t73255_10q.htm
Table of Contents
 
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
For the quarterly period ended March 31, 2012,
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 Numbers: 001-33908, 001-33909
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
(Registrant)
(Exact name of Registrant as specified in its charter)
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
(Rule 140 Co-Registrant)
(Exact name of Registrant as specified in its charter)
     
 
Delaware
  
26-0151234
26-0151301
(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)
 
Registrant’s 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 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 þ
Accelerated Filer o
Non-Accelerated Filer o
Smaller reporting company o
(Do not check if a smaller reporting company)
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No þ
 
Indicate the number of outstanding Limited Shares as of March 31, 2012: 21,250,000 Limited Shares.

 
1
 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED MARCH 31, 2012
 
 
PART 1. FINANCIAL INFORMATION
 
     
 
ITEM 1. FINANCIAL STATEMENTS
 
     
 
Greenhaven Continuous Commodity Index Fund Financial Statements
  
 
3
 
4
 
5
 
6
 
7
 
8
     
 
Greenhaven Continuous Commodity Index Master Fund Financial Statements
  
 
9
 
10
 
11
 
12
 
13
 
14
     
 
15
     
 
23
     
 
28
     
 
31
     
32
     
 
32
 
32
 
32
 
32
 
32
 
32
 
33
     
34
     
35
    36
    37
    38
    39
    40
    41
    42
    43
 
 
2
 
GreenHaven Continuous Commodity Index Fund
  
 
March 31, 2012 (unaudited) and December 31, 2011
  
             
   
March 31,
        
   
2012
    
December 31,
  
   
(unaudited)
    
2011
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $554,984,201 and $9,999,989 as of March 31, 2012 and December 31, 2011, respectively)
   $ 554,990,840     $ 9,999,990  
Cash held by broker
     110,195,659       619,079,494  
Net unrealized depreciation on futures contracts
     (18,937,797 )     (45,001,789 )
Total assets
   $ 646,248,702     $ 584,077,695  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ -     $ 1,497,826  
Management fee payable to related party
     473,738       438,205  
Accrued brokerage fees and expenses payable
     906,203       983,648  
Total liabilities
     1,379,941       2,919,679  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Retained earnings (deficit)
     17       (2 )
Total General Units
     1,517       1,498  
Limited Units:
                
Paid in capital -21,250,000 and 19,400,000 redeemable units
                
             issued and outstanding as of March 31, 2012 and
             December 31, 2011, respectively
     607,862,587       549,362,581  
Retained earnings
     37,004,657       31,793,937  
                 
Total Limited Units
     644,867,244       581,156,518  
                 
Total shareholders’ equity
     644,868,761       581,158,016  
                 
Total liabilities and shareholders’ equity
   $ 646,248,702     $ 584,077,695  
                 
Net asset value per share
                
                 
General Units
   $ 30.34     $ 29.96  
                 
Limited Units
   $ 30.35     $ 29.96  
   
See accompanying notes to unaudited consolidated financial statements
  

 
GreenHaven Continuous Commodity Index Fund
March 31, 2012
                 
   
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bills, 0.06% due April 05, 2012
     43.42 %   $ 279,999,440     $ 280,000,000  
U.S. Treasury Bills, 0.07% due April 26, 2012
     31.01       199,995,600       200,000,000  
U.S. Treasury Bills, 0.10% due May 17, 2012
     11.63       74,995,800       75,000,000  
Total U.S. Treasury Obligations (cost $554,984,201)
     86.06 %   $ 554,990,840     $ 555,000,000  
                         
