t74170_10q.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
   
þ
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2012,
OR
   
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                      to
 
Commission File Numbers: 001-33908, 001-33909
GREENHAVEN CONTINUOUS COMMODITY
INDEX FUND
(Registrant)
(Exact name of Registrant as specified in its charter)
GREENHAVEN CONTINUOUS COMMODITY
INDEX MASTER FUND
(Rule 140 Co-Registrant)
(Exact name of Registrant as specified in its charter)
   
Delaware
26-0151234
26-0151301
(State or Other Jurisdiction of Incorporation or
Organization)
(I.R.S. Employer Identification No.)
   
c/o GreenHaven Commodity Services LLC
  
3340 Peachtree Rd, Suite 1910
  
Atlanta, Georgia
30326
(Address of Principal Executive Offices)
(Zip Code)
 
Registrant’s telephone number, including area code: (404)-239-7942
(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)
 
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes þ No o
 
Indicate by check mark whether the registrant  has submitted electronically and posted to its web site, if any, every Interactive Data File required to be submitted and  posted  pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to post such files).  Yes þ     No o
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
       
Large
Accelerated Filer
þ
Accelerated
Filer o
Non-Accelerated Filer o
Smaller reporting company o
   
(Do not check if a smaller reporting company)
  
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No þ
 
Indicate the number of outstanding Limited Shares as of June 30, 2012: 18,000,000 Limited Shares.
 
 
 
 
 
GREENHAVEN CONTINUOUS COMMODITY INDEX FUND
GREENHAVEN CONTINUOUS COMMODITY INDEX MASTER FUND
QUARTER ENDED JUNE 30, 2012
 
PART 1. FINANCIAL INFORMATION
  
3
       
 
ITEM 1. FINANCIAL STATEMENTS
  
3
       
 
Greenhaven Continuous Commodity Index Fund Financial Statements
   3
 
Consolidated Statements of Financial Condition at June 30, 2012 (unaudited) and December 31, 2011
  
3
 
Unaudited Consolidated Schedule of Investments at June 30, 2012
  
4
 
Consolidated Schedule of Investments at December 31, 2011
  
5
 
Unaudited Consolidated Statements of Income and Expenses for the Three Months Ended June 30, 2012 and 2011 and Six Months Ended June 30, 2012 and 2011
  
6
 
Unaudited Consolidated Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2012
  
7
 
Unaudited Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2012 and 2011
  
8
       
 
Greenhaven Continuous Commodity Index Master Fund Financial Statements
   9
 
Statements of Financial Condition at June 30, 2012 (unaudited) and December 31, 2011
  
9
 
Unaudited Schedule of Investments at June 30, 2012
  
10
 
Schedule of Investments at December 31, 2011
  
11
 
Unaudited Statements of Income and Expenses for the Three Months Ended June 30, 2012 and 2011 and Six Months Ended June 30, 2012 and 2011
  
12
 
Unaudited Statement of Changes in Shareholders’ Equity for the Six Months Ended June 30, 2012
  
13
 
Unaudited Statements of Cash Flows for the Six Months Ended June 30, 2012 and 2011
  
14
       
 
Notes to Consolidated Unaudited Financial Statements
  
15
       
 
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
  
24
       
 
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
  
28
       
 
ITEM 4. CONTROLS AND PROCEDURES
  
30
       
PART II. OTHER INFORMATION
  
31
       
 
ITEM 1. Legal Proceedings
  
31
 
ITEM 1A. Risk Factors
  
31
 
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
  
31
 
ITEM 3. Defaults Upon Senior Securities
  
31
 
ITEM 4. Reserved
  
31
 
ITEM 5. Other Information
  
31
 
ITEM 6. Exhibits
  
32
       
SIGNATURES
  
33
       
EXHIBIT INDEX
  
34
 
EX-31.1 SECTION 302 CERTIFICATION OF CEO
    
 
EX-31.2 SECTION 302 CERTIFICATION OF CEO
    
 
EX-31.3 SECTION 302 CERTIFICATION OF CFO
    
 
EX-31.4 SECTION 302 CERTIFICATION OF CFO
    
 
EX-32.1 SECTION 906 CERTIFICATION OF CEO
    
 
EX-32.2 SECTION 906 CERTIFICATION OF CEO
    
 
EX-32.3 SECTION 906 CERTIFICATION OF CFO
    
 
EX-32.4 SECTION 906 CERTIFICATION OF CFO
    
 
 
