.00		(294	)
	Corn
	CBOT Corn Futures Options		November 2016		(82	)		370.00		(8,200	)
	Wheat
	CBOT Wheat Futures Options		November 2016		(29	)		500.00		(1,088	)
	CBOT Wheat Futures Options		November 2016		(28	)		490.00		(1,750	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(36	)		430.00		(900	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(23	)		36.00		(4,968	)
Precious Metals	Gold
	COMEX Gold Futures Options		November 2016		(28	)		1,450.00		(6,160	)
	Silver
	CEC Silver Futures Options		November 2016		(11	)		22.00		(5,225	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		December 2016		(76	)		114.00		(22,040	)
	Lean Hogs
	CME Lean Hogs Futures Options		December 2016		(40	)		54.00		(7,600	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		February 2017		(56	)		22.50		(131,712	)
	Coffee
	ICE Coffee C Futures Options		November 2016		(18	)		162.50		(21,127	)
	Cotton
	ICE Cotton Futures Options		November 2016		(19	)		71.00		(10,165	)
	Cocoa
	ICE Cocoa Futures Options		November 2016		(14	)		3,250.00		(420	)
	ICE Cocoa Futures Options		November 2016		(2	)		3,050.00		(240	)

CBOT	Chicagao Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
COMEX	Commodities Exchange, Inc.
ICE	Intercontinental Exchange
KCBT	Kansas City Board of Trade
LIFFE	London International Financial Futures Exchange
LME	London Metal Exchange
NY Harbor ULSD	New York Harbor Ultra-Low Sulfur Diesel
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

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The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents, U.S. government securities, and other short-term, high-grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of September 30, 2016, the Fund held U.S. Treasury bills worth $71,523,784 with a total par value of $71,600,000 and a repurchase agreement worth $1,292,455.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2015 and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form10-Q, filed with the SEC) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. In up markets, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of options written plus the premium collected by writing the call options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the premium collected by writing the call options. In down markets, the Fund will experience declines in the value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

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Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item  1. Legal Proceedings

None.

Item  1A. Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2015, filed with the SEC.

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

a) None.

b) The Fund did not issue new shares within the nine month period ended on September 30, 2016.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program pursuant to which it was authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). During the nine month period ended September 30, 2016, the Fund did not repurchase any shares. A cumulative total of 220,000 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item  3. Defaults Upon Senior Securities

None.

Item  4. Mine Safety Disclosures

Not applicable.

Item  5. Other Information

None.

Item 6. Exhibits

4.1	Second Amended and Restated Trust Agreement of the Fund. (1)
31.1	Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS	XBRL Instance Document.

46

101.SCH	XBRL Taxonomy Extension Schema Document.
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB	XBRL Taxonomy Extension Label Linkbase Document.
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document.

(1) Filed on March 30, 2012 as an exhibit to Registrant’s Form 8-K dated March 30, 2012 and incorporated by reference herein.

47

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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, in the City of Chicago, State of Illinois, on November 8, 2016.

Nuveen Diversified Commodity Fund
By:	Nuveen Commodities Asset Management, LLC, its Manager
By: /s/ William Adams IV
President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/  William Adams IV

President

(Principal Executive Officer)

November 8, 2016

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

November 8, 2016

48