UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
 
 
 
 
 
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2015,
OR
 
 
 
 
 
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from __________ to
 
Commission File 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 No

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 No

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
 
Accelerated Filer
 
Non-Accelerated Filer
 
Smaller reporting company
 
 
 
(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 No

Indicate the number of outstanding Limited Shares as of March 31, 2015: 11,500,000 Limited Shares.
 
 
 

 

 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED MARCH 31, 2015
       
PART 1. FINANCIAL INFORMATION
 
       
 
ITEM 1. FINANCIAL STATEMENTS
 
       
 
GreenHaven Continuous Commodity Index Fund Financial Statements
   
 
Consolidated Statements of Financial Condition at March 31, 2015 (unaudited) and December 31, 2014
 
3
 
Unaudited Consolidated Schedule of Investments at March 31, 2015
 
4
 
Consolidated Schedule of Investments at December 31, 2014
 
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended March 31, 2015 and 2014
 
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Three Months Ended March 31, 2015
 
7
 
Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2015 and 2014
 
8
       
 
GreenHaven Continuous Commodity Index Master Fund Financial Statements
   
 
Statements of Financial Condition at March 31, 2015 (unaudited) and December 31, 2014
 
9
 
Unaudited Schedule of Investments at March 31, 2015
 
10
 
Schedule of Investments at December 31, 2014
 
11
 
Unaudited Statements of Income and Expenses for the Three Months Ended March 31, 2015 and 2014
 
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Three Months Ended March 31, 2015
 
13
 
Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2015 and 2014
 
14
 
Notes to Consolidated Unaudited Financial Statements
 
15
       
 
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
23
       
 
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
29
       
 
ITEM 4. CONTROLS AND PROCEDURES
 
31
       
PART II. OTHER INFORMATION
 
33
       
 
ITEM 1. Legal Proceedings
 
33
 
ITEM 1A. Risk Factors
 
33
 
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
33
 
ITEM 3. Defaults Upon Senior Securities
 
33
 
ITEM 4. Reserved
 
33
 
ITEM 5. Other Information
 
33
 
ITEM 6. Exhibits
 
34
       
SIGNATURES
 
35
       
EXHIBIT INDEX
 
36
 
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
March 31, 2015 (unaudited) and December 31, 2014
                 
   
March 31, 2015
   
December 31,
 
   
(unaudited)
   
2014
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $199,994,248 and $199,994,069 as of March 31, 2015 and December 31, 2014, respectively)
  $ 199,996,950     $ 199,995,250  
Cash held by broker
    60,768,219       94,433,074  
Net unrealized depreciation on futures contracts
    (16,701,398 )     (27,249,076 )
Total assets
  $ 244,063,771     $ 267,179,248  
                 
Liabilities and shareholders’ equity
               
Management fee payable to related party
    177,535       205,492  
Accrued brokerage fees and expenses payable
    120,702       75,622  
Total liabilities
  $ 298,237     $ 281,114  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (440 )     (360 )
Total General Units
    1,060       1,140  
Limited Units:
               
Paid in capital - 11,500,000 and 11,700,000 redeemable shares issued and outstanding as of March 31, 2015 and December 31, 2014, respectively
    345,924,852       350,523,308  
Accumulated deficit
    (102,160,378 )     (83,626,314 )
                 
Total Limited Units
    243,764,474       266,896,994  
                 
Total shareholders’ equity
    243,765,534       266,898,134  
Total liabilities and shareholders’ equity
  $ 244,063,771     $ 267,179,248  
                 
