Attached files

file filename
EX-32.2 - EX-32.2 SECTION 906 CERTIFICATION OF CFO - GreenHaven Continuous Commodity Index Fundc04557exv32w2.htm
EX-31.2 - EX-31.2 SECTION 302 CERTIFICATION OF CFO - GreenHaven Continuous Commodity Index Fundc04557exv31w2.htm
EX-32.1 - EX-32.1 SECTION 906 CERTIFICATION OF CEO - GreenHaven Continuous Commodity Index Fundc04557exv32w1.htm
EX-31.1 - EX-31.1 SECTION 302 CERTIFICATION OF CEO - GreenHaven Continuous Commodity Index Fundc04557exv31w1.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 June 30, 2010,
OR
     
o   TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                      to                     
Commission File Number: 001-33909
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
(Exact name of Registrant as specified in its charter)
     
Delaware
(State or Other Jurisdiction of Incorporation or
Organization)
  26-0151234
(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 is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
             
Large Accelerated Filer o   Accelerated Filer þ   Non-Accelerated Filer o   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 June 30, 2010: 9,750,000 Limited Shares.
 
 

 

 


 

GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
QUARTER ENDED JUNE 30, 2010
         
    3  
 
       
    3  
 
       
    3  
 
       
    4  
 
       
    5  
 
       
    6  
 
       
    7  
 
       
    8  
 
       
    9  
 
       
    18  
 
       
    22  
 
       
    24  
 
       
    25  
 
       
    25  
 
       
    25  
 
       
    25  
 
       
    25  
 
       
    25  
 
       
    25  
 
       
    26  
 
       
    26  
 
       
    27  
 
       
 EX-31.1 SECTION 302 CERTIFICATION OF CEO
 EX-31.2 SECTION 302 CERTIFICATION OF CFO
 EX-32.1 SECTION 906 CERTIFICATION OF CEO
 EX-32.2 SECTION 906 CERTIFICATION OF CFO

 

2


Table of Contents

GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
June 30, 2010 (unaudited) and December 31, 2009
                 
    June 30,        
    2010
(unaudited)
    December 31,
2009
 
Assets
               
Equity in broker trading accounts:
               
Short-term investments (cost $199,967,163 and $119,990,308, respectively)
  $ 199,960,900     $ 119,992,525  
Cash held by broker
    42,498,212       97,250,587  
Net unrealized appreciation on futures contracts
    841,508       12,380,231  
 
           
Total assets
  $ 243,300,620     $ 229,623,343  
 
           
 
               
Liabilities and shareholders’ equity
               
Management fee payable to related party
  $ 166,171     $ 149,819  
Broker fee payable
    145,290       39,186  
 
           
Total liabilities
    311,461       189,005  
 
           
 
               
Shareholders’ equity
               
General Units:
               
Paid in capital — 50 units issued
    1,500       1,500  
Retained deficit
    (254 )     (189 )
 
           
Total General Units
    1,246       1,311  
 
           
Limited Units:
               
Paid in capital — 9,750,000 and 8,750,000 redeemable units issued and outstanding, respectively
    237,824,945       210,500,911  
Retained earnings
    5,162,968       18,932,116  
 
           
 
Total Limited Units
    242,987,913       229,433,027  
 
           
 
               
Total shareholders’ equity
    242,989,159       229,434,338  
 
           
 
Total liabilities and shareholders’ equity
  $ 243,300,620     $ 229,623,343  
 
           
 
               
Net asset value per share
               
 
General Units
  $ 24.92     $ 26.22  
 
Limited Units
  $ 24.92     $ 26.22  
See accompanying notes to unaudited consolidated financial statements

 

3


Table of Contents

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
June 30, 2010
                         
    Percentage of     Fair     Face  
Description   Net Assets     Value     Value  
U.S. Treasury Obligations
                       
U.S. Treasury Bill, 0.03% due July 15, 2010
    41.15 %   $ 99,996,100     $ 100,000,000  
U.S. Treasury Bill, 0.18% due August 26, 2010
    8.23       19,994,640       20,000,000  
U.S. Treasury Bill, 0.12% due September 23, 2010
    32.91       79,970,160       80,000,000  
 
                 
Total U.S. Treasury Obligations (cost $199,967,163)
    82.29 %   $ 199,960,900     $ 200,000,000  
 
                 
                         
    Percentage of     Fair     Notional  
Description   Net Assets     Value     Value  
Unrealized Appreciation (Depreciation) on Futures Contracts
                       
Cocoa (241 contracts, settlement date September 15, 2010)
    (0.06 )%   $ (156,220 )   $ 7,095,040  
Cocoa (241 contracts, settlement date December 15, 2010)
    0.00 *     3,970       7,143,240  
Coffee (113 contracts, settlement date September 20, 2010)
    0.43       1,053,881       7,027,894  
Coffee (116 contracts, settlement date December 20, 2010)
    0.43       1,032,450       7,223,175  
Copper (97 contracts, settlement date September 28, 2010)
    (0.10 )     (238,863 )     7,154,963  
Copper (96 contracts, settlement date December 29, 2010)
    (0.30 )     (740,150 )     7,137,600  
Corn (380 contracts, settlement date September 14, 2010)
    (0.07 )     (158,250 )     6,892,250  
Corn (397 contracts, settlement date December 14, 2010)
    0.00 *     10,012       7,413,975  
Cotton (186 contracts, settlement date December 08, 2010)
    (0.04 )     (96,740 )     7,103,340  
Cotton (185 contracts, settlement date March 09, 2011)
    (0.10 )     (234,400 )     7,189,100  
Florida Orange Juice (213 contracts, settlement date September 10, 2010)
    0.16       386,138       4,739,782  
Florida Orange Juice (214 contracts, settlement date November 09, 2010)
    0.13       320,017       4,787,715  
Florida Orange Juice (213 contracts, settlement date January 10, 2011)
    0.06       140,603       4,771,732  
Gold (57 contracts, settlement date December 29, 2010)
    0.17       418,960       7,124,430  
Gold (57 contracts, settlement date February 24, 2011)
    0.05       111,200       7,136,400  
Heating Oil (33 contracts, settlement date August 31, 2010)
    0.00 *     (9,101 )     2,833,123  
Heating Oil (33 contracts, settlement date September 30, 2010)
    (0.12 )     (282,815 )     2,873,039  
Heating Oil (32 contracts, settlement date October 29, 2010)
    (0.12 )     (290,942 )     2,823,475  
Heating Oil (32 contracts, settlement date November 30, 2010)
    0.00 *     (11,134 )     2,858,957  
Heating Oil (32 contracts, settlement date December 31, 2010)
    0.00 *     (11,357 )     2,892,288  
Lean Hogs (117 contracts, settlement date August 13, 2010)
    0.06       135,340       3,821,220  
Lean Hogs (117 contracts, settlement date October 14, 2010)
    0.09       213,420       3,538,080  
Lean Hogs (118 contracts, settlement date December 14, 2010)
    0.01       12,900       3,414,920  
Lean Hogs (118 contracts, settlement date February 14, 2011)
    0.03       60,820       3,495,160  
Light, Sweet Crude Oil (38 contracts, settlement date August 20, 2010)
    (0.02 )     (39,340 )     2,894,080  
Light, Sweet Crude Oil (37 contracts, settlement date September 21, 2010)
    (0.14 )     (338,480 )     2,834,200  
Light, Sweet Crude Oil (37 contracts, settlement date October 20, 2010)
    (0.14 )     (337,770 )     2,850,850  
Light, Sweet Crude Oil (37 contracts, settlement date November 19, 2010)
    (0.02 )     (41,760 )     2,867,130  
Light, Sweet Crude Oil (37 contracts, settlement date December 20, 2010)
    (0.02 )     (43,650 )     2,880,450  
Live Cattle (128 contracts, settlement date October 29, 2010)
    0.00 *     10,630       4,672,000  
Live Cattle (128 contracts, settlement date December 31, 2010)
    (0.08 )     (195,910 )     4,769,280  
Live Cattle (128 contracts, settlement date February 28, 2011)
    0.04       104,170       4,865,280  
Natural Gas (57 contracts, settlement date August 27, 2010)
    (0.02 )     (41,780 )     2,651,640  
Natural Gas (57 contracts, settlement date September 28, 2010)
    0.03       81,650       2,696,100  
Natural Gas (57 contracts, settlement date October 27, 2010)
    0.02       36,470       2,838,600  
Natural Gas (57 contracts, settlement date November 24, 2010)
    (0.06 )     (145,160 )     2,993,640  
Natural Gas (57 contracts, settlement date December 28, 2010)
    (0.06 )     (135,800 )     3,097,380  
Platinum (93 contracts, settlement date October 27, 2010)
    (0.01 )     (31,040 )     7,148,445  
Platinum (92 contracts, settlement date January 27, 2011)
    (0.08 )     (188,425 )     7,094,580  
Silver (77 contracts, settlement date September 28, 2010)
    0.23       570,920       7,202,580  
Silver (76 contracts, settlement date December 29, 2010)
    0.07       155,805       7,132,980  
Soybean (157 contracts, settlement date November 12, 2010)
    (0.05 )     (133,250 )     7,084,625  
Soybean (158 contracts, settlement date January 14, 2011)
    0.01       21,737       7,206,775  
Sugar (390 contracts, settlement date September 30, 2010)
    (0.03 )     (63,918 )     7,015,008  
Sugar (390 contracts, settlement date February 28, 2011)
    0.03       63,795       7,237,776  
Wheat (288 contracts, settlement date September 14, 2010)
    (0.05 )     (123,550 )     6,915,600  
Wheat (290 contracts, settlement date December 14, 2010)
    (0.01 )     (13,575 )     7,344,250  
 
