WisdomTree Continuous Commodity Index Fund - Quarter Report: 2011 June (Form 10-Q)

 

 

UNITED STATES
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

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

Commission File Number: 001-33909

GREENHAVEN CONTINUOUS COMMODITY INDEX FUND

Delaware		26-0151234
(State or Other Jurisdiction of Incorporation or		(I.R.S. Employer Identification No.)
Organization)
c/o GreenHaven Commodity Services LLC
3340 Peachtree Rd, Suite 1910
Atlanta, Georgia		30326
(Address of Principal Executive Offices)		(Zip 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 þ No o

Indicate by check mark whether the registrant has submitted electronically and posted to its web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to post such files). Yes þ 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 þ		Non-Accelerated Filer o (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, 2011: 21,850,000 Limited Shares.

 

 

GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
QUARTER ENDED JUNE 30, 2011

PART 1. FINANCIAL INFORMATION			3
ITEM 1. FINANCIAL STATEMENTS			3
Consolidated Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010			3
Unaudited Consolidated Schedule of Investments at June 30, 2011			4
Consolidated Schedule of Investments at December 31, 2010			5
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended June 30, 2011 and 2010 and Six Months Ended June 30, 2011 and 2010			6
Unaudited Consolidated Statements of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2011			7
Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2011 and 2010			8
Notes to Unaudited Consolidated Financial Statements			9
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS			17
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK			21
ITEM 4. CONTROLS AND PROCEDURES			24
PART II. OTHER INFORMATION			25
ITEM 1. Legal Proceedings			25
ITEM 1A. Risk Factors			25
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds			25
ITEM 3. Defaults Upon Senior Securities			25
ITEM 4. Reserved			25
ITEM 5. Other Information			25
ITEM 6. Exhibits			26
SIGNATURES			26
EXHIBIT INDEX			27
EX-31.1 SECTION 302 CERTIFICATION OF CEO
EX-31.2 SECTION 302 CERTIFICATION OF CFO
EX-32.1 SECTION 906 CERTIFICATION OF CEO
EX-32.2 SECTION 906 CERTIFICATION OF CFO
EX-31.1
EX-31.2
EX-32.1
EX-32.2
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT

GreenHaven Continuous Commodity Index Fund

Consolidated Statements of Financial Condition
June 30, 2011 (unaudited) and December 31, 2010

		June 30,
		2011				December 31,
		(unaudited)				2010
Assets
Equity in broker trading accounts:
Short-term investments (cost $309,992,010 and $469,919,567 as of June 30, 2011 and December 31, 2010, respectively)		$	309,998,930			$	469,939,860
Cash held by broker			454,426,266				6,487,519
Net unrealized (depreciation) appreciation on futures contracts			(29,194,355	)			58,639,682
Total assets		$	735,230,841			$	535,067,061
Liabilities and shareholders’ equity
Management fee payable to related party		$	522,961			$	352,427
Broker fee payable			840,168				351,579
Total liabilities			1,363,129				704,006
Shareholders’ equity
General Units:
Paid in capital — 50 units issued and outstanding			1,500				1,500
Retained earnings			179				144
Total General Units			1,679				1,644
Limited Units:
Paid in capital — 21,850,000 and 16,250,000 redeemable units issued and outstanding as of June 30, 2011 and December 31, 2010, respectively			622,843,860				428,801,695
Retained earnings			111,022,173				105,559,716
Total Limited Units			733,866,033				534,361,411
Total shareholders’ equity			733,867,712				534,363,055
Total liabilities and shareholders’ equity		$	735,230,841			$	535,067,061
Net asset value per share
General Units		$	33.59			$	32.88
Limited Units		$	33.59			$	32.88

See accompanying notes to unaudited consolidated financial statements

GreenHaven Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments
June 30, 2011

		Percentage of				Fair				Face
Description		Net Assets				Value				Value
U.S. Treasury Obligations
U.S. Treasury Bills, 0.02% due July 14, 2011			38.15	%		$	279,999,440			$	280,000,000
U.S. Treasury Bills, 0.06% due August 25, 2011			2.73				19,999,840				20,000,000
U.S. Treasury Bills, 0.04% due September 22, 2011			1.36				9,999,650				10,000,000
Total U.S. Treasury Obligations (cost $309,992,010)			42.24	%		$	309,998,930			$	310,000,000