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
          
Cocoa (564 contracts, settlement date May 15, 2012)
     (0.09 ) %   $ (596,110 )   $ 12,515,160  
Cocoa (564 contracts, settlement date July 16, 2012)
     (0.09 )     (552,820 )     12,667,440  
Cocoa (564 contracts, settlement date September 13, 2012)
     0.01       59,780       12,757,680  
Coffee (183 contracts, settlement date May 18, 2012)
     (0.47 )     (3,004,031 )     12,520,631  
Coffee (182 contracts, settlement date July 19, 2012)
     (0.42 )     (2,720,456 )     12,626,250  
Coffee (182 contracts, settlement date September 18, 2012)
     (0.30 )     (1,949,006 )     12,820,762  
Copper (132 contracts, settlement date May 29, 2012)
     0.14       921,163       12,622,500  
Copper (132 contracts, settlement date July 27, 2012)
     0.14       930,475       12,650,550  
Copper (131 contracts, settlement date September 26, 2012)
     (0.02 )     (123,350 )     12,584,188  
Corn (410 contracts, settlement date May 14, 2012)
     (0.09 )     (576,463 )     13,202,000  
Corn (410 contracts, settlement date July 13, 2012)
     (0.02 )     (151,525 )     13,186,625  
Corn (410 contracts, settlement date September 14, 2012)
     (0.09 )     (549,713 )     11,546,625  
Cotton (405 contracts, settlement date May 08, 2012)
     (0.01 )     (55,360 )     18,937,800  
Cotton (403 contracts, settlement date July 09, 2012)
     (0.02 )     (124,580 )     18,924,880  
FCOJ-A (536 contracts, settlement date May 10, 2012)
     (0.18 )     (1,186,418 )     13,225,800  
FCOJ-A (514 contracts, settlement date July 11, 2012)
     (0.16 )     (1,013,003 )     12,451,650  
FCOJ-A (513 contracts, settlement date September 10, 2012)
     (0.18 )     (1,166,700 )     12,285,068  
Gold (113 contracts, settlement date June 27, 2012)
     (0.12 )     (786,110 )     18,892,470  
Gold (113 contracts, settlement date August 29, 2012)
     (0.02 )     (141,090 )     18,919,590  
Heating Oil (57 contracts, settlement date April 30, 2012)
     0.03       161,780       7,589,219  
Heating Oil (57 contracts, settlement date May 31, 2012)
     0.04       230,320       7,611,484  
Heating Oil (57 contracts, settlement date June 29, 2012)
     0.06       398,412       7,634,705  
Heating Oil (56 contracts, settlement date July 31, 2012)
     0.03       164,858       7,521,931  
Heating Oil (56 contracts, settlement date August 31, 2012)
     0.03       171,016       7,538,866  
Lean Hogs (216 contracts, settlement date April 16, 2012)
     (0.09 )     (583,330 )     7,207,920  
Lean Hogs (215 contracts, settlement date June 14, 2012)
     (0.10 )     (655,770 )     7,774,400  
Lean Hogs (215 contracts, settlement date July 16, 2012)
     (0.08 )     (485,890 )     7,881,900  
Lean Hogs (215 contracts, settlement date August 14, 2012)
     (0.05 )     (330,540 )     7,899,100  
Lean Hogs (216 contracts, settlement date October 12, 2012)
     (0.08 )     (501,350 )     7,162,560  
Light, Sweet Crude Oil (73 contracts, settlement date April 20, 2012)
     0.03       218,290       7,520,460  
Light, Sweet Crude Oil (73 contracts, settlement date May 22, 2012)
     0.04       278,250       7,558,420  
Light, Sweet Crude Oil (73 contracts, settlement date June 20, 2012)
     0.04       258,550       7,594,190  
Light, Sweet Crude Oil (73 contracts, settlement date July 20, 2012)
     0.02       163,690       7,621,200  
Light, Sweet Crude Oil (72 contracts, settlement date August 21, 2012)
     0.02       155,450       7,535,520  
Live Cattle (262 contracts, settlement date June 29, 2012)
     (0.15 )     (986,010 )     12,172,520  
Live Cattle (262 contracts, settlement date August 31, 2012)
     (0.11 )     (696,360 )     12,541,940  
Live Cattle (262 contracts, settlement date October 31, 2012)
     (0.11 )     (680,030 )     13,162,880  
Natural Gas (323 contracts, settlement date April 26, 2012)
     (0.36 )     (2,323,580 )     6,866,980  
Natural Gas (323 contracts, settlement date May 29, 2012)
     (0.32 )     (2,091,240 )     7,296,570  
Natural Gas (323 contracts, settlement date June 27, 2012)
     (0.22 )     (1,404,190 )     7,716,470  
Natural Gas (323 contracts, settlement date July 27, 2012)
     (0.22 )     (1,415,580 )     7,949,030  
Natural Gas (324 contracts, settlement date August 29, 2012)
     (0.21 )     (1,350,680 )     8,074,080  
Platinum (230 contracts, settlement date July 27, 2012)
     0.04       283,040       18,907,150  
Platinum (230 contracts, settlement date October 29, 2012)
     (0.01 )     (81,330 )     18,949,700  
Silver (77 contracts, settlement date May 29, 2012)
     0.03       176,790       12,506,340  
Silver (78 contracts, settlement date July 27, 2012)
     0.02       111,060       12,692,160  
Silver (78 contracts, settlement date September 26, 2012)
     (0.06 )     (392,320 )     12,712,050  
Soybean (180 contracts, settlement date May 14, 2012)
     0.20       1,266,675       12,627,000  
Soybean (180 contracts, settlement date July 13, 2012)
     0.26       1,650,650       12,674,250  
Soybean (180 contracts, settlement date August 14, 2012)
     0.25       1,629,938       12,604,500  
Sugar (468 contracts, settlement date April 30, 2012)
     0.02       141,019       12,951,994  
Sugar (468 contracts, settlement date June 29, 2012)
     0.03       172,502       12,485,491  
Sugar (468 contracts, settlement date September 28, 2012)
     0.02       111,205       12,511,699  
Wheat (376 contracts, settlement date May 14, 2012)
     (0.05 )     (293,538 )     12,422,100  
Wheat (375 contracts, settlement date July 13, 2012)
     0.02       134,988       12,637,500  
Wheat (373 contracts, settlement date September 14, 2012)
     0.04       240,775       12,868,500  
Net Unrealized Depreciation on Futures Contracts
     (2.94 ) %   $ (18,937,797 )   $ 644,320,448  
   