2
 
 
GreenHaven Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
June 30, 2012 (unaudited) and December 31, 2011
 
   
June 30,
        
   
2012
    
December 31,
  
   
(unaudited)
    
2011
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $479,979,394 and $9,999,989 as of June 30, 2012 and December 31, 2011, respectively)
   $ 479,990,670     $ 9,999,990  
Cash held by broker
     32,090,283       619,079,494  
Net unrealized appreciation (depreciation) on futures contracts
     568,133       (45,001,789 )
Total assets
   $ 512,649,086     $ 584,077,695  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ -     $ 1,497,826  
Management fee payable to related party
     341,594       438,205  
Accrued brokerage fees and expenses payable
     594,913       983,648  
Total liabilities
     936,507       2,919,679  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Retained deficit
     (78 )     (2 )
Total General Units
     1,422       1,498  
Limited Units:
                
Paid in capital - 18,000,000 and 19,400,000 redeemable units issued and outstanding as of June 30, 2012 and December 31, 2011, respectively             
     515,465,400       549,362,581  
Retained earnings (deficit)
     (3,754,243 )     31,793,937  
 
Total Limited Units
     511,711,157       581,156,518  
                 
Total shareholders’ equity
     511,712,579       581,158,016  
Total liabilities and shareholders’ equity
   $ 512,649,086     $ 584,077,695  
                 
Net asset value per share
                
                 
General Units
   $ 28.44     $ 29.96  
                 
Limited Units
   $ 28.43     $ 29.96  

See accompanying notes to unaudited consolidated financial statements
 
 
3
 
 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
June 30, 2012
 
Description
  
Percentage of
Net Assets
    
Fair
Value
    
Face
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bills, 0.04% due July 05, 2012
     35.18 %   $ 179,999,460     $ 180,000,000  
U.S. Treasury Bills, 0.06% due July 12, 2012
     5.86       29,999,520       30,000,000  
U.S. Treasury Bills, 0.06% due July 26, 2012
     39.08       199,995,400       200,000,000  
U.S. Treasury Bills, 0.10% due August 16, 2012
     13.68       69,996,290       70,000,000  
Total U.S. Treasury Obligations (cost $479,979,394)
     93.80 %   $ 479,990,670     $ 480,000,000  
                   
