WisdomTree Continuous Commodity Index Fund - Quarter Report: 2009 June (Form 10-Q)
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended June 30, 2009
OR
o | 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: 001-33909
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
(Exact name of
Registrant as specified in its charter)
Delaware | 26-0151234 | |
(State or Other Jurisdiction
of Incorporation or Organization) |
(I.R.S. Employer Identification No.) | |
c/o GreenHaven Commodity Services LLC | ||
3340 Peachtree Rd, Suite 1910 | ||
Atlanta, Georgia | 30326 | |
(Address of Principal Executive Offices) | (Zip Code) |
Registrants telephone number, including area code: (404)-239-7942
(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)
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 þ No o
Indicate by check mark whether the registrant has submitted electronically and
posted on its corporate Web site, if any, every Interactive Data File required
to be submitted and posted pursuant to Rule 405 of Regulation S-T (ss. 232.405
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 o NO o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated filer, or a smaller reporting company. See definition of accelerated filer,
large accelerated filer, and smaller reporting company in Rule 12b-2 of the Exchange Act.
(Check one):
Large accelerated filer o | Accelerated filer o | Non-accelerated filer þ (Do not check if a smaller reporting company) |
Smaller reporting company o |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act). Yes o No þ
Indicate the number of outstanding Limited Shares as of June 30, 2009: 6,300,000 Limited Shares.
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
QUARTER ENDED JUNE 30, 2009
QUARTER ENDED JUNE 30, 2009
PART 1. FINANCIAL INFORMATION |
3 | |||||||
ITEM 1. FINANCIAL STATEMENTS |
3 | |||||||
3 | ||||||||
4 | ||||||||
5 | ||||||||
6 | ||||||||
7 | ||||||||
8 | ||||||||
9 | ||||||||
10 | ||||||||
18 | ||||||||
22 | ||||||||
25 | ||||||||
26 | ||||||||
26 | ||||||||
26 | ||||||||
26 | ||||||||
26 | ||||||||
26 | ||||||||
26 | ||||||||
27 | ||||||||
27 | ||||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 |
* | Period reflects operating results since January 23, 2008, the date of commencement of trading. |
2
Table of Contents
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
June 30, 2009 (unaudited) and December 31, 2008
Consolidated Statements of Financial Condition
June 30, 2009 (unaudited) and December 31, 2008
June 30, | ||||||||
2009 | December 31, | |||||||
(unaudited) | 2008 | |||||||
Assets |
||||||||
Equity in broker trading accounts: |
||||||||
Short-term investments (cost $124,983,541 and $4,998,396, respectively) |
$ | 124,981,895 | $ | 4,999,865 | ||||
Cash held by broker |
22,670,117 | 13,331,630 | ||||||
Net unrealized depreciation on futures contracts |
(4,364,240 | ) | (1,880,290 | ) | ||||
Total equity in broker trading accounts |
143,287,772 | 16,451,205 | ||||||
Capital shares receivable |
| 1,096,170 | ||||||
Other assets |
17,860 | 3,525 | ||||||
Total assets |
$ | 143,305,632 | $ | 17,550,900 | ||||
Liabilities and shareholders equity |
||||||||
Management fee payable to related party |
$ | 99,584 | $ | 11,076 | ||||
Total liabilities |
99,584 | 11,076 | ||||||
Shareholders equity |
||||||||
General Units: |
||||||||
Paid in capital - 50 units issued and outstanding as of June 30, 2009
and December 31, 2008 |
1,500 | 1,500 | ||||||
Accumulated deficit |
(364 | ) | (404 | ) | ||||
Total General Units |
1,136 | 1,096 | ||||||
Limited Units: |
||||||||
Paid in capital - 6,300,000 and 800,000 redeemable units issued and outstanding
as of June 30, 2009 and December 31, 2008, respectively |
149,992,263 | 24,539,494 | ||||||
Accumulated deficit |
(6,787,351 | ) | (7,000,766 | ) | ||||
Total Limited Units |
143,204,912 | 17,538,728 | ||||||
Total shareholders equity |
143,206,048 | 17,539,824 | ||||||
Total liabilities and shareholders equity |
$ | 143,305,632 | $ | 17,550,900 | ||||
Net asset value per share |
||||||||
General Units |
$ | 22.73 | $ | 21.92 | ||||
Limited Units |
$ | 22.73 | $ | 21.92 |
See accompanying notes to consolidated financial statements
3
Table of Contents
GreenHaven Continuous Commodity Index Fund
Condensed Consolidated Schedule of Investments
June 30, 2009 (unaudited)
Condensed Consolidated Schedule of Investments
June 30, 2009 (unaudited)
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bills, 0.15%
due July 23, 2009 |
45.39 | % | $ | 64,995,255 | $ | 65,000,000 | ||||||
U.S. Treasury Bills, 0.17%
due August 6, 2009 |
6.98 | 9,998,550 | 10,000,000 | |||||||||
U.S. Treasury Bills, 0.18%
due August 27, 2009 |
20.94 | 29,993,250 | 30,000,000 | |||||||||
U.S. Treasury Bills, 0.15%
due September 3, 2009 |
13.96 | 19,994,840 | 20,000,000 | |||||||||
Total United States Treasury Obligations (cost
$124,983,541) |
87.27 | % | $ | 124,981,895 | $ | 125,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts |
||||||||||||
Cocoa (166 contracts, settlement date September 15, 2009) |
(0.12 | )% | $ | (171,560 | ) | $ | 4,166,600 | |||||
Cocoa (166 contracts, settlement date December 15, 2009) |
(0.11 | ) | (154,220 | ) | 4,216,400 | |||||||
Coffee (92 contracts, settlement date September 18, 2009) |
(0.20 | ) | (285,956 | ) | 4,136,550 | |||||||
Coffee (92 contracts, settlement date December 18, 2009) |
(0.20 | ) | (284,775 | ) | 4,236,600 | |||||||
Copper (74 contracts, settlement date September 28, 2009) |
0.15 | 222,038 | 4,203,200 | |||||||||
Copper (74 contracts, settlement date December 29, 2009) |
0.07 | 103,788 | 4,218,925 | |||||||||
Corn (233 contracts, settlement date September 14, 2009) |
(0.54 | ) | (772,613 | ) | 4,129,925 | |||||||
Corn (233 contracts, settlement date December 14, 2009) |
(0.56 | ) | (798,250 | ) | 4,278,463 | |||||||
Cotton (144 contracts, settlement date December 08, 2009) |
0.00 | * | 7,110 | 4,138,560 | ||||||||
Cotton (143 contracts, settlement date March 09, 2010) |
(0.16 | ) | (229,605 | ) | 4,269,980 | |||||||
Florida Orange Juice (229 contracts, settlement date September 10, 2009) |
(0.27 | ) | (386,850 | ) | 2,708,498 | |||||||
Florida Orange Juice (228 contracts, settlement date November 09, 2009) |
(0.27 | ) | (386,753 | ) | 2,804,400 | |||||||
Florida Orange Juice (228 contracts, settlement date January 08, 2010) |
(0.12 | ) | (177,143 | ) | 2,908,710 | |||||||
Gold (45 contracts, settlement date December 29, 2009) |
0.05 | 69,000 | 4,185,900 | |||||||||
Gold (45 contracts, settlement date February 24, 2010) |
(0.04 | ) | (56,630 | ) | 4,191,300 | |||||||
Heating Oil (21 contracts, settlement date August 31, 2009) |
0.11 | 159,407 | 1,620,587 | |||||||||
Heating Oil (21 contracts, settlement date September 30, 2009) |
0.15 | 215,149 | 1,660,100 | |||||||||
Heating Oil (21 contracts, settlement date October 30, 2009) |
0.18 | 258,565 | 1,689,647 | |||||||||
Heating Oil (21 contracts, settlement date November 30, 2009) |
(0.04 | ) | (56,242 | ) | 1,716,107 | |||||||
Heating Oil (21 contracts, settlement date December 31, 2009) |
(0.04 | ) | (58,187 | ) | 1,742,920 | |||||||
Lean Hogs (90 contracts, settlement date August 14, 2009) |
(0.15 | ) | (208,610 | ) | 2,183,400 | |||||||
Lean Hogs (90 contracts, settlement date October 14, 2009) |
(0.15 | ) | (218,130 | ) | 2,017,800 | |||||||
Lean Hogs (90 contracts, settlement date December 14, 2009) |
(0.19 | ) | (266,220 | ) | 2,005,200 | |||||||
Lean Hogs (91 contracts, settlement date February 12, 2010) |
(0.13 | ) | (187,650 | ) | 2,242,240 | |||||||
Light, Sweet Crude Oil (24 contracts, settlement date August 20, 2009) |
0.14 | 202,270 | 1,700,160 | |||||||||
Light, Sweet Crude Oil (23 contracts, settlement date September 22, 2009) |
0.16 | 233,710 | 1,646,800 | |||||||||
Light, Sweet Crude Oil (23 contracts, settlement date October 20, 2009) |
0.17 | 245,500 | 1,660,600 | |||||||||
Light, Sweet Crude Oil (23 contracts, settlement date November 20, 2009) |
(0.04 | ) | (61,970 | ) | 1,672,330 | |||||||
Light, Sweet Crude Oil (24 contracts, settlement date December 21, 2009) |
(0.04 | ) | (60,630 | ) | 1,755,120 | |||||||
Live Cattle (78 contracts, settlement date October 30, 2009) |