                 
Net Unrealized Appreciation on Futures Contracts
    0.35 %   $ 841,508     $ 242,784,147  
 
                 
     
*  
Denotes greater than (0.005)% yet less than 0.000%
See accompanying notes to unaudited consolidated financial statements

 

4


Table of Contents

GreenHaven Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2009
                         
    Percentage of     Fair     Face  
Description   Net Assets     Value     Value  
U.S. Treasury Obligations
                       
U.S. Treasury Bills, 0.01% due January 21, 2010
    23.97 %   $ 54,999,285     $ 55,000,000  
U.S. Treasury Bills, 0.07% due March 25, 2010
    28.33       64,993,240       65,000,000  
 
                 
Total United States Treasury Obligations (cost $119,990,308)
    52.30 %   $ 119,992,525     $ 120,000,000  
 
                 
                         
    Percentage of     Fair     Notional  
Description   Net Assets     Value     Value  
Unrealized Appreciation/(Depreciation) on Futures Contracts
                       
Cocoa (136 contracts, settlement date March 16, 2010)
    0.07 %   $ 161,180     $ 4,473,040  
Cocoa (137 contracts, settlement date May 13, 2010)
    0.08       182,110       4,534,700  
Cocoa (137 contracts, settlement date July 15, 2010)
    0.07       154,330       4,530,590  
Coffee (87 contracts, settlement date March 19, 2010)
    (0.02 )     (54,712 )     4,435,369  
Coffee (87 contracts, settlement date May 18, 2010)
    (0.02 )     (44,550 )     4,489,200  
Coffee (87 contracts, settlement date July 20, 2010)
    (0.00 )*     5,700       4,536,506  
Copper (54 contracts, settlement date March 29, 2010)
    0.24       548,875       4,517,775  
Copper (54 contracts, settlement date May 26, 2010)
    0.25       581,925       4,536,675  
Copper (53 contracts, settlement date July 28, 2010)
    0.20       449,350       4,465,912  
Corn (212 contracts, settlement date March 12, 2010)
    0.21       486,987       4,393,700  
Corn (212 contracts, settlement date May 14, 2010)
    0.22       503,862       4,497,050  
Corn (212 contracts, settlement date July 14, 2010)
    0.04       97,962       4,589,800  
Cotton (118 contracts, settlement date March 09, 2010)
    0.21       491,955       4,460,400  
Cotton (117 contracts, settlement date May 06, 2010)
    0.21       479,775       4,480,515  
Cotton (118 contracts, settlement date July 08, 2010)
    0.07       163,925       4,541,820  
Florida Orange Juice (233 contracts, settlement date March 11, 2010)
    0.13       292,253       4,510,298  
Florida Orange Juice (236 contracts, settlement date May 10, 2010)
    0.29       673,343       4,699,350  
Florida Orange Juice (208 contracts, settlement date July 12, 2010)
    0.10       220,958       4,235,400  
Gold (41 contracts, settlement date February 24, 2010)
    0.11       247,040       4,494,420  
Gold (41 contracts, settlement date April 28, 2010)
    0.12       285,440       4,500,160  
Gold (41 contracts, settlement date June 28, 2010)
    (0.03 )     (73,280 )     4,505,080  
Heating Oil (31 contracts, settlement date January 29, 2010)
    0.08       171,121       2,754,511  
Heating Oil (30 contracts, settlement date February 26, 2010)
    0.07       167,378       2,673,594  
Heating Oil (30 contracts, settlement date March 31, 2010)
    0.07       174,531       2,679,138  
Heating Oil (30 contracts, settlement date April 30, 2010)
    0.03       79,624       2,686,194  
Heating Oil (30 contracts, settlement date May 28, 2010)
    0.03       76,679       2,694,132  
Lean Hogs (117 contracts, settlement date February 12, 2010)
    0.12       279,190       3,070,080  
Lean Hogs (117 contracts, settlement date April 15, 2010)
    0.10       236,150       3,270,150  
Lean Hogs (116 contracts, settlement date June 14, 2010)
    0.03       81,640       3,585,560  
Lean Hogs (117 contracts, settlement date July 15, 2010)
    0.02       42,930       3,561,480  
Light, Sweet Crude Oil (34 contracts, settlement date January 20, 2010)
    0.07       165,770       2,698,240  
Light, Sweet Crude Oil (34 contracts, settlement date February 22, 2010)
    0.07       163,510       2,720,680  
Light, Sweet Crude Oil (33 contracts, settlement date March 22, 2010)
    0.07       153,050       2,660,790  
Light, Sweet Crude Oil (33 contracts, settlement date April 20, 2010)
    0.02       35,750       2,676,630  
Light, Sweet Crude Oil (33 contracts, settlement date May 20, 2010)
    0.02       35,980       2,692,470  
Live Cattle (128 contracts, settlement date February 26, 2010)
    (0.00 )*     (2,580 )     4,412,160  
Live Cattle (128 contracts, settlement date April 30, 2010)
    0.03       62,390       4,597,760  
Live Cattle (128 contracts, settlement date June 30, 2010)
    0.07       153,590       4,491,520  
Natural Gas (49 contracts, settlement date January 27, 2010)
    0.04       103,110       2,730,280  
Natural Gas (49 contracts, settlement date February 24, 2010)
    0.03       71,960       2,710,680  
Natural Gas (48 contracts, settlement date March 29, 2010)
    0.03       66,120       2,642,400  
Natural Gas (48 contracts, settlement date April 28, 2010)
    0.11       249,020       2,661,600  
Natural Gas (48 contracts, settlement date May 26, 2010)
    0.11       240,580       2,695,200  
Platinum (91 contracts, settlement date April 28, 2010)
    0.24       545,890       6,693,050  
Platinum (92 contracts, settlement date July 28, 2010)
    0.17       385,155       6,785,000  
Silver (53 contracts, settlement date March 29, 2010)
    (0.01 )     (24,685 )     4,463,925  
Silver (53 contracts, settlement date May 26, 2010)
    0.02       55,010       4,469,490  
Silver (54 contracts, settlement date July 28, 2010)
    (0.06 )     (130,355 )     4,559,220  
Soybean (85 contracts, settlement date March 12, 2010)
    0.13       303,288       4,456,125  
Soybean (85 contracts, settlement date May 14, 2010)
    0.15       340,100       4,478,438  
Soybean (86 contracts, settlement date July 14, 2010)
    0.09       198,900       4,554,775  
Sugar (160 contracts, settlement date February 26, 2010)
    0.28       638,098       4,829,440  
Sugar (161 contracts, settlement date April 30, 2010)
    0.23       522,222       4,549,474  
Sugar (161 contracts, settlement date June 30, 2010)
    0.19       423,725       4,150,966  
Wheat (162 contracts, settlement date March 12, 2010)
    0.12       268,175       4,386,150  
Wheat (162 contracts, settlement date May 14, 2010)
    0.11       263,200       4,495,500  
Wheat (162 contracts, settlement date July 14, 2010)
    (0.03 )     (70,413 )     4,584,600  
 