Description
  
Percentage of
Net Assets
    
Fair
Value
    
Notional
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
                        
Cocoa (653 contracts, settlement date September 13, 2012)
     0.07 %   $ 379,810     $ 14,960,230  
Cocoa (653 contracts, settlement date December 13, 2012)
     0.12       597,300       15,045,120  
Coffee (233 contracts, settlement date September 18, 2012)
     (0.16 )     (816,844 )     14,914,913  
Coffee (233 contracts, settlement date December 18, 2012)
     (0.01 )     (48,600 )     15,181,406  
Copper (172 contracts, settlement date September 26, 2012)
     (0.10 )     (516,150 )     15,034,950  
Copper (172 contracts, settlement date December 27, 2012)
     (0.02 )     (76,763 )     15,077,950  
Corn (472 contracts, settlement date September 14, 2012)
     0.33       1,716,588       14,832,600  
Corn (472 contracts, settlement date December 14, 2012)
     0.45       2,320,299       14,980,100  
Cotton (417 contracts, settlement date December 06, 2012)
     (0.41 )     (2,117,715 )     14,872,305  
Cotton (418 contracts, settlement date March 06, 2013)
     0.06       282,185       15,154,590  
FCOJ-A (523 contracts, settlement date September 10, 2012)
     0.03       175,815       9,551,288  
FCOJ-A (565 contracts, settlement date November 09, 2012)
     (0.12 )     (621,473 )     10,271,700  
FCOJ-A (572 contracts, settlement date January 10, 2013)
     0.10       521,558       10,381,800  
Gold (94 contracts, settlement date December 27, 2012)
     (0.11 )     (539,180 )     15,121,780  
Gold (93 contracts, settlement date February 26, 2013)
     0.04       202,640       14,980,440  
Heating Oil (52 contracts, settlement date August 31, 2012)
     (0.14 )     (721,934 )     5,922,134  
Heating Oil (53 contracts, settlement date September 28, 2012)
     (0.18 )     (935,634 )     6,045,148  
Heating Oil (53 contracts, settlement date October 31, 2012)
     (0.18 )     (928,704 )     6,056,946  
Heating Oil (53 contracts, settlement date November 30, 2012)
     0.02       100,451       6,068,521  
Heating Oil (53 contracts, settlement date December 31, 2012)
     0.02       88,679       6,081,432  
Lean Hogs (221 contracts, settlement date August 14, 2012)
     0.01       55,820       8,378,110  
Lean Hogs (221 contracts, settlement date October 12, 2012)
     (0.06 )     (280,320 )     7,332,780  
Lean Hogs (220 contracts, settlement date December 14, 2012)
     (0.01 )     (63,990 )     7,066,400  
Lean Hogs (220 contracts, settlement date February 14, 2013)
     0.01       24,420       7,277,600  
Light, Sweet Crude Oil (69 contracts, settlement date August 21, 2012)
     (0.18 )     (911,060 )     5,890,530  
Light, Sweet Crude Oil (66 contracts, settlement date September 20, 2012)
     (0.19 )     (951,400 )     5,660,160  
Light, Sweet Crude Oil (72 contracts, settlement date October 22, 2012)
     (0.20 )     (1,028,550 )     6,207,120  
Light, Sweet Crude Oil (72 contracts, settlement date November 16, 2012)
     0.04       182,690       6,240,240  
Light, Sweet Crude Oil (71 contracts, settlement date December 19, 2012)
     0.03       181,100       6,186,230  
Live Cattle (196 contracts, settlement date October 31, 2012)
     (0.09 )     (456,400 )     9,752,960  
Live Cattle (196 contracts, settlement date December 31, 2012)
     (0.00 ) *     (8,690 )     9,988,160  
Live Cattle (197 contracts, settlement date February 28, 2013)
     (0.01 )     (49,430 )     10,200,660  
Natural Gas (193 contracts, settlement date August 29, 2012)
     0.08       410,320       5,467,690  
Natural Gas (193 contracts, settlement date September 26, 2012)
     0.14       693,100       5,552,610  
Natural Gas (193 contracts, settlement date October 29, 2012)
     0.12       596,080       5,965,630  
Natural Gas (193 contracts, settlement date November 28, 2012)
     0.09       471,810       6,475,150  
Natural Gas (192 contracts, settlement date December 27, 2012)
     0.09       461,620       6,718,080  
Platinum (207 contracts, settlement date October 29, 2012)
     (0.03 )     (156,485 )     15,032,340  
Platinum (207 contracts, settlement date January 29, 2013)
     0.02       81,570       15,071,670  
Silver (108 contracts, settlement date September 26, 2012)
     (0.31 )     (1,577,820 )     14,910,480  
Silver (109 contracts, settlement date December 27, 2012)
     (0.24 )     (1,248,115 )     15,091,050  
Soybean (214 contracts, settlement date November 14, 2012)
     0.16       811,988       15,276,925  
Soybean (207 contracts, settlement date January 14, 2013)
     0.19       977,688       14,764,275  
Sugar (631 contracts, settlement date September 28, 2012)
     (0.25 )     (1,285,670 )     14,848,187  
Sugar (632 contracts, settlement date February 28, 2013)
     0.11       571,491       15,218,560  
Wheat (391 contracts, settlement date September 14, 2012)
     0.37       1,916,125       14,804,238  
Wheat (392 contracts, settlement date December 14, 2012)
     0.41       2,087,913       15,224,300  
Net Unrealized Apprecation on Futures Contracts
     0.11 %   $ 568,133     $ 511,137,488  
 
*
Denotes greater than (0.005)% yet less than 0.000%
 
See accompanying notes to unaudited consolidated financial statements
 
 
4
 

GreenHaven Continuous Commodity Index Fund 
Consolidated Schedule of Investments
December 31, 2011
 
   
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989)
     1.72 %   $ 9,999,990     $ 10,000,000  
                   