0.06 | 89,930 | 2,813,460 | |||||||||
Live Cattle (79 contracts, settlement date December 31, 2009) |
(0.01 | ) | (16,740 | ) | 2,836,100 | |||||||
Live Cattle (78 contracts, settlement date February 26, 2010) |
(0.03 | ) | (40,840 | ) | 2,783,820 | |||||||
Natural Gas (35 contracts, settlement date August 27, 2009) |
(0.05 | ) | (77,500 | ) | 1,393,700 | |||||||
Natural Gas (35 contracts, settlement date September 28, 2009) |
(0.03 | ) | (46,160 | ) | 1,471,400 | |||||||
Natural Gas (34 contracts, settlement date October 28, 2009) |
(0.03 | ) | (40,840 | ) | 1,650,700 | |||||||
Natural Gas (34 contracts, settlement date November 24, 2009) |
(0.08 | ) | (117,400 | ) | 1,881,220 | |||||||
Natural Gas (35 contracts, settlement date December 29, 2009) |
(0.08 | ) | (115,860 | ) | 2,042,950 | |||||||
Platinum (71 contracts, settlement date October 28, 2009) |
0.07 | 95,840 | 4,207,815 | |||||||||
Platinum (71 contracts, settlement date January 27, 2010) |
(0.17 | ) | (247,685 | ) | 4,218,465 | |||||||
Silver (62 contracts, settlement date September 28, 2009) |
(0.14 | ) | (205,675 | ) | 4,216,000 | |||||||
Silver (62 contracts, settlement date December 29, 2009) |
(0.03 | ) | (48,440 | ) | 4,228,710 | |||||||
Soybean (86 contracts, settlement date November 13, 2009) |
(0.09 | ) | (123,013 | ) | 4,218,300 | |||||||
Soybean (85 contracts, settlement date January 14, 2010) |
(0.30 | ) | (423,950 | ) | 4,177,750 | |||||||
Sugar (205 contracts, settlement date September 30, 2009) |
0.39 | 552,843 | 4,098,360 | |||||||||
Sugar (204 contracts, settlement date February 26, 2010) |
0.24 | 345,419 | 4,302,278 | |||||||||
Wheat (150 contracts, settlement date September 14, 2009) |
(0.28 | ) | (403,112 | ) | 4,055,625 | |||||||
Wheat (153 contracts, settlement date December 14, 2009) |
(0.30 | ) | (435,600 | ) | 4,327,988 | |||||||
Net Unrealized Depreciation on Futures Contracts |
(3.05 | )% | $ | (4,364,240 | ) | $ | 143,031,663 | |||||
* | Denotes less than 0.01% yet greater than 0.00% |
See accompanying notes to condensed consolidated financial statements.
4
Table of Contents
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bill, 0.53% due February 5, 2009 (cost
$4,998,396) |
28.51 | % | $ | 4,999,865 | $ | 5,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation (Depreciation) on Futures Contracts |
||||||||||||
Cocoa (13 contracts, settlement date March 16, 2009) |
0.29 | % | $ | 51,140 | $ | 346,450 | ||||||
Cocoa (13 contracts, settlement date May 13, 2009) |
0.01 | 1,640 | 345,410 | |||||||||
Cocoa (13 contracts, settlement date July 16, 2009) |
0.47 | 82,790 | 343,980 | |||||||||
Coffee (8 contracts, settlement date March 19, 2009) |
(0.40 | ) | (71,119 | ) | 336,150 | |||||||
Coffee (8 contracts, settlement date May 18, 2009) |
(0.46 | ) | (81,356 | ) | 342,900 | |||||||
Coffee (8 contracts, settlement date July 21, 2009) |
(0.06 | ) | (9,900 | ) | 349,500 | |||||||
Copper (10 contracts, settlement date March 27, 2009) |
(0.22 | ) | (38,538 | ) | 352,500 | |||||||
Copper (10 contracts, settlement date May 27, 2009) |
(1.15 | ) | (200,963 | ) | 355,125 | |||||||
Copper (9 contracts, settlement date July 29, 2009) |
(0.34 | ) | (59,513 | ) | 321,075 | |||||||
Corn (17 contracts, settlement date March 13, 2009) |
(0.11 | ) | (19,950 | ) | 345,950 | |||||||
Corn (16 contracts, settlement date May 14, 2009) |
(0.37 | ) | (64,500 | ) | 334,200 | |||||||
Corn (16 contracts, settlement date July 14, 2009) |
0.08 | 14,663 | 342,400 | |||||||||
Cotton (14 contracts, settlement date March 09, 2009) |
0.02 | 3,505 | 343,140 | |||||||||
Cotton (14 contracts, settlement date May 06, 2009) |
(0.65 | ) | (113,810 | ) | 345,170 | |||||||
Cotton (13 contracts, settlement date July 09, 2009) |
0.20 | 34,965 | 328,965 | |||||||||
Florida Orange Juice (31 contracts, settlement date March 11, 2009) |
(0.46 | ) | (80,873 | ) | 315,735 | |||||||
Florida Orange Juice (32 contracts, settlement date May 08, 2009) |
(0.64 | ) | (111,968 | ) | 345,360 | |||||||
Florida Orange Juice (31 contracts, settlement date July 13, 2009) |
(0.36 | ) | (63,195 | ) | 352,703 | |||||||
Gold (4 contracts, settlement date February 25, 2009) |
0.16 | 28,270 | 353,720 | |||||||||
Gold (4 contracts, settlement date April 28, 2009) |
0.03 | 4,730 | 354,120 | |||||||||
Gold (4 contracts, settlement date June 26, 2009) |
0.31 | 54,980 | 354,480 | |||||||||
Heating Oil (4 contracts, settlement date January 30, 2009) |
(0.51 | ) | (89,321 | ) | 242,273 | |||||||
Heating Oil (4 contracts, settlement date February 27, 2009) |
(0.86 | ) | (150,263 | ) | 246,557 | |||||||
Heating Oil (3 contracts, settlement date March 31, 2009) |
(0.87 | ) | (152,141 | ) | 187,689 | |||||||
Heating Oil (3 contracts, settlement date April 30, 2009) |
(0.29 | ) | (50,518 | ) | 190,461 | |||||||
Heating Oil (3 contracts, settlement date May 29, 2009) |
(0.19 | ) | (33,835 | ) | 193,296 | |||||||
Lean Hogs (9 contracts, settlement date February 13, 2009) |
(0.13 | ) | (22,780 | ) | 219,150 | |||||||
Lean Hogs (9 contracts, settlement date April 15, 2009) |
(0.19 | ) | (33,680 | ) | 247,320 | |||||||
Lean Hogs (9 contracts, settlement date June 12, 2009) |
(0.01 | ) | (990 | ) | 287,640 | |||||||
Lean Hogs (9 contracts, settlement date July 15, 2009) |
0.01 | 1,510 | 286,830 | |||||||||
Light, Sweet Crude Oil (5 contracts, settlement date January 20, 2009) |
(0.47 | ) | (81,800 | ) | 223,000 | |||||||
Light, Sweet Crude Oil (4 contracts, settlement date February 20, 2009) |
(0.79 | ) | (139,260 | ) | 194,360 | |||||||
Light, Sweet Crude Oil (4 contracts, settlement date March 20, 2009) |
(0.40 | ) | (69,720 | ) | 202,280 | |||||||
Light, Sweet Crude Oil (4 contracts, settlement date April 21, 2009) |
(0.16 | ) | (27,460 | ) | 207,840 | |||||||
Light, Sweet Crude Oil (4 contracts, settlement date May 19, 2009) |
(0.14 | ) | (25,390 | ) | 212,640 | |||||||
Live Cattle (10 contracts, settlement date February 27, 2009) |
(0.17 | ) | (30,520 | ) | 344,200 | |||||||
Live Cattle (10 contracts, settlement date April 30, 2009) |
(0.24 | ) | (42,410 | ) | 356,400 | |||||||
Live Cattle (9 contracts, settlement date June 30, 2009) |
(0.05 | ) | (9,700 | ) | 310,320 | |||||||
Natural Gas (4 contracts, settlement date January 28, 2009) |
(0.02 | ) | (4,090 | ) | 224,880 | |||||||
Natural Gas (4 contracts, settlement date February 25, 2009) |
(0.42 | ) | (74,570 | ) | 226,280 | |||||||
Natural Gas (4 contracts, settlement date March 27, 2009) |
(0.53 | ) | (93,420 | ) | 229,000 | |||||||
Natural Gas (3 contracts, settlement date April 28, 2009) |
(0.11 | ) | (20,160 | ) | 173,850 | |||||||
Natural Gas (3 contracts, settlement date May 27, 2009) |
(0.08 | ) | (13,380 | ) | 177,120 | |||||||
Platinum (11 contracts, settlement date April 28, 2009) |
0.26 | 46,325 | 517,825 | |||||||||
Platinum (10 contracts, settlement date July 29, 2009) |
0.27 | 46,800 | 473,250 | |||||||||
Silver (6 contracts, settlement date March 27, 2009) |
0.18 | 31,825 | 338,850 | |||||||||
Silver (6 contracts, settlement date May 27, 2009) |
(0.43 | ) | (74,830 | ) | 339,210 | |||||||
Silver (6 contracts, settlement date July 29, 2009) |
0.28 | 49,770 | 339,450 | |||||||||
Soybean (7 contracts, settlement date March 13, 2009) |
(0.11 | ) | (18,838 | ) | 343,000 | |||||||
Soybean (7 contracts, settlement date May 14, 2009) |
(0.50 | ) | (87,738 | ) | 347,025 | |||||||
Soybean (7 contracts, settlement date July 14, 2009) |
0.21 | 35,788 | 350,963 | |||||||||
Sugar (26 contracts, settlement date February 27, 2009) |
(0.04 | ) | (7,806 | ) | 343,907 | |||||||
Sugar (25 contracts, settlement date April 30, 2009) |
(0.24 | ) | (41,742 | ) | 344,400 | |||||||
Sugar (24 contracts, settlement date June 30, 2009) |
0.08 | 14,605 | 340,301 | |||||||||
Wheat (11 contracts, settlement date March 13, 2009) |
(0.14 | ) | (24,412 | ) | 335,913 | |||||||
Wheat (11 contracts, settlement date May 14, 2009) |
(0.44 | ) | (77,575 | ) | 342,925 | |||||||
Wheat (11 contracts, settlement date July 14, 2009) |
0.17 | 30,438 | 348,700 | |||||||||
Net Unrealized Depreciation on Futures Contracts |
(10.72 | )% | $ | (1,880,290 | ) | $ | 17,498,138 | |||||
See accompanying notes to consolidated financial statements.