                 
Net Unrealized Appreciation on Futures Contracts
    5.40 %   $ 12,380,231     $ 229,249,162  
 
                 
     
*  
Denotes greater than (0.005)% yet less than 0.000%
See accompanying notes to unaudited consolidated financial statements

 

5


Table of Contents

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended June 30, 2010, and 2009
and Six Months Ended June 30, 2010, and 2009
                                 
    Three Months     Three Months     Six Months     Six Months  
    Ended     Ended     Ended     Ended  
    June 30, 2010     June 30, 2009     June 30, 2010     June 30, 2009  
Income
                               
Interest Income
  $ 69,812     $ 28,941     $ 97,167     $ 36,960  
 
                       
 
                               
Expenses
                               
Management fee to related party
    512,153       233,203       1,025,052       279,794  
Brokerage commissions and fees
    144,609       65,845       289,427       79,001  
 
                       
Total expenses
    656,762       299,048       1,314,479       358,795  
 
                       
Net Investment Loss
    (586,950 )     (270,107 )     (1,217,312 )     (321,835 )
 
                       
 
                               
Realized and Net Change in Unrealized (Loss) Gain on Investments and Futures Contracts
                               
Realized (Loss) Gain on
                               
Investments
    (403 )           (403 )      
Futures Contracts
    (6,797,890 )     5,189,618       (1,004,295 )     3,022,355  
 
                       
Net Realized (Loss) Gain
    (6,798,293 )     5,189,618       (1,004,698 )     3,022,355  
 
                       
Net Change in Unrealized Gain (Loss) on
                               
Investments
    (3,137 )     (3,096 )     (8,480 )     (3,115 )
Futures Contracts
    5,626,466       (3,763,279 )     (11,538,723 )     (2,483,950 )
 
                       
Net Change in Unrealized Gain (Loss)
    5,623,329       (3,766,375 )     (11,547,203 )     (2,487,065 )
 
                       
Net Realized and Unrealized (Loss) Gain on Investments and Future Contracts
    (1,174,964 )     1,423,243       (12,551,901 )     535,290  
 
                       
 
                               
Net (Loss) Gain
  $ (1,761,914 )   $ 1,153,136     $ (13,769,213 )   $ 213,455  
 
                       
See accompanying notes to unaudited consolidated financial statements

 

6


Table of Contents

Greenhaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2010
                                                                         
    General Units     Limited Units     Total  
                            Total                             Total        
                            General                             Limited     Total  
    General Units     Accumulated     Shareholders’     Limited Units     Retained     Shareholders’     Shareholders’  
    Units     Amount     Deficit     Equity     Units     Amount     Earnings     Equity     Equity  
Balance at December 31, 2009
    50     $ 1,500     $ (189 )   $ 1,311       8,750,000     $ 210,500,911     $ 18,932,116     $ 229,433,027     $ 229,434,338  
Sale of Units
                            2,050,000       53,724,592             53,724,592       53,724,592  
Redemption of Limited Units
                            (1,050,000 )     (26,400,558 )           (26,400,558 )     (26,400,558 )
Net loss:
                                                                       
Net investment loss
                (7 )     (7 )                 (1,217,305 )     (1,217,305 )     (1,217,312 )
Net realized loss on Investments and Futures Contracts
                (5 )     (5 )                 (1,004,693 )     (1,004,693 )     (1,004,698 )
Net change in unrealized gain on
                                                                       
Investments and
                                                                       
Futures Contracts
                (53 )     (53 )                 (11,547,150 )     (11,547,150 )     (11,547,203 )
 
                                                     
Net loss
                (65 )     (65 )                 (13,769,148 )     (13,769,148 )     (13,769,213 )
 
                                                     
 
                                                                       
Balance at June 30, 2010
    50     $ 1,500     $ (254 )   $ 1,246       9,750,000     $ 237,824,945     $ 5,162,968     $ 242,987,913     $ 242,989,159  
 
                                                     
See accompany notes to unaudted consolidated financial statements

 

7


Table of Contents

GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2010, and 2009
                 
    2010     2009  
Cash flow from operating activities:
               
Net (Loss) Gain
  $ (13,769,213 )   $ 213,455  
Adjustments to reconcile net (loss) gain to net cash used for operating activities:
               
Purchase of investment securities
    (414,877,594 )     (134,954,862 )
Proceeds from sales of investment securities
    334,997,503       15,000,000  
Net accretion of discount
    (97,167 )     (30,283 )
Net realized loss on investment securities
    403        
Unrealized depreciation on investments
    11,547,203       2,487,065  
Decrease in capital shares receivable and other assets (*)
          1,081,835  
Increase in accrued expenses
    122,456       88,508  
 
