t74880_10q.htm


 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 September 30, 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 September 30, 2012: 16,900,000 Limited Shares.
 
 
 

 
 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED September 30, 2012
 
     
PART 1. FINANCIAL INFORMATION
 
3
     
ITEM 1. FINANCIAL STATEMENTS
 
3
     
Greenhaven Continuous Commodity Index Fund Financial Statements
  3
Consolidated Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011
 
3
Unaudited Consolidated Schedule of Investments at September 30, 2012
 
4
Consolidated Schedule of Investments at December 31, 2011
 
5
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended September 30, 2012 and 2011 and Nine Months Ended September 30, 2012 and 2011
 
6
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2012
 
7
Unaudited Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2012 and 2011
 
8
     
Greenhaven Continuous Commodity Index Master Fund Financial Statements
   9
Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011
 
9
Unaudited Schedule of Investments at September 30, 2012
 
10
Schedule of Investments at December 31, 2011
 
11
Unaudited Statements of Income and Expenses for the Three Months Ended September 30, 2012 and 2011 and Nine Months Ended September 30, 2012 and 2011
 
12
Unaudited Statement of Changes in Shareholders’ Equity for the Nine Months Ended September 30, 2012
 
13
Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2012 and 2011
 
14
Notes to Consolidated Unaudited Financial Statements
 
15
     
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
24
     
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
28
     
ITEM 4. CONTROLS AND PROCEDURES
 
30
     
PART II. OTHER INFORMATION
 
31
     
ITEM 1. Legal Proceedings
 
31
ITEM 1A. Risk Factors
 
31
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
31
ITEM 3. Defaults Upon Senior Securities
 
31
ITEM 4. Reserved
 
31
ITEM 5. Other Information
 
31
ITEM 6. Exhibits
 
32
     
SIGNATURES
 
33
     
EXHIBIT INDEX
 
34
EX-31.1 SECTION 302 CERTIFICATION OF CEO
   
EX-31.2 SECTION 302 CERTIFICATION OF CEO
   
EX-31.3 SECTION 302 CERTIFICATION OF CFO
   
EX-31.4 SECTION 302 CERTIFICATION OF CFO
   
EX-32.1 SECTION 906 CERTIFICATION OF CEO
   
EX-32.2 SECTION 906 CERTIFICATION OF CEO
   
EX-32.3 SECTION 906 CERTIFICATION OF CFO
   
EX-32.4 SECTION 906 CERTIFICATION OF CFO
   
 
 
2

 
 
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
September 30, 2012 (unaudited) and December 31, 2011
 
   
September 30,
       
   
2012
   
December 31,
 
   
(unaudited)
   
2011
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $479,978,685 and $9,999,989 as of September 30, 2012 and December 31, 2011, respectively)
  $ 479,985,400     $ 9,999,990  
Cash held by broker
    13,505,254       619,079,494  
Net unrealized appreciation (depreciation) on futures contracts
    23,791,716       (45,001,789 )
Total assets
  $ 517,282,370     $ 584,077,695  
                 
Liabilities and shareholders’ equity
               
Capital shares payable
  $ -     $ 1,497,826  
Management fee payable to related party
    356,700       438,205  
Accrued brokerage fees and expenses payable
    250,528       983,648  
Total liabilities
    607,228       2,919,679  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Retained earnings (deficit)
    29       (2 )
Total General Units
    1,529       1,498  
Limited Units:
               
Paid in capital - 16,900,000 and 19,400,000 redeemable units issued and outstanding as of September 30, 2012 and December 31, 2011, respectively
    483,708,257       549,362,581  
Retained earnings
    32,965,356       31,793,937  
                 
Total Limited Units
    516,673,613       581,156,518  
                 
Total shareholders’ equity
    516,675,142       581,158,016  
Total liabilities and shareholders’ equity
  $ 517,282,370     $ 584,077,695  
                 
Net asset value per share
               
                 
General Units
  $ 30.58     $ 29.96  
                 
Limited Units
  $ 30.57     $ 29.96  
 
See accompanying notes to unaudited consolidated financial statements
 
 
3

 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
September 30, 2012
 
         
   