Net asset value per share
               
                 
General Units
  $ 21.20     $ 22.80  
                 
Limited Units
  $ 21.20     $ 22.81  
 
See accompanying notes to unaudited consolidated financial statements
 
3
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
March 31, 2015
                         
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.02% due April 23, 2015
    41.02 %   $ 99,999,400     $ 100,000,000  
U.S. Treasury Bills, 0.02% due June 11, 2015
    20.51       49,998,750       50,000,000  
U.S. Treasury Bills, 0.02% due June 25, 2015
    20.51       49,998,800       50,000,000  
Total U.S. Treasury Obligations (cost $199,994,248)
    82.04 %   $ 199,996,950     $ 200,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (178 contracts, settlement date September 15, 2015)
    (0.12 )%   $ (294,420 )   $ 4,795,320  
Cocoa (177 contracts, settlement date July 16, 2015)
    (0.11 )     (279,580 )     4,777,230  
Cocoa (177 contracts, settlement date May 13, 2015)
    (0.13 )     (314,520 )     4,777,230  
Coffee (94 contracts, settlement date September 18, 2015)
    (0.31 )     (761,906 )     4,905,037  
Coffee (94 contracts, settlement date July 21, 2015)
    (0.50 )     (1,207,163 )     4,797,525  
Coffee (93 contracts, settlement date May 18, 2015)
    (0.46 )     (1,112,138 )     4,634,888  
Copper (69 contracts, settlement date September 28, 2015)
    0.12       283,913       4,730,812  
Copper (70 contracts, settlement date July 29, 2015)
    (0.07 )     (164,275 )     4,799,375  
Copper (70 contracts, settlement date May 27, 2015)
    (0.11 )     (277,213 )     4,795,000  
Corn (248 contracts, settlement date September 14, 2015)
    (0.07 )     (175,687 )     4,860,800  
Corn (250 contracts, settlement date July 14, 2015)
    (0.10 )     (233,650 )     4,803,125  
Corn (249 contracts, settlement date May 14, 2015)
    (0.04 )     (91,862 )     4,684,312  
Cotton (226 contracts, settlement date July 09, 2015)
    0.06       149,365       7,170,980  
Cotton (227 contracts, settlement date May 06, 2015)
    0.00 *     4,305       7,161,850  
Gold (60 contracts, settlement date August 27, 2015)
    (0.09 )     (225,450 )     7,104,600  
Gold (61 contracts, settlement date June 26, 2015)
    (0.04 )     (88,880 )     7,217,520  
Lean Hogs (99 contracts, settlement date October 14, 2015)
    (0.02 )     (61,430 )     2,738,340  
Lean Hogs (99 contracts, settlement date August 14, 2015)
    (0.12 )     (284,240 )     3,077,910  
Lean Hogs (99 contracts, settlement date July 15, 2015)
    (0.17 )     (420,610 )     3,055,140  
Lean Hogs (98 contracts, settlement date June 12, 2015)
    (0.18 )     (447,660 )     2,971,360  
Lean Hogs (99 contracts, settlement date April 15, 2015)
    (0.28 )     (682,310 )     2,472,030  
Light, Sweet Crude Oil (56 contracts, settlement date August 20, 2015)
    (0.09 )     (231,110 )     2,950,640  
Light, Sweet Crude Oil (56 contracts, settlement date July 21, 2015)
    (0.09 )     (221,710 )     2,902,480  
Light, Sweet Crude Oil (57 contracts, settlement date June 22, 2015)
    (0.02 )     (60,110 )     2,894,460  
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015)
    (0.12 )     (283,710 )     2,812,380  
Light, Sweet Crude Oil (57 contracts, settlement date April 21, 2015)
    (0.19 )     (467,480 )     2,713,200  
Live Cattle (79 contracts, settlement date October 30, 2015)
    0.07       180,670       4,777,920  
Live Cattle (79 contracts, settlement date August 31, 2015)
    0.00 *     5,990       4,724,200  
Live Cattle (79 contracts, settlement date June 30, 2015)
    (0.03 )     (75,940 )     4,813,470  
Natural Gas (104 contracts, settlement date August 27, 2015)
    (0.05 )     (114,500 )     2,897,440  
Natural Gas (105 contracts, settlement date July 29, 2015)
    (0.05 )     (127,120 )     2,921,100  
Natural Gas (105 contracts, settlement date June 26, 2015)
    (0.08 )     (190,000 )     2,888,550  
Natural Gas (105 contracts, settlement date May 27, 2015)
    (0.12 )     (283,460 )     2,825,550  
Natural Gas (105 contracts, settlement date April 28, 2015)
    (0.12 )     (304,830 )     2,772,000  
NY Harbor ULSD (39 contracts, settlement date August 31, 2015)
    (0.08 )     (185,350 )     2,899,260  
NY Harbor ULSD (39 contracts, settlement date July 31, 2015)
    (0.08 )     (188,084 )     2,864,371  
NY Harbor ULSD (39 contracts, settlement date June 30, 2015)
    0.01       27,031       2,835,706  
NY Harbor ULSD (39 contracts, settlement date May 29, 2015)
    (0.18 )     (428,547 )     2,811,463  
NY Harbor ULSD (40 contracts, settlement date April 30, 2015)
    (0.16 )     (382,246 )     2,869,440  
Platinum (125 contracts, settlement date October 28, 2015)
    (0.09 )     (213,660 )     7,155,000  
Platinum (125 contracts, settlement date July 29, 2015)
    (0.13 )     (329,120 )     7,146,250  
Silver (57 contracts, settlement date September 28, 2015)
    (0.04 )     (88,585 )     4,752,375  
Silver (58 contracts, settlement date July 29, 2015)
    0.06       136,475       4,825,600  
Silver (57 contracts, settlement date May 27, 2015)
    (0.01 )     (36,995 )     4,730,430  
Soybean (98 contracts, settlement date August 14, 2015)
    (0.11 )     (257,250 )     4,788,525  
Soybean (98 contracts, settlement date July 14, 2015)
    (0.09 )     (230,363 )     4,790,975  
Soybean (98 contracts, settlement date May 14, 2015)
    (0.09 )     (223,913 )     4,768,925  
Soybean Oil (156 contracts, settlement date October 14, 2015)
    (0.05 )     (122,604 )     2,874,456  
Soybean Oil (156 contracts, settlement date September 14, 2015)
    (0.06 )     (135,366 )     2,879,136  
Soybean Oil (156 contracts, settlement date August 14, 2015)
    (0.10 )     (252,510 )     2,873,520  
Soybean Oil (156 contracts, settlement date July 14, 2015)
    (0.07 )     (182,760 )     2,866,032  
Soybean Oil (157 contracts, settlement date May 14, 2015)
    (0.09 )     (208,710 )     2,862,738  
Sugar (348 contracts, settlement date September 30, 2015)
    (0.38 )     (918,187 )     4,942,157  
Sugar (350 contracts, settlement date June 30, 2015)
    (0.57 )     (1,386,180 )     4,727,520  
Sugar (350 contracts, settlement date April 30, 2015)
    (0.62 )     (1,522,741 )     4,676,560  
Wheat (185 contracts, settlement date September 14, 2015)
    (0.03 )     (84,062 )     4,833,125  
Wheat (185 contracts, settlement date July 14, 2015)
    (0.15 )     (360,350 )     4,754,500  
Wheat (186 contracts, settlement date May 14, 2015)
    (0.11 )     (268,600 )     4,759,275  
Net Unrealized Depreciation on Futures Contracts
    (6.85 )%   $ (16,701,398 )   $ 243,511,113  
 
* Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to unaudited consolidated financial statements
 
4
 

 

 
GreenHaven Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2014
                         
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.01% due January 22, 2015
    37.47 %   $ 99,998,600     $ 100,000,000  
U.S. Treasury Bills, 0.03% due March 12, 2015
    18.73       49,998,100       50,000,000  
U.S. Treasury Bills, 0.06% due March 26, 2015
    18.73       49,998,550       50,000,000  
Total U.S. Treasury Obligations (cost $199,994,069)
    74.93 %   $ 199,995,250     $ 200,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                 
Cocoa (181 contracts, settlement date July 16, 2015)
    0.03 %   $ 83,950     $ 5,229,090  
Cocoa (181 contracts, settlement date May 13, 2015)
    (0.13 )     (334,480 )     5,234,520  
Cocoa (181 contracts, settlement date March 16, 2015)
    (0.12 )     (316,920 )     5,267,100  
Coffee (82 contracts, settlement date July 21, 2015)
    (0.25 )     (671,513 )     5,285,925  
Coffee (82 contracts, settlement date May 18, 2015)
    (0.27 )     (719,438 )     5,205,975  
Coffee (83 contracts, settlement date March 19, 2015)
    (0.28 )     (747,038 )     5,185,425  
Copper (74 contracts, settlement date July 29, 2015)
    (0.12 )     (320,262 )     5,227,175  
Copper (74 contracts, settlement date May 27, 2015)
    (0.22 )     (584,150 )     5,223,475  
Copper (74 contracts, settlement date March 27, 2015)
    (0.21 )     (559,600 )     5,227,175  
Corn (258 contracts, settlement date July 14, 2015)
    0.04       101,863       5,321,250  
Corn (258 contracts, settlement date May 14, 2015)
    0.09       250,975       5,234,175  
Corn (259 contracts, settlement date March 13, 2015)
    0.09       242,600       5,141,150  
Cotton (171 contracts, settlement date July 09, 2015)
    0.00 *     5,610       5,301,000  
Cotton (171 contracts, settlement date May 06, 2015)
    (0.12 )     (316,150 )     5,221,485  
Cotton (171 contracts, settlement date March 09, 2015)
    (0.27 )     (716,905 )     5,153,085  
Gold (44 contracts, settlement date June 26, 2015)
    0.03       88,470       5,215,760  
Gold (44 contracts, settlement date April 28, 2015)
    (0.17 )     (446,860 )     5,213,560  
Gold (44 contracts, settlement date February 25, 2015)
    (0.13 )     (335,420 )     5,210,040  
Lean Hogs (113 contracts, settlement date July 15, 2015)
    (0.07 )     (176,480 )     4,098,510  
Lean Hogs (113 contracts, settlement date June 12, 2015)
    (0.07 )     (188,950 )     4,138,060  
Lean Hogs (113 contracts, settlement date April 15, 2015)
    (0.07 )     (197,270 )     3,764,030  
Lean Hogs (113 contracts, settlement date February 13, 2015)
    (0.12 )     (315,750 )     3,670,240  
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015)
    (0.33 )     (893,390 )     3,172,050  
Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015)
    (0.38 )     (1,019,440 )     3,187,680  
Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015)
    (0.57 )     (1,532,690 )     3,147,080  
Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015)
    (0.58 )     (1,560,200 )     3,114,600  
Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015)
    (0.58 )     (1,550,530 )     3,089,660  
Live Cattle (82 contracts, settlement date June 30, 2015)
    (0.04 )     (114,190 )     5,080,720  
Live Cattle (81 contracts, settlement date April 30, 2015)
    0.08       218,730       5,261,760  
Live Cattle (81 contracts, settlement date February 27, 2015)
    0.09       242,130       5,299,020  
Natural Gas (108 contracts, settlement date May 27, 2015)
    (0.25 )     (668,300 )     3,189,240  
Natural Gas (108 contracts, settlement date April 28, 2015)
    (0.26 )     (694,840 )     3,136,320  
Natural Gas (108 contracts, settlement date March 27, 2015)
    (0.29 )     (786,680 )     3,111,480  
Natural Gas (108 contracts, settlement date February 25, 2015)
    (0.37 )     (1,000,490 )     3,127,680  
Natural Gas (108 contracts, settlement date January 28, 2015)
    (0.40 )     (1,071,100 )     3,120,120  
NY Harbor ULSD (42 contracts, settlement date May 29, 2015)
    (0.33 )     (873,041 )     3,200,602  
NY Harbor ULSD (41 contracts, settlement date April 30, 2015)
    (0.32 )     (861,353 )     3,105,627  
NY Harbor ULSD (41 contracts, settlement date March 31, 2015)
    (0.50 )     (1,337,461 )     3,104,594  
NY Harbor ULSD (41 contracts, settlement date February 27, 2015)
    (0.53 )     (1,409,974 )     3,129,218  
NY Harbor ULSD (41 contracts, settlement date January 30, 2015)
    (0.50 )     (1,333,559 )     3,157,459  
Platinum (130 contracts, settlement date July 29, 2015)
    0.01       33,995       7,871,500  
Platinum (129 contracts, settlement date April 28, 2015)
    0.01       20,485       7,801,275  
Silver (66 contracts, settlement date July 29, 2015)
    (0.02 )     (47,050 )     5,168,460  
Silver (67 contracts, settlement date May 27, 2015)
    (0.35 )     (940,295 )     5,236,720  
Silver (67 contracts, settlement date March 27, 2015)
    (0.34 )     (913,105 )     5,225,665  
Soybean (101 contracts, settlement date July 14, 2015)
    (0.03 )     (92,050 )     5,236,850  
Soybean (101 contracts, settlement date May 14, 2015)
    (0.07 )     (199,812 )     5,204,025  
Soybean (102 contracts, settlement date March 13, 2015)
    (0.06 )     (163,712 )     5,219,850  
Soybean Oil (269 contracts, settlement date July 14, 2015)
    (0.04 )     (102,582 )     5,253,570  
Soybean Oil (269 contracts, settlement date May 14, 2015)
    (0.13 )     (336,222 )     5,221,290  
Soybean Oil (270 contracts, settlement date March 13, 2015)
    (0.13 )     (337,578 )     5,206,680  
Sugar (314 contracts, settlement date June 30, 2015)
    (0.17 )     (441,795 )     5,363,120  
Sugar (315 contracts, settlement date April 30, 2015)
    (0.31 )     (834,389 )     5,263,776  
Sugar (315 contracts, settlement date February 27, 2015)
    (0.39 )     (1,039,808 )     5,122,656  
Wheat (176 contracts, settlement date July 14, 2015)
    0.12       314,688       5,258,000  
Wheat (176 contracts, settlement date May 14, 2015)
    0.04       106,325       5,231,600  
Wheat (176 contracts, settlement date March 13, 2015)
    0.05       143,925       5,189,800  
Net Unrealized Depreciation on Futures Contracts
    (10.21 )%   $ (27,249,076 )   $ 266,577,952  
 