See accompanying notes to unaudited consolidated financial statements
 
 
4
 
GreenHaven Continuous Commodity Index Fund
December 31, 2011
 
 
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989)
     1.72 %   $ 9,999,990     $ 10,000,000  
                         
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
          
Cocoa (535 contracts, settlement date March 15, 2012)
     (0.55 ) %   $ (3,205,990 )   $ 11,283,150  
Cocoa (536 contracts, settlement date May 15, 2012)
     (0.53 )     (3,093,380 )     11,422,160  
Cocoa (536 contracts, settlement date July 16, 2012)
     (0.33 )     (1,932,240 )     11,513,280  
Coffee (133 contracts, settlement date March 20, 2012)
     (0.15 )     (896,456 )     11,314,144  
Coffee (132 contracts, settlement date May 18, 2012)
     (0.16 )     (919,744 )     11,367,675  
Coffee (132 contracts, settlement date July 19, 2012)
     (0.06 )     (352,538 )     11,493,900  
Copper (133 contracts, settlement date March 28, 2012)
     (0.10 )     (592,150 )     11,424,700  
Copper (132 contracts, settlement date May 29, 2012)
     (0.11 )     (608,013 )     11,376,750  
Copper (132 contracts, settlement date July 27, 2012)
     0.01       51,438       11,401,500  
Corn (349 contracts, settlement date March 14, 2012)
     (0.15 )     (862,200 )     11,281,425  
Corn (349 contracts, settlement date May 14, 2012)
     (0.15 )     (839,875 )     11,425,387  
Corn (348 contracts, settlement date July 13, 2012)
     0.01       33,125       11,505,750  
Cotton (249 contracts, settlement date March 08, 2012)
     (0.13 )     (726,570 )     11,429,100  
Cotton (248 contracts, settlement date May 08, 2012)
     (0.15 )     (851,265 )     11,368,320  
Cotton (248 contracts, settlement date July 09, 2012)
     (0.12 )     (721,380 )     11,322,440  
FCOJ-A (561 contracts, settlement date March 12, 2012)
     0.04       257,978       14,221,350  
FCOJ-A (486 contracts, settlement date May 10, 2012)
     0.15       856,470       12,261,780  
FCOJ-A (306 contracts, settlement date July 11, 2012)
     (0.01 )     (32,880 )     7,738,740  
Gold (72 contracts, settlement date February 27, 2012)
     (0.09 )     (527,380 )     11,280,960  
Gold (72 contracts, settlement date April 26, 2012)
     (0.21 )     (1,233,460 )     11,299,680  
Gold (73 contracts, settlement date June 27, 2012)
     (0.25 )     (1,434,620 )     11,472,680  
Heating Oil (57 contracts, settlement date January 31, 2012)
     (0.02 )     (109,389 )     6,976,595  
Heating Oil (56 contracts, settlement date February 29, 2012)
     (0.02 )     (101,056 )     6,834,677  
Heating Oil (56 contracts, settlement date March 30, 2012)
     (0.02 )     (111,661 )     6,789,283  
Heating Oil (56 contracts, settlement date April 30, 2012)
     (0.09 )     (493,088 )     6,734,482  
Heating Oil (56 contracts, settlement date May 31, 2012)
     (0.08 )     (488,053 )     6,693,557  
Lean Hogs (236 contracts, settlement date February 14, 2012)
     (0.07 )     (384,030 )     7,957,920  
Lean Hogs (236 contracts, settlement date April 16, 2012)
     (0.06 )     (325,560 )     8,278,880  
Lean Hogs (235 contracts, settlement date June 14, 2012)
     (0.05 )     (275,680 )     8,977,000  
Lean Hogs (236 contracts, settlement date July 16, 2012)
     (0.04 )     (210,990 )     8,951,480  
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012)
     0.13       727,240       6,819,270  
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012)
     0.13       746,950       6,831,000  
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012)
     0.13       746,560       6,845,490  
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012)
     0.01       82,600       6,859,290  
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012)
     0.02       113,320       6,764,640  
Live Cattle (229 contracts, settlement date February 29, 2012)
     0.00 *     2,380       11,124,820  
Live Cattle (230 contracts, settlement date April 30, 2012)
     (0.02 )     (131,730 )     11,541,400  
Live Cattle (230 contracts, settlement date June 29, 2012)
     (0.02 )     (122,410 )     11,460,900  
Natural Gas (224 contracts, settlement date January 27, 2012)
     (0.40 )     (2,315,920 )     6,695,360  
Natural Gas (224 contracts, settlement date February 27, 2012)
     (0.38 )     (2,204,450 )     6,755,840  
Natural Gas (220 contracts, settlement date March 28, 2012)
     (0.36 )     (2,067,940 )     6,773,800  
Natural Gas (220 contracts, settlement date April 26, 2012)
     (0.20 )     (1,188,850 )     6,888,200  
Natural Gas (219 contracts, settlement date May 29, 2012)
     (0.20 )     (1,169,040 )     6,968,580  
Platinum (243 contracts, settlement date April 26, 2012)
     (0.43 )     (2,468,450 )     17,069,535  
Platinum (243 contracts, settlement date July 27, 2012)
     (0.44 )     (2,566,290 )     17,124,210  
Silver (82 contracts, settlement date March 28, 2012)
     (0.35 )     (2,055,925 )     11,445,150  
Silver (81 contracts, settlement date May 29, 2012)
     (0.38 )     (2,222,650 )     11,323,800  
Silver (81 contracts, settlement date July 27, 2012)
     (0.33 )     (1,944,665 )     11,338,785  
Soybean (186 contracts, settlement date March 14, 2012)
     (0.17 )     (1,016,225 )     11,232,075  
Soybean (187 contracts, settlement date May 14, 2012)
     (0.16 )     (954,425 )     11,383,625  
Soybean (187 contracts, settlement date July 13, 2012)
     0.05       264,900       11,472,450  
Sugar (444 contracts, settlement date February 29, 2012)
     (0.24 )     (1,406,339 )     11,586,624  
Sugar (444 contracts, settlement date April 30, 2012)
     (0.20 )     (1,152,122 )     11,412,576  
Sugar (444 contracts, settlement date June 29, 2012)
     (0.09 )     (545,496 )     11,218,637  
Wheat (343 contracts, settlement date March 14, 2012)
     (0.20 )     (1,133,987 )     11,194,662  
Wheat (340 contracts, settlement date May 14, 2012)
     (0.19 )     (1,118,513 )     11,411,250  
Wheat (340 contracts, settlement date July 13, 2012)
     0.04       230,325       11,666,250  
Net Unrealized Depreciation on Futures Contracts
     (7.74 ) %   $ (45,001,789 )   $ 580,606,964  
                         