           
Net cash used for operating activities
    (82,076,409 )     (116,114,282 )
 
               
Cash flows from financing activities:
               
Proceeds from sale of Limited Units
    53,724,592       126,605,719  
Redemption of Limited Units
    (26,400,558 )     (1,152,950 )
 
           
Net cash provided by financing activities
    27,324,034       125,452,769  
 
               
Net change in cash
    (54,752,375 )     9,338,487  
Cash held by broker at beginning of period
    97,250,587       13,331,630  
 
           
Cash held by broker at end of period
  $ 42,498,212     $ 22,670,117  
 
           
     
(*)  
The Fund has reclassified capital shares receivable to net cash used for operating activities from a financial activity.
See accompanying notes to unaudited consolidated financial statements

 

8


Table of Contents

GreenHaven Continuous Commodity Index Fund
Notes to Unaudited Consolidated Financial Statements
June 30, 2010
(1) Organization
The GreenHaven Continuous Commodity Index Fund (the “Fund”; “Fund” may also refer to the Fund and the Master Fund, collectively as the context requires) was formed as a Delaware statutory trust on October 27, 2006, and GreenHaven Continuous Commodity Master Index Fund (the “Master Fund”), was formed as a Delaware statutory trust on October 27, 2006. The Fund offers common units of beneficial interest (the “Shares”). Upon inception of the Fund, 50 General Units of the Fund were issued to GreenHaven Commodity Services, LLC (the “Managing Owner”) in exchange for a capital contribution of $1,500. The Managing Owner serves the Fund as commodity pool operator, commodity trading advisor, and managing owner.
Shares are purchased from the Fund only by Authorized Participants in one or more blocks of 50,000 Shares, called a Basket. The proceeds from the offering of Shares are invested in the Master Fund. The Master Fund actively trades exchange traded futures on the commodities comprising the Thomson Reuters Continuous Commodity Index (the “Index”), with a view to tracking the performance of the Index over time. The Master Fund’s portfolio also includes United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities. The Fund wholly owns the Master Fund. The Fund and Master Fund commenced investment operations on January 23, 2008 with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca.
The Index is intended to reflect the performance of certain commodities. The commodities comprising the Index (the “Index Commodities”) are: Corn, Soybeans, Wheat, Live Cattle, Lean Hogs, Gold, Silver, Copper, Cocoa, Coffee, Sugar, Cotton, Orange Juice, Platinum, Crude Oil, Heating Oil, and Natural Gas.
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each.
The Managing Owner, the Fund and the Master Fund will retain the services of third party service providers to the extent necessary to operate the ongoing operations of the Fund and the Master Fund (see Note (2)).
Unaudited Interim Financial Information
The consolidated financial statements as of and for the three-month and six-month periods ended June 30, 2010 and June 30, 2009 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statement and include all adjustments, which are of the normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year.
(2) Service Providers and Related Party Agreements
(a) “The Trustee” — CSC Trust is the trustee for the Fund and Master Fund. CSC Trust is headquartered in Wilmington, DE.
(b) “The Managing Owner” — GreenHaven Commodity Services, LLC is the managing owner of the Fund and Master Fund and is responsible for the day to day operations of both entities. The Managing Owner charges the Fund a management fee for its services. GreenHaven Commodity Services, LLC is a Delaware limited liability company with operations in Atlanta, GA.

 

9


Table of Contents

(c) “The Administrator” — The Bank of New York Mellon Corporation has been appointed by the Managing Owner as the administrator, custodian and transfer agent of the Fund and the Master Fund, and has entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). Pursuant to the Administration Agreement, the Administrator performs or supervises the services necessary for the operation and administration of the Fund and the Master Fund (other than making investment decisions), including receiving net asset value calculations, accounting and other fund administrative services. As the Fund’s transfer agent, the Administrator will process additions and redemptions of Shares. These transactions will be processed on Depository Trust Company’s (“DTC”) book entry system. The Administrator retains certain financial books and records, including: Basket creation and redemption books and records, fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Bank of New York Mellon Corporation is based in New York, New York.
(d) “The Commodity Broker” — Morgan Stanley & Co. Incorporated (“MS&Co.”) is the Master Fund’s Commodity Broker. In its capacity as the Commodity Broker, it executes and clears each of the Master Fund’s futures transactions and performs certain administrative services for the Master Fund. MS&Co. is based in New York, New York.
(e) “The Distributor” — ALPS Inc. provides certain distribution services to the Fund. Pursuant to the Distribution Services Agreement between the Managing Owner in its capacity as managing owner of the Fund and Distributor, the Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets. The Distribution Services Agreement was effective for two years and has automatically renewed for successive annual periods, provided that such continuance is specifically approved at least annually by the Managing Owner or otherwise as provided under the Distribution Services Agreement. The Distribution Services Agreement is terminable without penalty on sixty (60) days written notice by the Managing Owner or by the Distributor. The Distribution Services Agreement shall automatically terminate in the event of its assignment.
The Distributor retains all marketing materials and Basket creation and redemption books and records at c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, CO 80203; Telephone number (303) 623-2577. Investors may contact the Distributor toll-free in the U.S. at (800) 320-2577. The Fund has entered into a Distribution Services Agreement with the Distributor.
The Distributor is affiliated with ALPS Mutual Fund Services, Inc., a Denver-based service provider of administration, fund accounting, transfer agency and shareholder services for mutual funds, closed-end funds and exchange-traded funds, with over 100,000 shareholder accounts and approximately $10 billion in client mutual fund assets under administration. The Distributor provides distribution services and has approximately $120 billion in client assets under distribution.
(f) “The Authorized Participant” — Authorized Participants may create or redeem shares of the Master Fund. Each Authorized Participant must (1) be a registered broker-dealer or other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in securities transactions, (2) be a participant in the Depository Trust Company, or DTC, and (3) have entered into a participant agreement with the Fund and the Managing Owner, or a Participant Agreement. The Participant Agreement sets forth the procedures for the creation and redemption of Baskets of Shares and for the delivery of cash required for such creations or redemptions. A list of the current Authorized Participants can be obtained from the Administrator. A similar agreement between the Fund and the Master Fund sets forth the procedures for the creation and redemption of Master Unit Baskets by the Fund.

 

10


Table of Contents

(3) Summary of Significant Accounting Policies
(a) Use of Estimates
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.
(b) Cash Held by Broker
The Fund defines cash held by broker to be highly liquid investments, with original maturities of three months or less when acquired. MS&Co. allows the Fund to apply its Treasury Bill portfolio towards its initial margin requirement for the Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and Treasury bill positions are held in segregated accounts at MS&Co and are not insured by the Federal Deposit Insurance Corporation.
(c) United States Treasury Obligations
The Fund records purchases and sales of United States Treasury Obligations on a trade date basis. These holdings are marked to market based on quoted market closing prices. The Fund holds United States Treasury Obligations for deposit with the Master Fund’s commodity brokers for margin purposes and to earn additional interest income on the remaining cash balance. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the United States Treasury Obligations using the interest method.
(d) Income Taxes
The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund must recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution. The Fund’s reassessment of its tax positions did not have a material impact on the Fund’s financial condition, results of operations or liquidity.
The Fund and Master Fund are classified as a grantor trust and a partnership respectively, for U.S. federal income tax purposes. Accordingly, neither the Fund nor the Master Fund is subject to U.S. federal, state, or local income taxes. Accordingly, no provision for federal, state, and local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
(e) Futures Contracts
The Fund purchases and holds commodity futures contracts for investment purposes. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the consolidated statement of financial condition, futures contracts are presented at their published settlement prices on the last business day of the period, in accord with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard. (see Note 4 — Fair Value Measurements)
However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable so long as such principles are consistent with the fair value accounting standard. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.