*           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 March 31, 2015 and 2014
                 
   
2015
   
2014
 
Income
           
Interest Income
  $ 10,326     $ 10,011  
                 
Expenses
               
Management fee to related party
    534,030       690,079  
Brokerage fees and expenses
    125,654       162,372  
Total expenses
    659,684       852,451  
Net Investment Loss
    (649,358 )     (842,440 )
                 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
               
Realized Gain (Loss) on
               
Futures Contracts
    (28,433,985 )     8,746,949  
Net Realized Gain (Loss)
    (28,433,985 )     8,746,949  
Net Change in Unrealized Gain on
               
Investments
    1,521       1,693  
Futures Contracts
    10,547,678       21,964,056  
Net Change in Unrealized Gain
    10,549,199       21,965,749  
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (17,884,786 )     30,712,698  
                 
Net Gain (Loss)
  $ (18,534,144 )   $ 29,870,258  
 
See accompanying notes to unaudited consolidated financial statements
 
6
 

 

 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Three Months Ended March 31, 2015
                                                                         
    General Units     Limited Units    
Total
 
                     
Total
                     
Total
       
                     
General
                     
Limited
   
Total
 
   
General Units
   
Accumulated
   
Shareholders’
   
Limited Units
   
Accumulated
   
Shareholders’
   
Shareholders’
 
   
Units
   
Amount
   
Deficit
   
Equity
   
Units
   
Amount
   
Deficit
   
Equity
   
Equity
 
                                                       
Balance at Dec. 31, 2014
    50     $ 1,500     $ (360 )   $ 1,140       11,700,000     $ 350,523,308     $ (83,626,314 )   $ 266,896,994     $ 266,898,134  
Creation of Limited Units
                            250,000       5,487,716             5,487,716       5,487,716  
Redemption of Limited Units
                            (450,000 )     (10,086,172 )           (10,086,172 )     (10,086,172 )
Net Loss:
                                                                       
Net Investment Loss
                (3 )     (3 )                 (649,355 )     (649,355 )     (649,358 )
Net Realized Loss on Investments and Futures Contracts
                (122 )     (122 )                 (28,433,863 )     (28,433,863 )     (28,433,985 )
Net Change in Unrealized Gain on Investments and Futures Contracts
                45       45                   10,549,154       10,549,154       10,549,199  
Net Loss
                (80 )     (80 )                 (18,534,064 )     (18,534,064 )     (18,534,144 )
Balance at March 31, 2015
    50     $ 1,500     $ (440 )   $ 1,060       11,500,000     $ 345,924,852     $ (102,160,378 )   $ 243,764,474     $ 243,765,534  
 