* Denotes greater than 0.000% yet less than 0.005%
                  
           
See accompanying notes to unaudited consolidated financial statements
 
 
5
 
GreenHaven Continuous Commodity Index Fund
  
 
For the Three Months Ended March 31, 2012 and 2011
  
   
             
   
2012
    
2011
  
Income
            
Interest Income
   $ 30,714     $ 187,623  
                 
Expenses
                
Management fee to related party
     1,328,067       1,356,513  
Brokerage fees and expenses
     70,914       383,015  
  Total expenses
     1,398,981       1,739,528  
  Net Investment Loss
     (1,368,267 )     (1,551,905 )
                 
Realized and Net Change in Unrealized (Loss) Gain on
                
     Investments and Futures Contracts
                
Realized (Loss) Gain on
                
Futures Contracts
     (19,491,624 )     58,715,519  
Net Realized (Loss) Gain
     (19,491,624 )     58,715,519  
Net Change in Unrealized Gain (Loss) on
                
Investments
     6,638       6,101  
Futures Contracts
     26,063,992       (13,902,413 )
Net Change in Unrealized Gain (Loss)
     26,070,630       (13,896,312 )
Net Realized and Unrealized Gain on Investments
                
     and Future Contracts
     6,579,006       44,819,207  
                 
Net Gain
   $ 5,210,739     $ 43,267,302  
   
See accompanying notes to unaudited consolidated financial statements
  

 
GreenHaven Continuous Commodity Index Fund
  
 
For the Three Months Ended March 31, 2012
  
                                                       
   
General Units
    
Limited Units
     Total  
                                                       
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Retained
    
Shareholders’
    
Limited Units
    
Retained
    
Shareholders’
    
Shareholders’
  
   
Units
    
Amount
    
Earnings
    
Equity
    
Units
    
Amount
    
Earnings
    
Equity
    
Equity
  
Balance at January 1, 2012
     50     $ 1,500     $ (2 )   $ 1,498       19,400,000     $ 549,362,581     $ 31,793,937     $ 581,156,518     $ 581,158,016  
Creation of Limited Units
     -       -       -       -       2,550,000       80,222,138       -       80,222,138       80,222,138  
Redemption of Limited Units
     -       -       -       -       (700,000 )     (21,722,132 )     -       (21,722,132 )     (21,722,132 )
Net gain:
                                                                        
     Net investment loss
     -       -       (4 )     (4 )     -       -       (1,368,263 )     (1,368,263 )     (1,368,267 )
     Net realized loss on Futures Contracts
     -       -       (49 )     (49 )     -       -       (19,491,575 )     (19,491,575 )     (19,491,624 )
     Net change in unrealized gain on Investments and Futures Contracts
     -       -       72       72       -       -       26,070,558       26,070,558       26,070,630  
Net gain
     -       -       19       19       -       -       5,210,720       5,210,720       5,210,739  
                                                                         
