Nuveen Diversified Commodity Fund - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - Nuveen Diversified Commodity Fund	Financial_Report.xls
EX-31.2 - EX-31.2 - Nuveen Diversified Commodity Fund	d796285dex312.htm
EX-32.1 - EX-32.1 - Nuveen Diversified Commodity Fund	d796285dex321.htm
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EX-31.1 - EX-31.1 - Nuveen Diversified Commodity Fund	d796285dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2014

¨	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 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)


Delaware		27-2048014
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	¨		Accelerated filer	x

Non-accelerated filer	¨	(Do not check if smaller reporting company)	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 x

As of November 5, 2014, the registrant had 9,157,040 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS


		Page No.
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Schedule of Investments at September 30, 2014 (Unaudited)		3

	Statements of Financial Condition at September 30, 2014 (Unaudited) and December 31, 2013		9

	Statements of Operations (Unaudited) for the three months ended September 30, 2014 and September 30, 2013 and for the nine months ended September 30, 2014 and September 30, 2013		10

	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2014 (Unaudited) and the year ended December 31, 2013		11

	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2014 and September 30, 2013		12

	Notes to Financial Statements (Unaudited)		13

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		27

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		41

Item 4.	Controls and Procedures		44

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		46

Item 1A.	Risk Factors		46

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		46

Item 3.	Defaults Upon Senior Securities		46

Item 4.	Mine Safety Disclosures		46

Item 5.	Other Information		46

Item 6.	Exhibits		47

Signatures			48

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

September 30, 2014

Investments


Principal Amount (000)	Description	Coupon		Maturity	Ratings⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 8,500	U.S. Treasury Bills	0.000	%	10/16/14	Aaa	$	8,499,966
9,500	U.S. Treasury Bills	0.000	%	11/13/14	Aaa		9,499,829
9,500	U.S. Treasury Bills	0.000	%	12/11/14	Aaa		9,499,715
5,000	U.S. Treasury Bills	0.000	%	1/08/15	Aaa		4,999,760
6,000	U.S. Treasury Bills	0.000	%	2/05/15	Aaa		5,999,526
10,000	U.S. Treasury Bills	0.000	%	3/05/15	Aaa		9,998,710
15,000	U.S. Treasury Bills	0.000	%	4/02/15	Aaa		14,996,760
18,000	U.S. Treasury Bills	0.000	%	4/30/15	Aaa		17,996,040
18,700	U.S. Treasury Bills	0.000	%	5/28/15	Aaa		18,695,344
5,500	U.S. Treasury Bills	0.000	%	6/25/15	Aaa		5,498,064
18,000	U.S. Treasury Bills	0.000	%	7/23/15	Aaa		17,991,882
8,000	U.S. Treasury Bills	0.000	%	9/17/15	Aaa		7,992,392

$ 131,700	Total U.S. Government and Agency Obligations (cost $131,632,979)					$	131,667,988

	Repurchase Agreements
$ 2,915	Repurchase Agreement with State Street Bank, dated 9/30/14, repurchase price $2,915,465, collateralized by $2,985,000 U.S. Treasury Notes, 2.125%, due 8/15/21, value $2,977,538	0.000	%	10/01/14	N/A	$	2,915,465

	Total Repurchase Agreements (cost $2,915,465)						2,915,465

	Total Short-Term Investments (cost $134,548,444)					$	134,583,453

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		November 2014		73	$	6,910,910	$	(301,211	)
	ICE Brent Crude Oil Futures Contract		Long		January 2015		73		6,997,780		(287,480	)
	NYMEX Crude Oil Futures Contract		Long		November 2014		92		8,386,720		(151,500	)
	NYMEX Crude Oil Futures Contract		Long		January 2015		67		6,013,920		(116,630	)

	Total Crude Oil										(856,821	)

	Heating Oil
	ICE Gas Oil Futures Contract		Long		November 2014		18		1,454,850		(58,850	)
	ICE Gas Oil Futures Contract		Long		December 2014		5		405,750		(4,000	)
	NYMEX NY Harbor ULSD Futures Contract		Long		November 2014		48		5,343,408		(201,966	)
	NYMEX NY Harbor ULSD Futures Contract		Long		January 2015		4		447,485		(33,113	)

	Total Heating Oil										(297,929	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾			Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)
Energy	Natural Gas
(continued)	NYMEX Natural Gas Futures Contract		Long		November 2014		189		$	7,788,690		$	359,540
	NYMEX Natural Gas Futures Contract		Long		January 2015		69			2,933,880			4,450

	Total Natural Gas												363,990

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		November 2014		25			2,559,165			(120,641	)
	NYMEX Gasoline RBOB Futures Contract		Long		January 2015		24			2,396,520			(109,838	)

	Total Unleaded Gas												(230,479	)

	Total Energy												(1,021,239	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract		Long		October 2014		81			3,915,337			(304,763	)
	LME Primary Aluminum Futures Contract		Long		November 2014		80			3,897,000			(277,500	)

	Total Aluminum												(582,263	)

	Copper
	CEC Copper Futures Contract		Long		December 2014		36			2,706,750			(155,738	)
	CEC Copper Futures Contract		Long		March 2015		8			602,500			(4,400	)
	LME Copper Futures Contract		Long		October 2014		40			6,710,000			(210,000	)
	LME Copper Futures Contract		Long		November 2014		21			3,512,250			(162,225	)

	Total Copper												(532,363	)

	Nickel
	LME Nickel Futures Contract		Long		October 2014		31			3,022,686			(473,556	)
	LME Nickel Futures Contract		Short		October 2014		(8	)		(780,048	)		48,672

	Total Nickel												(424,884	)

	Zinc
	LME Zinc Futures Contract		Long		October 2014		19			1,083,831			(44,294	)
	LME Zinc Futures Contract		Long		November 2014		19			1,085,138			(35,863	)

	Total Zinc												(80,157	)

	Lead
	LME Lead Futures Contract		Long		October 2014		13			680,387			(40,138	)
	LME Lead Futures Contract		Long		November 2014		13			681,281			(52,812	)

	Total Lead												(92,950	)

	Total Industrial Metals												(1,712,617	)

Agriculturals	Corn
	CBOT Corn Futures Contract		Long		December 2014		321			5,148,038			(745,121	)

	Soybean
	CBOT Soybean Futures Contract		Long		November 2014		176			8,036,600			(2,479,371	)

	Wheat
	CBOT Wheat Futures Contract		Long		December 2014		73			1,743,788			(235,658	)
	CBOT Wheat Futures Contract		Long		March 2015		43			1,054,575			(3,975	)
	KCBT Wheat Futures Contract		Long		December 2014		60			1,674,000			(251,525	)
	KCBT Wheat Futures Contract		Long		March 2015		36			1,011,150			(65,025	)

	Total Wheat												(556,183	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)
Agriculturals	Soybean Meal
(continued)	CBOT Soybean Meal Futures Contract		Long		December 2014		97	$	2,899,330	$	(898,580	)
	CBOT Soybean Meal Futures Contract		Long		January 2015		16		475,840		(68,840	)

	Total Soybean Meal										(967,420	)

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2014		75		1,456,650		(288,774	)
	CBOT Soybean Oil Futures Contract		Long		January 2015		20		391,800		(1,800	)

	Total Soybean Oil										(290,574	)

	Total Agriculturals										(5,038,669	)

Precious Metals	Gold
	CEC Gold Futures Contract		Long		December 2014		126		15,266,160		(1,197,000	)

	Silver
	CEC Silver Futures Contract		Long		December 2014		47		4,008,395		(567,760	)

	Platinum
	NYMEX Platinum Futures Contract		Long		January 2015		18		1,170,450		(62,510	)

	Palladium
	NYMEX Palladium Futures Contract		Long		December 2014		9		697,635		(96,075	)

	Total Precious Metals										(1,923,345	)

Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		December 2014		32		981,920		(258,124	)
	ICE Cotton Futures Contract		Long		March 2015		21		634,725		(60,880	)

	Total Cotton										(319,004	)

	Sugar
	ICE Sugar Futures Contract		Long		March 2015		142		2,616,208		(5,959	)