See accompanying notes to unaudited consolidated financial statements
 
7
 

 


 

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Three Months Ended March 31, 2015 and 2014
                 
   
2015
   
2014
 
             
Cash flow from operating activities:
           
Net Gain (Loss)
  $ (18,534,144 )   $ 29,870,258  
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
               
Purchase of investment securities
    (199,989,853 )     (199,987,096 )
Proceeds from sales of investment securities
    200,000,000       200,000,000  
Net accretion of discount
    (10,326 )     (10,011 )
Unrealized appreciation on investments and futures contracts
    (10,549,199 )     (21,965,749 )
Increase in accrued expenses
    17,123       98,574  
Net cash provided by (used for) operating activities
    (29,066,399 )     8,005,976  
                 
Cash flows from financing activities:
               
Proceeds from creation of Limited Units
    5,487,716       16,702,869  
Redemption of Limited Units
    (10,086,172 )     (18,382,307 )
Increase in capital shares payable
          4,228,931  
Net cash provided by (used for) financing activities
    (4,598,456 )     2,549,493  
                 
Net change in cash
    (33,664,855 )     10,555,469  
Cash held by broker at beginning of period
    94,433,074       124,417,599  
Cash held by broker at end of period
  $ 60,768,219     $ 134,973,068  
 
See accompanying notes to unaudited consolidated financial statements
 
8
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
March 31, 2015 (unaudited) and December 31, 2014
                 
   
March 31, 2015
   
December 31,
 
   
(unaudited)
   
2014
 
Assets
           
Equity in broker trading accounts:
           
Short-term investments (cost $199,994,248 and $199,994,069 as of March 31, 2015 and December 31, 2014, respectively)
  $ 199,996,950     $ 199,995,250  
Cash held by broker
    60,768,219       94,433,074  
Net unrealized depreciation on futures contracts
    (16,701,398 )     (27,249,076 )
Total assets
  $ 244,063,771     $ 267,179,248  
                 
Liabilities and shareholders’ equity
               
Management fee payable to related party
    177,535       205,492  
Accrued brokerage fees and expenses payable
    120,702       75,622  
Total liabilities
  $ 298,237     $ 281,114  
                 
Shareholders’ equity
               
General Units:
               
Paid in capital - 50 units issued
    1,500       1,500  
Accumulated deficit
    (440 )     (360 )
Total General Units
    1,060       1,140  
Limited Units:
               
Paid in capital - 11,500,000 and 11,700,000 redeemable shares issued and outstanding as of March 31, 2015 and December 31, 2014, respectively
    345,924,852       350,523,308  
Accumulated deficit
    (102,160,378 )     (83,626,314 )
                 
Total Limited Units
    243,764,474       266,896,994  
                 
Total shareholders’ equity
    243,765,534       266,898,134  
Total liabilities and shareholders’ equity
  $ 244,063,771     $ 267,179,248  
                 
Net asset value per share
               
                 
General Units
  $ 21.20     $ 22.80  
                 
Limited Units
  $ 21.20     $ 22.81  

See accompanying notes to unaudited consolidated financial statements
 
9
 

 

 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
March 31, 2015
                         
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.02% due April 23, 2015
    41.02 %   $ 99,999,400     $ 100,000,000  
U.S. Treasury Bills, 0.02% due June 11, 2015
    20.51       49,998,750       50,000,000  
U.S. Treasury Bills, 0.02% due June 25, 2015
    20.51       49,998,800       50,000,000  
Total U.S. Treasury Obligations (cost $199,994,248)
    82.04 %   $ 199,996,950     $ 200,000,000  
                         