Percentage of
   
Fair
   
Face
 
Description
 
Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.11% due October 04, 2012
    34.84 %   $ 179,999,280     $ 180,000,000  
U.S. Treasury Bills, 0.09% due October 11, 2012
    5.80       29,999,610       30,000,000  
U.S. Treasury Bills, 0.06% due October 25, 2012
    38.71       199,992,600       200,000,000  
U.S. Treasury Bills, 0.11% due November 15, 2012
    13.55       69,993,910       70,000,000  
Total U.S. Treasury Obligations (cost $479,978,685)
    92.90 %   $ 479,985,400     $ 480,000,000  
                         
   
Percentage of
   
Fair
   
Notional
 
Description
 
Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
         
Cocoa (401 contracts, settlement date December 13, 2012)
    0.20 %   $ 1,005,270     $ 10,089,160  
Cocoa (401 contracts, settlement date March 13, 2013)
    0.03       171,430       10,145,300  
Cocoa (400 contracts, settlement date May 15, 2013)
    0.03       179,400       10,152,000  
Coffee (152 contracts, settlement date December 18, 2012)
    0.08       415,125       9,889,500  
Coffee (152 contracts, settlement date March 18, 2013)
    0.06       333,225       10,117,500  
Coffee (153 contracts, settlement date May 20, 2013)
    0.06       310,931       10,341,844  
Copper (108 contracts, settlement date December 27, 2012)
    0.20       1,056,725       10,146,600  
Copper (107 contracts, settlement date March 26, 2013)
    0.19       982,350       10,074,050  
Copper (107 contracts, settlement date May 29, 2013)
    0.19       960,700       10,084,750  
Corn (267 contracts, settlement date December 14, 2012)
    0.34       1,761,537       10,095,937  
Corn (268 contracts, settlement date March 14, 2013)
    (0.13 )     (669,413 )     10,177,300  
Corn (268 contracts, settlement date May 14, 2013)
    (0.12 )     (636,738 )     10,137,100  
Cotton (282 contracts, settlement date December 06, 2012)
    (0.04 )     (183,560 )     9,961,650  
Cotton (283 contracts, settlement date March 06, 2013)
    (0.01 )     (28,035 )     10,142,720  
Cotton (282 contracts, settlement date May 08, 2013)
    (0.08 )     (388,065 )     10,259,160  
FCOJ-A (642 contracts, settlement date January 10, 2013)
    (0.01 )     (68,445 )     10,920,420  
FCOJ-A (599 contracts, settlement date March 08, 2013)
    0.01       39,338       10,373,182  
FCOJ-A (516 contracts, settlement date May 10, 2013)
    (0.05 )     (273,060 )     9,063,540  
Gold (57 contracts, settlement date December 27, 2012)
    0.14       730,310       10,111,230  
Gold (57 contracts, settlement date February 26, 2013)
    0.19       977,210       10,123,770  
Gold (57 contracts, settlement date April 26, 2013)
    0.17       885,620       10,134,600  
Heating Oil (46 contracts, settlement date November 30, 2012)
    0.15       787,416       6,073,242  
Heating Oil (46 contracts, settlement date December 31, 2012)
    0.14       732,606       6,038,466  
Heating Oil (47 contracts, settlement date January 31, 2013)
    0.02       121,976       6,131,046  
Heating Oil (47 contracts, settlement date February 28, 2013)
    0.02       111,901       6,078,933  
Heating Oil (47 contracts, settlement date March 28, 2013)
    0.02       95,815       6,015,962  
Lean Hogs (315 contracts, settlement date December 14, 2012)
    (0.09 )     (461,720 )     9,292,500  
Lean Hogs (314 contracts, settlement date February 14, 2013)
    (0.03 )     (160,300 )     10,079,400  
Lean Hogs (314 contracts, settlement date April 12, 2013)
    (0.02 )     (81,030 )     10,996,280  
Light, Sweet Crude Oil (65 contracts, settlement date November 16, 2012)
    0.07       363,080       6,016,400  
Light, Sweet Crude Oil (65 contracts, settlement date December 19, 2012)
    0.08       389,630       6,045,000  
Light, Sweet Crude Oil (65 contracts, settlement date January 22, 2013)
    (0.02 )     (83,920 )     6,072,300  
Light, Sweet Crude Oil (65 contracts, settlement date February 20, 2013)
    (0.01 )     (73,820 )     6,094,400  
Light, Sweet Crude Oil (65 contracts, settlement date March 20, 2013)
    (0.01 )     (68,500 )     6,108,700  
Live Cattle (197 contracts, settlement date December 31, 2012)
    (0.04 )     (201,770 )     9,826,360  
Live Cattle (197 contracts, settlement date February 28, 2013)
    (0.02 )     (126,980 )     10,119,890  
Live Cattle (196 contracts, settlement date April 30, 2013)
    (0.04 )     (186,450 )     10,389,960  
Natural Gas (163 contracts, settlement date November 28, 2012)
    0.13       678,000       5,892,450  
Natural Gas (162 contracts, settlement date December 27, 2012)
    0.13       687,290       6,102,540  
Natural Gas (162 contracts, settlement date January 29, 2013)
    0.11       548,150       6,123,600  
Natural Gas (163 contracts, settlement date Februay 26, 2013)
    0.10       527,810       6,115,760  
Natural Gas (163 contracts, settlement date March 26, 2013)
    0.10       508,120       6,079,900  
Platinum (182 contracts, settlement date January 29, 2013)
    0.36       1,853,695       15,190,630  
Platinum (181 contracts, settlement date April 26, 2013)
    0.44       2,249,430       15,137,030  
Silver (59 contracts, settlement date December 27, 2012)
    0.34       1,771,740       10,200,215  
Silver (58 contracts, settlement date March 26, 2013)
    0.36       1,842,405       10,049,950  
Silver (58 contracts, settlement date May 29, 2013)
    0.36       1,855,920       10,060,390  
Soybean (129 contracts, settlement date January 14, 2013)
    0.20       1,013,975       10,337,737  
Soybean (130 contracts, settlement date March 14, 2013)
    0.01       76,375       10,167,625  
Soybean (130 contracts, settlement date May 14, 2013)
    0.05       243,125       9,889,750  
Sugar (664 contracts, settlement date February 28, 2013)
    (0.06 )     (303,834 )     15,185,946  
Sugar (663 contracts, settlement date April 30, 2013)
    (0.06 )     (306,600 )     15,192,778  
Wheat (221 contracts, settlement date December 14, 2012)
    0.31       1,594,938       9,972,625  
Wheat (225 contracts, settlement date March 14, 2013)
    0.02       93,350       10,262,813  
Wheat (225 contracts, settlement date May 14, 2013)
    0.03       138,038       10,195,313  
Net Unrealized Apprecation on Futures Contracts
    4.60 %   $ 23,791,716     $ 516,077,204  
 