		Percentage of				Fair				Notional
Description		Net Assets				Value				Value
Unrealized Appreciation/(Depreciation) on Futures Contracts
Cocoa (681 contracts, settlement date September 15, 2011)			0.04	%		$	308,100			$	21,458,310
Cocoa (682 contracts, settlement date December 14, 2011)			0.14				1,032,690				21,626,220
Coffee (215 contracts, settlement date September 20, 2011)			(0.03	)			(215,906	)			21,414,000
Coffee (215 contracts, settlement date December 19, 2011)			(0.09	)			(618,488	)			21,688,125
Copper (201 contracts, settlement date September 28, 2011)			0.02				132,363				21,519,563
Copper (201 contracts, settlement date December 28, 2011)			0.01				35,700				21,594,937
Corn (678 contracts, settlement date September 14, 2011)			(0.21	)			(1,536,500	)			21,967,200
Corn (679 contracts, settlement date December 14, 2011)			(0.22	)			(1,608,275	)			21,065,975
Cotton (381 contracts, settlement date December 07, 2011)			(0.32	)			(2,309,945	)			22,591,395
Cotton (374 contracts, settlement date March 08, 2012)			(0.37	)			(2,735,375	)			20,498,940
Florida Orange Juice (529 contracts, settlement date September 12, 2011)			0.12				868,680				14,846,385
Florida Orange Juice (528 contracts, settlement date November 09, 2011)			0.19				1,400,843				14,145,120
Florida Orange Juice (537 contracts, settlement date January 10, 2012)			0.02				110,130				14,084,168
Gold (143 contracts, settlement date December 28, 2011)			0.05				344,550				21,521,500
Gold (143 contracts, settlement date February 27, 2012)			(0.06	)			(456,580	)			21,541,520
Heating Oil (68 contracts, settlement date August 31, 2011)			0.01				101,380				8,458,330
Heating Oil (69 contracts, settlement date September 30, 2011)			(0.11	)			(824,153	)			8,631,403
Heating Oil (69 contracts, settlement date October 31, 2011)			(0.11	)			(808,710	)			8,683,567
Heating Oil (68 contracts, settlement date November 30, 2011)			(0.06	)			(396,711	)			8,609,126
Heating Oil (69 contracts, settlement date December 30, 2011)			(0.06	)			(433,579	)			8,784,128
Lean Hogs (309 contracts, settlement date August 12, 2011)			(0.08	)			(596,850	)			11,331,030
Lean Hogs (310 contracts, settlement date October 14, 2011)			(0.04	)			(319,770	)			10,691,900
Lean Hogs (310 contracts, settlement date December 14, 2011)			(0.06	)			(455,680	)			10,409,800
Lean Hogs (310 contracts, settlement date February 14, 2012)			(0.04	)			(277,270	)			10,688,800
Light, Sweet Crude Oil (89 contracts, settlement date August 22, 2011)			(0.04	)			(324,170	)			8,540,440
Light, Sweet Crude Oil (89 contracts, settlement date September 20, 2011)			(0.16	)			(1,134,900	)			8,588,500
Light, Sweet Crude Oil (89 contracts, settlement date October 20, 2011)			(0.15	)			(1,113,200	)			8,636,560
Light, Sweet Crude Oil (89 contracts, settlement date November 18, 2011)			(0.04	)			(318,500	)			8,680,170
Light, Sweet Crude Oil (90 contracts, settlement date December 20, 2011)			(0.04	)			(311,750	)			8,816,400
Live Cattle (301 contracts, settlement date October 31, 2011)			(0.02	)			(160,330	)			14,110,880
Live Cattle (301 contracts, settlement date December 30, 2011)			(0.05	)			(341,430	)			14,448,000
Live Cattle (301 contracts, settlement date February 29, 2012)			0.05				360,720				14,589,470
Natural Gas (188 contracts, settlement date August 29, 2011)			0.01				103,630				8,258,840
Natural Gas (188 contracts, settlement date September 28, 2011)			0.02				163,670				8,332,160
Natural Gas (188 contracts, settlement date October 27, 2011)			0.01				54,440				8,559,640
Natural Gas (188 contracts, settlement date November 28, 2011)			(0.08	)			(587,120	)			8,909,320
Natural Gas (188 contracts, settlement date December 28, 2011)			(0.08	)			(564,120	)			9,106,720
Platinum (250 contracts, settlement date October 27, 2011)			(0.15	)			(1,126,160	)			21,576,250
Platinum (249 contracts, settlement date January 27, 2012)			(0.09	)			(648,770	)			21,529,785
Silver (124 contracts, settlement date September 28, 2011)			(0.11	)			(817,485	)			21,595,840
Silver (124 contracts, settlement date December 28, 2011)			(0.26	)			(1,905,830	)			21,607,620
Soybean (332 contracts, settlement date November 14, 2011)			(0.20	)			(1,435,325	)			21,480,400
Soybean (331 contracts, settlement date January 13, 2012)			(0.19	)			(1,395,538	)			21,585,338
Sugar (739 contracts, settlement date September 30, 2011)			0.28				2,078,832				21,801,091
Sugar (741 contracts, settlement date February 29, 2012)			0.19				1,384,600				21,337,243
Wheat (678 contracts, settlement date September 14, 2011)			(0.80	)			(5,874,475	)			20,823,075
Wheat (678 contracts, settlement date December 14, 2011)			(0.82	)			(6,021,788	)			22,289,250
Net Unrealized Depreciation on Futures Contracts			(3.98	)%		$	(29,194,355	)		$	733,054,434

See accompanying notes to unaudited consolidated financial statements

GreenHaven Continuous Commodity Index Fund

Consolidated Schedule of Investments
December 31, 2010

		Percentage of				Fair				Face
Description		Net Assets				Value				Value
U.S. Treasury Obligations
U.S. Treasury Bills, 0.09% due January 13, 2011			33.68	%		$	179,998,380			$	180,000,000
U.S. Treasury Bills, 0.12% due February 03, 2011			11.23				59,995,500				60,000,000
U.S. Treasury Bills, 0.13% due February 17, 2011			1.87				9,998,620				10,000,000
U.S. Treasury Bills, 0.12% due February 24, 2011			3.74				19,996,760				20,000,000
U.S. Treasury Bills, 0.15% due March 10, 2011			9.36				49,989,000				50,000,000
U.S. Treasury Bills, 0.13% due March 24, 2011			28.06				149,961,600				150,000,000
Total U.S. Treasury Obligations (cost $469,919,567)			87.94	%		$	469,939,860			$	470,000,000