	Coffee
	ICE Coffee C Futures Contract		Long		December 2014		23		1,667,644		42,431
	LIFFE Coffee Robusta Futures Contract		Long		November 2014		63		1,254,960		13,085

	Total Coffee										55,516

	Cocoa
	ICE Cocoa Futures Contract		Long		December 2014		15		495,000		12,555
	ICE Cocoa Futures Contract		Long		March 2015		14		456,260		14,370

	Total Cocoa										26,925

	Total Foods and Fibers										(242,522	)

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		October 2014		106		6,803,080		179,610
	CME Live Cattle Futures Contract		Long		December 2014		45		2,942,550		106,086
	CME Live Cattle Futures Contract		Long		February 2015		2		131,180		2,880

	Total Live Cattle										288,576

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)
Livestock	Lean Hogs
(continued)	CME Lean Hog Futures Contract		Long		October 2014		12	$	518,280	$	14,280
	CME Lean Hog Futures Contract		Long		December 2014		74		2,797,940		(11,092	)
	CME Lean Hog Futures Contract		Long		February 2015		5		180,850		(2,770	)

	Total Lean Hogs										418

	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2014		15		1,762,875		150,663
	CME Feeder Cattle Futures Contract		Long		January 2015		7		800,712		25,675

	Total Feeder Cattle										176,338

	Total Livestock										465,332

	Total Futures Contracts outstanding						2,733	$	147,834,785	$	(9,473,060	)

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		November 2014		(73	)	$	104.0	$	(3,650	)
	NYMEX Crude Oil Futures Options		October 2014		(80	)		96.5		(11,200	)

	Total Crude Oil									(14,850	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2014		(35	)		2.9		(4,851	)

	Natural Gas
	NYMEX Natural Gas Futures Options		October 2014		(129	)		4,150.0		(174,150	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2014		(25	)		27,000.0		(5,355	)

	Total Energy									(199,206	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options ⁽⁴⁾		October 2014		(81	)		2,200.0		—

	Copper
	LME Copper Futures Options ⁽⁴⁾		October 2014		(40	)		7,250.0		—

	Nickel
	LME Nickel Futures Options ⁽⁴⁾		October 2014		(11	)		20,500.0		—

	Zinc
	LME Zinc Futures Options ⁽⁴⁾		October 2014		(19	)		2,450.0		—

	Lead
	LME Lead Futures Options ⁽⁴⁾		October 2014		(13	)		2,350.0		—

	Total Industrial Metals									—

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2014

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculturals	Corn
	CBOT Corn Futures Options		November 2014		(160	)	$	390.0	$	(3,000	)

	Soybean
	CBOT Soybean Futures Options		October 2014		(11	)		1,240.0		(69	)
	CBOT Soybean Futures Options		October 2014		(77	)		1,060.0		(1,444	)

	Total Soybean									(1,513	)

	Wheat
	CBOT Wheat Futures Options		November 2014		(50	)		600.0		(1,562	)
	CBOT Wheat Futures Options		November 2014		(48	)		680.0		(1,800	)
	CBOT Wheat Futures Options		November 2014		(8	)		550.0		(800	)

	Total Wheat									(4,162	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(57	)		350.0		(4,845	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(48	)		360.0		(4,176	)

	Total Agriculturals									(17,696	)

Precious Metals	Gold
	CEC Gold Futures Options		November 2014		(63	)		1,400.0		(5,040	)

	Silver
	CEC Silver Futures Options		November 2014		(24	)		2,175.0		(3,600	)

	Total Precious Metals									(8,640	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2014		(26	)		86.0		(390	)

	Sugar
	ICE Sugar Futures Options		February 2015		(71	)		17.8		(35,784	)

	Coffee
	ICE Coffee C Futures Options		November 2014		(20	)		222.5		(39,600	)

	Cocoa
	ICE Cocoa Futures Options		November 2014		(15	)		3,400.0		(10,650	)

	Total Foods and Fibers									(86,424	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2014		(97	)		165.0		(2,910	)

	Lean Hogs
	CME Lean Hogs Futures Options		October 2014		(11	)		117.0		(330	)
	CME Lean Hogs Futures Options		October 2014		(1	)		114.0		(50	)
	CME Lean Hogs Futures Options		December 2014		(33	)		106.0		(8,910	)

	Total Lean Hogs									(9,290	)

	Total Livestock									(12,200	)

	Total Call Options Written outstanding (premiums received $609,272)				(1,326	)			$	(324,166	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2014


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
⁽²⁾		The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.
⁽³⁾		Total number of contracts and notional amount at value include the net effect of LME short futures positions, when applicable.
⁽⁴⁾		For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Note 2 – Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At September 30, 2014 (Unaudited) and December 31, 2013


	September 30, 2014			December 31, 2013
ASSETS
Short-term investments, at value (cost $134,548,444 and $141,217,188, respectively)	$	134,583,453		$	141,238,384
Deposits with brokers		24,863,110			25,753,763
Unrealized appreciation on futures contracts		974,297			3,905,844
Other assets		3,779			—

Total assets	$	160,424,639		$	170,897,991


LIABILITIES
Call options written, at value (premiums received $609,272 and $777,236, respectively)		324,166			1,029,767
Unrealized depreciation on futures contracts		10,447,357			2,026,830
Payable for:
Distributions		1,196,902			—
Shares repurchased		—			151,538
Accrued expenses:
Management fees		157,194			178,826
Independent Committee fees		13,902			12,935
Other		397,646			351,411

Total liabilities		12,537,167			3,751,307


SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,206,940 shares issued and outstanding at September 30, 2014 and December 31, 2013		219,648,412			219,648,412
Accumulated undistributed earnings (deficit)		(71,760,940	)		(52,501,728	)

Total shareholders’ capital (Net assets)		147,887,472			167,146,684

Total liabilities and shareholders’ capital	$	160,424,639		$	170,897,991


Net assets	$	147,887,472		$	167,146,684

Shares outstanding		9,206,940			9,206,940

Net asset value per share outstanding (net assets divided by shares outstanding)	$	16.06		$	18.15

Market value per share outstanding	$	13.79		$	15.17

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended September 30, 2014 and September 30, 2013 and

For the Nine Months Ended September 30, 2014 and September 30, 2013


	Three Months Ended September 30,						Nine Months Ended September 30,
	2014			2013			2014			2013
Investment Income:
Interest	$	33,081		$	43,001		$	108,684		$	160,054

Total Investment Income		33,081			43,001			108,684			160,054

Expenses:
Management fees		501,527			554,419			1,556,703			1,721,258
Brokerage commissions		24,809			23,526			89,681			97,537
Custodian fees and expenses		26,813			33,893			77,982			89,827
Independent Committee fees and expenses		15,905			12,518			43,498			39,642
Professional fees		115,721			138,028			368,562			376,365
Shareholder reporting expenses		25,786			59,529			101,659			110,499
Other expenses		4,461			6,877			14,124			23,773

Total expenses		715,022			828,790			2,252,209			2,458,901

Net investment income (loss)		(681,941	)		(785,789	)		(2,143,525	)		(2,298,847	)

Net realized gain (loss) from:
Short-term investments		—			949			17			2,228
Futures contracts		(7,002,815	)		(1,050,382	)		1,487,968			(16,242,645	)
Call options written		898,238			1,136,064			2,969,070			3,586,076
Change in net unrealized appreciation (depreciation) of:
Short-term investments		10,432			39,863			13,813			21,950
Futures contracts		(11,377,594	)		6,928,496			(11,352,074	)		2,685,197
Call options written		247,519			(54,483	)		537,637			8,235

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(17,224,220	)		7,000,507			(6,343,569	)		(9,938,959	)

Net income (loss)	$	(17,906,161	)	$	6,214,718		$	(8,487,094	)	$	(12,237,806	)


Net income (loss) per weighted-average share	$	(1.94	)	$	0.67		$	(0.92	)	$	(1.33	)
Weighted-average shares outstanding		9,206,940			9,219,240			9,206,940			9,219,240