See accompanying notes to unaudited consolidated financial statements
 
 
 
 
4

 
 
GreenHaven Continuous Commodity Index Fund
 Consolidated Schedule of Investments
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
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended September 30, 2012 and 2011
and Nine Months Ended September 30, 2012 and 2011
 
   
Three Months
   
Three Months
   
Nine Months
   
Nine Months
 
   
Ended
   
Ended
   
Ended
   
Ended
 
   
September 30, 2012
   
September 30, 2011
   
September 30, 2012
   
September 30, 2011
 
Income
                       
Interest Income
  $ 96,791     $ 8,112     $ 218,274     $ 315,212  
                                 
Expenses
                               
Management fee to related party
    1,083,522       1,541,729       3,575,970       4,580,065  
Brokerage fees and expenses
    23,992       377,372       127,306       1,235,255  
Total expenses
    1,107,514       1,919,101       3,703,276       5,815,320  
Net Investment Loss
    (1,010,723 )     (1,910,989 )     (3,485,002 )     (5,500,108 )
                                 
 
                               
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments
    -       -       903       -  
Futures Contracts
    14,511,408       (25,287,264 )     (64,144,670 )     71,611,757  
Net Realized Gain (Loss)
    14,511,408       (25,287,264 )     (64,143,767 )     71,611,757  
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (4,561 )     (6,170 )     6,714       (19,543 )
Futures Contracts
    23,223,583       (39,422,299 )     68,793,505       (127,256,336 )
Net Change in Unrealized Gain (Loss)
    23,219,022       (39,428,469 )     68,800,219       (127,275,879 )
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts
    37,730,430       (64,715,733 )     4,656,452       (55,664,122 )
                                 
Net Gain (Loss)
  $ 36,719,707     $ (66,626,722 )   $ 1,171,450     $ (61,164,230 )
 
See accompanying notes to unaudited consolidated financial statements
 
 
6

 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Nine Months Ended September 30, 2012
 