Balance at March 31, 2012
     50     $ 1,500     $ 17     $ 1,517       21,250,000     $ 607,862,587     $ 37,004,657     $ 644,867,244     $ 644,868,761  
                                                 
See accompanying notes to unaudited consolidated financial statements

 
GreenHaven Continuous Commodity Index Fund
  
 
For the Three Months Ended March 31, 2012 and 2011
  
   
   
2012
    
2011
  
Cash flow from operating activities:
            
Net Gain
   $ 5,210,739     $ 43,267,302  
Adjustments to reconcile net gain to net cash used for operating activities:
          
Purchase of investment securities
      (554,953,498 )       (674,811,466 ) 
Proceeds from sales of investment securities
     10,000,000       470,000,000  
Net accretion of discount
      (30,714 )       (187,623 ) 
Unrealized (appreciation) depreciation on investments
     (26,070,630 )     13,896,312  
(Decrease) in payable (increase) in receivable - capital shares
     (1,497,826 )     (8,799,438 )
(Decrease) increase in accrued expenses
     (41,912 )     421,991  
Net cash (used for) operating activities
     (567,383,841 )     (156,212,922 )
                 
Cash flows from financing activities:
                
Proceeds from creation of Limited Units
     80,222,138       247,842,094  
Redemption of Limited Units
      (21,722,132 )       (7,122,910 ) 
               Net cash provided by financing activities
     58,500,006       240,719,184  
                 
Net change in cash
     (508,883,835 )     84,506,262  
Cash held by broker at beginning of period
     619,079,494       6,487,519  
Cash held by broker at end of period
   $ 110,195,659     $ 90,993,781  
                 
See accompanying notes to unaudited consolidated financial statements

 
GreenHaven Continuous Commodity Index Master Fund
  
 
March 31, 2012 (unaudited) and December 31, 2011
  
             
   
March 31,
        
   
2012
    
December 31,
  
   
(unaudited)
    
2011
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $554,984,201 and $9,999,989 as of March 31, 2012 and December 31, 2011, respectively)
   $ 554,990,840     $ 9,999,990  
Cash held by broker
     110,195,659       619,079,494  
Net unrealized depreciation on futures contracts
     (18,937,797 )     (45,001,789 )
Total assets
   $ 646,248,702     $ 584,077,695  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ -     $ 1,497,826  
Management fee payable to related party
     473,738       438,205  
Accrued brokerage fees and expenses payable
     906,203       983,648  
Total liabilities
     1,379,941       2,919,679  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Retained earnings (deficit)
     17       (2 )
Total General Units
     1,517       1,498  
Limited Units:
                
Paid in capital -21,250,000 and 19,400,000 redeemable units
                
             issued and outstanding as of March 31, 2012 and
             December 31, 2011, respectively
     607,862,587       549,362,581  
Retained earnings
     37,004,657       31,793,937  
                 
Total Limited Units
     644,867,244       581,156,518  
                 
Total shareholders’ equity
     644,868,761       581,158,016  
                 
Total liabilities and shareholders’ equity
   $ 646,248,702     $ 584,077,695  
                 
Net asset value per share
                
                 
General Units
   $ 30.34     $ 29.96  
                 
Limited Units
   $ 30.35     $ 29.96  
   
See accompanying notes to unaudited consolidated financial statements
  
 
 
9
 
GreenHaven Continuous Commodity Index Master Fund
March 31, 2012
 
 
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bills, 0.06% due April 05, 2012
     43.42 %   $ 279,999,440     $ 280,000,000  
U.S. Treasury Bills, 0.07% due April 26, 2012
     31.01       199,995,600       200,000,000  
U.S. Treasury Bills, 0.10% due May 17, 2012
     11.63       74,995,800       75,000,000  
Total U.S. Treasury Obligations (cost $554,984,201)
     86.06 %   $ 554,990,840     $ 555,000,000  
                         