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Nine Months Ended September 30, 2014 (Unaudited) and the Year Ended December 31, 2013


	Nine Months Ended September 30, 2014			Year Ended December 31, 2013
Shareholders’ capital—beginning of period	$	167,146,684		$	197,141,908
Repurchase of shares		—			(186,659	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(2,143,525	)		(3,055,568	)
Net realized gain (loss) from:
Short-term investments		17			3,618
Futures contracts		1,487,968			(21,217,789	)
Call options written		2,969,070			4,711,122
Change in net unrealized appreciation (depreciation) of:
Short-term investments		13,813			(9,983	)
Futures contracts		(11,352,074	)		5,662,047
Call options written		537,637			(690,565	)

Net income (loss)		(8,487,094	)		(14,597,118	)

Distributions to shareholders		(10,772,118	)		(15,211,447	)

Shareholders’ capital—end of period	$	147,887,472		$	167,146,684

Shares—beginning of period		9,206,940			9,219,240
Repurchase of shares		—			(12,300	)

Shares—end of period		9,206,940			9,206,940

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Nine Months Ended September 30, 2014 and September 30, 2013


	Nine Months Ended September 30,
	2014			2013
Cash flows from operating activities:
Net income (loss)	$	(8,487,094	)	$	(12,237,806	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(127,082,367	)		(138,568,541	)
Proceeds from sales and maturities of U.S. government and agency obligations		135,199,997			158,995,537
Proceeds from (Purchases of) repurchase agreements, net		(1,340,185	)		(1,549,795	)
Premiums received for call options written		3,640,803			3,983,067
Cash paid for call options written		(839,697	)		(495,739	)
Amortization (Accretion)		(108,684	)		(159,941	)
(Increase) Decrease in:
Deposits with brokers		890,653			6,753,956
Other assets		(3,779	)		(1,016	)
Increase (Decrease) in:
Accrued management fees		(21,632	)		(29,461	)
Accrued Independent Committee fees		967			(7,605	)
Other accrued expenses		46,235			38,769
Net realized (gain) loss from:
Short-term investments		(17	)		(2,228	)
Call options written		(2,969,070	)		(3,586,076	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(13,813	)		(21,950	)
Futures contracts		11,352,074			(2,685,197	)
Call options written		(537,637	)		(8,235	)

Net cash provided by (used in) operating activities		9,726,754			10,417,739

Cash flows from financing activities:
Cash paid for shares repurchased		(151,538	)		—
Cash distributions paid to shareholders		(9,575,216	)		(10,417,739	)

Net cash provided by (used in) financing activities		(9,726,754	)		(10,417,739	)

Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

September 30, 2014

1. Organization

Fund Information

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen Investments”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

Investment Adviser

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

Investment Objectives and Principal Investment Strategies

The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. Risk-adjusted total return refers to the income and capital appreciation generated by a portfolio (the combination of which equals its total return) per unit of risk taken, with such risk measured by the volatility of the portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three principal elements:

•

An actively managed portfolio of commodity futures and forward contracts utilizing Gresham’s proprietary Tangible Asset Program^®, or TAP^®, a long-only rules-based commodity investment strategy designed to maintain consistent, fully collateralized exposure to commodities as an asset class;

•

An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (TAP^® and this options strategy are collectively referred to as TAP PLUS^SM); and

•

A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2013.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long futures contract. The LME Clearing House is the counterparty for both the long and short positions.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of futures contracts outstanding during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Nine Months Ended September 30, 2014		Year Ended December 31, 2013
Average number of futures contracts outstanding*		2,809		3,076

*	The average number of contracts is calculated based on the number of contracts outstanding at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Transactions in call options written during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013 were as follows:


	Nine Months Ended September 30, 2014						Year Ended December 31, 2013
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,377		$	777,236			1,537		$	974,047
Options written		6,903			3,640,803			10,128			5,116,574
Options terminated in closing purchase transactions		(3,039	)		(1,523,530	)		(5,455	)		(2,788,807	)
Options expired		(2,716	)		(1,688,023	)		(3,897	)		(2,058,351	)
Options exercised		(1,199	)		(597,214	)		(936	)		(466,227	)

Outstanding, end of the period		1,326		$	609,272			1,377		$	777,236

The average number of call options written outstanding during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Nine Months Ended September 30, 2014		Year Ended December 31, 2013
Average number of call options written outstanding*		1,359		1,452

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recognized on the Statements of Operations as unrealized appreciation or depreciation until the contract settlement date.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Fund may collateralize forward commodity contracts with cash and/or certain securities as indicated on its Statements of Financial Condition or Schedule of Investments, when applicable, and such collateral is held for the benefit of the

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

counterparty in a segregated account at the custodian to protect the counterparty against non-payment by the Fund. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.

The Fund remains subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of September 30, 2014 and December 31, 2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of September 30, 2014 and December 31, 2013, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements.


	September 30, 2014
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	2,915,465	$	(2,915,465	)	$	—


	December 31, 2013
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,575,280	$	(1,575,280	)	$	—

*	As of September 30, 2014 and December 31, 2013, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Schedule of Investments for details on the repurchase agreements.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2014 and December 31, 2013:



	September 30, 2014
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	131,667,988		$	—	$	131,667,988
Repurchase Agreements		—			2,915,465			—		2,915,465
Investments in Derivatives:
Futures Contracts*		(9,473,060	)		—			—		(9,473,060	)
Call Options Written**		(324,166	)		—	***		—		(324,166	)

Total	$	(9,797,226	)	$	134,583,453		$	—	$	124,786,227

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)



	December 31, 2013
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	139,663,104		$	—	$	139,663,104
Repurchase Agreements		—			1,575,280			—		1,575,280
Investments in Derivatives:
Futures Contracts		1,879,014			—			—		1,879,014
Call Options Written		(779,835	)		(249,932	)		—		(1,029,767	)

Total	$	1,099,179		$	140,988,452		$	—	$	142,087,631

*	Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments.

**	Refer to the Schedule of Investments for a breakdown of call options written classified as Level 2, which is comprised of the Fund’s call options written on the LME.

***	Value equals zero as of the end of the reporting period.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

2. Summary of Significant Accounting Policies (Continued)

that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of September 30, 2014 and December 31, 2013, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the forwards, futures and option contracts. The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

3. Derivative Instruments and Hedging Activities (Continued)

The following tables present the fair value of all derivative instruments held by the Fund as of September 30, 2014 and December 31, 2013, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

September 30, 2014

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

974,297

Unrealized depreciation on futures contracts

10,447,357

Commodity

Options

—

Call options written, at value

324,166

Total

974,297

10,771,523

December 31, 2013

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

3,905,844

Unrealized depreciation on futures contracts

2,026,830

Commodity

Options

—

Call options written, at value

1,029,767

Total

3,905,844

3,056,597

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the nine months ended September 30, 2014 and September 30, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.



Commodity Risk Exposure	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net realized gain (loss) from:
Futures contracts	$	1,487,968		$	(16,242,645	)
Call options written		2,969,070			3,586,076
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	(11,352,074	)	$	2,685,197
Call options written		537,637			8,235

4. Related Parties

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

4. Related Parties (Continued)

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

Transactions in share repurchases during the nine months ended September 30, 2014 and the fiscal year ended December 31, 2013, were as follows:


	Nine Months Ended September 30, 2014		Year Ended December 31, 2013
Shares repurchased		—		12,300

Weighted average price per share repurchased		—	$	15.16

Weighted average discount per share repurchased		—		17.10	%

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three months and nine months ended September 30, 2014 and September 30, 2013. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and are annualized for periods less than a full fiscal year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value,

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

6. Financial Highlights (Continued)

respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Three Months Ended						Nine Months Ended
	September 30, 2014			September 30, 2013			September 30, 2014			September 30, 2013
Net Asset Value:
Net asset value per share—beginning of period	$	18.40		$	18.51		$	18.15		$	21.38
Net investment income (loss)		(.07	)		(.09	)		(.23	)		(.25	)
Net realized and unrealized gain (loss)		(1.88	)		0.77			(.69	)		(1.07	)
Distributions		(0.39	)		(0.39	)		(1.17	)		(1.26	)

Net asset value per share—end of period	$	16.06		$	18.80		$	16.06		$	18.80

Market Value:
Market value per share—beginning of period	$	16.26		$	17.07		$	15.17		$	19.97

Market value per share—end of period	$	13.79		$	16.55		$	13.79		$	16.55

Ratios to Average Net Assets:^(a)
Net investment income (loss)		(1.70	)%		(1.77	)%		(1.72	)%		(1.67	)%

Expenses		1.78	%		1.87	%		1.81	%		1.79	%

Total Returns:^(b)
Based on Net Asset Value		(10.67	)%		3.66	%		(5.54	)%		(6.29	)%

Based on Market Value		(12.93	)%		(0.78	)%		(2.05	)%		(11.33	)%

(a)	Annualized.