5
Table of Contents
GreenHaven
Continuous Commodity Index Fund
Consolidated Statements of Income and Expenses
For the Three Months Ended June 30, 2009 (unaudited) and 2008 (unaudited)
and Six Months Ended June 30, 2009 (unaudited) and Period Ended June 30, 2008 (i) (unaudited)
and Six Months Ended June 30, 2009 (unaudited) and Period Ended June 30, 2008 (i) (unaudited)
Three Months | Three Months | Six Months | Period | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
June 30, 2009 | June 30, 2008 | June 30, 2009 | June 30, 2008 (i) | |||||||||||||
Income |
||||||||||||||||
Interest Income |
$ | 28,941 | $ | 109,738 | $ | 36,960 | $ | 205,017 | ||||||||
Expenses |
||||||||||||||||
Management fee to related party |
233,203 | 63,703 | 279,794 | 100,297 | ||||||||||||
Brokerage commissions and fees |
65,845 | 17,986 | 79,001 | 29,931 | ||||||||||||
Total expenses |
299,048 | 81,689 | 358,795 | 130,228 | ||||||||||||
Net Investment Income (Loss) |
(270,107 | ) | 28,049 | (321,835 | ) | 74,789 | ||||||||||
Realized
and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts |
||||||||||||||||
Realized Gain (Loss) on |
||||||||||||||||
Investments |
| (2,889 | ) | | 546 | |||||||||||
Futures Contracts |
5,189,618 | 791,280 | 3,022,355 | 2,236,209 | ||||||||||||
Net Realized Gain |
5,189,618 | 788,391 | 3,022,355 | 2,236,755 | ||||||||||||
Net Change in Unrealized Gain (Loss) on |
||||||||||||||||
Investments |
(3,096 | ) | (16,376 | ) | (3,115 | ) | 82 | |||||||||
Futures Contracts |
(3,763,279 | ) | 3,068,354 | (2,483,950 | ) | 1,803,298 | ||||||||||
Net Change in Unrealized Gain (Loss) |
(3,766,375 | ) | 3,051,978 | (2,487,065 | ) | 1,803,380 | ||||||||||
Net Realized and Unrealized Gain on Investments
and Future Contracts |
1,423,243 | 3,840,369 | 535,290 | 4,040,135 | ||||||||||||
Net Gain |
$ | 1,153,136 | $ | 3,868,418 | $ | 213,455 | $ | 4,114,924 | ||||||||
(i) | Reflects operating results since January 23, 2008, the date of commencement of trading. |
See accompanying notes to consolidated financial statements
6
Table of Contents
Greenhaven Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders Equity
For the Three Months Ended June 30, 2009 (unaudited)
Consolidated Statement of Changes in Shareholders Equity
For the Three Months Ended June 30, 2009 (unaudited)
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders | Limited Units | Accumulated | Shareholders | Shareholders | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2009 |
50 | $ | 1,500 | $ | (414 | ) | $ | 1,086 | 3,950,000 | $ | 93,770,142 | $ | (7,940,436 | ) | $ | 85,829,706 | $ | 85,830,792 | ||||||||||||||||||
Sale of Units |
| | | | 2,400,000 | 57,375,071 | 57,375,071 | 57,375,071 | ||||||||||||||||||||||||||||
Redemption of Limited Units |
| | | | (50,000 | ) | (1,152,950 | ) | | (1,152,950 | ) | (1,152,950 | ) | |||||||||||||||||||||||
Net gain: |
||||||||||||||||||||||||||||||||||||
Net investment loss |
| | (3 | ) | (3 | ) | | | (270,104 | ) | (270,104 | ) | (270,107 | ) | ||||||||||||||||||||||
Net realized gain on Investments
and Futures Contracts |
| | 47 | 47 | | | 5,189,571 | 5,189,571 | 5,189,618 | |||||||||||||||||||||||||||
Net change in unrealized gain (loss)
on Investments and
Futures Contracts |
| | 6 | 6 | | | (3,766,382 | ) | (3,766,382 | ) | (3,766,376 | ) | ||||||||||||||||||||||||
Net gain |
| | 50 | 50 | | | 1,153,085 | 1,153,085 | 1,153,135 | |||||||||||||||||||||||||||
Balance at June 30, 2009 |
50 | $ | 1,500 | $ | (364 | ) | $ | 1,136 | 6,300,000 | $ | 149,992,263 | $ | (6,787,351 | ) | $ | 143,204,912 | $ | 143,206,048 | ||||||||||||||||||
See accompanying notes to consolidated financial statements
7
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Greenhaven Continuous Commodity Index Fund
Consolidated Statement of Changes in Shareholders Equity
For the Six Months Ended June 30, 2009 (unaudited)
Consolidated Statement of Changes in Shareholders Equity
For the Six Months Ended June 30, 2009 (unaudited)
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||||||
General Units | Accumulated | Subscription | Shareholders | Limited Units | Accumulated | Shareholders | Shareholders | |||||||||||||||||||||||||||||||||
Units | Amount | Defecit | Receivable | Equity | Units | Amount | Defecit | Equity | Equity | |||||||||||||||||||||||||||||||
Balance at December 31, 2008 |
50 | $ | 1,500 | $ | (404 | ) | $ | | $ | 1,096 | 800,000 | $ | 24,539,494 | $ | (7,000,766 | ) | $ | 17,538,728 | $ | 17,539,824 | ||||||||||||||||||||
Sale of Units |
| | | | | 5,550,000 | 126,605,719 | | 126,605,719 | 126,605,719 | ||||||||||||||||||||||||||||||
Redemption of Limited Units |
| | | | | (50,000 | ) | (1,152,950 | ) | | (1,152,950 | ) | (1,152,950 | ) | ||||||||||||||||||||||||||
Net gain: |
||||||||||||||||||||||||||||||||||||||||
Net investment loss |
| | (7 | ) | | (7 | ) | | | (321,828 | ) | (321,828 | ) | (321,835 | ) | |||||||||||||||||||||||||
Net realized loss on Investments
and Futures Contracts |
| | (68 | ) | | (68 | ) | | | 3,022,423 | 3,022,423 | 3,022,355 | ||||||||||||||||||||||||||||
Net change in unrealized gain (loss)
on Investments and
Futures Contracts |
| | 115 | | 115 | | | (2,487,180 | ) | (2,487,180 | ) | (2,487,065 | ) | |||||||||||||||||||||||||||
Net gain |
| | 40 | | 40 | | | 213,415 | 213,415 | 213,455 | ||||||||||||||||||||||||||||||
Balance at June 30, 2009 |
50 | $ | 1,500 | $ | (364 | ) | $ | | $ | 1,136 | 6,300,000 | $ | 149,992,263 | $ | (6,787,351 | ) | $ | 143,204,912 | $ | 143,206,048 | ||||||||||||||||||||
See accompanying notes to consolidated financial statements
8
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Greenhaven Continuous Commodity Index Fund
Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2009 (unaudited) and the Period Ended June 30, 2008 (unaudited)
Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2009 (unaudited) and the Period Ended June 30, 2008 (unaudited)
Six Months | Period | |||||||
Ended | Ended | |||||||
June 30, 2009 | June 30, 2008 (i) | |||||||
Cash flow from operating activities: |
||||||||
Net Gain |
$ | 213,455 | $ | 4,114,924 | ||||
Adjustments to reconcile net income to net cash used for operating activities: |
||||||||
Purchase of investment securities |
(134,954,862 | ) | (75,231,488 | ) | ||||
Proceeds from sale of investment securities |
15,000,000 | 47,978,390 | ||||||
Net accretion of discount of premium |
(30,283 | ) | (194,605 | ) | ||||
Net realized loss on investment securities |
| (546 | ) | |||||
Unrealized (appreciation) depreciation from investments |
2,487,065 | (1,803,380 | ) | |||||
Increase in other assets |
(14,335 | ) | (5,509 | ) | ||||
Increase in accrued expenses |
88,508 | 20,977 | ||||||
Net cash used for operating activities |
(117,210,452 | ) | (25,121,237 | ) | ||||
Cash flows from financing activities: |
||||||||
Collection of subscription receivable |
1,096,170 | 1,500 | ||||||
Proceeds from sale of Limited Units |
126,605,719 | 43,003,172 | ||||||
Redemption of Units |
(1,152,950 | ) | (17,650,890 | ) | ||||
Net cash provided by financing activities |
126,548,939 | 25,353,782 | ||||||
Net change in cash |
9,338,487 | 232,545 | ||||||
Cash held by broker at beginning of period |
13,331,630 | | ||||||
Cash held by broker at end of period |
$ | 22,670,117 | $ | 232,545 | ||||
(i) | Reflects operating results since January 23, 2008, the date of commencement of trading. |
Please see accompanying notes to consolidated financial statements
9
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GreenHaven Continuous Commodity Index Fund
Notes to Unaudited Consolidated Financial Statements
June 30, 2009
Notes to Unaudited Consolidated Financial Statements
June 30, 2009
(1) Organization
The GreenHaven Continuous Commodity Index Fund (the Fund Fund may also refer to the Fund and
the Master Fund, collectively as the context requires) was formed as a Delaware statutory trust on
October 27, 2006, and GreenHaven Continuous Commodity Master Index Fund (the Master Fund), was
formed as a Delaware statutory trust on October 27, 2006. The Fund offers common units of
beneficial interest (the Shares). Upon inception of the Fund, 50 General Units of the Fund were
issued to GreenHaven Commodity Services, LLC (the Managing Owner) in exchange for a capital
contribution of $1,500. The Managing Owner serves the Fund as commodity pool operator, commodity
trading advisor, and managing owner.