   
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 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
    -       -       -       -       2,800,000       87,933,308       -       87,933,308       87,933,308  
Redemption of Limited Units
    -       -       -       -       (5,300,000 )     (153,587,632 )     -       (153,587,632 )     (153,587,632 )
Net gain:
                                                                       
Net investment loss
    -       -       (10 )     (10 )     -       -       (3,484,992 )     (3,484,992 )     (3,485,002 )
Net realized loss on
Investments
and Futures
Contracts
    -       -       (161 )     (161 )     -       -       (64,143,606 )     (64,143,606 )     (64,143,767 )
Net change in unrealized gain on Investments and Futures Contracts
    -       -       202       202       -       -       68,800,017       68,800,017       68,800,219  
Net gain:
    -       -       31       31       -       -       1,171,419       1,171,419       1,171,450  
                                                                         
Balance at September 30, 2012
    50     $ 1,500     $ 29     $ 1,529       16,900,000     $ 483,708,257     $ 32,965,356     $ 516,673,613     $ 516,675,142  
 
See accompanying notes to unaudited consolidated financial statements
 
 
7

 
 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Nine Months Ended September 30, 2012 and 2011
   
             
   
2012
   
2011
 
Cash flow from operating activities:
           
Net Gain (Loss)
  $ 1,171,450     $ (61,164,230 )
Adjustments to reconcile net gain (loss) to net cash used for operating activities:
               
Purchase of investment securities
    (1,609,751,562 )     (1,584,744,181 )
Proceeds from sales of investment securities
    1,139,992,043       1,465,000,000  
Net accretion of discount
    (218,274 )     (315,212 )
Net realized gain on investment securities
    (903 )     -  
Unrealized depreciation (appreciation) on investments
    (68,800,219 )     127,275,879  
Increase (decrease) in payable - capital shares
    (1,497,826 )     9,138,309  
Increase (decrease) in accrued expenses
    (814,625 )     838,009  
Net cash used for operating activities
    (539,919,916 )     (43,971,426 )
                 
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    87,933,308       335,388,859  
Redemption of Limited Units
    (153,587,632 )     (190,195,629 )
Net cash provided by (used for) financing activities
    (65,654,324 )     145,193,230  
                 
Net change in cash
    (605,574,240 )     101,221,804  
Cash held by broker at beginning of period
    619,079,494       6,487,519  
Cash held by broker at end of period
  $ 13,505,254     $ 107,709,323  
 
See accompanying notes to unaudited consolidated financial statements
 
 
8

 
 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
September 30, 2012 (unaudited) and December 31, 2011
 
   
September 30,
       
   
2012
   
December 31,
 
   
(unaudited)
   
2011
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $479,978,685 and $9,999,989 as of September 30, 2012 and December 31, 2011, respectively)
  $ 479,985,400     $ 9,999,990  
Cash held by broker
    13,505,254       619,079,494  
Net unrealized appreciation (depreciation) on futures contracts
    23,791,716       (45,001,789 )
Total assets
  $ 517,282,370     $ 584,077,695  
                 
Liabilities and shareholders’ equity
               
Capital shares payable
  $ -     $ 1,497,826  
Management fee payable to related party
    356,700       438,205  
Accrued brokerage fees and expenses payable
    250,528       983,648  
Total liabilities
    607,228       2,919,679  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Retained earnings (deficit)
    29       (2 )
Total General Units
    1,529       1,498  
Limited Units:
               
Paid in capital - 16,900,000 and 19,400,000 redeemable units issued and outstanding as of September 30, 2012 and December 31, 2011, respectively
    483,708,257       549,362,581  
Retained earnings
    32,965,356       31,793,937  
                 
Total Limited Units
    516,673,613       581,156,518  
                 
Total shareholders’ equity
    516,675,142       581,158,016  
                 
Total liabilities and shareholders’ equity
  $ 517,282,370     $ 584,077,695  
                 
Net asset value per share
               
                 
General Units
  $ 30.58     $ 29.96  
                 
Limited Units
  $ 30.57     $ 29.96  
 
See accompanying notes to unaudited consolidated financial statements
 
 
9

 
 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
September 30, 2012
 
   
Percentage of
   
Fair
   
Face
 
Description
 
Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.11% due October 04, 2012
    34.84 %   $ 179,999,280     $ 180,000,000  
U.S. Treasury Bills, 0.09% due October 11, 2012
    5.80       29,999,610       30,000,000  
U.S. Treasury Bills, 0.06% due October 25, 2012
    38.71       199,992,600       200,000,000  
U.S. Treasury Bills, 0.11% due November 15, 2012
    13.55       69,993,910       70,000,000  
Total U.S. Treasury Obligations (cost $479,978,685)
    92.90 %   $ 479,985,400     $ 480,000,000  
                         