 

11


Table of Contents

(f) Basis of Presentation & Consolidation
100% of the capital raised by the Fund is used to purchase common units of beneficial interest of the Master Fund. The financial statement balances of the Master Fund are consolidated with the Fund’s financial statement balances and all significant inter-company balances and transactions are eliminated.
(g) Recently Adopted Accounting Standards
The FASB has issued additional disclosure guidance, clarifying existing disclosure requirements, about fair value measurements. The additional requirements include disclosure regarding the amounts and reasons for significant transfers in and out of Level 1 and 2 of the fair value hierarchy and also separate presentation of purchases, sales, issuances and settlements of items measured using significant unobservable inputs (i.e. Level 3). The guidance clarifies existing disclosure requirements regarding the inputs and valuation techniques used to measure fair value for measurements that fall in either Level 2 or Level 3 of the hierarchy. The requirements are effective for interim and annual reporting periods beginning after December 15, 2009, except for Level 3 reallocations which are effective for fiscal years beginning after December 15, 2010 and for interim periods within that fiscal year. The new disclosures required by this guidance are reflected in Note 4.
(h) Subsequent Events
For purposes of disclosure in the financial statements, the Fund has evaluated events occurring between the end of its second quarter, June 30, 2010 and when the financial statements were issued. Other than the 1,250,000 Limited Shares created resulting in 11,000,000 Limited Shares outstanding, this evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
(4) Fair Value Measurements
The guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Company uses a three-tier fair value hierarchy based upon observable and non-observable inputs as follows:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Fund are either exchange-traded or government securities that have widely disseminated market prices. A summary of the Fund’s assets and liabilities at fair value as of June 30, 2010, classified according to the levels used to value them, are as follows:
                                 
            Other              
    Quoted Prices in     Significant     Significant        
    Active Market     Observable     Unobservable        
Assets   (Level 1)     Inputs (Level 2)     Inputs (Level 3)     Totals  
 
                               
U.S. Treasuries
  $     $ 199,960,900     $     $ 199,960,900  
Futures Contracts
    841,508                   841,508  
 
                       
Total
  $ 841,508     $ 199,960,900     $     $ 200,802,408  
 
                       

 

12


Table of Contents

A summary of the Fund’s assets and liabilities at fair value as of December 31, 2009, classified according to the levels used to value them, are as follows:
                                 
            Other              
    Quoted Prices in     Significant     Significant        
    Active Market     Observable     Unobservable        
Assets   (Level 1)     Inputs (Level 2)     Inputs (Level 3)     Totals  
 
                               
U.S. Treasuries
  $     $ 119,992,525     $     $ 119,992,525  
Futures Contracts
    12,380,231                   12,380,231  
 
                       
Total
  $ 12,380,231     $ 119,992,525     $     $ 132,372,756  
 
                       
(5) Derivative Instruments and Hedging Activities
The Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2010, the Funds were invested in futures contracts.
At June 30, 2010, the fair value of derivative instruments were as follows:
                         
Derivative Instruments   Asset Derivatives     Liability Derivatives     Net Derivatives  
Futures Contracts
  $ 841,508     $     $ 841,508  
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, for the six-months ended June 30, 2010:
                 
    Realized Loss on     Net Change in Unrealized Loss  
Derivative Instruments   Derivative Instruments     on Derivative Instruments  
Futures Contracts
  $ (1,004,295 )   $ (11,538,723 )
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, for the three-months ended June 30, 2010:
                 
    Realized Loss on     Net Change in Unrealized Gain  
Derivative Instruments   Derivative Instruments     on Derivative Instruments  
Futures Contracts
  $ (6,797,890 )   $ 5,626,466  
At December 31, 2009, the fair value of derivative instruments were as follows:
                         
Derivative Instruments   Asset Derivatives     Liability Derivatives     Net Derivatives  
Futures Contracts
  $ 12,380,231     $     $ 12,380,231  
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, for the six-months ended June 30, 2009:
                 
    Realized Gain on     Net Change in Unrealized Loss  
Derivative Instruments   Derivative Instruments     on Derivative Instruments  
Futures Contracts
  $ 3,022,355     $ (2,483,950 )
The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Fund, for the three-months ended June 30, 2009:
                 
    Realized Gain on     Net Change in Unrealized Loss  
Derivative Instruments   Derivative Instruments     on Derivative Instruments  
Futures Contracts
  $ 5,189,618     $ (3,763,279 )

 

13


Table of Contents

(6) Financial Instrument Risk
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, whose values are based upon an underlying asset and generally represent a commitment to make or take delivery of a commodity at a future date. At expiration, settlement is typically via physical delivery, though cash settlement is the norm in some contracts, such as lean hogs. The Fund does not intend to carry long futures positions to expiration, but will instead roll them to more distant contracts in a manner consistent with its underlying index, the Thomson Reuters Continuous Commodity Index.
Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner was unable to offset such positions, the Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of assets and liabilities and not represented by the contract or notional amounts of the instruments.
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.
(7) Share Purchases and Redemptions
(a) Purchases
Shares may be purchased from the Fund only by certain eligible financial institutions (“Authorized Participants”) in one or more blocks of 50,000 Shares, called Baskets. The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 50,000 Shares as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
(b) Redemptions
On any business day, an Authorized Participant may place an order with the Distributor to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m., New York time. The day on which the Distributor receives a valid redemption order is the redemption order date. The redemption procedures allow only Authorized Participants to purchase and redeem Baskets. Individual Shareholders may not redeem Shares directly from the Fund.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.

 

14


Table of Contents

The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Administrator receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Administrator is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Administrator and the Managing Owner may from time to time agree upon.
The Distributor may, in its discretion, and will when directed by the Managing Owner, suspend the right of redemption or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. In addition, the Distributor will reject a redemption order if the order is not in proper form as described in the Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful. Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely affect the value of the Authorized Participant’s redemption proceeds if the net asset value of the Fund declines during the period of the delay. Under the Distribution Services Agreement, the Managing Owner and the Distributor may disclaim any liability for any loss or damage that may result from any such suspension or postponement.
(8) Operating Expenses, Organizational and Offering Costs
(a) Management Fee
The Master Fund pays the Managing Owner a management fee (the “Management Fee”) monthly in arrears, in an amount equal to 0.85% per annum of the net asset value of the Master Fund. No separate management fee will be paid by the Fund. The Management Fee will be paid in consideration of the use of the license for the Thomson Reuters Continuous Commodity Index held by the Managing Owner, as well as for commodity futures trading advisory services. The management fee incurred for the six-month period ended June 30, 2010 and 2009 was $1,025,052 and $279,794, respectively, and the management fee incurred for the three-months ended June 30, 2010 and 2009 was $512,153 and $233,203, respectively.
(b) Organization and Offering Expenses
Expenses incurred in connection with organizing the Fund and the Master Fund and the offering of the Shares will be paid by the Managing Owner. The Fund and the Master Fund do not have an obligation to reimburse the Managing Owner or its affiliates for organization and offering expenses paid on their behalf.