Shares are purchased from the Fund only by Authorized Participants in one or more blocks of 50,000
Shares, called a Basket. The proceeds from the offering of Shares are invested in the Master Fund.
The Master Fund actively trades exchange traded futures on the commodities comprising the Thomson
Reuters Continuous Commodity Index (the Index), with a view to tracking the performance of the
Index over time. The Master Funds portfolio also includes United States Treasury securities for
deposit with the Master Funds commodities brokers as margin and other high credit quality short
term fixed income securities. The Fund wholly owns the Master Fund. The Fund and Master Fund
commenced investment operations on January 23, 2008 with the offering of 350,000 Shares in exchange
for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE
Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca.
The Index is intended to reflect the performance of certain commodities. The commodities comprising
the Index (the Index Commodities) are: Corn, Soybeans, Wheat, Live Cattle, Lean Hogs, Gold,
Silver, Copper, Cocoa, Coffee, Sugar, Cotton, Orange Juice, Platinum, Crude Oil, Heating Oil, and
Natural Gas.
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to
the Fund in proportion to the percentage interest owned by each.
The Managing Owner, the Fund and the Master Fund will retain the services of third party service
providers to the extent necessary to operate the ongoing operations of the Fund and the Master Fund
(see Note (2)).
Unaudited Interim Financial Information
The consolidated financial statements as of and for the three month periods ended June 30, 2009 and
June 30, 2008 and the six months and period ended June 30, 2009 and June 30, 2008 (the period
ending June 30, 2008 begins on January 23, 2008, the date of trading commencement) included herein
are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been
prepared on the same basis as the annual financial statement and include all adjustments, which are
of the normal recurring nature, necessary for a fair statement of the Funds financial position,
investments, results of operations and its cash flows. Interim results are not necessarily
indicative of the results that will be achieved for the year or for any other interim period or for
any future year.
(2) Service Providers and Related Party Agreements
(a) The Trustee CSC Trust is the trustee for the Fund and Master Fund. CSC Trust is
headquartered in Wilmington, DE.
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(b) The Managing Owner GreenHaven Commodity Services, LLC is the managing owner of the Fund and
Master Fund and is responsible for the day to day operations of both entities. The Managing Owner
charges the Fund a management fee for its services. GreenHaven Commodity Services, LLC is a
Delaware limited liability company with operations in Atlanta, GA.
(c) The Administrator The Bank of New York Mellon Corporation has been appointed by the
Managing Owner as the administrator, custodian and transfer agent of the Fund and the Master Fund,
and has entered into separate administrative, custodian, transfer agency and service agreements
(collectively referred to as the Administration Agreement). Pursuant to the Administration
Agreement, the Administrator performs or supervises the services necessary for the operation and
administration of the Fund and the Master Fund (other than making investment decisions), including
receiving net asset value calculations, accounting and other fund administrative services. As the
Funds transfer agent, the Administrator will process additions and redemptions of Shares. These
transactions will be processed on Depository Trust Companys (DTC) book entry system. The
Administrator retains certain financial books and records, including: Basket creation and
redemption books and records, fund accounting records, ledgers with respect to assets, liabilities,
capital, income and expenses, the registrar, transfer journals and related details and trading and
related documents received from futures commission merchants. The Bank of New York Mellon
Corporation is based in New York, New York.
(d) The Commodity Broker Merrill Lynch, Pierce, Fenner & Smith (Merrill Lynch) and Morgan
Stanley (Morgan Stanley) are the Master Funds Commodity Brokers. In their capacity as the
Commodity Brokers, they execute and clear each of the Master Funds futures transactions and
perform certain administrative services for the Master Fund. Merrill Lynch and Morgan Stanley are
based in New York, New York.
(e) The Distributor ALPS Inc. provides certain distribution services to the Fund. Pursuant to
the Distribution Services Agreement between the Managing Owner in its capacity as managing owner of
the Fund and Distributor, the Distributor assists the Managing Owner and the Administrator with
certain functions and duties relating to the creation and redemption of Baskets. The Distribution
Services Agreement is effective for two years and thereafter shall continue automatically for
successive annual periods, provided that such continuance is specifically approved at least
annually by the Managing Owner or otherwise as provided under the Distribution Services Agreement.
The Distribution Services Agreement is terminable without penalty on sixty (60) days written notice
by the Managing Owner or by the Distributor. The Distribution Services Agreement shall
automatically terminate in the event of its assignment.
(f) The Authorized Participant Authorized Participants may create or redeem shares of the
Master Fund. Each Authorized Participant must (1) be a registered broker-dealer or other securities
market participant such as a bank or other financial institution which is not required to register
as a broker-dealer to engage in securities transactions, (2) be a participant in the Depository
Trust Company, or DTC, and (3) have entered into a participant agreement with the Fund and the
Managing Owner, or a Participant Agreement. The Participant Agreement sets forth the procedures for
the creation and redemption of Baskets of Shares and for the delivery of cash required for such
creations or redemptions. A list of the current Authorized Participants can be obtained from the
Administrator. A similar agreement between the Fund and the Master Fund sets forth the procedures
for the creation and redemption of Master Unit Baskets by the Fund.
(3) Summary of Significant Accounting Policies
(a) Use of Estimates
The preparation of the financial statements in conformity with accounting principles generally
accepted in the United States of America requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements. Actual results could differ from those
estimates.
11
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(b) Cash and Cash Equivalents
The Fund defines cash and cash equivalents to be highly liquid investments, with original
maturities of three months or less when acquired.
(c) United States Treasury Obligations
The Fund records purchases and sales of United States Treasury Obligations on a trade date basis.
These holdings are marked to market based on quoted market closing prices. The Fund holds United
States Treasury Obligations for deposit with the Master Funds commodity brokers for margin
purposes and to earn additional interest income on the remaining cash balance. Interest income is
recognized on an
accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the
United States Treasury Obligations using the interest method.
(d) Income Taxes
The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S.
federal income tax purposes. Accordingly, neither the Fund nor the Master Fund will incur U.S.
federal income taxes. No provision for federal, state, and local income taxes has been made in the
accompanying consolidated financial statements, as investors are individually liable for income
taxes, if any, on their allocable share of the Funds share of the Master Funds income, gain,
loss, deductions and other items.
(e) Futures Contracts
All commodity futures contracts are held and used for trading purposes. The commodity futures are
recorded on a trade date basis and open contracts are recorded in the consolidated statement of
financial condition at fair value on the last business day of the period, which represents market
value for those commodity futures for which market quotes are readily available. However, when
market closing prices are not available, the Managing Owner may value an asset of the Master Fund
pursuant to such other principles as the Managing Owner deems fair and equitable so long as such
principles are consistent with normal industry standards. Realized gains (losses) and changes in
unrealized appreciation (depreciation) on open positions are determined on a specific
identification basis and recognized in the consolidated statement of income and expenses in the
period in which the contract is closed or the changes occur, respectively.
(f) Basis of Presentation & Consolidation
Upon the initial offering of the limited shares of the Fund, 100% of the capital raised by the Fund
was used to purchase common units of beneficial interest of the Master Fund. The financial
statement balances of the Master Fund were consolidated with the Funds financial statement
balances beginning the first reporting period subsequent to the initial offering, and all
significant inter-company balances and transactions were eliminated.