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
          
Cocoa (564 contracts, settlement date May 15, 2012)
     (0.09 ) %   $ (596,110 )   $ 12,515,160  
Cocoa (564 contracts, settlement date July 16, 2012)
     (0.09 )     (552,820 )     12,667,440  
Cocoa (564 contracts, settlement date September 13, 2012)
     0.01       59,780       12,757,680  
Coffee (183 contracts, settlement date May 18, 2012)
     (0.47 )     (3,004,031 )     12,520,631  
Coffee (182 contracts, settlement date July 19, 2012)
     (0.42 )     (2,720,456 )     12,626,250  
Coffee (182 contracts, settlement date September 18, 2012)
     (0.30 )     (1,949,006 )     12,820,762  
Copper (132 contracts, settlement date May 29, 2012)
     0.14       921,163       12,622,500  
Copper (132 contracts, settlement date July 27, 2012)
     0.14       930,475       12,650,550  
Copper (131 contracts, settlement date September 26, 2012)
     (0.02 )     (123,350 )     12,584,188  
Corn (410 contracts, settlement date May 14, 2012)
     (0.09 )     (576,463 )     13,202,000  
Corn (410 contracts, settlement date July 13, 2012)
     (0.02 )     (151,525 )     13,186,625  
Corn (410 contracts, settlement date September 14, 2012)
     (0.09 )     (549,713 )     11,546,625  
Cotton (405 contracts, settlement date May 08, 2012)
     (0.01 )     (55,360 )     18,937,800  
Cotton (403 contracts, settlement date July 09, 2012)
     (0.02 )     (124,580 )     18,924,880  
FCOJ-A (536 contracts, settlement date May 10, 2012)
     (0.18 )     (1,186,418 )     13,225,800  
FCOJ-A (514 contracts, settlement date July 11, 2012)
     (0.16 )     (1,013,003 )     12,451,650  
FCOJ-A (513 contracts, settlement date September 10, 2012)
     (0.18 )     (1,166,700 )     12,285,068  
Gold (113 contracts, settlement date June 27, 2012)
     (0.12 )     (786,110 )     18,892,470  
Gold (113 contracts, settlement date August 29, 2012)
     (0.02 )     (141,090 )     18,919,590  
Heating Oil (57 contracts, settlement date April 30, 2012)
     0.03       161,780       7,589,219  
Heating Oil (57 contracts, settlement date May 31, 2012)
     0.04       230,320       7,611,484  
Heating Oil (57 contracts, settlement date June 29, 2012)
     0.06       398,412       7,634,705  
Heating Oil (56 contracts, settlement date July 31, 2012)
     0.03       164,858       7,521,931  
Heating Oil (56 contracts, settlement date August 31, 2012)
     0.03       171,016       7,538,866  
Lean Hogs (216 contracts, settlement date April 16, 2012)
     (0.09 )     (583,330 )     7,207,920  
Lean Hogs (215 contracts, settlement date June 14, 2012)
     (0.10 )     (655,770 )     7,774,400  
Lean Hogs (215 contracts, settlement date July 16, 2012)
     (0.08 )     (485,890 )     7,881,900  
Lean Hogs (215 contracts, settlement date August 14, 2012)
     (0.05 )     (330,540 )     7,899,100  
Lean Hogs (216 contracts, settlement date October 12, 2012)
     (0.08 )     (501,350 )     7,162,560  
Light, Sweet Crude Oil (73 contracts, settlement date April 20, 2012)
     0.03       218,290       7,520,460  
Light, Sweet Crude Oil (73 contracts, settlement date May 22, 2012)
     0.04       278,250       7,558,420  
Light, Sweet Crude Oil (73 contracts, settlement date June 20, 2012)
     0.04       258,550       7,594,190  
Light, Sweet Crude Oil (73 contracts, settlement date July 20, 2012)
     0.02       163,690       7,621,200  
Light, Sweet Crude Oil (72 contracts, settlement date August 21, 2012)
     0.02       155,450       7,535,520  
Live Cattle (262 contracts, settlement date June 29, 2012)
     (0.15 )     (986,010 )     12,172,520  
Live Cattle (262 contracts, settlement date August 31, 2012)
     (0.11 )     (696,360 )     12,541,940  
Live Cattle (262 contracts, settlement date October 31, 2012)
     (0.11 )     (680,030 )     13,162,880  
Natural Gas (323 contracts, settlement date April 26, 2012)
     (0.36 )     (2,323,580 )     6,866,980  
Natural Gas (323 contracts, settlement date May 29, 2012)
     (0.32 )     (2,091,240 )     7,296,570  
Natural Gas (323 contracts, settlement date June 27, 2012)
     (0.22 )     (1,404,190 )     7,716,470  
Natural Gas (323 contracts, settlement date July 27, 2012)
     (0.22 )     (1,415,580 )     7,949,030  
Natural Gas (324 contracts, settlement date August 29, 2012)
     (0.21 )     (1,350,680 )     8,074,080  
Platinum (230 contracts, settlement date July 27, 2012)
     0.04       283,040       18,907,150  
Platinum (230 contracts, settlement date October 29, 2012)
     (0.01 )     (81,330 )     18,949,700  
Silver (77 contracts, settlement date May 29, 2012)
     0.03       176,790       12,506,340  
Silver (78 contracts, settlement date July 27, 2012)
     0.02       111,060       12,692,160  
Silver (78 contracts, settlement date September 26, 2012)
     (0.06 )     (392,320 )     12,712,050  
Soybean (180 contracts, settlement date May 14, 2012)
     0.20       1,266,675       12,627,000  
Soybean (180 contracts, settlement date July 13, 2012)
     0.26       1,650,650       12,674,250  
Soybean (180 contracts, settlement date August 14, 2012)
     0.25       1,629,938       12,604,500  
Sugar (468 contracts, settlement date April 30, 2012)
     0.02       141,019       12,951,994  
Sugar (468 contracts, settlement date June 29, 2012)
     0.03       172,502       12,485,491  
Sugar (468 contracts, settlement date September 28, 2012)
     0.02       111,205       12,511,699  
Wheat (376 contracts, settlement date May 14, 2012)
     (0.05 )     (293,538 )     12,422,100  
Wheat (375 contracts, settlement date July 13, 2012)
     0.02       134,988       12,637,500  
Wheat (373 contracts, settlement date September 14, 2012)
     0.04       240,775       12,868,500  
Net Unrealized Depreciation on Futures Contracts
     (2.94 ) %   $ (18,937,797 )   $ 644,320,448  
   