(b)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

7. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements

In June 2013, the FASB issued Accounting Standards Update (“ASU”) 2013-08, “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,”

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2014

7. New Accounting Pronouncement (Continued)

which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. ASU 2013-08 is effective for fiscal years beginning on or after December 15, 2013. The Fund has adopted ASU 2013-08 for its fiscal year end December 31, 2014 as it follows the investment company reporting requirements under U.S. GAAP and therefore follows the accounting and reporting guidance under Topic 946. The adoption of ASU 2013-08 did not have an impact on the Fund’s financial statements or footnote disclosures.

8. Subsequent Events

Purchase and Sale Agreement

On October 1, 2014, TIAA-CREF, a national financial services organization, completed its previously announced acquisition of Nuveen, the parent company of the Manager, the Commodity Sub-adviser and the Collateral Sub-adviser. The transaction has not resulted in any change in the portfolio management of the Fund or in the Fund’s investment objectives or policies.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-adviser”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Diversified Commodity Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005 and commenced operations on September 27, 2010, with its public offering. The shares of the Fund trade on the NYSE MKT under the ticker symbol “CFD”. Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents and short-term, high grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Bloomberg Commodity Index (“BCOM”, formerly the Dow Jones-UBS Commodity Index) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Results of Operations

The Quarter Ended September 30, 2014—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $13.79 on the close of business on September 30, 2014. This represents a decrease of 15.19% in share price (not including an assumed reinvestment of distributions) from the $16.26 price at which the shares of the Fund traded on the close of business on June 30, 2014. The high and low intra-day share prices for the quarter were $16.30 (July 30, 2014) and $13.46 (September 26, 2014), respectively. During the quarter, the Fund declared distributions totaling $0.390 per share to shareholders, of which $0.130 was paid on October 1, 2014. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -12.93%. At September 30, 2014, shares of the Fund traded at a 14.13% discount to the Fund’s net asset value of $16.06.

The Quarter Ended September 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.55 on the close of business on September 30, 2013. This represents a decrease of 3.05% in share price (not including an assumed reinvestment of distributions)

from the $17.07 price at which the shares of the Fund traded on the close of business on June 28, 2013 (the last trading day of the previous quarter). The high and low intra-day share prices for the quarter were $17.60 (September 10, 2013) and $16.04 (August 8, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.390 per share to shareholders, of which $0.130 was paid on October 1, 2013. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -0.78%. At September 30, 2013, the shares of the Fund traded at a 11.97% discount to the Fund’s net asset value of $18.80.

The Quarter Ended September 30, 2014—Net Assets of the Fund

The Fund’s net assets decreased from $169.4 million at June 30, 2014, to $147.9 million at September 30, 2014, a decrease of $21.5 million. The decrease in the Fund’s net assets was due to a net loss of $17.9 million, in addition to approximately $3.6 million of distributions to shareholders.

The Fund generated a net loss of $17.9 million for the quarter ended September 30, 2014, resulting from net realized losses of $6.1 million, expenses of $0.7 million, and net unrealized depreciation of $11.1 million.

During the quarter ended September 30, 2014, the Fund’s collateral investments generated interest income of $33,081 which represents 0.02% of average net assets for the quarter ended September 30, 2014.

The net asset value per share on September 30, 2014, was $16.06. This represents a decrease of 12.72% in net asset value (not including an assumed reinvestment of distributions) from the $18.40 net asset value as of June 30, 2014. The Fund declared distributions totaling $0.390 per share during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -10.67% for the quarter ended September 30, 2014.

The Quarter Ended September 30, 2013—Net Assets of the Fund

The Fund’s net assets increased from $170.7 million as of June 30, 2013, to $173.3 million as of September 30, 2013, an increase of $2.6 million. The increase in the Fund’s net assets was due to $0.1 million in net realized gains and $6.9 million in net unrealized appreciation on the Fund’s portfolio during the quarter, a net investment loss of $0.8 million, and $3.6 million of distributions to shareholders.

During the quarter ended September 30, 2013, the Fund’s collateral investments generated interest income of $43,001, which represents 0.02% of average net assets for the quarter ended September 30, 2013.

The net asset value per share on September 30, 2013, was $18.80. This represents an increase of 1.57% in net asset value (not including an assumed reinvestment of distributions) from the $18.51 net asset value as of June 30, 2013. The Fund declared distributions totaling $0.390 per share during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 3.66% for the quarter ended September 30, 2013.

The Fund generated a net gain of $6.2 million for the quarter ended September 30, 2013, resulting from expenses of $0.8 million, net realized gains of $0.1 million, and net unrealized appreciation of $6.9 million.

The Quarter Ended September 30, 2014—Overall Commodity Market Commentary

The BCOM declined 11.8% during the quarter, as a strengthening U.S. dollar and unfavorable supply-demand dynamics led to widespread losses in commodity contracts during the third quarter of 2014. Anticipation of the U.S. Federal Reserve’s first rate hike prompted a rally in the dollar. Because most commodities are priced in dollars, a stronger dollar makes commodities more expensive, which softens demand and puts downward pressure on commodity prices. At the same time, China announced some disappointing economic data and another stimulus measure, prompting concerns about weakening global demand for raw materials. Additionally, energy and grain commodities began to report oversupply, which weighed on prices.

In this environment, all six commodity groups in the BCOM, as grouped by Gresham, ended the quarter lower. Livestock and industrial metals posted the smallest declines, while agriculture was the weakest performer. Only four individual commodities in the BCOM had positive returns during the quarter: Arabica coffee, live cattle, zinc, and aluminum.

The largest group by weight, energy commodities represented 31.7% of the BCOM at the end of the quarter. With all energy commodities falling during the quarter, the group declined 12.1%. Crude oil suffered a double-digit loss as the dollar gained, demand from Europe and China slowed, and the Organization of the Petroleum Exporting Countries (OPEC) increased production amid booming North American shale oil production. Natural gas prices were dampened by ample storage injections, less cooling demand for the summer, and moderate fall weather forecasts.

Agricultural commodities, as grouped by Gresham, made up 18.6% of the BCOM at the end of the quarter. The group had the biggest losses in the BCOM, down 21.7%. Corn prices dropped to a five-year low on expectations of a record U.S. crop yield with a high percentage of crops rated good or excellent. Abundant supply and favorable crop ratings dragged soybean prices to a four-year low.

The commodities in the industrial metals group comprised 18.0% of the BCOM at the end of the quarter. Performance was mixed among the individual commodities. Reduced stockpiles of aluminum and zinc helped their prices rally early in the quarter. However, those gains were tempered by losses in nickel and copper, which saw tumbling prices on concerns about languishing demand from China. Overall, the industrial metals group declined 4.1% for the quarter.

Gold and silver collectively represented 15.8% of the BCOM at the end of the quarter. Not included in the BCOM are platinum and palladium, which are held in the Fund’s commodity portfolio. All four precious metals commodities declined during the quarter, as a strengthening dollar sapped demand for these commodities as a hedge against dollar weakness. The BCOM’s precious metals group lost 11.3% during the quarter.