		Percentage of				Fair				Notional
Description		Net Assets				Value				Value
Unrealized Appreciation on Futures Contracts
Cocoa (344 contracts, settlement date March 16, 2011)			0.12	%		$	636,750			$	10,440,400
Cocoa (343 contracts, settlement date May 13, 2011)			0.11				606,950				10,468,360
Cocoa (344 contracts, settlement date July 14, 2011)			0.13				682,981				10,540,160
Coffee (116 contracts, settlement date March 21, 2011)			0.40				2,127,581				10,461,750
Coffee (116 contracts, settlement date May 18, 2011)			0.40				2,152,463				10,518,300
Coffee (116 contracts, settlement date July 19, 2011)			0.27				1,460,111				10,468,275
Copper (94 contracts, settlement date March 29, 2011)			0.36				1,927,650				10,450,450
Copper (94 contracts, settlement date May 26, 2011)			0.39				2,061,488				10,432,825
Copper (95 contracts, settlement date July 27, 2011)			0.20				1,078,225				10,504,625
Corn (330 contracts, settlement date March 14, 2011)			0.36				1,945,850				10,378,500
Corn (330 contracts, settlement date May 13, 2011)			0.36				1,927,875				10,502,250
Corn (330 contracts, settlement date July 14, 2011)			0.20				1,068,200				10,560,000
Cotton (154 contracts, settlement date March 09, 2011)			0.43				2,294,524				11,150,370
Cotton (151 contracts, settlement date May 06, 2011)			0.34				1,802,070				10,389,555
Cotton (152 contracts, settlement date July 07, 2011)			0.12				644,704				9,826,800
Florida Orange Juice (427 contracts, settlement date March 11, 2011)			0.13				699,810				10,475,378
Florida Orange Juice (422 contracts, settlement date May 10, 2011)			0.06				295,988				10,450,830
Florida Orange Juice (420 contracts, settlement date July 11, 2011)			0.10				537,300				10,480,050
Gold (74 contracts, settlement date February 24, 2011)			0.17				914,920				10,518,360
Gold (73 contracts, settlement date April 27, 2011)			0.18				970,160				10,392,280
Gold (73 contracts, settlement date June 28, 2011)			0.05				239,600				10,407,610
Heating Oil (58 contracts, settlement date January 31, 2011)			0.13				684,037				6,193,286
Heating Oil (58 contracts, settlement date February 28, 2011)			0.13				677,783				6,208,146
Heating Oil (59 contracts, settlement date March 31, 2011)			0.14				730,666				6,305,023
Heating Oil (59 contracts, settlement date April 29, 2011)			0.07				378,487				6,295,111
Heating Oil (59 contracts, settlement date May 31, 2011)			0.07				378,420				6,302,793
Lean Hogs (225 contracts, settlement date February 14, 2011)			0.08				405,900				7,177,500
Lean Hogs (225 contracts, settlement date April 14, 2011)			0.09				486,320				7,548,750
Lean Hogs (225 contracts, settlement date June 14, 2011)			0.09				457,720				8,374,500
Lean Hogs (226 contracts, settlement date July 15, 2011)			0.08				444,060				8,357,480
Light, Sweet Crude Oil (67 contracts, settlement date January 20, 2011)			0.11				605,960				6,122,460
Light, Sweet Crude Oil (68 contracts, settlement date February 22, 2011)			0.12				655,440				6,270,960
Light, Sweet Crude Oil (68 contracts, settlement date March 22, 2011)			0.13				710,820				6,317,880
Light, Sweet Crude Oil (68 contracts, settlement date April 19, 2011)			0.07				378,669				6,351,880
Light, Sweet Crude Oil (67 contracts, settlement date May 20, 2011)			0.07				387,900				6,283,260
Live Cattle (238 contracts, settlement date February 28, 2011)			0.16				842,540				10,314,920
Live Cattle (237 contracts, settlement date April 29, 2011)			0.16				840,320				10,636,560
Live Cattle (239 contracts, settlement date June 30, 2011)			0.08				448,240				10,446,690
Natural Gas (142 contracts, settlement date January 27, 2011)			0.02				125,030				6,255,100
Natural Gas (142 contracts, settlement date February 24, 2011)			0.03				184,880				6,279,240
Natural Gas (142 contracts, settlement date March 29, 2011)			0.03				185,310				6,249,420
Natural Gas (142 contracts, settlement date April 27, 2011)			0.09				484,577				6,296,280
Natural Gas (142 contracts, settlement date May 26, 2011)			0.09				463,960				6,354,500
Platinum (176 contracts, settlement date April 27, 2011)			0.24				1,277,895				15,648,160
Platinum (177 contracts, settlement date July 27, 2011)			0.12				628,240				15,779,550
Silver (68 contracts, settlement date March 29, 2011)			0.52				2,776,085				10,518,580
Silver (67 contracts, settlement date May 26, 2011)			0.59				3,152,680				10,381,985
Silver (67 contracts, settlement date July 27, 2011)			0.23				1,242,865				10,398,400
Soybean (148 contracts, settlement date March 14, 2011)			0.38				2,043,188				10,382,200
Soybean (149 contracts, settlement date May 13, 2011)			0.40				2,149,688				10,497,050
Soybean (149 contracts, settlement date July 14, 2011)			0.15				776,537				10,515,675
Sugar (320 contracts, settlement date February 28, 2011)			0.38				2,021,544				11,511,808
Sugar (320 contracts, settlement date April 29, 2011)			0.33				1,767,517				10,508,288
Sugar (321 contracts, settlement date June 30, 2011)			0.26				1,368,442				9,419,424
Wheat (256 contracts, settlement date March 14, 2011)			0.12				657,400				10,166,400
Wheat (258 contracts, settlement date May 13, 2011)			0.17				891,337				10,587,675
Wheat (257 contracts, settlement date July 14, 2011)			0.16				854,025				10,691,200
Net Unrealized Appreciation on Futures Contracts			10.97	%		$	58,639,682			$	533,765,262