See accompanying notes to unaudited consolidated financial statements
  
 
 
10
 
GreenHaven Continuous Commodity Index Master Fund
December 31, 2011
 
 
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989)
     1.72 %   $ 9,999,990     $ 10,000,000  
                         
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
          
Cocoa (535 contracts, settlement date March 15, 2012)
     (0.55 ) %   $ (3,205,990 )   $ 11,283,150  
Cocoa (536 contracts, settlement date May 15, 2012)
     (0.53 )     (3,093,380 )     11,422,160  
Cocoa (536 contracts, settlement date July 16, 2012)
     (0.33 )     (1,932,240 )     11,513,280  
Coffee (133 contracts, settlement date March 20, 2012)
     (0.15 )     (896,456 )     11,314,144  
Coffee (132 contracts, settlement date May 18, 2012)
     (0.16 )     (919,744 )     11,367,675  
Coffee (132 contracts, settlement date July 19, 2012)
     (0.06 )     (352,538 )     11,493,900  
Copper (133 contracts, settlement date March 28, 2012)
     (0.10 )     (592,150 )     11,424,700  
Copper (132 contracts, settlement date May 29, 2012)
     (0.11 )     (608,013 )     11,376,750  
Copper (132 contracts, settlement date July 27, 2012)
     0.01       51,438       11,401,500  
Corn (349 contracts, settlement date March 14, 2012)
     (0.15 )     (862,200 )     11,281,425  
Corn (349 contracts, settlement date May 14, 2012)
     (0.15 )     (839,875 )     11,425,387  
Corn (348 contracts, settlement date July 13, 2012)
     0.01       33,125       11,505,750  
Cotton (249 contracts, settlement date March 08, 2012)
     (0.13 )     (726,570 )     11,429,100  
Cotton (248 contracts, settlement date May 08, 2012)
     (0.15 )     (851,265 )     11,368,320  
Cotton (248 contracts, settlement date July 09, 2012)
     (0.12 )     (721,380 )     11,322,440  
FCOJ-A (561 contracts, settlement date March 12, 2012)
     0.04       257,978       14,221,350  
FCOJ-A (486 contracts, settlement date May 10, 2012)
     0.15       856,470       12,261,780  
FCOJ-A (306 contracts, settlement date July 11, 2012)
     (0.01 )     (32,880 )     7,738,740  
Gold (72 contracts, settlement date February 27, 2012)
     (0.09 )     (527,380 )     11,280,960  
Gold (72 contracts, settlement date April 26, 2012)
     (0.21 )     (1,233,460 )     11,299,680  
Gold (73 contracts, settlement date June 27, 2012)
     (0.25 )     (1,434,620 )     11,472,680  
Heating Oil (57 contracts, settlement date January 31, 2012)
     (0.02 )     (109,389 )     6,976,595  
Heating Oil (56 contracts, settlement date February 29, 2012)
     (0.02 )     (101,056 )     6,834,677  
Heating Oil (56 contracts, settlement date March 30, 2012)
     (0.02 )     (111,661 )     6,789,283  
Heating Oil (56 contracts, settlement date April 30, 2012)
     (0.09 )     (493,088 )     6,734,482  
Heating Oil (56 contracts, settlement date May 31, 2012)
     (0.08 )     (488,053 )     6,693,557  
Lean Hogs (236 contracts, settlement date February 14, 2012)
     (0.07 )     (384,030 )     7,957,920  
Lean Hogs (236 contracts, settlement date April 16, 2012)
     (0.06 )     (325,560 )     8,278,880  
Lean Hogs (235 contracts, settlement date June 14, 2012)
     (0.05 )     (275,680 )     8,977,000  
Lean Hogs (236 contracts, settlement date July 16, 2012)
     (0.04 )     (210,990 )     8,951,480  
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012)
     0.13       727,240       6,819,270  
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012)
     0.13       746,950       6,831,000  
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012)
     0.13       746,560       6,845,490  
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012)
     0.01       82,600       6,859,290  
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012)
     0.02       113,320       6,764,640  
Live Cattle (229 contracts, settlement date February 29, 2012)
     0.00 *     2,380       11,124,820  
Live Cattle (230 contracts, settlement date April 30, 2012)
     (0.02 )     (131,730 )     11,541,400  
Live Cattle (230 contracts, settlement date June 29, 2012)
     (0.02 )     (122,410 )     11,460,900  
Natural Gas (224 contracts, settlement date January 27, 2012)
     (0.40 )     (2,315,920 )     6,695,360  
Natural Gas (224 contracts, settlement date February 27, 2012)
     (0.38 )     (2,204,450 )     6,755,840  
Natural Gas (220 contracts, settlement date March 28, 2012)
     (0.36 )     (2,067,940 )     6,773,800  
Natural Gas (220 contracts, settlement date April 26, 2012)
     (0.20 )     (1,188,850 )     6,888,200  
Natural Gas (219 contracts, settlement date May 29, 2012)
     (0.20 )     (1,169,040 )     6,968,580  
Platinum (243 contracts, settlement date April 26, 2012)
     (0.43 )     (2,468,450 )     17,069,535  
Platinum (243 contracts, settlement date July 27, 2012)
     (0.44 )     (2,566,290 )     17,124,210  
Silver (82 contracts, settlement date March 28, 2012)
     (0.35 )     (2,055,925 )     11,445,150  
Silver (81 contracts, settlement date May 29, 2012)
     (0.38 )     (2,222,650 )     11,323,800  
Silver (81 contracts, settlement date July 27, 2012)
     (0.33 )     (1,944,665 )     11,338,785  
Soybean (186 contracts, settlement date March 14, 2012)
     (0.17 )     (1,016,225 )     11,232,075  
Soybean (187 contracts, settlement date May 14, 2012)
     (0.16 )     (954,425 )     11,383,625  
Soybean (187 contracts, settlement date July 13, 2012)
     0.05       264,900       11,472,450  
Sugar (444 contracts, settlement date February 29, 2012)
     (0.24 )     (1,406,339 )     11,586,624  
Sugar (444 contracts, settlement date April 30, 2012)
     (0.20 )     (1,152,122 )     11,412,576  
Sugar (444 contracts, settlement date June 29, 2012)
     (0.09 )     (545,496 )     11,218,637  
Wheat (343 contracts, settlement date March 14, 2012)
     (0.20 )     (1,133,987 )     11,194,662  
Wheat (340 contracts, settlement date May 14, 2012)
     (0.19 )     (1,118,513 )     11,411,250  
Wheat (340 contracts, settlement date July 13, 2012)
     0.04       230,325       11,666,250  
Net Unrealized Depreciation on Futures Contracts
     (7.74 ) %   $ (45,001,789 )   $ 580,606,964  
                         