   
Percentage of
   
Fair
   
Notional
 
Description
 
Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
         
Cocoa (401 contracts, settlement date December 13, 2012)
    0.20 %   $ 1,005,270     $ 10,089,160  
Cocoa (401 contracts, settlement date March 13, 2013)
    0.03       171,430       10,145,300  
Cocoa (400 contracts, settlement date May 15, 2013)
    0.03       179,400       10,152,000  
Coffee (152 contracts, settlement date December 18, 2012)
    0.08       415,125       9,889,500  
Coffee (152 contracts, settlement date March 18, 2013)
    0.06       333,225       10,117,500  
Coffee (153 contracts, settlement date May 20, 2013)
    0.06       310,931       10,341,844  
Copper (108 contracts, settlement date December 27, 2012)
    0.20       1,056,725       10,146,600  
Copper (107 contracts, settlement date March 26, 2013)
    0.19       982,350       10,074,050  
Copper (107 contracts, settlement date May 29, 2013)
    0.19       960,700       10,084,750  
Corn (267 contracts, settlement date December 14, 2012)
    0.34       1,761,537       10,095,937  
Corn (268 contracts, settlement date March 14, 2013)
    (0.13 )     (669,413 )     10,177,300  
Corn (268 contracts, settlement date May 14, 2013)
    (0.12 )     (636,738 )     10,137,100  
Cotton (282 contracts, settlement date December 06, 2012)
    (0.04 )     (183,560 )     9,961,650  
Cotton (283 contracts, settlement date March 06, 2013)
    (0.01 )     (28,035 )     10,142,720  
Cotton (282 contracts, settlement date May 08, 2013)
    (0.08 )     (388,065 )     10,259,160  
FCOJ-A (642 contracts, settlement date January 10, 2013)
    (0.01 )     (68,445 )     10,920,420  
FCOJ-A (599 contracts, settlement date March 08, 2013)
    0.01       39,338       10,373,182  
FCOJ-A (516 contracts, settlement date May 10, 2013)
    (0.05 )     (273,060 )     9,063,540  
Gold (57 contracts, settlement date December 27, 2012)
    0.14       730,310       10,111,230  
Gold (57 contracts, settlement date February 26, 2013)
    0.19       977,210       10,123,770  
Gold (57 contracts, settlement date April 26, 2013)
    0.17       885,620       10,134,600  
Heating Oil (46 contracts, settlement date November 30, 2012)
    0.15       787,416       6,073,242  
Heating Oil (46 contracts, settlement date December 31, 2012)
    0.14       732,606       6,038,466  
Heating Oil (47 contracts, settlement date January 31, 2013)
    0.02       121,976       6,131,046  
Heating Oil (47 contracts, settlement date February 28, 2013)
    0.02       111,901       6,078,933  
Heating Oil (47 contracts, settlement date March 28, 2013)
    0.02       95,815       6,015,962  
Lean Hogs (315 contracts, settlement date December 14, 2012)
    (0.09 )     (461,720 )     9,292,500  
Lean Hogs (314 contracts, settlement date February 14, 2013)
    (0.03 )     (160,300 )     10,079,400  
Lean Hogs (314 contracts, settlement date April 12, 2013)
    (0.02 )     (81,030 )     10,996,280  
Light, Sweet Crude Oil (65 contracts, settlement date November 16, 2012)
    0.07       363,080       6,016,400  
Light, Sweet Crude Oil (65 contracts, settlement date December 19, 2012)
    0.08       389,630       6,045,000  
Light, Sweet Crude Oil (65 contracts, settlement date January 22, 2013)
    (0.02 )     (83,920 )     6,072,300  
Light, Sweet Crude Oil (65 contracts, settlement date February 20, 2013)
    (0.01 )     (73,820 )     6,094,400  
Light, Sweet Crude Oil (65 contracts, settlement date March 20, 2013)
    (0.01 )     (68,500 )     6,108,700  
Live Cattle (197 contracts, settlement date December 31, 2012)
    (0.04 )     (201,770 )     9,826,360  
Live Cattle (197 contracts, settlement date February 28, 2013)
    (0.02 )     (126,980 )     10,119,890  
Live Cattle (196 contracts, settlement date April 30, 2013)
    (0.04 )     (186,450 )     10,389,960  
Natural Gas (163 contracts, settlement date November 28, 2012)
    0.13       678,000       5,892,450  
Natural Gas (162 contracts, settlement date December 27, 2012)
    0.13       687,290       6,102,540  
Natural Gas (162 contracts, settlement date January 29, 2013)
    0.11       548,150       6,123,600  
Natural Gas (163 contracts, settlement date Februay 26, 2013)
    0.10       527,810       6,115,760  
Natural Gas (163 contracts, settlement date March 26, 2013)
    0.10       508,120       6,079,900  
Platinum (182 contracts, settlement date January 29, 2013)
    0.36       1,853,695       15,190,630  
Platinum (181 contracts, settlement date April 26, 2013)
    0.44       2,249,430       15,137,030  
Silver (59 contracts, settlement date December 27, 2012)
    0.34       1,771,740       10,200,215  
Silver (58 contracts, settlement date March 26, 2013)
    0.36       1,842,405       10,049,950  
Silver (58 contracts, settlement date May 29, 2013)
    0.36       1,855,920       10,060,390  
Soybean (129 contracts, settlement date January 14, 2013)
    0.20       1,013,975       10,337,737  
Soybean (130 contracts, settlement date March 14, 2013)
    0.01       76,375       10,167,625  
Soybean (130 contracts, settlement date May 14, 2013)
    0.05       243,125       9,889,750  
Sugar (664 contracts, settlement date February 28, 2013)
    (0.06 )     (303,834 )     15,185,946  
Sugar (663 contracts, settlement date April 30, 2013)
    (0.06 )     (306,600 )     15,192,778  
Wheat (221 contracts, settlement date December 14, 2012)
    0.31       1,594,938       9,972,625  
Wheat (225 contracts, settlement date March 14, 2013)
    0.02       93,350       10,262,813  
Wheat (225 contracts, settlement date May 14, 2013)
    0.03       138,038       10,195,313  
Net Unrealized Apprecation on Futures Contracts
    4.60 %   $ 23,791,716     $ 516,077,204  
 