(4) Fair Value Measurements
In September 2006, the Financial Accounting Standards Board (FASB) issued FASB Statement No. 157,
Fair Value Measurement (Statement 157). Statement 157 defines fair value, establishes framework
for the measurement of fair value, and enhances disclosures about fair value measurements. The
Statement does not require any new fair value measures. The Statement is effective for fair value
measures already required or permitted by other standards for fiscal years beginning after
November 15, 2007. The Fund was required to adopt Statement 157 beginning on January 1, 2008.
Statement 157 is required to be applied prospectively, except for certain financial instruments.
Any transition adjustment will be recognized as an adjustment to opening retained earnings in the
year of adoption. The Fund adopted Statement No. 157 when trading operations commenced on
January 24, 2008. The Fund believes that all of the measurements of operations are reoccurring
measurements. The assets of the Fund are either exchange traded or government securities that have
widely disseminated mark to market pricing.
12
Table of Contents
On April 9, 2009 the FASB issued FASB Staff Position (FSP) No. 157-4 to provide additional
guidance for estimating fair value in accordance with FASB Statement No. 157, Fair Value
Measurements, when the volume and level of activity for the asset or liability have significantly
decreased. This FSP also includes guidance on identifying circumstances that indicate a transaction
is not orderly. The Fund has adopted this statement as of the three month reporting period ended
June 30, 2009 and believes that there have been no circumstances to date in which its application
would have had an impact on the Funds financial statements.
The Fund utilizes various inputs used in determining the value of the Funds investments. These
inputs are summarized in the three broad levels listed below as follows:
Level 1 quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
Level 3 significant unobservable inputs (including the Funds own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk
associated with investing in those securities. A summary of the inputs used as of June 30, 2009 in
valuing the Funds assets at fair value are:
Other | ||||||||||||||||
Quoted Prices in | Significant | Significant | ||||||||||||||
Active Market | Observable | Unobservable | ||||||||||||||
(Level 1) | Inputs (Level 2) | Inputs (Level 3) | Totals | |||||||||||||
U.S. Treasuries |
$ | | $ | 124,981,895 | $ | | $ | 124,981,895 | ||||||||
Futures Contracts |
(4,364,240 | ) | | | (4,364,240 | ) | ||||||||||
Total |
$ | (4,364,240 | ) | $ | 124,981,895 | $ | | $ | 124,981,895 | |||||||
(5) | Derivative Instruments and Hedging Activities |
In March 2008, the FASB issued FASB Statement No. 161, Disclosures about Derivative Instruments
and Hedging Activitiesan amendment of FASB Statement No. 133 (Statement 161). Statement 161 is
effective for financial statements issued for fiscal years and interim periods beginning after
November 15, 2008, with early application encouraged. Statement 161 has the same scope as Statement
133. Accordingly, it applies to all entities. Statement 161 changes the disclosure requirements for
derivative instruments and hedging activities. Entities are required to provide enhanced
disclosures about (a) how and why an entity uses derivative instruments, (b) how derivative
instruments and related hedged items are accounted for under Statement 133 and its related
interpretations, and (c) how derivative instruments and related hedged items affect an entitys
financial position, financial performance, and cash flows. The Fund adopted Statement No. 161 on
January 1, 2009, and has determined that the application of this Statement did not have any impact
on its disclosure.
The following is a summary of the fair value of the derivative instruments utilized by the Fund,
categorized by risk exposure, as of June 30, 2009:
Derivative Instruments | Asset Derivatives* | Liability Derivatives* | Net Derivatives* | |||||||||
Futures Contracts
|
$ | 2,800,569 | $ | (7,164,809 | ) | $ | (4,364,240 | ) |
* | Fair values of derivative instruments include variation margin receivable for futures contracts. |
13
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The following is a summary of the realized gains and losses of the derivative instruments utilized
by the Fund, categorized by risk exposure for the six months ended June 30, 2009:
Derivative Instruments | Realized Gain (Loss) on Derivative Instruments | |||
Futures Contracts
|
$ | 3,022,355 |
The following is a summary of the unrealized gains and losses of the derivative instruments
utilized by the Fund, categorized by risk exposure as of June 30, 2009:
Derivative Instruments | Unrealized Gain (Loss) on Derivative Instruments | |||
Futures Contracts
|
$ | (4,364,240 | ) |
(6) Financial Instrument Risk
In the normal course of its business, the Fund is party to financial instruments with off-balance
sheet risk. The term off-balance sheet risk refers to an unrecorded potential liability that,
even though it does not appear on the balance sheet, may result in a future obligation or loss. The
financial instruments used by the Fund are commodity futures, whose values are based upon an
underlying asset and generally represent future commitments to have a reasonable possibility to be
settled in cash or through physical delivery. These instruments are traded on an exchange and are
standardized contracts.
Market risk is the potential for changes in the value of the financial instruments traded by the
Fund due to market changes, including fluctuations in commodity prices. In entering into these
contracts, there exists a market risk that such contracts may be significantly influenced by
conditions, resulting in such contracts being less valuable. If the markets should move against all
of the futures interest positions at the same time, and the Managing Owner was unable to offset
such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange
clearinghouse to perform according to the terms of a contract. Credit risk with respect to
exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts
as a counterparty to the transactions. The Funds risk of loss in the event of counterparty default
is typically limited to the amounts recognized in the statement of assets and liabilities and not
represented by the contract or notional amounts of the instruments.
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future,
special purpose entities to facilitate off-balance sheet financing arrangements and have no loan
guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered
into in the normal course of business.
(7) Share Purchases and Redemptions
(a) Purchases
Shares may be purchased from the Fund only by certain eligible financial institutions (Authorized
Participants) in one or more blocks of 50,000 Shares, called Baskets. The Fund will issue Shares
in Baskets only to Authorized Participants continuously as of noon, New York time, on the business
day immediately following the date on which a valid order to create a Basket is accepted by the
Fund, at the net asset value of 50,000 Shares as of the closing time of the NYSE Arca or the last
to close of the exchanges on which the Index Commodities are traded, whichever is later, on the
date that a valid order to create a Basket is accepted by the Fund.
14
Table of Contents
(b) Redemptions
On any business day, an Authorized Participant may place an order with the Distributor to redeem
one or more Baskets. Redemption orders must be placed by 10:00 a.m., New York time. The day on
which the Distributor receives a valid redemption order is the redemption order date. The
redemption procedures allow only Authorized Participants to purchase and redeem Baskets. Individual
Shareholders may not redeem Shares directly from the Fund.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be
redeemed through DTCs book-entry system to the Fund not later than noon, New York time, on the
business day immediately following the redemption order date. By placing a redemption order, and
prior to receipt of the redemption distribution, an Authorized Participants DTC account will be
charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash
redemption amount is equal to the net asset value of the number of Basket(s) requested in the
Authorized Participants redemption order as of the closing time of the NYSE Arca or the last to
close of the exchanges on which the Index Commodities are traded, whichever is later, on the
redemption order date. The Fund will distribute the cash redemption amount at noon, New York time,
on the business day immediately following the redemption order date through DTC to the account of
the Authorized Participant as recorded on DTCs book entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon,
New York time, on the business day immediately following the redemption order date if, by such time
on such business day immediately following the redemption order date, the Funds DTC account has
been credited with the Baskets to be redeemed. If the Funds DTC account has not been credited with
all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the
extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the
next business day to the extent of remaining whole Baskets received if the Administrator receives
the fee applicable to the extension of the redemption distribution date which the Managing Owner
may, from time to time, determine and the remaining Baskets to be redeemed are credited to the
Funds DTC account by noon, New York time, on such next business day. Any further outstanding
amount of the redemption order shall be canceled. The Administrator is also authorized to deliver
the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the
Funds DTC account by noon, New York time, on the business day immediately following the redemption
order date if the Authorized Participant has collateralized its obligation to deliver the Baskets
through DTCs book entry system on such terms as the Administrator and the Managing Owner may from
time to time agree upon.
The Distributor may, in its discretion, and will when directed by the Managing Owner, suspend the
right of redemption or postpone the redemption settlement date, (1) for any period during which an
emergency exists as a result of which the redemption distribution is not reasonably practicable, or
(2) for such other period as the Managing Owner determines to be necessary for the protection of
the Shareholders. In addition, the Distributor will reject a redemption order if the order is not
in proper form as described in the Participant Agreement or if the fulfillment of the order, in the
opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could
adversely affect a redeeming Authorized
Participant. For example, the resulting delay may adversely affect the value of the Authorized
Participants redemption proceeds if the net asset value of the Fund declines during the period of
the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may
disclaim any liability for any loss or damage that may result from any such suspension or
postponement.
(8) Operating Expenses, Organizational and Offering Costs
(a) Management Fee
15
Table of Contents
The Master Fund pays the Managing Owner a management fee (the Management Fee) monthly in arrears,
in an amount equal to 0.85% per annum of the net asset value of the Master Fund. No separate
management fee will be paid by the Fund. The Management Fee will be paid in consideration of the
use of the license for the Thomson Reuters Continuous Commodity Index held by GreenHaven, LLC, a
Georgia limited liability company formed in August 2005, and its subsidiary GreenHaven Commodity
Services, LLC, as well as for commodity futures trading advisory services. The management fee
incurred for the six month periods ended June 30, 2009 and June 30, 2008 was $279,794 and $100,297,
respectively, and the management fee incurred for the three months ended June 30, 2009 and June 30,
2008 was $233,203 and $63,703, respectively. This fee was charged to the Fund and paid to the
Managing Owner.