 

15


Table of Contents

(c) Brokerage Commissions and Fees
The Master Fund pays to the Commodity Broker all brokerage commissions, including applicable exchange fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities. On average, total charges paid to the Commodity Broker are expected to be less than $20 per round-turn trade. A round-turn trade is a buy and sell pair. The Managing Owner does not expect brokerage commissions and fees to exceed 0.24% of the net asset value of the Master Fund in any year. Brokerage commissions and fees will be charged against the Master Fund’s Assets on a per transaction basis on the date of the transaction. The brokerage commissions and trading fees incurred for the six-month period ended June 30, 2010 and 2009 were $289,427 and $79,001, respectively, and the brokerage commissions and trading fees for the three months ended June 30, 2010 and 2009 were $144,609 and $65,845, respectively. These fees were charged to the Fund and paid to the Commodity Broker. Brokerage commissions and trading fees are typically charged by the Commodity Broker to the Fund on a half-turn basis, i.e. half is charged when a contract is opened and half is charged when a position is closed. Currently, the Fund accrues monthly an amount equal to 0.02% of the net asset value of the Master Fund to cover these costs.
(d) Extraordinary Fees and Expenses
The Master Fund will pay all the extraordinary fees and expenses, if any, of the Fund and the Master Fund. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. There have been no extraordinary fees or expenses since the Fund commenced investment operations on January 23, 2008.
(e) Routine Operational, Administrative and Other Ordinary Expenses
During the Continuous Offering Period the Managing Owner will pay all of the routine operational, administrative and other ordinary expenses of the Index Fund and the Master Fund, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, legal fees and expenses, tax preparation expenses, filing fees, fees in connection with fund administration, and printing, mailing and duplication costs.
(9) Termination
The term of the Fund is perpetual (unless terminated earlier in certain circumstances) as defined in the Prospectus.
(10) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the shareholders.

 

16


Table of Contents

(11) Net Asset Value and Financial Highlights
The Fund is presenting the following net asset value and financial highlights related to investment performance and operations for a Share outstanding for the three-month and six-month periods ended June 30, 2010 and 2009. The net investment income and total expense ratios have been annualized. The total return is based on the change in net asset value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of capital transactions.
                                 
    Three Months     Three Months     Six Months     Six Months  
    Ended     Ended     Ended     Ended  
    June 30, 2010     June 30, 2009     June 30, 2010     June 30, 2009  
 
                               
Net Asset Value
                               
Net asset value per Limited Share, beginning of period
  $ 25.07     $ 21.73     $ 26.22     $ 21.92  
 
                               
Net realized and change in unrealized gain (loss) from investments
    (0.09 )     1.06       (1.17 )     0.91  
 
                               
Net investment loss
    (0.06 )     (0.06 )     (0.13 )     (0.10 )
 
                       
Net increase (decrease) in net assets from operations
    (0.15 )     1.00       (1.30 )     0.81  
 
                       
Net asset value per Limited Share, end of period
  $ 24.92     $ 22.73     $ 24.92     $ 22.73  
 
                       
 
                               
Market value per Limited Share, beginning of period
    25.08       21.95       26.32       21.92  
 
                       
Market value per Limited Share, end of period
  $ 24.93     $ 22.88     $ 24.93     $ 22.88  
 
                       
 
                               
Ratio to average net assets (i)
                               
 
Net investment loss
    (0.97 )%     (0.98 )%     (1.01 )%     (0.96 )%
 
Total expenses
    1.09 %     1.08 %     1.09 %     1.07 %
 
                               
Total Return, at net asset value (ii)
    (0.60 )%     4.60 %     (4.96 )%     3.70 %
 
                       
 
                               
Total Return, at market value (ii)
    (0.60 )%     4.24 %     (5.28 )%     4.38 %
 
                       
     
(i)  
Percentages are annualized.
 
(ii)  
Percentages are not annualized.

 

17


Table of Contents

ITEM 2.  
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.
Overview / Introduction
The initial offering period began and ended on January 23, 2008 during which time 350,000 shares were sold at $30 per share for total proceeds of $10,500,000. The entire proceeds were received by the Fund which then invested them in the Master Fund. Shares were then listed for trading on the American Stock Exchange on January 24, 2008, marking the beginning of the continuous offering period. The ticker symbol of the Fund is GCC.
Performance Summary
There is no performance history prior to the beginning of trading on January 24, 2008. For performance history subsequent to the beginning of trading, see the Results of Operations section below.
Net Asset Value
The Administrator calculates a daily Net Asset Value per share of the Fund, based on closing prices of the underlying futures contracts. The first such calculation was as of market close on January 24, 2008, the first day of trading on the NYSE Arca, formerly the American Stock Exchange. Values of the underlying Index are computed by Thomson Reuters America, LLC, and disseminated by NYSE Arca every fifteen (15) seconds during the trading day. Only settlement and last-sale prices are used in the Index’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Index value is based on the settlement prices of the component commodities, and explains why the underlying Index often closes at or near the high or low for the day.
Critical Accounting Policies
The Fund’s critical accounting policies are as follows:
Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.
The Master Fund holds a significant portion of its assets in futures contracts and United States Treasury Obligations, both of which will be recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the consolidated statement of income and expenses. Generally, fair values are based on quoted market closing prices. However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards.
The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Fund’s financial statements. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
In determining fair value of United States Treasury Obligations and commodity futures contracts, the Fund uses unadjusted quoted market prices in active markets. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). The hierarchy gives the highest priority to unadjusted quoted prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
When market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to policies the Managing Owner has adopted, which are consistent with normal industry standards. Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the consolidated statement of income and expenses in the period in which the contract is closed or the changes occur, respectively.

 

18


Table of Contents

Liquidity
The Managing Owner knows of no trends, demands, commitments, events or uncertainties that will result in or that are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.
Capital Resources
The Fund had no commitments for capital expenditures as of June 30, 2010. Currently, the Fund invests only in U.S Treasury bills and in long positions in exchange-traded commodity futures contracts. Therefore, it has no expectation of entering into commitments for capital expenditures at any time in the future.
Off-Balance Sheet Arrangements and Contractual Obligations
As of June 30, 2010 the Fund had no commitments or contractual obligations other than its long positions in futures contracts as detailed in the included Consolidated Schedule of Investments. Typically, those positions require the Fund to deposit initial margin funds with its Commodity Brokers in amounts equal to approximately 10% of the notional value of the contracts. In addition, the Fund may be required to make additional margin deposits if prices fall for the underlying commodities. Since the Fund is unleveraged, it holds in reserve the shareholder funds not required for margin and invests these in U.S. Treasury bills. These funds are available to meet variation margin calls.
In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. The financial instruments are traded on an exchange and are standardized contracts.
The Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind, The Fund’s contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of the Master Fund’s net asset value. Commission payments to the Commodity Broker are on a contract-by-contract, or round-turn, basis. As such, the Managing Owner cannot anticipate the amount of payments that will be required under these arrangements for future periods as net asset values are not known until a future date.