   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (178 contracts, settlement date September 15, 2015)
    (0.12 )%   $ (294,420 )   $ 4,795,320  
Cocoa (177 contracts, settlement date July 16, 2015)
    (0.11 )     (279,580 )     4,777,230  
Cocoa (177 contracts, settlement date May 13, 2015)
    (0.13 )     (314,520 )     4,777,230  
Coffee (94 contracts, settlement date September 18, 2015)
    (0.31 )     (761,906 )     4,905,037  
Coffee (94 contracts, settlement date July 21, 2015)
    (0.50 )     (1,207,163 )     4,797,525  
Coffee (93 contracts, settlement date May 18, 2015)
    (0.46 )     (1,112,138 )     4,634,888  
Copper (69 contracts, settlement date September 28, 2015)
    0.12       283,913       4,730,812  
Copper (70 contracts, settlement date July 29, 2015)
    (0.07 )     (164,275 )     4,799,375  
Copper (70 contracts, settlement date May 27, 2015)
    (0.11 )     (277,213 )     4,795,000  
Corn (248 contracts, settlement date September 14, 2015)
    (0.07 )     (175,687 )     4,860,800  
Corn (250 contracts, settlement date July 14, 2015)
    (0.10 )     (233,650 )     4,803,125  
Corn (249 contracts, settlement date May 14, 2015)
    (0.04 )     (91,862 )     4,684,312  
Cotton (226 contracts, settlement date July 09, 2015)
    0.06       149,365       7,170,980  
Cotton (227 contracts, settlement date May 06, 2015)
    0.00 *     4,305       7,161,850  
Gold (60 contracts, settlement date August 27, 2015)
    (0.09 )     (225,450 )     7,104,600  
Gold (61 contracts, settlement date June 26, 2015)
    (0.04 )     (88,880 )     7,217,520  
Lean Hogs (99 contracts, settlement date October 14, 2015)
    (0.02 )     (61,430 )     2,738,340  
Lean Hogs (99 contracts, settlement date August 14, 2015)
    (0.12 )     (284,240 )     3,077,910  
Lean Hogs (99 contracts, settlement date July 15, 2015)
    (0.17 )     (420,610 )     3,055,140  
Lean Hogs (98 contracts, settlement date June 12, 2015)
    (0.18 )     (447,660 )     2,971,360  
Lean Hogs (99 contracts, settlement date April 15, 2015)
    (0.28 )     (682,310 )     2,472,030  
Light, Sweet Crude Oil (56 contracts, settlement date August 20, 2015)
    (0.09 )     (231,110 )     2,950,640  
Light, Sweet Crude Oil (56 contracts, settlement date July 21, 2015)
    (0.09 )     (221,710 )     2,902,480  
Light, Sweet Crude Oil (57 contracts, settlement date June 22, 2015)
    (0.02 )     (60,110 )     2,894,460  
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015)
    (0.12 )     (283,710 )     2,812,380  
Light, Sweet Crude Oil (57 contracts, settlement date April 21, 2015)
    (0.19 )     (467,480 )     2,713,200  
Live Cattle (79 contracts, settlement date October 30, 2015)
    0.07       180,670       4,777,920  
Live Cattle (79 contracts, settlement date August 31, 2015)
    0.00 *     5,990       4,724,200  
Live Cattle (79 contracts, settlement date June 30, 2015)
    (0.03 )     (75,940 )     4,813,470  
Natural Gas (104 contracts, settlement date August 27, 2015)
    (0.05 )     (114,500 )     2,897,440  
Natural Gas (105 contracts, settlement date July 29, 2015)
    (0.05 )     (127,120 )     2,921,100  
Natural Gas (105 contracts, settlement date June 26, 2015)
    (0.08 )     (190,000 )     2,888,550  
Natural Gas (105 contracts, settlement date May 27, 2015)
    (0.12 )     (283,460 )     2,825,550  
Natural Gas (105 contracts, settlement date April 28, 2015)
    (0.12 )     (304,830 )     2,772,000  
NY Harbor ULSD (39 contracts, settlement date August 31, 2015)
    (0.08 )     (185,350 )     2,899,260  
NY Harbor ULSD (39 contracts, settlement date July 31, 2015)
    (0.08 )     (188,084 )     2,864,371  
NY Harbor ULSD (39 contracts, settlement date June 30, 2015)
    0.01       27,031       2,835,706  
NY Harbor ULSD (39 contracts, settlement date May 29, 2015)
    (0.18 )     (428,547 )     2,811,463  
NY Harbor ULSD (40 contracts, settlement date April 30, 2015)
    (0.16 )     (382,246 )     2,869,440  
Platinum (125 contracts, settlement date October 28, 2015)
    (0.09 )     (213,660 )     7,155,000  
Platinum (125 contracts, settlement date July 29, 2015)
    (0.13 )     (329,120 )     7,146,250  
Silver (57 contracts, settlement date September 28, 2015)
    (0.04 )     (88,585 )     4,752,375  
Silver (58 contracts, settlement date July 29, 2015)
    0.06       136,475       4,825,600  
Silver (57 contracts, settlement date May 27, 2015)
    (0.01 )     (36,995 )     4,730,430  
Soybean (98 contracts, settlement date August 14, 2015)
    (0.11 )     (257,250 )     4,788,525  
Soybean (98 contracts, settlement date July 14, 2015)
    (0.09 )     (230,363 )     4,790,975  
Soybean (98 contracts, settlement date May 14, 2015)
    (0.09 )     (223,913 )     4,768,925  
Soybean Oil (156 contracts, settlement date October 14, 2015)
    (0.05 )     (122,604 )     2,874,456  
Soybean Oil (156 contracts, settlement date September 14, 2015)
    (0.06 )     (135,366 )     2,879,136  
Soybean Oil (156 contracts, settlement date August 14, 2015)
    (0.10 )     (252,510 )     2,873,520  
Soybean Oil (156 contracts, settlement date July 14, 2015)
    (0.07 )     (182,760 )     2,866,032  
Soybean Oil (157 contracts, settlement date May 14, 2015)
    (0.09 )     (208,710 )     2,862,738  
Sugar (348 contracts, settlement date September 30, 2015)
    (0.38 )     (918,187 )     4,942,157  
Sugar (350 contracts, settlement date June 30, 2015)
    (0.57 )     (1,386,180 )     4,727,520  
Sugar (350 contracts, settlement date April 30, 2015)
    (0.62 )     (1,522,741 )     4,676,560  
Wheat (185 contracts, settlement date September 14, 2015)
    (0.03 )     (84,062 )     4,833,125  
Wheat (185 contracts, settlement date July 14, 2015)
    (0.15 )     (360,350 )     4,754,500  
Wheat (186 contracts, settlement date May 14, 2015)
    (0.11 )     (268,600 )     4,759,275  
Net Unrealized Depreciation on Futures Contracts
    (6.85 )%   $ (16,701,398 )   $ 243,511,113  
 
* Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to unaudited consolidated financial statements
 
10
 

 

GreenHaven Continuous Commodity Index Master Fund
Schedule of Investments
December 31, 2014
 
   
Percentage
   
Fair
   
Face
 
Description
 
of Net Assets
   
Value
   
Value
 
U.S. Treasury Obligations
                 
U.S. Treasury Bills, 0.01% due January 22, 2015
    37.47 %   $ 99,998,600     $ 100,000,000  
U.S. Treasury Bills, 0.03% due March 12, 2015
    18.73       49,998,100       50,000,000  
U.S. Treasury Bills, 0.06% due March 26, 2015
    18.73       49,998,550       50,000,000  
Total U.S. Treasury Obligations (cost $199,994,069)
    74.93 %   $ 199,995,250     $ 200,000,000  

   
Percentage
   
Fair
   
Notional
 
Description
 
of Net Assets
   
Value
   
Value
 
Unrealized Appreciation/(Depreciation) on Futures Contracts
                 
Cocoa (181 contracts, settlement date July 16, 2015)
    0.03 %   $ 83,950     $ 5,229,090  
Cocoa (181 contracts, settlement date May 13, 2015)
    (0.13 )     (334,480 )     5,234,520  
Cocoa (181 contracts, settlement date March 16, 2015)
    (0.12 )     (316,920 )     5,267,100  
Coffee (82 contracts, settlement date July 21, 2015)
    (0.25 )     (671,513 )     5,285,925  
Coffee (82 contracts, settlement date May 18, 2015)
    (0.27 )     (719,438 )     5,205,975  
Coffee (83 contracts, settlement date March 19, 2015)
    (0.28 )     (747,038 )     5,185,425  
Copper (74 contracts, settlement date July 29, 2015)
    (0.12 )     (320,262 )     5,227,175  
Copper (74 contracts, settlement date May 27, 2015)
    (0.22 )     (584,150 )     5,223,475  
Copper (74 contracts, settlement date March 27, 2015)
    (0.21 )     (559,600 )     5,227,175  
Corn (258 contracts, settlement date July 14, 2015)
    0.04       101,863       5,321,250  
Corn (258 contracts, settlement date May 14, 2015)
    0.09       250,975       5,234,175  
Corn (259 contracts, settlement date March 13, 2015)
    0.09       242,600       5,141,150  
Cotton (171 contracts, settlement date July 09, 2015)
    0.00 *     5,610       5,301,000  
Cotton (171 contracts, settlement date May 06, 2015)
    (0.12 )     (316,150 )     5,221,485  
Cotton (171 contracts, settlement date March 09, 2015)
    (0.27 )     (716,905 )     5,153,085  
Gold (44 contracts, settlement date June 26, 2015)
    0.03       88,470       5,215,760  
Gold (44 contracts, settlement date April 28, 2015)
    (0.17 )     (446,860 )     5,213,560  
Gold (44 contracts, settlement date February 25, 2015)
    (0.13 )     (335,420 )     5,210,040  
Lean Hogs (113 contracts, settlement date July 15, 2015)
    (0.07 )     (176,480 )     4,098,510  
Lean Hogs (113 contracts, settlement date June 12, 2015)
    (0.07 )     (188,950 )     4,138,060  
Lean Hogs (113 contracts, settlement date April 15, 2015)
    (0.07 )     (197,270 )     3,764,030  
Lean Hogs (113 contracts, settlement date February 13, 2015)
    (0.12 )     (315,750 )     3,670,240  
Light, Sweet Crude Oil (57 contracts, settlement date May 19, 2015)
    (0.33 )     (893,390 )     3,172,050  
Light, Sweet Crude Oil (58 contracts, settlement date April 21, 2015)
    (0.38 )     (1,019,440 )     3,187,680  
Light, Sweet Crude Oil (58 contracts, settlement date March 20, 2015)
    (0.57 )     (1,532,690 )     3,147,080  
Light, Sweet Crude Oil (58 contracts, settlement date February 20, 2015)
    (0.58 )     (1,560,200 )     3,114,600  
Light, Sweet Crude Oil (58 contracts, settlement date January 20, 2015)
    (0.58 )     (1,550,530 )     3,089,660  
Live Cattle (82 contracts, settlement date June 30, 2015)
    (0.04 )     (114,190 )     5,080,720  
Live Cattle (81 contracts, settlement date April 30, 2015)
    0.08       218,730       5,261,760  
Live Cattle (81 contracts, settlement date February 27, 2015)
    0.09       242,130       5,299,020  
Natural Gas (108 contracts, settlement date May 27, 2015)
    (0.25 )     (668,300 )     3,189,240  
Natural Gas (108 contracts, settlement date April 28, 2015)
    (0.26 )     (694,840 )     3,136,320  
Natural Gas (108 contracts, settlement date March 27, 2015)
    (0.29 )     (786,680 )     3,111,480  
Natural Gas (108 contracts, settlement date February 25, 2015)
    (0.37 )     (1,000,490 )     3,127,680  
Natural Gas (108 contracts, settlement date January 28, 2015)
    (0.40 )     (1,071,100 )     3,120,120  
NY Harbor ULSD (42 contracts, settlement date May 29, 2015)
    (0.33 )     (873,041 )     3,200,602  
NY Harbor ULSD (41 contracts, settlement date April 30, 2015)
    (0.32 )     (861,353 )     3,105,627  
NY Harbor ULSD (41 contracts, settlement date March 31, 2015)
    (0.50 )     (1,337,461 )     3,104,594  
NY Harbor ULSD (41 contracts, settlement date February 27, 2015)
    (0.53 )     (1,409,974 )     3,129,218  
NY Harbor ULSD (41 contracts, settlement date January 30, 2015)
    (0.50 )     (1,333,559 )     3,157,459  
Platinum (130 contracts, settlement date July 29, 2015)
    0.01       33,995       7,871,500  
Platinum (129 contracts, settlement date April 28, 2015)
    0.01       20,485       7,801,275  
Silver (66 contracts, settlement date July 29, 2015)
    (0.02 )     (47,050 )     5,168,460  
Silver (67 contracts, settlement date May 27, 2015)
    (0.35 )     (940,295 )     5,236,720  
Silver (67 contracts, settlement date March 27, 2015)
    (0.34 )     (913,105 )     5,225,665  
Soybean (101 contracts, settlement date July 14, 2015)
    (0.03 )     (92,050 )     5,236,850  
Soybean (101 contracts, settlement date May 14, 2015)
    (0.07 )     (199,812 )     5,204,025  
Soybean (102 contracts, settlement date March 13, 2015)
    (0.06 )     (163,712 )     5,219,850  
Soybean Oil (269 contracts, settlement date July 14, 2015)
    (0.04 )     (102,582 )     5,253,570  
Soybean Oil (269 contracts, settlement date May 14, 2015)
    (0.13 )     (336,222 )     5,221,290  
Soybean Oil (270 contracts, settlement date March 13, 2015)
    (0.13 )     (337,578 )     5,206,680  
Sugar (314 contracts, settlement date June 30, 2015)
    (0.17 )     (441,795 )     5,363,120  
Sugar (315 contracts, settlement date April 30, 2015)
    (0.31 )     (834,389 )     5,263,776  
Sugar (315 contracts, settlement date February 27, 2015)
    (0.39 )     (1,039,808 )     5,122,656  
Wheat (176 contracts, settlement date July 14, 2015)
    0.12       314,688       5,258,000  
Wheat (176 contracts, settlement date May 14, 2015)
    0.04       106,325       5,231,600  
Wheat (176 contracts, settlement date March 13, 2015)
    0.05       143,925       5,189,800  
Net Unrealized Depreciation on Futures Contracts
    (10.21 )%   $ (27,249,076 )   $ 266,577,952  
 