See accompanying notes to unaudited consolidated financial statements

GreenHaven Continuous Commodity Index Fund

Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended June 30, 2011 and 2010
and Six Months Ended June 30, 2011 and 2010

		Three Months				Three Months				Six Months				Six Months
		Ended				Ended				Ended				Ended
		June 30, 2011				June 30, 2010				June 30, 2011				June 30, 2010
Income
Interest Income		$	119,476			$	69,812			$	307,100			$	97,167
Expenses
Management fee to related party			1,681,823				512,153				3,038,336				1,025,052
Brokerage commissions and fees			474,867				144,609				857,883				289,427
Total expenses			2,156,690				656,762				3,896,219				1,314,479
Net Investment Loss			(2,037,214	)			(586,950	)			(3,589,119	)			(1,217,312	)
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
Realized Gain (Loss) on
Investments			—				(403	)			—				(403	)
Futures Contracts			38,183,502				(6,797,890	)			96,899,021				(1,004,295	)
Net Realized Gain (Loss)			38,183,502				(6,798,293	)			96,899,021				(1,004,698	)
Net Change in Unrealized (Loss) Gain on
Investments			(19,474	)			(3,137	)			(13,373	)			(8,480	)
Futures Contracts			(73,931,624	)			5,626,466				(87,834,037	)			(11,538,723	)
Net Change in Unrealized (Loss) Gain			(73,951,098	)			5,623,329				(87,847,410	)			(11,547,203	)
Net Realized and Unrealized (Loss) Gain on Investments and Future Contracts			(35,767,596	)			(1,174,964	)			9,051,611				(12,551,901	)
Net (Loss) Gain		$	(37,804,810	)		$	(1,761,914	)		$	5,462,492			$	(13,769,213	)

Please see accompanying notes to unaudited consolidated financial statements

GreenHaven Continuous Commodity Index Fund

Unaudited Consolidated Statements of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2011

		General Units																Limited Units																Total
														Total																Total
														General																Limited				Total
		General Units								Accumulated				Shareholders’				Limited Units								Accumulated				Shareholders’				Shareholders’
		Units				Amount				Earnings				Equity				Units				Amount				Earnings				Equity				Equity
Balance at December 31, 2010			50			$	1,500			$	144			$	1,644				16,250,000			$	428,801,695			$	105,559,716			$	534,361,411			$	534,363,055
Creation of Limited Units			—				—				—				—				8,450,000				292,134,891				—				292,134,891				292,134,891
Redemption of Limited Units			—				—				—				—				(2,850,000	)			(98,092,726	)			—				(98,092,726	)			(98,092,726	)
Net Gain:
Net Investment Loss			—				—				(9	)			(9	)			—				—				(3,589,110	)			(3,589,110	)			(3,589,119	)
Net Realized Gain on Investments and Futures Contracts			—				—				238				238				—				—				96,898,783				96,898,783				96,899,021
Net Change in Unrealized Loss on Investments and Futures Contracts			—				—				(194	)			(194	)			—				—				(87,847,216	)			(87,847,216	)			(87,847,410	)
Net Gain			—				—				35				35				—				—				5,462,457				5,462,457				5,462,492
Balance at June 30, 2011			50			$	1,500			$	179			$	1,679				21,850,000			$	622,843,860			$	111,022,173			$	733,866,033			$	733,867,712

See accompanying notes to unaudited consolidated financial statements

GreenHaven Continuous Commodity Index Fund

Unaudited Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2011 and 2010

		2011				2010
Cash flow from operating activities:
Net Gain (Loss)		$	5,462,492			$	(13,769,213	)
Adjustments to reconcile net gain (loss) to net cash used for operating activities:
Purchase of investment securities			(994,765,343	)			(414,877,594	)
Proceeds from sales of investment securities			1,155,000,000				334,997,503
Net accretion of discount and amortization of premium			(307,100	)			(97,167	)
Net realized gain on investment securities			—				403
Unrealized depreciation on investments			87,847,410				11,547,203
Increase in accrued expenses			659,123				122,456
Net cash provided by (used for) operating activities			253,896,582				(82,076,409	)
Cash flows from financing activities:
Proceeds from creation of Limited Units			292,134,891				53,724,592
Redemption of Limited Units			(98,092,726	)			(26,400,558	)
Net cash provided by financing activities			194,042,165				27,324,034
Net change in cash			447,938,747				(54,752,375	)
Cash held by broker at beginning of period			6,487,519				97,250,587
Cash held by broker at end of period		$	454,426,266			$	42,498,212

See accompanying notes to unaudited consolidated financial statements

Notes to Unaudited Consolidated Financial Statements
June 30, 2011

(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 Fund’s portfolio also includes United States Treasury securities for deposit with the Master Fund’s 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 June 30, 2011 and for the three-month and six-month periods ended June 30, 2011 and 2010 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 Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year.

(2) Service Providers and Related Party Agreements

(a) “The Trustee” — CSC Trust is the trustee for the Fund and Master Fund. CSC Trust is headquartered in Wilmington, DE.