 

19


Table of Contents

Results of Operations
FOR THE PERIOD FROM JANUARY 23, 2008 (COMMENCEMENT OF INVESTMENT OPERATIONS) TO JUNE 30, 2010
The Fund was launched on January 23, 2008 at $30.00 per share and listed for trading on the NYSE Arca, formerly the American Stock Exchange, on January 24, 2008.
GreenHaven Continuous Commodity Index Fund — performance since inception
                                                         
Date   NAV     Total Shares     Extended Value     1 Month     3 Months     Year to Date     Since Inception  
1/24/2008
  $ 30.00       350,050     $ 10,501,500.00                          
1/31/2008
  $ 31.65       350,050     $ 11,079,082.50       5.50 %           5.50 %     5.50 %
2/29/2008
  $ 35.41       900,050     $ 31,870,770.50       11.88 %           18.03 %     18.03 %
3/31/2008
  $ 32.46       900,050     $ 29,215,623.00       -8.33 %           8.20 %     8.20 %
4/30/2008
  $ 33.49       900,050     $ 30,142,674.50       3.17 %     5.81 %     11.63 %     11.63 %
5/31/2008
  $ 33.77       950,050     $ 32,083,188.50       0.84 %     -4.63 %     12.57 %     12.57 %
6/30/2008
  $ 36.83       800,050     $ 29,465,841.50       9.06 %     13.46 %     22.77 %     22.77 %
7/31/2008
  $ 33.71       750,050     $ 25,284,185.50       -8.47 %     0.66 %     12.37 %     12.37 %
8/31/2008
  $ 31.65       800,050     $ 25,321,582.50       -6.11 %     -6.28 %     5.50 %     5.50 %
9/30/2008
  $ 27.74       750,050     $ 20,806,387.00       -12.35 %     -24.68 %     -7.53 %     -7.53 %
10/31/2008
  $ 22.68       700,050     $ 15,877,134.00       -18.24 %     -32.72 %     -24.40 %     -24.40 %
11/28/2008
  $ 22.03       700,050     $ 15,422,101.50       -2.87 %     -30.39 %     -26.57 %     -26.57 %
12/31/2008
  $ 21.92       800,050     $ 17,537,096.00       -0.50 %     -20.98 %     -26.93 %     -26.93 %
1/31/2009
  $ 21.80       900,050     $ 19,621,090.00       -0.55 %     -3.88 %     -0.55 %     -27.33 %
2/28/2009
  $ 20.87       950,050     $ 19,827,543.50       -4.27 %     -5.27 %     -4.79 %     -30.43 %
3/31/2009
  $ 21.73       3,950,050     $ 85,834,586.50       4.12 %     -0.87 %     -0.87 %     -27.57 %
4/30/2009
  $ 21.69       3,950,050     $ 85,676,584.50       -0.18 %     -0.50 %     -1.05 %     -27.70 %
5/30/2009
  $ 24.21       5,000,050     $ 121,051,210.50       11.62 %     16.00 %     10.45 %     -19.30 %
6/30/2009
  $ 22.73       6,300,050     $ 143,200,136.50       -6.11 %     4.60 %     3.70 %     -24.23 %
7/31/2009
  $ 23.44       5,550,000     $ 130,092,000.00       3.12 %     8.07 %     6.93 %     -21.87 %
8/31/2009
  $ 23.19       6,100,050     $ 141,460,159.50       -1.07 %     -4.21 %     5.79 %     -22.70 %
9/30/2009
  $ 23.89       8,350,050     $ 199,482,694.50       3.02 %     5.10 %     8.99 %     -20.37 %
10/31/2009
  $ 24.94       8,850,050     $ 220,720,247.00       4.40 %     6.40 %     13.78 %     -16.87 %
11/30/2009
  $ 26.09       7,550,050     $ 196,980,804.50       4.61 %     12.51 %     19.02 %     -13.03 %
12/31/2009
  $ 26.22       8,750,050     $ 229,426,311.00       0.50 %     9.75 %     19.62 %     -12.60 %
1/31/2010
  $ 25.09       9,850,050     $ 247,137,754.50       -4.31 %     0.60 %     -4.31 %     -16.37 %
2/28/2010
  $ 25.67       9,400,050     $ 241,299,283.50       2.31 %     -1.61 %     -2.10 %     -14.43 %
3/31/2010
  $ 25.07       9,550,050     $ 239,419,753.50       -2.34 %     -4.39 %     -4.39 %     -16.43 %
4/30/2010
  $ 25.76       9,650,050     $ 248,585,288.00       2.75 %     2.67 %     -1.75 %     -14.13 %
5/31/2010
  $ 24.50       9,650,050     $ 236,426,225.00       -4.89 %     -4.56 %     -6.56 %     -18.33 %
6/30/2010
  $ 24.92       9,750,050     $ 242,971,246.00       1.71 %     -0.60 %     -4.96 %     -16.93 %

 

20


Table of Contents

(PERFORMANCE GRAPH)
(PERFORMANCE GRAPH)
The Fund and the Master Fund seek to track changes in the Thomson Reuters Continuous Commodity Index-Total Return, or the “Index”, over time. For the six months ended June 30, 2010 and six months ended June 30, 2009, the Fund’s Net Asset Value outperformed the Index by .58% and 1.21%, respectively.

 

21


Table of Contents

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
Introduction

The Fund aims to track the Thomson Reuters Continuous Commodity Index, which consists of seventeen commodities and is rebalanced daily. Due to the rebalancing, the Fund on a given day holds an equal amount of each of the seventeen index components. Thus, the exposure of the Fund to a given component remains over time very close to 1/17, or 5.88%. Unless the Index Owner (Thomson Reuters) changes the construction of the Index, the Fund will maintain the same allocation to the same commodities. The value of the Shares relates directly to the value of the commodity futures and other assets held by the Master Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. The Shares are designed to reflect, as closely as possible, the performance of the Index through the Master Fund’s portfolio of exchange-traded futures on the Index Commodities. The value of the Shares relate directly to the value of the portfolio, less the liabilities (including estimated accrued but unpaid expenses) of the Fund and the Master Fund. The price of the Index Commodities may fluctuate widely based on many factors. Some of those factors are:
   
changing supply and demand relationships;
 
   
general economic activities and conditions;
 
   
weather and other environmental conditions;
 
   
acts of God;
 
   
agricultural, fiscal, monetary and exchange control programs and policies of governments;
 
   
national and international political and economic events and policies;
 
   
changes in rates of inflation; or
 
   
the general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors.
In addition to the factors set forth above, each commodity has risks that are inherent in the investment in such commodity.
Metals Commodities: Price movements in futures contracts held by the Master Fund in metals commodities such as gold, silver, platinum and copper are affected by many specific factors. Some of these metal specific factors include, but are not limited to:
   
A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund.
 