*       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 March 31, 2015 and 2014
 
   
2015
   
2014
 
Income
           
Interest Income
  $ 10,326     $ 10,011  
                 
Expenses
               
Management fee to related party
    534,030       690,079  
Brokerage fees and expenses
    125,654       162,372  
Total expenses
    659,684       852,451  
Net Investment Loss
    (649,358 )     (842,440 )
                 
 
               
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
               
Realized Gain (Loss) on
               
Futures Contracts
    (28,433,985 )     8,746,949  
Net Realized Gain (Loss)
    (28,433,985 )     8,746,949  
Net Change in Unrealized Gain on
               
Investments
    1,521       1,693  
Futures Contracts
    10,547,678       21,964,056  
Net Change in Unrealized Gain
    10,549,199       21,965,749  
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts
    (17,884,786 )     30,712,698  
                 
Net Gain (Loss)
  $ (18,534,144 )   $ 29,870,258  
 
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 March 31, 2015
 
    General Units     Limited Units    
Total
 
                     
Total
                     
Total
       
                     
General
                     
Limited
   
Total
 
   
General Units
   
Accumulated
   
Shareholders’
   
Limited Units
   
Accumulated
   
Shareholders’
   
Shareholders’
 
   
Units
   
Amount
   
Deficit
   
Equity
   
Units
   
Amount
   
Deficit
   
Equity
   
Equity
 
                                                       
Balance at December 31, 2014
    50     $ 1,500     $ (360 )   $ 1,140       11,700,000     $ 350,523,308     $ (83,626,314 )   $ 266,896,994     $ 266,898,134  
Creation of Limited Units
                            250,000       5,487,716             5,487,716       5,487,716  
Redemption of Limited Units
                            (450,000 )     (10,086,172 )           (10,086,172 )     (10,086,172 )
Net Loss:
                                                                       
Net Investment Loss
                (3 )     (3 )                 (649,355 )     (649,355 )     (649,358 )
Net Realized Loss on Investments and Futures Contracts
                (122 )     (122 )                 (28,433,863 )     (28,433,863 )     (28,433,985 )
Net Change in Unrealized Gain on Investments and Futures Contracts
                45       45