(b) “The Managing Owner” — GreenHaven Commodity Services, LLC is the managing owner of the Fund and Master Fund and is responsible for the day to day operations of both entities. The Managing Owner charges the Fund a management fee for its services. GreenHaven Commodity Services, LLC is a Delaware limited liability company with operations in Atlanta, GA.

(c) “The Administrator” — The Bank of New York Mellon Corporation has been appointed by the Managing Owner as the administrator, custodian and transfer agent of the Fund and the Master Fund, and has entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). Pursuant to the Administration Agreement, the Administrator performs or supervises the services necessary for the operation and administration of the Fund and the Master Fund (other than making investment decisions), including receiving net asset value calculations, accounting and other fund administrative services. As the Fund’s transfer agent, the Administrator processes additions and redemptions of Shares. These transactions are processed on Depository Trust Company’s (“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” — Morgan Stanley & Co. Incorporated (“MS&Co.”) is the Master Fund’s Commodity Broker. In its capacity as the Commodity Broker, it executes and clears each of the Master Fund’s futures transactions and performs certain administrative services for the Master Fund. MS&Co. is based in New York, New York.

(e) “The Distributor” — The Managing Owner, on behalf of the Fund and the Master Fund, has appointed ALPS Distributors, Inc., or the Distributor, to assist the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor retains all marketing materials and Basket creation and redemption books and records at c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, CO 80203; Telephone number (303) 623-2577. Investors may contact the Distributor toll-free in the U.S. at (800) 320-2577. The Fund has entered into a Distribution Services Agreement with the Distributor.

The Distributor is affiliated with ALPS Mutual Fund Services, Inc., a Denver-based service provider of administration, fund accounting, transfer agency and shareholder services for mutual funds, closed-end funds and exchange-traded funds.

(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, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses. Actual results could differ from those estimates.

(b) Cash Held by Broker

The Fund defines cash held by broker to be highly liquid investments, with original maturities of three months or less when acquired. MS&Co allows the Fund to apply its Treasury Bill portfolio towards its initial margin requirement for the Fund’s futures positions, hence all cash held by broker is unrestricted

cash. The cash and Treasury bill positions are held in segregated accounts at MS&Co and are not insured by the Federal Deposit Insurance Corporation.

(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 Fund’s commodity broker as margin for trading and holding against initial margin of the open futures contracts. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations.

(d) Income Taxes

The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution. The Fund’s reassessment of its tax positions did not have a material impact on the Fund’s financial condition, results of operations or liquidity.

The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. Accordingly, no provision for federal, state, and local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.

(e) Futures Contracts

The Fund purchases and holds commodity futures contracts for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the consolidated statement of financial condition, futures contracts are presented at their published settlement prices on the last business day of the period, in accord with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard. (See Note 4 — Fair Value Measurements)

However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable so long as such principles are consistent with the fair value accounting standard. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.

(f) Basis of Presentation & Consolidation

100% of the capital raised by the Fund is used to purchase common units of beneficial interest of the Master Fund. The financial statement balances of the Master Fund are consolidated with the Fund’s financial statement balances and all significant inter-company balances and transactions are eliminated.

(g) Recently Issued Accounting Standards

The Fund follows recent disclosure guidance, clarifying existing disclosure requirements, about fair value measurements. The additional requirements include disclosure regarding the amounts and reasons for significant transfers in and out of Level 1 and 2 of the fair value hierarchy and also separate presentation of purchases, sales, issuances and settlements of items measured using significant unobservable inputs (i.e.

Level 3). The guidance clarifies existing disclosure requirements regarding the inputs and valuation techniques used to measure fair value for measurements that fall in either Level 2 or Level 3 of the hierarchy. The requirements were effective for interim and annual reporting periods beginning after December 15, 2009, except for Level 3 reallocations which were effective for fiscal years beginning after December 15, 2010 and for interim periods within that fiscal year. The disclosures required by this guidance are reflected in Note 4.

Effective with the first quarter of fiscal year 2012, the Fund will be required to follow recent disclosure guidance which includes common requirements for measurement of and disclosure about fair value. The new guidance requires reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the guidance will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. Management is currently evaluating the implications of this guidance and its impact on the financial statements, but does not expect the new guidance to have an effect on the actual measurements to be reported.

(h) Subsequent Events

For purposes of disclosure in the financial statements, the Fund has evaluated events occurring between the period ended, June 30, 2011 and when the financial statements were issued.

During that period, 250,000 Limited Shares were created and 1,200,000 Limited Shares were redeemed resulting in 20,900,000 Limited Shares outstanding.

Effective August 1, 2011, the Fund’s brokerage commissions and fees and routine operational, administrative and other ordinary expenses are accrued at a rate of 0.20% per annum in the aggregate. Of the amounts so accrued, the Master Fund first pays brokerage fees, and secondly from the remainder of the amounts so accrued, reimburses the Managing Owner for the Fund’s and Master Fund’s routine operational, administrative, and other ordinary expenses paid by the Managing Owner.

Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

(4) Fair Value Measurements

The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Company uses a three-tier fair value hierarchy based upon observable and non-observable inputs 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 Fund’s 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. The assets of the Fund are either exchange-traded securities or government securities that are valued using dealer and broker quotations or other inputs that are observable

or can be corroborated by observable market data. A summary of the Fund’s assets and liabilities at fair value as of June 30, 2011, classified according to the levels used to value them, are as follows:

						Other
		Quoted Prices in				Significant				Significant
		Active Market				Observable				Unobservable
Assets		(Level 1)				Inputs (Level 2)				Inputs (Level 3)				Totals
U.S. Treasuries		$	—			$	309,998,930			$	—			$	309,998,930
Futures Contracts			(29,194,355	)			—				—				(29,194,355	)
Total		$	(29,194,355	)		$	309,998,930			$	—			$	280,804,575

There were no transfers between Level 1 and Level 2 for the Fund during the six months ended June 30, 2011. The Fund did not hold any Level 3 securities during the six months ended June 30, 2011.

A summary of the Fund’s assets and liabilities at fair value as of December 31, 2010, classified according to the levels used to value them, are as follows:

						Other
		Quoted Prices in				Significant				Significant
		Active Market				Observable				Unobservable
Assets		(Level 1)				Inputs (Level 2)				Inputs (Level 3)				Totals
U.S. Treasuries		$	—			$	469,939,860			$	—			$	469,939,860
Futures Contracts			58,639,682				—				—				58,639,682
Total		$	58,639,682			$	469,939,860			$	—			$	528,579,542

There were no transfers between Level 1 and Level 2 for the Fund during the year ended December 31, 2010. The Fund did not hold any Level 3 securities during the year ended December 31, 2010.

As discussed in Note 3(g) effective in the first quarter of fiscal 2012, revised disclosures will be required to follow recent disclosure guidance which includes common requirements for measurement of and disclosure about fair value.

(5) Derivative Instruments and Hedging Activities

The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2011, the Funds were invested in futures contracts.

At June 30, 2011, the fair value of derivative instruments was as follows:

Derivative Instruments		Asset Derivatives*				Liability Derivatives				Net Derivatives*
Futures Contracts		$	(29,194,355	)		$	—			$	(29,194,355	)

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the six months ended June 30, 2011:

		Realized Gain on				Net Change in Unrealized Gain
Derivative Instruments		Derivative Instruments				on Derivative Instruments
Futures Contracts		$	96,899,021			$	(87,834,037	)

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the three months ended June 30, 2011:

		Realized Gain on				Net Change in Unrealized Gain
Derivative Instruments		Derivative Instruments				on Derivative Instruments
Futures Contracts		$	38,183,502			$	(73,931,624	)

At December 31, 2010, the fair value of derivative instruments was as follows:

Derivative Instruments		Asset Derivatives*				Liability Derivatives				Net Derivatives*
Futures Contracts		$	58,639,682			$	—			$	58,639,682

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the six months ended June 30, 2010:

		Realized Loss on				Net Change in Unrealized Loss
Derivative Instruments		Derivative Instruments				on Derivative Instruments
Futures Contracts		$	(1,004,295	)		$	(11,538,723	)

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, categorized by risk exposure, for the three months ended June 30, 2010:

		Realized Loss on				Net Change in Unrealized Gain
Derivative Instruments		Derivative Instruments				on Derivative Instruments
Futures Contracts		$	(6,797,890	)		$	5,626,466

(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 counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of assets and liabilities and not represented by the contract or notional amounts of the instruments.

The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.

(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.

(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 DTC’s book-entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.

The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.

The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Administrator receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Administrator is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Administrator and the Managing Owner may from time to time agree upon.

The Distributor may, in its discretion, and will when directed by the Managing Owner, suspend the right of redemption or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. In addition, the Distributor will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the Fund declines during the period of the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may disclaim any liability for any loss or damage that may result from any such suspension or postponement.

(8) Operating Expenses, Organizational and Offering Costs

(a) Management Fee

The Master Fund pays the Managing Owner a management fee (the “Management Fee”) monthly in arrears, in an amount equal to 0.85% per annum of the net asset value of the Master Fund. No separate management fee is paid by the Fund. The Management Fee is paid in consideration of the use of the license for the Thomson Reuters Continuous Commodity Index held by the Managing Owner, as well as for commodity futures trading advisory services. The management fees incurred for the six-month period ended June 30, 2011 and 2010 were $3,038,336 and $1,025,052, respectively, and the management fee incurred for the three-months ended June 30, 2011 and 2010 was $1,681,823 and $512,153, respectively. The Management Fees were 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 were paid by the Managing Owner.

(c) Brokerage Commissions and Fees

The Master Fund pays to the Commodity Broker all brokerage commissions, including applicable exchange fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities. On average, total charges paid to the Commodity Broker are expected to be less than $20 per round-turn trade. A round-turn trade is a buy and sell pair. The Managing Owner 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 are charged against the Master Fund’s Assets on a per transaction basis on the date of the transaction. The brokerage commissions and trading fees incurred for the six-month period ended June 30, 2011 and 2010 were $857,883 and $289,427, respectively, and the brokerage commissions and trading fees for the three months ended June 30, 2011 and 2010 were $474,867 and $144,609, 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. See Note 3 (h) for details of the Fund’s brokerage commissions and fees accrual policy.

(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. There have been no extraordinary fees or expenses since the Fund commenced investment operations on January 23, 2008.

(e) Routine Operational, Administrative and Other Ordinary Expenses

During the continuous offering period the Managing Owner paid 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. See Note 3 (h) for details of the Fund’s brokerage commissions and fees accrual policy.

(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.

(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, 2011 and 2010, respectively. 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 investor’s return and ratios may vary based on the timing of capital transactions.