Foods and fibers commodities, as grouped by Gresham, made up a combined 9.6% of the BCOM at the end of the quarter. The foods and fibers group tumbled 9.6% during the quarter, with cotton and sugar prices falling but Arabica coffee rallying. Arabica supply continued to shrink as crops were damaged by heat and drought in Brazil, the world’s leading Arabica producer, and by a coffee-plant fungus in Central America.

Livestock is the smallest group, comprising 6.4% of the BCOM at the end of the quarter. Live cattle prices appreciated on concerns about smaller herd sizes and underweight cows. In contrast, lean hogs prices were choppy, ending the quarter lower. Producers were able to offset shortages by bulking up hogs, as lower grain prices this year have reduced the cost of feed. As a result, lean hog supply was larger than expected, causing prices to fall. The BCOM’s livestock group fell 2.2% during the quarter.

The Quarter Ended September 30, 2013—Overall Commodity Market Commentary

Commodity markets were influenced by two major themes during the third quarter of 2013, the anticipation of an earlier-than-expected reduction in the pace of the U.S. Federal Reserve’s asset purchases (known as quantitative easing or QE) and the escalation of geopolitical tension in the Middle East. The broad commodity market rose 2.1% for the quarter, as measured by the BCOM. The strongest performing group was precious metals, followed by industrial metals, energy, and livestock. The foods and fibers group was relatively flat, and agriculture fell during the quarter.

Energy commodities represented 36.7% of the BCOM at the end of the quarter, and were its most significant commodity group by weight. The prices of both Brent and West Texas Intermediate (WTI) crude oil rallied during the quarter as geopolitical turmoil in the Middle East threatened supplies. Heating oil and gasoline also rose. Natural gas, however, declined amid robust inventories and mild weather forecasts.

Agricultural commodities, as grouped by Gresham, made up 20.4% of the BCOM at the end of the quarter. As in the second quarter, corn prices continued to be pressured by expectations for a supply glut as the harvest peaked in the third quarter. Soybean oil also saw declining prices because of high surplus and low demand. In contrast, soybean prices were lifted by concerns about poor crop conditions and low 2012 supply.

Industrial metals represented 16.5% of the BCOM at the end of the quarter. All of the industrial metals advanced during the quarter, led by copper. Robust demand was expected from China, which pledged to increase infrastructure spending and had recently posted better economic data. The continuation of QE and improving unemployment data in the U.S. also supported copper’s gain.

Precious metals represented 12.6% of the BCOM at the end of the quarter. Near-term spot prices indicated high demand for physical gold, at levels not seen since 1999. Individuals in Asian and Middle Eastern countries have been buying physical gold for jewelry and coins/bars, and the perception of gold as a “safe haven” for investors during times of economic uncertainty further contributed to gold’s advance. Silver prices also strengthened, and in fact outperformed gold in August, benefiting from increasing Asian demand and large inflows into silver-oriented exchange traded funds.

Foods and fibers, as grouped by Gresham, made up a combined 8.3% of the BCOM at the end of the quarter. Although cotton and sugar had positive performance for the quarter, it was almost entirely offset by weakness in coffee. Coffee remained in a bear market since mid-May due to ample supply amid favorable crop conditions.

Livestock was the smallest group, comprising 5.6% of the BCOM at the end of the quarter. Demand during the summer grilling season and concerns about supply shortages buoyed lean hog prices. Live cattle prices rallied in August after major food producers discontinued the use of a cattle feed supplement designed to speed weight gain, fueling concerns that declining cattle weights could potentially hurt beef supplies.

The Quarter Ended September 30, 2014—Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio declined 10.3% for the quarter ended September 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, lost 11.8% The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -10.67%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity contributed positively to performance for the quarter and helped reduce the Fund’s volatility, as measured by the standard deviation of return, versus the BCOM. Call options written on the Fund’s lean hogs position and on all energy, agriculture, precious metals, and foods and fibers positions expired out of the money, enabling the Fund to retain all of those premiums.

At the commodity group level, the Fund’s commodity portfolio bested the BCOM on an absolute basis in all six groups.

In the energy group, the Fund and the BCOM performed nearly in line with each other. The Fund’s strategic weighting decisions in regards to crude oil resulted in negative performance relative to the BCOM due to the Fund’s higher weight. However, the Fund benefited from collecting the full option premiums on its energy options contracts, all of which expired without being exercised.

The Fund’s outperformance in the agriculture group was driven by a lower weighting in the group overall, and particularly in corn, as well as favorable contract selection in corn. Additionally, all of the Fund’s option positions expired out of the money, enabling the Fund to retain the full premiums from selling those options.

The Fund’s industrial metals position declined slightly less than the BCOM’s position. The Fund captured less of the rally in aluminum and zinc due to options on these commodities being exercised. However, relative losses were offset by the Fund’s outperformance in copper.

The Fund’s lower weight in precious metals helped the Fund post a smaller decline for the quarter. The Fund’s option strategy had a positive impact on performance as well, as all of the precious metals options expired without being exercised.

On an absolute basis, the Fund’s foods and fibers position slightly outperformed the BCOM’s. However, when the Fund’s strategic weighting decisions are taken into account, these resulted in negative performance relative to the BCOM, due in part to the Fund’s smaller Arabica coffee position was disadvantageous during the quarter’s price rally. Contributing positively to performance was the Fund’s options strategy, as all foods and fibers options expired out of the money and were not exercised.

In the livestock group, the Fund’s higher weight in live cattle contracts, superior contract selection in lean hogs, and lean hogs options that expired out of the money helped the Fund outperform the BCOM. A position in feeder cattle, which rallied during the quarter but isn’t represented in the BCOM, was also advantageous to the Fund’s relative performance.

The Quarter Ended September 30, 2013—Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned approximately 4.0% (before considering the expenses of the Fund or the performance of the collateral portfolio), outperforming the BCOM, which returned 2.1% for the quarter. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses, the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distributions, was a gain of 3.66%. At the commodity group level, the Fund outperformed the BCOM on an absolute basis in energy, agriculturals, foods and fibers, industrial metals, and livestock, but underperformed the BCOM in precious metals.

The Fund writes—that is, sells—covered options on its commodity futures, seeking to limit return volatility, and to provide cash flow for the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those contracts are deemed to have sufficient trading volume and liquidity. The Fund receives cash for the related premiums. The Fund’s option-writing activity benefitted Fund performance for the quarter as most of the contracts written went unexercised. For the quarter ended September 30, 2013, the Fund’s option program helped to contribute to the commodity portfolio’s lower volatility when compared to the BCOM, as measured by the standard deviation of return.

The Fund’s energy positions gained approximately 5.1% versus the BCOM’s 2.8%. On a weighted basis, a larger weight in crude oil, which rose during the period, and a smaller weight in natural gas, which fell, drove the Fund’s outperformance over the BCOM. Detracting slightly from relative performance were options positions in WTI that were exercised.

The Fund’s agricultural positions fell approximately 1.9%, while the BCOM’s were down nearly 4.0%. The Fund’s smaller weightings in both corn and soybean oil aided outperformance on a weighted basis. Additionally, the Fund’s corn position benefited from better contract selection and more advantageous timing in rolling some of its futures contracts, as well as the collection of option premiums on contracts that expired without being exercised.

In industrial metals, the Fund was up approximately 5.3%, compared to the BCOM position’s 4.3% return. The Fund’s performance in this group was aided by its options strategy, as none of the options written were exercised.

The Fund’s precious metals positions returned approximately 8.5% versus the BCOM’s 9.0%, in part because the Fund’s silver options were exercised, which detracted from absolute Fund performance in silver. However, the Fund slightly outperformed the BCOM on a weighted basis, as the Fund held a 13.7% weight in the group and the BCOM held 12.6%. This relative overweight provided the Fund with greater exposure to the group’s overall gain.

The Fund outperformed the BCOM in foods and fibers, gaining approximately 3.1% versus the BCOM’s 0.9%. The Fund’s underweight to coffee was the main driver of outperformance for the group.

The Fund’s livestock positions, up approximately 4.2%, also outpaced the BCOM’s, up 2.6%. On a weighted basis, the Fund slightly outperformed the BCOM, as the Fund’s larger weighting amplified the positive effect of a rising market.