(b) Organization and Offering Expenses
Expenses incurred in connection with organizing the Fund and the Master Fund and the offering of
the Shares will be paid by GreenHaven, LLC. GreenHaven, LLC is the sole member of the Managing
Owner. The Fund and the Master Fund do not have an obligation to reimburse GreenHaven, LLC or its
affiliates for organization and offering expenses paid on their behalf.
(c) Brokerage Commissions and Fees
The Master Fund pays to the Commodity Broker all brokerage commissions, including applicable
exchange fees, give-up fees, pit brokerage fees and other transaction related fees and expenses
charged in connection with trading activities. On average, total charges paid to the Commodity
Broker are expected to be less than $15 per round-turn trade. A round-turn trade is a buy and sell
pair. The Managing Owner does not expect brokerage commissions and fees to exceed 0.24% of the net
asset value of the Master Fund in any year. Brokerage commissions and fees will be charged against
the Master Funds Assets on a per transaction basis on the date of the transaction. The brokerage
commissions and trading fees incurred for the six month periods ended June 30, 2009 and June 30,
2008 were $79,001 and $29,931, respectively, and the brokerage commissions and trading fees for the
three months ended June 30, 2009 and June 30, 2008 were $65,845 and $17,986, respectively. These
fees were charged to the Fund and paid to the Commodity Broker. Brokerage commissions and trading
fees are typically charged by the Commodity Broker to the Fund on a half-turn basis, i.e. half is
charged when a contract is opened and half is charged when a position is closed. Currently, the
Fund accrues monthly an amount equal to .02% of the net asset value of the Master Fund.
(d) Extraordinary Fees and Expenses
The Master Fund will pay all the extraordinary fees and expenses, if any, of the Fund and the
Master Fund. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of
timing and amount.
(e) Routine Operational, Administrative and Other Ordinary Expenses
During the Continuous Offering Period the Managing Owner will pay all of the routine operational,
administrative and other ordinary expenses of the Index Fund and the Master Fund, including, but
not limited to, accounting and computer services, the fees and expenses of the Trustee, legal fees
and expenses, tax preparation expenses, filing fees, fees in connection with fund administration,
and printing, mailing and duplication costs.
(9) Termination
The term of the Fund is perpetual (unless terminated earlier in certain circumstances) as defined
in the Prospectus.
(10) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to
the Fund in proportion to the percentage interest owned by each. Distributions may be made at the
sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital
balances of the shareholders.
16
Table of Contents
(11) Net Asset Value and Financial Highlights
The Fund is presenting the following net asset value and financial highlights related to investment
performance and operations for a Share outstanding for the three month and six month periods ended
June 30, 2009 and June 30, 2008. The net investment income and total expense ratios have been
annualized. The total return is based on the change in net asset value of the Shares during the
period. An individual investors return and ratios may vary based on the timing of capital
transactions.
Three Months | Three Months | Six Months | Period | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2009 | 2008 | 2009 | 2008 (iii) | |||||||||||||
Net Asset Value |
||||||||||||||||
Net asset value per Limited Share, beginning
of period |
$ | 21.73 | $ | 32.46 | $ | 21.92 | $ | 30.00 | ||||||||
Net realized and change in unrealized gain from
investments |
1.06 | 4.34 | 0.91 | 6.73 | ||||||||||||
Net investment income (loss) |
(0.06 | ) | 0.03 | (0.10 | ) | 0.10 | ||||||||||
Net increase in net assets from operations |
1.00 | 4.37 | 0.81 | 6.83 | ||||||||||||
Net asset value per Limited Share, end of period |
22.73 | 36.83 | 22.73 | 36.83 | ||||||||||||
Market value per Limited Share, beginning of period |
21.95 | 32.34 | 21.92 | 30.00 | ||||||||||||
Market value per Limited Share, end of period |
$ | 22.88 | $ | 36.88 | $ | 22.88 | $ | 36.88 | ||||||||
Ratio to average net assets (i) |
||||||||||||||||
Net investment income (loss) |
(0.98 | ) | 0.37 | (0.96 | ) | 0.63 | ||||||||||
Total expenses |
1.08 | 1.09 | 1.07 | 1.10 | ||||||||||||
Total Return, at net asset value (ii) |
4.60 | % | 13.5 | % | 3.70 | % | 22.8 | %(iv) | ||||||||
Total Return, at market value (ii) |
4.24 | % | 14.0 | % | 4.38 | % | 22.9 | %(iv) | ||||||||
(i) | Percentages are annualized. | |
(ii) | Percentages are not annualized. | |
(iii) | Reflects operating results since January 23, 2008, the date of commencement of trading. | |
(iv) | Percentages are calculated for the period January 23, 2008 to June 30, 2008 based on initial offering price upon commencement of investment operations of $30.00. |
(12) Recently Issued Accounting Standards
In December 2007, the FASB issued FASB Statement No. 160, Non-controlling Interests in
Consolidated Financial Statements an amendment to ARB No 51 (Statement 160). Statement 160
requires non-controlling interests (previously referred to as minority interests) to be reported as
a component of equity, which changes the accounting for transactions with non-controlling interest
holders. Statement 160 is effective for periods beginning on or after December 15, 2008 and earlier
adoption is prohibited. Statement 160 will be applied prospectively to all non-controlling
interests including any that arose before the effective date and presentation and disclosure
requirements shall be applied retrospectively for all periods presented. The Fund adopted Statement
160 on January 1, 2009, and has determined that the application of the Statement did not have any
impact on its results of operation and financial position.
On September 12, 2008, the FASB issued FASB Staff Position (FSP) No. FAS 133-1 (FSP 133-1) and
FASB Interpretation Number (FIN) 45-4 (FIN 45-4), Disclosures about Credit Derivatives and
Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45 and
Clarification of the Effective Date of FASB Statement No. 161. FSP 133-1 is intended to improve
17
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disclosures about credit derivatives by requiring more information about the potential adverse
effects of
changes in credit risk on the financial position, financial performance, and cash flows of the
sellers of credit derivatives. It amends FASB Statement No. 133, Accounting for Derivative
Instruments and Hedging Activities, to require disclosures by sellers of credit derivatives,
including credit derivatives embedded in hybrid instruments. FIN 45-4 amends FIN 45, Guarantors
Accounting and disclosure Requirements for Guarantees, Including Indirect Guarantees of
Indebtedness to Others, to require an additional disclosure about the current status of the
payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 are effective for reporting periods
(annual or interim) ending after November 15, 2008. Adoption of this position had no impact on the
Funds disclosures.
On April 9, 2009 the FASB issued FASB Staff Position (FSP) No FAS 107-1 amending FASB Statement
No. 107, Disclosures about Fair Value of Financial Instruments", to require disclosures about fair
value of financial instruments for interim reporting periods of publicly traded companies as well
as in annual financial statements. This FSP also amends APB Opinion No. 28, Interim Financial
Reporting", to require those disclosures in summarized financial information at interim reporting
periods. The Fund adopted the requirements of this pronouncement for the quarter ended June 30,
2009.
In May 2009, the FASB issued FASB Statement No. 165, Subsequent Events (Statement 165).
Statement 165 sets forth the period after the balance sheet date during which management of a
reporting entity should evaluate events or transactions that may occur for potential recognition or
disclosure in the financial statements, the circumstances under which an entity should recognize
events or transactions occurring after the balance sheet date in its financial statements, and the
disclosures that an entity should make about events or transactions that occurred after the balance
sheet date. Statement 165 will be effective for interim or annual periods ending after June 15,
2009 and will be applied prospectively. The adoption of Statement 165 did not have a material
impact on our consolidated results of operations or consolidated financial position.
In June 2009, the FASB issued FASB Statement No. 168, The FASB Accounting Standards Codification
(Codification) and the Hierarchy of Generally Accepted Accounting Principles (Statement 168) -
a replacement of FASB Statement No. 162, The Hierarchy of Generally Accepted Accounting Principles.
Under the provisions of Statement 168, the Codification will become the source of authoritative
U.S. GAAP recognized by the FASB to be applied by nongovernmental entities. The rules and
interpretive releases of the SEC under authority federal securities laws are also sources of
authoritative GAAP for SEC registrants. On the effective date of Statement 168, the Codification
will supersede all then-existing non-SEC accounting and reporting standards. All other
non-grandfathered non-SEC accounting literature not included in the Codification will become
non-authoritative. The provisions of Statement 168 are effective for financial statements issued
for interim and annual periods ending after September 15, 2009. The Managing Owner is currently
reviewing the provisions of Statement 168 to determine the impact on the Funds consolidated
financial statements.
(13) Subsequent Event
In accordance with Statement 165, the Managing Owner evaluated all events and transactions that
occurred after June 30, 2009 up through August 12, 2009, the date these financial statements were
issued. During this period, there were 350,000 Limited Shares created and 950,000 shares redeemed
resulting in the Fund having 5,700,000 total Limited Shares outstanding as of August 12, 2009.