		Three Months				Three Months				Six Months				Six Months
		Ended				Ended				Ended				Ended
		June 30, 2011				June 30, 2010				June 30, 2011				June 30, 2010
Net Asset Value
Net asset value per Limited Share, beginning of period		$	35.20			$	25.07			$	32.88			$	26.22
Net realized and change in unrealized gain (loss) from investments			(1.52	)			(0.09	)			0.88				(1.17	)
Net investment loss			(0.09	)			(0.06	)			(0.17	)			(0.13	)
Net increase (decrease) in net assets from operations			(1.61	)			(0.15	)			0.71				(1.30	)
Net asset value per Limited Share, end of period		$	33.59			$	24.92			$	33.59			$	24.92
Market value per Limited Share, beginning of period			35.23				25.08				32.95				26.32
Market value per Limited Share, end of period		$	33.50			$	24.93			$	33.50			$	24.93
Ratio to average net assets (i)
Net investment loss			(1.03	)%			(0.97	)%			(1.00	)%			(1.01	)%
Total expenses			1.09	%			1.09	%			1.09	%			1.09	%
Total Return, at net asset value (ii)			(4.57	)%			(0.60	)%			2.16	%			(4.96	)%
Total Return, at market value (ii)			(4.91	)%			(0.60	)%			1.67	%			(5.28	)%

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Overview / Introduction

The initial offering period for the GreenHaven Continuous Commodity Index Fund (the Fund) 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 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 the Results of Operations section below.

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 Index’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Index value is based on the settlement prices of the component commodities, and explains why the underlying Index often closes at or near the high or low for the day.

Critical Accounting Policies

The Fund’s 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 Fund’s 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 are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses. 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 Fund’s financial statements. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

The Fund values United States Treasury Obligations using broker and dealer quotations. The Fund values commodity futures contracts using the quotations from the futures exchanges where the futures contracts are traded. 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. 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.

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 Fund’s liquidity increasing or decreasing in any material way.

Capital Resources

The Fund had no commitments for capital expenditures as of June 30, 2011. 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 near future.

Off-Balance Sheet Arrangements and Contractual Obligations

As of June 30, 2011 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 not leveraged, 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 Fund’s contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of the Master Fund’s net asset value. Commission 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 future net asset values are not known until a future date.

Results of Operations

FOR THE PERIOD FROM JANUARY 23, 2008 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO JUNE 30, 2011

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
1/23/2008		$	30.00			350,050		$	10,501,500				—				—				—				—
1/31/2008		$	31.65			350,050		$	11,079,083				5.50%				—				5.50%				5.50%
2/29/2008		$	35.41			900,050		$	31,870,771				11.88%				—				18.03%				18.03%
3/31/2008		$	32.46			900,050		$	29,215,623				-8.33%				—				8.20%				8.20%
4/30/2008		$	33.49			900,050		$	30,142,675				3.17%				5.81%				11.63%				11.63%
5/31/2008		$	33.77			950,050		$	32,083,189				0.84%				-4.63%				12.57%				12.57%
6/30/2008		$	36.83			800,050		$	29,465,842				9.06%				13.46%				22.77%				22.77%
7/31/2008		$	33.71			750,050		$	25,284,186				-8.47%				0.66%				12.37%				12.37%
8/31/2008		$	31.65			800,050		$	25,321,583				-6.11%				-6.28%				5.50%				5.50%
9/30/2008		$	27.74			750,050		$	20,806,387				-12.35%				-24.68%				-7.53%				-7.53%
10/31/2008		$	22.68			700,050		$	15,877,134				-18.24%				-32.72%				-24.40%				-24.40%
11/28/2008		$	22.03			700,050		$	15,422,102				-2.87%				-30.39%				-26.57%				-26.57%
12/31/2008		$	21.92			800,050		$	17,537,096				-0.50%				-20.98%				-26.93%				-26.93%
1/31/2009		$	21.80			900,050		$	19,621,090				-0.55%				-3.88%				-0.55%				-27.33%
2/28/2009		$	20.87			950,050		$	19,827,544				-4.27%				-5.27%				-4.79%				-30.43%
3/31/2009		$	21.73			3,950,050		$	85,834,587				4.12%				-0.87%				-0.87%				-27.57%
4/30/2009		$	21.69			3,950,050		$	85,676,585				-0.18%				-0.50%				-1.05%				-27.70%
5/30/2009		$	24.21			5,000,050		$	121,051,211				11.62%				16.00%				10.45%				-19.30%
6/30/2009		$	22.73			6,300,050		$	143,200,137				-6.11%				4.60%				3.70%				-24.23%
7/31/2009		$	23.44			5,550,000		$	130,092,000				3.12%				8.07%				6.93%				-21.87%
8/31/2009		$	23.19			6,100,050		$	141,460,160				-1.07%				-4.21%				5.79%				-22.70%
9/30/2009		$	23.89			8,350,050		$	199,482,695				3.02%				5.10%				8.99%				-20.37%
10/31/2009		$	24.94			8,850,050		$	220,720,247				4.40%				6.40%				13.78%				-16.87%
11/30/2009		$	26.09			7,550,050		$	196,980,805				4.61%				12.51%				19.02%				-13.03%
12/31/2009		$	26.22			8,750,050		$	229,426,311				0.50%				9.75%				19.62%				-12.60%
1/31/2010		$	25.09			9,850,050		$	247,137,755				-4.31%				0.60%				-4.31%				-16.37%
2/28/2010		$	25.67			9,400,050		$	241,299,284				2.31%				-1.61%				-2.10%				-14.43%
3/31/2010		$	25.07			9,550,050		$	239,419,754				-2.34%				-4.39%				-4.39%				-16.43%
4/30/2010		$	25.76			9,650,050		$	248,585,288				2.75%				2.67%				-1.75%				-14.13%
5/31/2010		$	24.50			9,650,050		$	236,426,225				-4.89%				-4.56%				-6.56%				-18.33%
6/30/2010		$	24.92			9,750,050		$	242,971,246				1.71%				-0.60%				-4.96%				-16.93%
7/31/2010		$	26.42			10,200,050		$	269,485,321				6.02%				2.56%				0.76%				-11.93%
8/31/2010		$	26.21			11,250,050		$	294,863,811				-0.79%				6.98%				-0.04%				-12.63%
9/30/2010		$	28.14			11,100,050		$	312,355,407				7.36%				12.92%				7.32%				-6.20%
10/31/2010		$	29.76			13,000,050		$	386,881,488				5.76%				12.64%				13.50%				-0.80%
11/30/2010		$	29.67			14,900,050		$	442,084,484				-0.30%				13.20%				13.16%				-1.10%
12/31/2010		$	32.88			16,250,050		$	534,301,644				10.82%				16.84%				25.40%				9.60%
1/31/2011		$	34.01			17,650,050		$	600,278,201				3.44%				14.28%				3.44%				13.37%
2/28/2011		$	35.16			19,600,050		$	689,137,758				3.38%				18.50%				6.93%				17.20%
3/31/2011		$	35.20			23,250,050		$	818,401,760				0.11%				7.06%				7.06%				17.33%
4/30/2011		$	36.34			23,800,050		$	864,893,817				3.24%				6.85%				10.52%				21.13%
5/31/2011		$	34.87			22,000,050		$	767,141,744				-4.05%				-0.82%				6.05%				16.23%
6/30/2011		$	33.59			21,850,050		$	733,943,180				-3.67%				-4.57%				2.16%				11.97%