The Nine Months Ended September 30, 2014—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $13.79 on the close of business on September 30, 2014. This represents a decrease of 9.10% in share price (not including an assumed reinvestment of distributions) from the $15.17 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and low intra-day share prices for the nine month period were $16.51 (May 23, 2014) and $13.46 (September 26, 2014), respectively. During the nine month period, the Fund declared distributions totaling $1.170 per share to shareholders, of which $0.130 was paid on October 1, 2014. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -2.05%. At September 30, 2014, shares of the Fund traded at a 14.13% discount to the Fund’s net asset value of $16.06.

The Nine Months Ended September 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.55 on the close of business on September 30, 2013. This represents a decrease of 17.13% in share price (not including an assumed reinvestment of distributions) from the $19.97 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the nine month period were $22.09 (January 23, 2013) and $16.04 (August 8, 2013), respectively. During the nine month period, the Fund declared distributions totaling $1.260 per share to shareholders, of which $0.130 was paid on October 1, 2013. The remainder was paid during the nine month period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -11.33%. At September 30, 2013, the shares of the Fund traded at a 11.97% discount to the Fund’s net asset value of $18.80.

The Nine Months Ended September 30, 2014—Net Assets of the Fund

The Fund’s net assets decreased from $167.1 million at December 31, 2013, to $147.9 million at September 30, 2014, a decrease of $19.2 million. The decrease in the Fund’s net assets was due to a net loss of $8.5 million, in addition to approximately $10.7 million of distributions to shareholders.

The Fund generated a net loss of $8.5 million for the nine month period ended September 30, 2014, resulting from interest income of $0.1 million and net realized gains of $4.5 million, offset by expenses of approximately $2.3 million and net unrealized depreciation of $10.8 million.

During the nine month period ended September 30, 2014, the Fund’s collateral investments generated interest income of $108,684, which represents 0.07% of average net assets for the nine month period ended September 30, 2014.

The net asset value per share on September 30, 2014, was $16.06. This represents a decrease of 11.52% in net asset value (not including an assumed reinvestment of distributions) from the $18.15 net asset value as of December 31, 2013. The Fund declared distributions totaling $1.170 per share during the nine month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -5.54% for the nine month period ended September 30, 2014.

The Nine Months Ended September 30, 2013—Net Assets of the Fund

The Fund’s net assets decreased from $197.1 million as of December 31, 2012, to $173.3 million as of September 30, 2013, a decrease of $23.8 million. The decrease in the Fund’s net assets was due to $12.6 million in net realized losses and $2.7 million in unrealized appreciation on the Fund’s portfolio during the period, a net investment loss of $2.3 million, and $11.6 million of distributions declared to shareholders.

During the nine month period ended September 30, 2013, the Fund’s collateral investments generated interest income of $160,054, which represents 0.09% of average net assets for the nine month period ended September 30, 2013.

The net asset value per share on September 30, 2013, was $18.80. This represents a decrease of 12.07% in net asset value (not including an assumed reinvestment of distributions) from the $21.38 net asset value as of December 31, 2012. The Fund declared distributions totaling $1.260 per share during the nine month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -6.29% for the nine month period ended September 30, 2013.

The Fund generated a net loss of $12.2 million for the nine month period ended September 30, 2013, resulting from interest income of $0.2 million, expenses of $2.5 million, net realized losses of $12.6 million, and net unrealized appreciation of $2.7 million.

The Nine Months Ended September 30, 2014—Overall Commodity Market Commentary

After rising in the first half of 2014, the broad commodity market gave back all of its gains during a turbulent third quarter. For the nine months ended September 30, 2014, the broad commodity market was down 5.6%, as measured by the BCOM. Performance across the six commodity groups, as grouped by Gresham, was mixed, with a double-digit gain in livestock and a double-digit decline in agriculture.

The energy group lost 4.4%. Crude oil, heating oil, and unleaded gas (RBOB) slumped during the period, while natural gas was up modestly. Crude oil prices were hit hard in the third quarter by the strengthening U.S. dollar, weakening demand, and rising supply.

The worst-performing group in the BCOM, agriculture, dropped 20.2% during the period. After rallying in the first quarter, agriculture commodities as a group declined in the second and third quarters on expectations of oversupply amid ideal growing conditions in the U.S.

The industrial metals group traded nearly flat, down 0.7%, during the period. Concerns about slowing demand from China weighed on prices, especially for copper. However, nickel advanced during the period, as supply was threatened by a mineral ore export ban in Indonesia and economic sanctions in Russia.

The precious metals group fell 3.0% during the period. Gold and silver saw rallies throughout the first half of the year on speculation of higher inflation in the U.S. But, in the third quarter, a rising U.S. dollar and disinflation fears weighed on prices.

A 2.1% gain in the foods and fibers group, as grouped by Gresham, was led by soaring prices in Arabica coffee. Forecasts called for the largest coffee shortage in nine years because of heat and drought in Brazil, the world’s main Arabica supplier.

Livestock, up 17.8%, was the best-performing group in the BCOM during the period. Prices for both live cattle and lean hogs increased during the period. Lean hog prices reached all-time highs early in 2014 as a highly infectious pig virus was expected to decrease supply. Live cattle prices rallied on supply concerns as well, with the harsh winter weather early in 2014 hindering breeding, weight gain, and slaughter.

The Nine Months Ended September 30, 2013—Overall Commodity Market Commentary

The calendar year began on a positive note for the broad commodity market, but prices turned volatile amid global economic uncertainty, geopolitical tensions in the Middle East and North Africa, and speculation about the timing of the U.S. Federal Reserve’s QE tapering. In the BCOM, declines in the first and second quarters (-1.2% and -9.5%, respectively) overwhelmed a slight gain (2.1%) in the third quarter, for an overall loss of 8.6% for the nine-month period ended September 30, 2013. The precious metals, industrials metals, foods and fibers, agriculture and livestock groups fell during the nine month period, while energy appreciated slightly.

Energy commodities represented 36.7% of the BCOM at the end of the nine month period, and were its most significant commodity group by weight. Losses in natural gas, heating oil, and gasoline (RBOB) offset gains in crude oil, resulting in an overall 0.77% return for the energy group.

Agricultural commodities, as grouped by Gresham, made up 20.4% of the BCOM at the end of the nine month period. Soybean and soybean meal rose during the period, but corn, wheat, and soybean oil had much larger declines. Agriculturals lost 9.9% for the period.

Industrial metals represented 16.5% of the BCOM at the end of the nine month period and declined 13.9%, as slowing demand, particularly from China, put downward pressure on the prices of aluminum, copper, nickel, and zinc.

Precious metals represented 12.6% of the BCOM at the end of the nine month period. The group posted the weakest performance in the BCOM, falling 23.3%. Gold and silver prices fell for most of the period, with demand for perceived “safe haven” investments diminishing, but rallied in the third quarter as demand appeared to re-accelerate.

Foods and fibers, as grouped by Gresham, made up a combined 8.3% of the BCOM at the end of the nine month period. Coffee and sugar contracts led the group lower, despite a gain in cotton. The group as a whole fell 10.5%.

Livestock is the smallest group, comprising 5.6% of the BCOM at the end of the nine month period. Rising supply early in the year depressed prices for lean hogs and live and feeder cattle, but stronger summer demand and concerns about tightening supply buoyed prices in the second and third quarters. Against this backdrop, livestock declined 1.9% for the period.

The Nine Months Ended September 30, 2014—Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio fell 4.4% for the nine months ended September 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, was down 5.6%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -5.54%.

During the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity detracted slightly from performance for the period, but premiums collected on other call options helped reduce the Fund’s volatility, as measured by the standard deviation of return, versus the BCOM.

At the commodity group level, the Fund’s commodity portfolio outperformed the BCOM on an absolute basis in precious metals, livestock, and agriculture. The foods and fibers group was the Fund’s largest underperformer on an absolute basis, while industrial metals and energy marginally lagged. When the Fund’s strategic weighting decisions are taken into account they resulted in positive performance relative to the BCOM in all commodity groups except for food and fibers.