* Denotes greater than 0.000% yet less than 0.005%
                  
                   
See accompanying notes to unaudited consolidated financial statements
          
 
 
11
 
GreenHaven Continuous Commodity Index Master Fund
  
 
For the Three Months Ended March 31, 2012 and 2011
  
   
             
   
2012
    
2011
  
Income
            
Interest Income
   $ 30,714     $ 187,623  
                 
Expenses
                
Management fee to related party
     1,328,067       1,356,513  
Brokerage fees and expenses
     70,914       383,015  
  Total expenses
     1,398,981       1,739,528  
  Net Investment Loss
     (1,368,267 )     (1,551,905 )
                 
Realized and Net Change in Unrealized (Loss) Gain on
                
     Investments and Futures Contracts
                
Realized (Loss) Gain on
                
Futures Contracts
     (19,491,624 )     58,715,519  
Net Realized (Loss) Gain
     (19,491,624 )     58,715,519  
Net Change in Unrealized Gain (Loss) on
                
Investments
      6,638        6,101  
Futures Contracts
     26,063,992       (13,902,413 )
Net Change in Unrealized Gain (Loss)
     26,070,630       (13,896,312 )
Net Realized and Unrealized Gain on Investments
                
     and Future Contracts
     6,579,006       44,819,207  
                 
Net Gain
   $ 5,210,739     $ 43,267,302  
   
See accompanying notes to unaudited consolidated financial statements
  

 
GreenHaven Continuous Commodity Index Master Fund
  
 
For the Three Months Ended March 31, 2012
  
                                                       
   
General Units
    
Limited Units
     Total  
                                                       
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Retained
    
Shareholders’
    
Limited Units
    
Retained
    
Shareholders’
    
Shareholders’
  
   
Units
    
Amount
    
Earnings
    
Equity
    
Units
    
Amount
    
Earnings
    
Equity
    
Equity
  
Balance at January 1, 2012
     50     $ 1,500     $ (2 )   $ 1,498       19,400,000     $ 549,362,581     $ 31,793,937     $ 581,156,518     $ 581,158,016  
Creation of Limited Units
     -       -       -       -       2,550,000       80,222,138       -       80,222,138       80,222,138  
Redemption of Limited Units
     -       -       -       -       (700,000 )     (21,722,132 )     -       (21,722,132 )     (21,722,132 )
Net gain:
                                                                        
     Net investment loss
     -       -       (4 )     (4 )     -       -       (1,368,263 )     (1,368,263 )     (1,368,267 )
     Net realized loss on Futures Contracts
     -       -       (49 )     (49 )     -       -       (19,491,575 )     (19,491,575