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, 2011 and June 30, 2010, the Fund’s Net Asset Value outperformed the Index by 0.91% and 0.58%, respectively.

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 Fund’s portfolio of exchange-traded futures on the Index Commodities. The value of the Shares relate directly to the value of the portfolio, less the liabilities (including estimated accrued but unpaid expenses) of the Fund and the Master Fund. The price of the Index Commodities may fluctuate widely based on many factors. Some of those factors are:

	•		changing supply and demand relationships;
	•		general economic activities and conditions;
	•		weather and other environmental conditions;
	•		acts of God;
	•		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 world’s leading metal producers may have a negative effect on the global pricing of metals.
	•		An increase in the hedging of precious metals may result in the price of precious metals to decline.
	•		Changes in global supply and demand for industrial and precious metals.
	•		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 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 Fund’s commodities portfolio increases in value over time. If the value increases, the Fund will only be profitable if such increases exceed the fees and expenses of the Fund. If these values do not increase, the Fund will not be profitable and will incur losses.

Quantitative Forward-looking Statements

Quantifying the Fund’s Trading Risk

The following qualitative disclosures regarding the Fund’s 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 Fund’s 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 Fund’s current market exposure will not change materially. Investors may lose all or substantially all of their investment in the Fund.

The Fund’s Risk by Market Sector

The following were the primary trading risk exposures of the Fund as of June 30, 2011 by market sector.

Grains		17.65%		Corn, Soybeans, Wheat
Livestock		11.76%		Hogs, Cattle
Metals		23.53%		Gold, Silver, Platinum, Copper
Energy		17.65%		Crude Oil, Natural Gas, Heating Oil
Softs		29.41%		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 coupon-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

The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. These special circumstances, for example, include the unavailability of the Index or certain natural or man-made disasters. The Managing Owner does not apply risk management techniques. The Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.

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 Fund’s 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 Fund’s 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 Morgan Stanley, the Commodity Broker, which provides the Fund with statements on a daily basis. The Bank of New York Mellon Corporation, the Fund’s Custodian, reconciles the reports from Morgan Stanley with its own records of Fund transactions. In addition, the Managing Owner each day reconciles its own records with those of Morgan Stanley and the Bank of New York Mellon Corporation.

During the three months ended June 30, 2011, the Fund made no changes to its internal control over financial reporting that materially affected, or is reasonably likely to materially affect, its internal control over financial reporting.

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, 2010, filed March 14, 2011.

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

(a) None.

(b) The Registrant’s Registration Statement on Form S-1 (Registration No. 333-138424) was declared effective on December 5, 2007 and updated on February 20, 2008 and April 14, 2009. A new Registration Statement was filed on Form S-1 (Registration No. 333-158421), declared effective on April 24, 2009, and a Post-Effective Amendment to the Registration Statement was filed on May 4, 2010 with information with respect to the use of proceeds from the sale of the Limited Shares being disclosed therein. A new Registration Statement was filed on Form S-3 (Registration No. 333-170917) on December 2, 2010 and declared effective on January 14, 2011. 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, 2011, 1,250,000 Limited Shares were created for $44,292,798 and 2,650,000 Limited Shares were redeemed for $90,969,816. On June 30, 2011, 21,850,000 Limited Shares of the Fund were outstanding for a market capitalization of $731,975,000, based on that day’s closing price of $33.50 on the NYSE Arca.

(c) There were 2,650,000 Limited Shares redeemed by Authorized Participants during the three months ended June 30, 2011.

Item 3. Defaults Upon Senior Securities.

     None.

Item 4. Reserved

Item 5. Other Information.

     None.

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