The Fund’s energy position performed nearly in line with the BCOM’s position on an absolute basis. When the Fund’s strategic weighting decisions are taken into account, they resulted in positive performance relative to the BCOM, due mostly to the Fund’s crude oil and unleaded gas positions.

In the agriculture group, the Fund outperformed the BCOM. The Fund’s lower weights in corn and soybean oil, both of which saw declining prices during the period, added to relative gains.

Although it underperformed the BCOM on an absolute basis, the Fund’s strategic weighting decisions in regards to its industrial metals position had a positive impact on relative performance. The Fund’s lower weight in New York copper contracts was beneficial amid falling copper prices.

The Fund’s precious metals position outperformed the BCOM. Silver prices traded lower over the period, and the Fund’s smaller weight in silver contracts contributed positively to relative returns.

Relative underperformance in the Fund’s foods and fibers position was driven by an underweight in coffee contracts, as the Fund had less exposure than the BCOM to coffee’s substantial rally over the period.

In the livestock group, the Fund’s relative results benefited primarily from the Fund’s exposure to feeder cattle contracts, which performed well during the period and are not represented in the BCOM.

The Nine Months Ended September 30, 2013—Fund Commodity Portfolio Commentary

The Fund lost approximately 5.3% for the nine month period (before considering the expenses of the Fund or the performance of the collateral portfolio), outperforming the BCOM, which fell 8.6%. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses, the performance of the collateral portfolio, and assumes the reinvestment of the Fund’s distributions, was a loss of 6.29%. At the commodity group level, the Fund outperformed the BCOM on an absolute basis in all six groups.

The Fund writes—that is, sells—covered options on its commodity futures, seeking to limit return volatility, and to provide cash flow for the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those contracts are deemed to have sufficient trading volume and liquidity. The fund receives cash for the related premiums. The Fund’s option-writing activity benefitted fund performance for the period as most of the contracts written went unexercised. For the nine month period ended September 30, 2013, the Fund’s option program helped to contribute to the commodity portfolio’s lower volatility when compared to the BCOM, as measured by the standard deviation of return.

The Fund’s energy group positions rose approximately 4.3% during the nine month period versus the BCOM’s increase of 0.8%. A smaller weight in the natural gas position, which declined during the period, contributed the most to weighted performance. An overweight in crude oil, which rallied, also added to relative outperformance on a weighted basis.

Agricultural holdings were down approximately 4.5% in the Fund during the nine month period, losing less than the 9.4% decline in the BCOM. Although the Fund’s corn and wheat positions had negative absolute

performance, a smaller weight in these contracts aided relative performance. This group had the largest contribution to outperformance.

In industrial metals, the Fund’s positions fell approximately 12.0% during the nine month period compared to the BCOM’s 13.9% loss. Smaller relative weights in nickel and zinc, which suffered price pressure during the first half of the year, were beneficial to relative performance.

Precious metals were down approximately 21.3% in the Fund and 23.3% in the BCOM and contributed to absolute losses for the nine month period. However, the group had a minimal impact on relative performance.

The Fund’s foods and fibers positions declined approximately 6.9% during the nine month period, while the BCOM dropped 10.5%. The Fund had less exposure to weak performance in coffee and sugar than the BCOM, which bolstered relative performance.

In the livestock group, the Fund’s positions lost approximately 1.5% and the BCOM fell 1.9% during the nine month period. While an overweight position in lean hogs added to performance, live and feeder cattle positions detracted, making the overall effect of the group on relative weighted performance almost neutral.

Fund Total Returns

The following table presents selected total returns for the Fund as of September 30, 2014. Total returns based on market value and net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.


	Total Returns as of September 30, 2014
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		-12.93	%		-2.05	%		-7.91	%		-6.25	%
Net Asset Value		-10.67	%		-5.54	%		-6.83	%		-2.09	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on September 27, 2010.

Returns represent past performance, which is no guarantee of future performance.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years,

when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

Commodity Weightings

The table below presents the composition of the Fund’s TAP PLUS^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the BCOM as of September 30, 2014. The September 30, 2014 composition serves as a guide to how the composition of the Fund’s TAP PLUS^SM investment strategy compared to that of the BCOM, a leading commodity market benchmark.


		Composition
Commodity Group	Commodity	TAP PLUS^SM			BCOM
Energy	Crude Oil		19.16	%		14.94	%
	Heating Oil		5.18	%		3.55	%
	Natural Gas		7.25	%		9.68	%
	Unleaded Gas		3.35	%		3.48	%

			34.94	%		31.65	%

Industrial Metals	Aluminum		5.28	%		5.50	%
	Copper		9.15	%		7.13	%
	Nickel		1.52	%		2.63	%
	Zinc		1.47	%		2.74	%
	Lead		0.92	%		0.00	%

			18.34	%		18.00	%

Agriculturals	Corn		3.48	%		5.74	%
	Soybean		5.44	%		4.32	%
	Wheat		3.71	%		3.92	%
	Soybean Meal		2.28	%		2.05	%
	Soybean Oil		1.25	%		2.56	%

			16.16	%		18.59	%

Precious Metals	Gold		10.33	%		12.05	%
	Silver		2.71	%		3.79	%
	Platinum		0.79	%		0.00	%
	Palladium		0.47	%		0.00	%

			14.30	%		15.84	%


		Composition
Commodity Group	Commodity	TAP PLUS^SM			BCOM
Foods and Fibers	Cotton		1.09	%		1.21	%
	Sugar		1.77	%		4.30	%
	Coffee		1.98	%		4.06	%
	Cocoa		0.64	%		0.00	%

			5.48	%		9.57	%

Livestock	Live Cattle		6.68	%		4.15	%
	Lean Hogs		2.37	%		2.20	%
	Feeder Cattle		1.73	%		0.00	%

			10.78	%		6.35	%

Total			100.00	%		100.00	%

Liquidity and Capital Resources

The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as part of an integrated program designed to enhance the risk-adjusted total return of the Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with Barclay’s Capital Inc., the Fund’s clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares in open-market transactions. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity, if any, during the nine months ended September 30, 2014.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-adviser implements procedures which include, but are not limited to:

•

Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with counterparties the Commodity Sub-adviser believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of the commodity broker.

If the Fund purchases over-the-counter (“OTC”) commodity put options, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. In cases where the Fund purchases OTC commodity put options with a counterparty, the sole recourse of the Fund will be the financial resources of the counterparty to the transaction since there is no clearing house to assume the obligations of the counterparty.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of eligible cash equivalents and high-quality short-term debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of September 30, 2014, 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 other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Collateral Sub-adviser, the Commodity Sub-adviser, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC transactions, dealers. Management fee payments made to the Manager are calculated as a fixed percentage of the Fund’s net assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis, and payments to forward contract dealers are usually based on a fee or percentage of the notional value of the contract. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

•

The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) 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.

•

Generally, commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent

pricing services. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

•

Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

•

Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of September 30, 2014. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of September 30, 2014, the Fund has not invested in forward contracts.