ITEM 2. | MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS. |
Overview / Introduction
The initial offering period began and ended on January 23, 2008 during which time 350,000 shares
were sold at $30 per share for total proceeds of $10,500,000. The entire proceeds were received by
the Fund which then invested them in the Master Fund. Shares were then listed for trading on the
American Stock
18
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Exchange on January 24, 2008, marking the beginning of the continuous offering
period. The ticker symbol of the Fund is GCC.
Performance Summary
There is no performance history prior to the beginning of trading on January 24, 2008. For
performance history subsequent to the beginning of trading, see item (11) of the Notes to Unaudited
Financial Statements of June 30, 2009, above.
Net Asset Value
The Administrator calculates a daily Net Asset Value per share of the Fund, based on closing prices
of the underlying futures contracts. The first such calculation was as of market close on January
24, 2008, the first day of trading on the NYSE Arca, formerly the American Stock Exchange. Values
of the underlying Index are computed by Thomson Reuters America, LLC, and disseminated by NYSE Arca
every fifteen (15) seconds during the trading day. Only settlement and last-sale prices are used in
the Indexs calculation, bids and offers are not recognized including limit-bid and limit-offer
price quotes. Where no last-sale price exists, typically in the more deferred contract months, the
previous days settlement price is used. This means that the underlying Index may lag its
theoretical value. This tendency to lag is evident at the end of the day when the Index value is
based on the settlement prices of the component commodities, and explains why the underlying Index
often closes at or near the high or low for the day.
Critical Accounting Policies
The Funds critical accounting policies are as follows:
Preparation of the financial statements and related disclosures in conformity with U.S. generally
accepted accounting principles requires the application of appropriate accounting rules and
guidance, as well as the use of estimates, and requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities, revenue and expense and
related disclosure of contingent assets and liabilities during the reporting period of the
consolidated financial statements and accompanying notes. The Funds application of these policies
involves judgments and actual results may differ from the estimates used.
The Master Fund holds a significant portion of its assets in futures contracts and United States
Treasury Obligations, both of which will be recorded on a trade date basis and at fair value in the
consolidated financial statements, with changes in fair value reported in the consolidated
statement of income and expenses. Generally, fair values are based on quoted market closing prices.
However, when market closing prices are not available, the Managing Owner may value an asset of the
Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal
industry standards.
The use of fair value to measure financial instruments, with related unrealized gains or losses
recognized in earnings in each period is fundamental to the Funds financial statements. The fair
value of a financial instrument is the amount that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants at the measurement date
(the exit price).
The Fund adopted FASB Statement No. 157, Fair Value Measurements (Statement 157), effective
January 1, 2008. In determining fair value of United States Treasury Obligations and commodity
futures contracts, the Fund uses unadjusted quoted market prices in active markets. The objective
of a fair value measurement is to determine the price that would be received to sell an asset or
paid to transfer a liability in an orderly transaction between market participants at the
measurement date (an exit price). The hierarchy gives the highest priority to unadjusted quoted
prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety
based on the lowest level of input that is significant to the fair value measurement.
When market closing prices are not available, the Managing Owner may value an asset of the Master
Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry
standards.
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Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a
specific identification basis and recognized in the consolidated statement of income and expenses
in the period in which the contract is closed or the changes occur, respectively.
Interest income on United States Treasury Obligations is recognized on an accrual basis when
earned. Premiums and discounts are amortized or accreted over the life of the United States
Treasury Obligations.
Liquidity
The Managing Owner knows of no trends, demands, commitments, events or uncertainties that will
result in or that are reasonably likely to result in the Funds liquidity increasing or decreasing
in any material way.
Capital Resources
The Fund had no commitments for capital expenditures as of June 30, 2009. Currently, the Fund
invests only in U.S Treasury bills and in long positions in exchange-traded commodity futures
contracts. Therefore, it has no expectation of entering into commitments for capital expenditures
at any time in the future.
Off-Balance Sheet Arrangements and Contractual Obligations
As of June 30, 2009 the Fund had no commitments or contractual obligations other than its long
positions in futures contracts as detailed in the included Consolidated Schedule of Investments.
Typically, those positions require the Fund to deposit initial margin funds with its Commodity
Brokers in amounts equal to approximately 10% of the notional value of the contracts. In addition,
the Fund may be required to make additional margin deposits if prices fall for the underlying
commodities. Since the Fund is unleveraged, it holds in reserve the shareholder funds not required
for margin and invests these in U.S. Treasury bills. These funds are available to meet variation
margin calls.
In the normal course of its business, the Fund is party to financial instruments with off-balance
sheet risk. The term off-balance sheet risk refers to an unrecorded potential liability that,
even though it does not appear on the balance sheet, may result in a future obligation or loss. The
financial instruments used by the Fund are commodity futures, whose values are based upon an
underlying asset and generally represent future commitments which have a reasonable possibility to
be settled in cash or through physical delivery. The financial instruments are traded on an
exchange and are standardized contracts.
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-balance sheet arrangements of any kind, The Funds contractual obligations are with the
Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are
calculated as a fixed percentage of the Master Funds net asset value. Commission payments to the
Commodity Broker are on a contract-by-contract, or round-turn, basis. As such, the Managing Owner
cannot anticipate the amount of payments that will be required under these arrangements for future
periods as net asset values are not known until a future date.
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Results of Operations
FOR THE PERIOD FROM JANUARY 23, 2008 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO JUNE 30, 2009
(REFERRED TO HEREIN AS PERIOD ENDED JUNE 30, 2009)
The Fund was launched on January 23, 2008 at $30.00 per share and listed for trading on the NYSE
Arca, formerly the American Stock Exchange, on January 24, 2008.
GreenHaven Continuous Commodity Index Fund performance since inception
Date | NAV | Total Shares | Extended Value | 1 Month | 3 Months | Year to Date | Since Inception | |||||||
1/24/2008 |
$30.00 | 350,050 | $10,501,500.00 | | | | | |||||||
1/31/2008 |
$31.65 | 350,050 | $11,079,082.50 | 5.50% | | 5.50% | 5.50% | |||||||
2/29/2008 |
$35.41 | 900,050 | $31,870,770.50 | 11.88% | | 18.03% | 18.03% | |||||||
3/31/2008 |
$32.46 | 900,050 | $29,215,623.00 | -8.33% | | 8.20% | 8.20% | |||||||
4/30/2008 |
$33.49 | 900,050 | $30,142,674.50 | 3.17% | 5.81% | 11.63% | 11.63% | |||||||
5/31/2008 |
$33.77 | 950,050 | $32,083,188.50 | 0.84% | -4.63% | 12.57% | 12.57% | |||||||
6/30/2008 |
$36.83 | 800,050 | $29,465,841.50 | 9.06% | 13.46% | 22.77% | 22.77% | |||||||
7/31/2008 |
$33.71 | 750,050 | $25,284,185.50 | -8.47% | 0.66% | 12.37% | 12.37% | |||||||
8/31/2008 |
$31.65 | 800,050 | $25,321,582.50 | -6.11% | -6.28% | 5.50% | 5.50% | |||||||
9/30/2008 |
$27.74 | 750,050 | $20,806,387.00 | -12.35% | -24.68% | -7.53% | -7.53% | |||||||
10/31/2008 |
$22.68 | 700,050 | $15,877,134.00 | -18.24% | -32.72% | -24.40% | -24.40% | |||||||
11/28/2008 |
$22.03 | 700,050 | $15,422,101.50 | -2.87% | -30.39% | -26.57% | -26.57% | |||||||
12/31/2008 |
$21.92 | 800,050 | $17,537,096.00 | -0.50% | -20.98% | -26.93% | -26.93% | |||||||
1/31/2009 |
$21.80 | 900,050 | $19,621,090.00 | -0.55% | -3.88% | -0.55% | -27.33% | |||||||
2/28/2009 |
$20.87 | 950,050 | $19,827,543.50 | -4.27% | -5.27% | -4.79% | -30.43% | |||||||
3/31/2009 |
$21.73 | 3,950,050 | $85,834,586.50 | 4.12% | -0.87% | -0.87% | -27.57% | |||||||
4/30/2009 |
$21.69 | 3,950,050 | $85,676,584.50 | -0.18% | -0.50% | -1.05% | -27.70% | |||||||
5/30/2009 |
$24.21 | 5,000,050 | $121,051,210.50 | 11.62% | 16.00% | 10.45% | -19.30% | |||||||
6/30/2009 |
$22.73 | 6,300,050 | $143,200,136.50 | -6.11% | 4.60% | 3.70% | -24.23% |
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The Fund and the Master Fund seek to track changes in the Thomson Reuters Continuous Commodity
Index-Total Return, or the Index, over time. For the six months ended June 30, 2009 and period
ended June 30, 2008, the Funds Net Asset Value outperformed the Index by 1.21% and .35%,
respectively.
On March 26, 2009, the Fund issued 1,000,000 shares bringing the total number of shares outstanding
to 3,950,050. At that time the Fund had 4,000,000 shares publicly registered. As a result, the
Managing Owner ceased issuance of 50,000 share creation units until the Fund could register
additional shares for issuance with the appropriate regulatory bodies.
Subsequent to the three months ended March 31, 2009, an additional 21,000,000 shares were publicly
registered on May 14, 2009. As of August 12, 2009 the Fund has 5,700,000 Limited Shares
outstanding.