   
A sudden shift in political conditions of the world’s leading metal producers may have a negative effect on the global pricing of metals.
 
   
An increase in the hedging of precious metals may result in the price of precious metals to decline.
 
   
Changes in global supply and demand for industrial and precious metals.
 
   
The price and quantity of imports and exports of industrial and precious metals.
 
   
Technological advances in the processing and mining of industrial and precious metals.

 

22


Table of Contents

Agricultural Commodities: Price movements in futures contracts held by the Master Fund in agricultural commodities, such as wheat, corn and soybeans, are affected by many factors. Some of these agricultural specific factors include, but are not limited to:
   
Farmer planting decisions, general economic, market and regulatory factors.
 
   
Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities.
 
   
Changes in global supply and demand for agricultural products.
 
   
The price and quantity of imports and exports of agricultural commodities.
 
   
Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports.
 
   
Technological advances in agricultural production.
 
   
The price and availability of alternative agricultural commodities.
Energy Commodities: Price movements in futures contracts held by the Master Fund in energy commodities, such as crude oil, heating oil and natural gas, are subject to risks due to frequent and often substantial fluctuations in energy commodity prices. In the past, the prices of natural gas and crude oil have been extremely volatile, and the Managing Owner expects this volatility to continue. The markets and prices for energy commodities are affected by many factors. Some of those factors include, but are not limited to:
   
Changes in global supply and demand for oil and natural gas.
 
   
The price and quantity of imports and exports of oil and natural gas.
 
   
Political conditions, including embargoes and war, in or affecting other oil producing activities.
 
   
The level of global oil and natural gas exploration and production.
 
   
The level of global oil and natural gas inventories, production or pricing.
 
   
Weather conditions.
 
   
Technological advances effecting energy consumption.
 
   
The price and availability of alternative fuels.
None of these factors can be controlled by the Managing Owner. Even if current and correct information as to substantially all factors are known or thought to be known, prices still will not always react as predicted. The profitability of the Fund and the Master Fund will depend on whether the Master Fund’s commodities portfolio increases in value over time. If the value increases, the Fund will only be profitable if such increases exceed the fees and expenses of the Fund. If these values do not increase, the Fund will not be profitable and will incur losses.
Quantitative Forward-looking Statements
Quantifying the Fund’s Trading Risk
The following qualitative disclosures regarding the Fund’s risk exposures — except for those disclosures that are statements of historical fact — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures are subject to numerous uncertainties, contingencies and risks. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures of the Fund. There can be no assurance that the Fund’s current market exposure will not change materially. Investors may lose all or substantially all of their investment in the Fund.

 

23


Table of Contents

The Fund’s Risk by Market Sector
The following were the primary trading risk exposures of the Fund as of June 30, 2010 by market sector.
             
Grains
    17.65 %   Corn, Soybeans, Wheat
 
           
Livestock
    11.76 %   Hogs, Cattle
 
           
Metals
    23.53 %   Gold, Silver, Platinum, Copper
 
           
Energy
    17.65 %   Crude Oil, Natural Gas, Heating Oil
 
           
Softs
    29.41 %   Coffee, Cocoa, Sugar, Orange Juice, Cotton
Non-Trading Risk
The Fund invests its excess funds in short-term U.S. Treasury bills. These instruments are not interest-bearing and therefore trade at a discount to their value at maturity. The Fund expects that the market risk of holding these investments is not material.
Qualitative Disclosures Regarding Non-Trading Risk Exposures
The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. These special circumstances, for example, include the unavailability of the Index or certain natural or man-made disasters. The Managing Owner does not apply risk management techniques. The Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.
ITEM 4. CONTROLS AND PROCEDURES.
Disclosure controls and procedures
Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Fund carried out an evaluation of the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures with respect to the Fund were effective as of the end of the period covered by this report.
Changes in Internal Control over Financial Reporting
The Fund commenced trading on January 24, 2008 and began to exercise its internal control over financial reporting thereafter. The Fund’s investing activity is limited to the purchase and sale of commodity futures contracts and of short-term U.S. Treasury bills. Futures transactions are made through Morgan Stanley, the Commodity Broker, which provides the Fund with statements on a daily basis. Bank of New York, the Fund’s Custodian, reconciles the reports from Morgan Stanley with its own records of Fund transactions. In addition, the Managing Owner each day reconciles its own records with those of Morgan Stanley and Bank of New York.
During the three months ended June 30, 2010, the Fund made no changes to its internal control over financial reporting that materially affected, or is reasonably likely to materially affect, its internal control over financial reporting.

 

24


Table of Contents

PART II. OTHER INFORMATION
Item 1. Legal Proceedings.
Not Applicable.
Item 1A. Risk Factors.
There are no material changes from risk factors as previously disclosed in Annual Report on Form 10-K for the year ended December 31, 2009, filed March 15, 2010.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) The Registrant’s Registration Statement on Form S-1 (Registration No. 333-138424) was declared effective on December 5, 2007 and updated on February 20, 2008 and April 14, 2009. A new Registration Statement was filed on Form S-1 (Registration No. 333-158421), declared effective on April 24, 2009, and a Post-Effective Amendment to the Registration Statement was filed on May 4, 2010 with information with respect to the use of proceeds from the sale of the Limited Shares being disclosed therein. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 and, as of November 25, 2008, was listed on the NYSE Arca. The proceeds from the sale of the Limited Shares are used to purchase Master Fund Limited Units. The Master Fund uses the proceeds from the sale of the Master Fund Limited Units for general corporate purposes in accordance with its investment objectives and policies.
For the three months ended June 30, 2010, 500,000 Limited Shares were created for $12,679,489 and 300,000 Limited Shares were redeemed for $7,336,503. On June 30, 2010, 9,750,000 Limited Shares of the Fund were outstanding for a market capitalization of $243,067,500, based on that day’s closing price of $24.93 on the NYSE Arca.
(c) There were 300,000 Limited Shares redeemed by Authorized Participants during the three months ended June 30, 2010.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Submission of Matters to a Vote of Security Holders.
None.
Item 5. Other Information.
None.

 

25


Table of Contents

Item 6. Exhibits.
         
  31.1    
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
       
 
  31.2    
Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
       
 
  32.1    
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)
       
 
  32.2    
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
                 
    GreenHaven Continuous Commodity Index Fund    
 
               
    By:   GreenHaven Commodity Services LLC,    
        its Managing Owner    
 
               
    By:   /s/ Ashmead Pringle    
             
 
      Name:   Ashmead Pringle    
 
      Title:   Chief Executive Officer    
 
               
Dated: August 9, 2010   By:   /s/ Thomas J. Fernandes    
             
 
      Name:   Thomas J. Fernandes    
 
      Title:   Principal Financial Officer    

 

26


Table of Contents

EXHIBIT INDEX
             
Exhibit       Page
Number   Description of Document   Number
       
 
   
  31.1    
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
  E-1
       
 
   
  31.2    
Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
  E-2
       
 
   
  32.1    
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)
  E-3
       
 
   
  32.2    
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)
  E-4

 

27