See accompanying notes to unaudited consolidated financial statements
 
 
10

 
 
 
 
GreenHaven Continuous Commodity Index Master Fund
Consolidated Schedule of Investments
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
Unaudited Statements of Income and Expenses
For the Three Months Ended September 30, 2012 and 2011
and Nine Months Ended September 30, 2012 and 2011
 
                         
   
Three Months
   
Three Months
   
Nine Months
   
Nine Months
 
   
Ended
   
Ended
   
Ended
   
Ended
 
   
September 30, 2012
   
September 30, 2011
   
September 30, 2012
   
September 30, 2011
 
Income
                       
Interest Income
  $ 96,791     $ 8,112     $ 218,274     $ 315,212  
                                 
Expenses
                               
Management fee to related party     1,083,522       1,541,729       3,575,970       4,580,065  
Brokerage fees and expenses     23,992       377,372       127,306       1,235,255  
Total expenses     1,107,514       1,919,101       3,703,276       5,815,320  
Net Investment Loss     (1,010,723 )     (1,910,989 )     (3,485,002 )     (5,500,108 )
                                 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on
                               
Investments     -       -       903       -  
Futures Contracts     14,511,408       (25,287,264 )     (64,144,670 )     71,611,757  
Net Realized Gain (Loss)     14,511,408       (25,287,264 )     (64,143,767 )     71,611,757  
Net Change in Unrealized Gain (Loss) on
                               
Investments     (4,561 )     (6,170 )     6,714       (19,543 )
Futures Contracts     23,223,583       (39,422,299 )     68,793,505       (127,256,336 )
Net Change in Unrealized Gain (Loss)     23,219,022       (39,428,469 )     68,800,219       (127,275,879 )
Net Realized and Unrealized Gain (Loss)  on Investments and Future Contracts       37,730,430       (64,715,733 )     4,656,452       (55,664,122 )
                                 
Net Gain (Loss)
  $ 36,719,707     $ (66,626,722 )   $ 1,171,450     $ (61,164,230 )
 
See accompanying notes to unaudited consolidated financial statements
 
 
12

 
 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Nine Months Ended September 30, 2012
 
   
General Units
   
Limited Units
   
Total