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
Introduction
The Fund aims to track the Thomson Reuters Continuous Commodity Index, which consists of seventeen
commodities and is rebalanced daily. Due to the rebalancing, the Fund on a given day holds an equal
amount of each of the seventeen index components. Thus, the exposure of the Fund to a given
component remains over time very close to 1/17, or 5.88%. Unless the Index Owner (Thomson Reuters)
changes the construction of the Index, the Fund will maintain the same allocation to the same
commodities. The value of the Shares relates directly to the value of the commodity futures and
other assets held by the Master Fund and fluctuations in the price of these assets could materially
adversely affect an investment in the Shares. The Shares are designed to reflect, as closely as
possible, the performance of the Index through the Master Funds portfolio of exchange-traded
futures on the Index Commodities. The value of the Shares relate directly to the value of the
portfolio, less the liabilities (including estimated accrued but unpaid expenses) of the Fund and
the Master Fund. The price of the Index Commodities may fluctuate widely based on many factors.
Some of those factors are:
| changing supply and demand relationships; | ||
| general economic activities and conditions; | ||
| weather and other environmental conditions; |
22
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| acts of God; | ||
| agricultural, fiscal, monetary and exchange control programs and policies of governments; | ||
| national and international political and economic events and policies; | ||
| changes in rates of inflation; or | ||
| the general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors. |
In addition to the factors set forth above, each commodity has risks that are inherent in the
investment in such commodity.
Metals Commodities: Price movements in futures contracts held by the Master Fund in metals
commodities such as gold, silver, platinum and copper are affected by many specific factors. Some
of these metal specific factors include, but are not limited to:
| A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund. | ||
| A sudden shift in political conditions of the worlds leading metal producers may have a negative effect on the global pricing of metals. | ||
| An increase in the hedging of precious metals may result in the price of precious metals to decline. | ||
| Changes in global supply and demand for industrial and precious metals. | ||
| The price and quantity of imports and exports of industrial and precious metals. | ||
| Technological advances in the processing and mining of industrial and precious metals. |
Agricultural Commodities: Price movements in futures contracts held by the Master Fund in
agricultural commodities, such as wheat, corn and soybeans, are affected by many factors. Some of
these agricultural specific factors include, but are not limited to:
| Farmer planting decisions, general economic, market and regulatory factors. | ||
| Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities. | ||
| Changes in global supply and demand for agricultural products. | ||
| The price and quantity of imports and exports of agricultural commodities. | ||
| Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports. | ||
| Technological advances in agricultural production. | ||
| The price and availability of alternative agricultural commodities. |
Energy Commodities: Price movements in futures contracts held by the Master Fund in energy
commodities, such as crude oil, heating oil and natural gas, are subject to risks due to frequent
and often substantial fluctuations in energy commodity prices. In the past, the prices of natural
gas and crude oil have been extremely volatile, and the Managing Owner expects this volatility to
continue. The markets and
23
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prices for energy commodities are affected by many factors. Some of those
factors include, but are not limited to:
| Changes in global supply and demand for oil and natural gas. | ||
| The price and quantity of imports and exports of oil and natural gas. | ||
| Political conditions, including embargoes and war, in or affecting other oil producing activities. | ||
| The level of global oil and natural gas exploration and production. | ||
| The level of global oil and natural gas inventories, production or pricing. | ||
| Weather conditions. | ||
| Technological advances effecting energy consumption. | ||
| The price and availability of alternative fuels. |
None of these factors can be controlled by the Managing Owner. Even if current and correct
information as to substantially all factors are known or thought to be known, prices still will not
always react as predicted. The profitability of the Fund and the Master Fund will depend on whether
the Master Funds commodities
portfolio increases in value over time. If the value increases, the Fund will only be profitable if
such increases exceed the fees and expenses of the Fund. If these values do not increase, the Fund
will not be profitable and will incur losses.
Quantitative Forward-looking Statements
Quantifying the Funds Trading Risk
The following qualitative disclosures regarding the Funds risk exposures except for those
disclosures that are statements of historical fact constitute forward-looking statements within
the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act.
The Funds primary market risk exposures are subject to numerous uncertainties, contingencies and
risks. Government interventions, defaults and expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in historical price relationships, an
influx of new market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures of the Fund. There can be no
assurance that the Funds current market exposure will not change materially. Investors may lose
all or substantially all of their investment in the Fund.
The Funds Risk by Market Sector
The following were the primary trading risk exposures of the Fund as of June 30, 2009 by market
sector.
Grains |
17.65% | Corn, Soybeans, Wheat | ||
Livestock |
11.76% | Hogs, Cattle | ||
Metals |
23.50% | Gold, Silver, Platinum, Copper | ||
Energy |
17.65% | Crude Oil, Natural Gas, Heating Oil | ||
Softs |
29.40% | Coffee, Cocoa, Sugar, Orange Juice, Cotton |
Non-Trading Risk
The Fund invests its excess funds in short-term U.S. Treasury bills. These instruments are not
interest-bearing and therefore trade at a discount to their value at maturity. The Fund expects
that the market risk of holding these investments is not material.
Qualitative Disclosures Regarding Non-Trading Risk Exposures
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The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii)
material trends, favorable or unfavorable, in its capital resources; or (iii) trends or
uncertainties that will have a material effect on operations.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Under ordinary circumstances, the Managing Owners discretionary power is limited to determining
whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the
Managing Owners discretionary powers increase, but remain circumscribed. These special
circumstances, for example, include the unavailability of the Index or certain natural or man-made
disasters. The Managing Owner does not apply risk management techniques. The Fund initiates
positions only on the long side of the market and does not employ stop-loss techniques.
ITEM 4. CONTROLS AND PROCEDURES.
Disclosure controls and procedures
Under the supervision and with the participation of the management of the Managing Owner, including
its chief executive officer and principal financial officer, the Fund carried out an evaluation of
the effectiveness of the design and operation of its disclosure controls and procedures (as defined
in Rule 13a-15(e) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief
executive officer and principal financial officer concluded that the Funds disclosure controls and
procedures with respect to the Fund were effective as of the end of the period covered by this
report.
Changes in Internal Control over Financial Reporting
The Fund commenced trading on January 24, 2008 and began to exercise its internal control over
financial reporting thereafter. The Funds investing activity is limited to the purchase and sale
of commodity futures contracts and of short-term U.S. Treasury bills. Futures transactions are made
through Merrill Lynch and Morgan Stanley, the Commodity Brokers, which provides the Fund with
statements on a daily basis. Bank of New York, the Funds Custodian, reconciles the reports from
Merrill Lynch and Morgan Stanley with its own records of Fund transactions. In addition, the
Managing Owner each day reconciles its own records with those of Merrill Lynch, Morgan Stanley, and
Bank of New York.
During the three months ended June 30, 2009, the Fund made no change to its internal control over
financial reporting that materially affected, or is reasonably likely to materially affect, its
internal control over financial reporting.
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PART II. OTHER INFORMATION
Item 1. Legal Proceedings.
Not Applicable.
Item 1A. Risk Factors.
There are no material changes from risk factors as previously disclosed in Annual Report on Form
10-K for the year ended December 31, 2008, filed March 27, 2009.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) The Registrants Registration Statement on Form S-1 (Registration No. 333-138424) was declared
effective on December 5, 2007 and updated on February 20, 2008, April 14, 2009. A new Registration
Statement was filed on Form S-1 (Registration No. 333-158421) and declared effective on April 24,
2009 with information with respect to the use of proceeds from the sale of the Limited Shares being
disclosed therein. The Fund commenced trading on the American Stock Exchange (now known as the NYSE
Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca. The proceeds
from the sale of the Limited Shares are used to purchase Master Fund Limited Units. The Master Fund
uses the proceeds from the sale of the Master Fund Limited Units for general corporate purposes in
accordance with its investment objectives and policies.
For the three months ended June 30, 2009, 2,400,000 Limited Shares were created for $57,375,071 and
50,000 Limited Shares were redeemed for $1,152,950. On June 30, 2009, 6,300,000 Limited Shares of
the Fund were outstanding for a market capitalization of $144,144,000, based on that days closing
price of $22.88 on the NYSE Arca.
(c) There were 50,000 Limited Shares redeemed by Authorized Participants during the three months
ended June 30, 2009.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Submission of Matters to a Vote of Security Holders.
None.
Item 5. Other Information.
None.
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Item 6. Exhibits.
31.1 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | |
31.2 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | |
32.1 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | |
32.2 | 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 (furnished herewith) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
GreenHaven Continuous Commodity Index Fund | |||||
By: | GreenHaven Commodity Services LLC, | ||||
its Managing Owner | |||||
By: | /s/ Ashmead Pringle | ||||
Name: Ashmead Pringle | |||||
Title: Chief Executive Officer | |||||
Dated: August 12, 2009
|
By: | /s/ Thomas J. Fernandes | |||
Name: Thomas J. Fernandes | |||||
Title: Principal Financial Officer |
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EXHIBIT INDEX
Exhibit | Page | |||
Number | Description of Document | Number | ||
31.1
|
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-1 | ||
31.2
|
Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-2 | ||
32.1
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-3 | ||
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 (furnished herewith) | E-4 |
28