Futures Contracts


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		November 2014		73	$	94.6700		1,000	$	6,910,910
	ICE Brent Crude Oil Futures Contract	Long		January 2015		73		95.8600		1,000		6,997,780
	NYMEX Crude Oil Futures Contract	Long		November 2014		92		91.1600		1,000		8,386,720
	NYMEX Crude Oil Futures Contract	Long		January 2015		67		89.7600		1,000		6,013,920
	Heating Oil
	ICE Gas Oil Futures Contract	Long		November 2014		18		808.2500		100		1,454,850
	ICE Gas Oil Futures Contract	Long		December 2014		5		811.5000		100		405,750
	NYMEX NY Harbor ULSD Futures Contract	Long		November 2014		48		2.6505		42,000		5,343,408
	NYMEX NY Harbor ULSD Futures Contract	Long		January 2015		4		2.6636		42,000		447,485
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		November 2014		189		4.1210		10,000		7,788,690
	NYMEX Natural Gas Futures Contract	Long		January 2015		69		4.2520		10,000		2,933,880
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		November 2014		25		2.4373		42,000		2,559,165
	NYMEX Gasoline RBOB Futures Contract	Long		January 2015		24		2.3775		42,000		2,396,520


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		October 2014		81		$	1,933.5000		25	$	3,915,337
	LME Primary Aluminum Futures Contract	Long		November 2014		80			1,948.5000		25		3,897,000
	Copper
	CEC Copper Futures Contract	Long		December 2014		36			3.0075		25,000		2,706,750
	CEC Copper Futures Contract	Long		March 2015		8			3.0125		25,000		602,500
	LME Copper Futures Contract	Long		October 2014		40			6,710.0000		25		6,710,000
	LME Copper Futures Contract	Long		November 2014		21			6,690.0000		25		3,512,250
	Nickel
	LME Nickel Futures Contract	Long		October 2014		31			16,251.0000		6		3,022,686
	LME Nickel Futures Contract	Short		October 2014		(8	)		16,251.0000		6		(780,048	)
	Zinc
	LME Zinc Futures Contract	Long		October 2014		19			2,281.7500		25		1,083,831
	LME Zinc Futures Contract	Long		November 2014		19			2,284.5000		25		1,085,138
	Lead
	LME Lead Futures Contract	Long		October 2014		13			2,093.5000		25		680,387
	LME Lead Futures Contract	Long		November 2014		13			2,096.2500		25		681,281

Agriculturals	Corn
	CBOT Corn Futures Contract	Long		December 2014		321			3.2075		5,000		5,148,038
	Soybean
	CBOT Soybean Futures Contract	Long		November 2014		176			9.1325		5,000		8,036,600
	Wheat
	CBOT Wheat Futures Contract	Long		December 2014		73			4.7775		5,000		1,743,788
	CBOT Wheat Futures Contract	Long		March 2015		43			4.9050		5,000		1,054,575
	KCBT Wheat Futures Contract	Long		December 2014		60			5.5800		5,000		1,674,000
	KCBT Wheat Futures Contract	Long		March 2015		36			5.6175		5,000		1,011,150
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		December 2014		97			298.9000		100		2,899,330
	CBOT Soybean Meal Futures Contract	Long		January 2015		16			297.4000		100		475,840
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2014		75			0.3237		60,000		1,456,650
	CBOT Soybean Oil Futures Contract	Long		January 2015		20			0.3265		60,000		391,800

Precious Metals	Gold
	CEC Gold Futures Contract	Long		December 2014		126			1,211.6000		100		15,266,160
	Silver
	CEC Silver Futures Contract	Long		December 2014		47			17.0570		5,000		4,008,395
	Platinum
	NYMEX Platinum Futures Contract	Long		January 2015		18			1,300.5000		50		1,170,450
	Palladium
	NYMEX Palladium Futures Contract	Long		December 2014		9			775.1500		100		697,635

Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long		December 2014		32			0.6137		50,000		981,920
	ICE Cotton Futures Contract	Long		March 2015		21			0.6045		50,000		634,725
	Sugar
	ICE Sugar Futures Contract	Long		March 2015		142			0.1645		112,000		2,616,208
	Coffee
	ICE Coffee C Futures Contract	Long		December 2014		23			1.9335		37,500		1,667,644
	LIFFE Coffee Robusta Futures Contract	Long		November 2014		63			1,992.0000		10		1,254,960
	Cocoa
	ICE Cocoa Futures Contract	Long		December 2014		15			3,300.0000		10		495,000
	ICE Cocoa Futures Contract	Long		March 2015		14			3,259.0000		10		456,260

Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		October 2014		106			1.6045		40,000		6,803,080
	CME Live Cattle Futures Contract	Long		December 2014		45			1.6348		40,000		2,942,550
	CME Live Cattle Futures Contract	Long		February 2015		2			1.6398		40,000		131,180
	Lean Hogs
	CME Lean Hog Futures Contract	Long		October 2014		12			1.0798		40,000		518,280
	CME Lean Hog Futures Contract	Long		December 2014		74			0.9453		40,000		2,797,940
	CME Lean Hog Futures Contract	Long		February 2015		5			0.9043		40,000		180,850
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long		November 2014		15			2.3505		50,000		1,762,875
	CME Feeder Cattle Futures Contract	Long		January 2015		7			2.2878		50,000		800,712

Futures Contracts (Continued)

Commodity Call Options Written


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		November 2014		(73	)	$	104.0	$	(3,650	)
	NYMEX Crude Oil Futures Options		October 2014		(80	)		96.5		(11,200	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2014		(35	)		2.9		(4,851	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2014		(129	)		4,150.0		(174,150	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2014		(25	)		27,000.0		(5,355	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options		October 2014		(81	)		2,200.0		—
	Copper
	LME Copper Futures Options		October 2014		(40	)		7,250.0		—
	Nickel
	LME Nickel Futures Options		October 2014		(11	)		20,500.0		—
	Zinc
	LME Zinc Futures Options		October 2014		(19	)		2,450.0		—
	Lead
	LME Lead Futures Options		October 2014		(13	)		2,350.0		—

Agriculturals	Corn
	CBOT Corn Futures Options		November 2014		(160	)		390.0		(3,000	)
	Soybean
	CBOT Soybean Futures Options		October 2014		(11	)		1,240.0		(69	)
	CBOT Soybean Futures Options		October 2014		(77	)		1,060.0		(1,444	)
	Wheat
	CBOT Wheat Futures Options		November 2014		(50	)		600.0		(1,562	)
	CBOT Wheat Futures Options		November 2014		(48	)		680.0		(1,800	)
	CBOT Wheat Futures Options		November 2014		(8	)		550.0		(800	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(57	)		350.0		(4,845	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(48	)		360.0		(4,176	)

Precious Metals	Gold
	CEC Gold Futures Options		November 2014		(63	)		1,400.0		(5,040	)
	Silver
	CEC Silver Futures Options		November 2014		(24	)		2,175.0		(3,600	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2014		(26	)		86.0		(390	)
	Sugar
	ICE Sugar Futures Options		February 2015		(71	)		17.8		(35,784	)
	Coffee
	ICE Coffee C Futures Options		November 2014		(20	)		222.5		(39,600	)
	Cocoa
	ICE Cocoa Futures Options		November 2014		(15	)		3,400.0		(10,650	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2014		(97	)		165.0		(2,910	)
	Lean Hogs
	CME Lean Hogs Futures Options		October 2014		(11	)		117.0		(330	)
	CME Lean Hogs Futures Options		October 2014		(1	)		114.0		(50	)
	CME Lean Hogs Futures Options		December 2014		(33	)		106.0		(8,910	)


CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents, U.S. government securities, and other short-term, high-quality debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of September 30, 2014, the Fund held U.S. Treasury bills worth $131,667,988 with a total par value of $131,700,000 and a repurchase agreement worth $2,915,465.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2013 and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the Securities and Exchange Commission (“SEC”)) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. In up markets, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of options written plus the premium collected by writing the call options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the premium collected by writing the call options. In down markets, the Fund will experience declines in the value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None.

Item 1A.

Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2013, filed with the SEC.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the nine month period ended on September 30, 2014.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). No shares have been repurchased during the fiscal year to date period ended September 30, 2014. A cumulative total of 60,100 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item 3.

Defaults Upon Senior Securities

None.

Item 4.

Mine Safety Disclosures

Not applicable.

Item 5.

Other Information

None.

Item 6.

Exhibits



4.1		Second Amended and Restated Trust Agreement of the Fund. (1)

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

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.

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document.

(1)	Filed on March 30, 2012 as an exhibit to Registrant’s Form 8-K dated March 30, 2012 and incorporated by reference herein.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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, in the City of Chicago, State of Illinois, on November 7, 2014.


Nuveen Diversified Commodity Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

By: /s/ William Adams IV
President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant


/s/ William Adams IV
President (Principal Executive Officer) November 7, 2014

/s/ Stephen D. Foy
Chief Financial Officer (Principal Financial and Accounting Officer) November 7, 2014

Nuveen Diversified Commodity Fund - FORM 10-Q - November 7, 2014

Attached files

Nuveen Diversified Commodity Fund Reports