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
                        
Cocoa (535 contracts, settlement date March 15, 2012)
     (0.55 ) %   $ (3,205,990 )   $ 11,283,150  
Cocoa (536 contracts, settlement date May 15, 2012)
     (0.53 )     (3,093,380 )     11,422,160  
Cocoa (536 contracts, settlement date July 16, 2012)
     (0.33 )     (1,932,240 )     11,513,280  
Coffee (133 contracts, settlement date March 20, 2012)
     (0.15 )     (896,456 )     11,314,144  
Coffee (132 contracts, settlement date May 18, 2012)
     (0.16 )     (919,744 )     11,367,675  
Coffee (132 contracts, settlement date July 19, 2012)
     (0.06 )     (352,538 )     11,493,900  
Copper (133 contracts, settlement date March 28, 2012)
     (0.10 )     (592,150 )     11,424,700  
Copper (132 contracts, settlement date May 29, 2012)
     (0.11 )     (608,013 )     11,376,750  
Copper (132 contracts, settlement date July 27, 2012)
     0.01       51,438       11,401,500  
Corn (349 contracts, settlement date March 14, 2012)
     (0.15 )     (862,200 )     11,281,425  
Corn (349 contracts, settlement date May 14, 2012)
     (0.15 )     (839,875 )     11,425,387  
Corn (348 contracts, settlement date July 13, 2012)
     0.01       33,125       11,505,750  
Cotton (249 contracts, settlement date March 08, 2012)
     (0.13 )     (726,570 )     11,429,100  
Cotton (248 contracts, settlement date May 08, 2012)
     (0.15 )     (851,265 )     11,368,320  
Cotton (248 contracts, settlement date July 09, 2012)
     (0.12 )     (721,380 )     11,322,440  
Florida Orange Juice (561 contracts, settlement date March 12, 2012)
     0.04       257,978       14,221,350  
Florida Orange Juice (486 contracts, settlement date May 10, 2012)
     0.15       856,470       12,261,780  
Florida Orange Juice (306 contracts, settlement date July 11, 2012)
     (0.01 )     (32,880 )     7,738,740  
Gold (72 contracts, settlement date February 27, 2012)
     (0.09 )     (527,380 )     11,280,960  
Gold (72 contracts, settlement date April 26, 2012)
     (0.21 )     (1,233,460 )     11,299,680  
Gold (73 contracts, settlement date June 27, 2012)
     (0.25 )     (1,434,620 )     11,472,680  
Heating Oil (57 contracts, settlement date January 31, 2012)
     (0.02 )     (109,389 )     6,976,595  
Heating Oil (56 contracts, settlement date February 29, 2012)
     (0.02 )     (101,056 )     6,834,677  
Heating Oil (56 contracts, settlement date March 30, 2012)
     (0.02 )     (111,661 )     6,789,283  
Heating Oil (56 contracts, settlement date April 30, 2012)
     (0.09 )     (493,088 )     6,734,482  
Heating Oil (56 contracts, settlement date May 31, 2012)
     (0.08 )     (488,053 )     6,693,557  
Lean Hogs (236 contracts, settlement date February 14, 2012)
     (0.07 )     (384,030 )     7,957,920  
Lean Hogs (236 contracts, settlement date April 16, 2012)
     (0.06 )     (325,560 )     8,278,880  
Lean Hogs (235 contracts, settlement date June 14, 2012)
     (0.05 )     (275,680 )     8,977,000  
Lean Hogs (236 contracts, settlement date July 16, 2012)
     (0.04 )     (210,990 )     8,951,480  
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012)
     0.13       727,240       6,819,270  
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012)
     0.13       746,950       6,831,000  
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012)
     0.13       746,560       6,845,490  
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012)
     0.01       82,600       6,859,290  
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012)
     0.02       113,320       6,764,640  
Live Cattle (229 contracts, settlement date February 29, 2012)
     0.00 *     2,380       11,124,820  
Live Cattle (230 contracts, settlement date April 30, 2012)
     (0.02 )     (131,730 )     11,541,400  
Live Cattle (230 contracts, settlement date June 29, 2012)
     (0.02 )     (122,410 )     11,460,900  
Natural Gas (224 contracts, settlement date January 27, 2012)
     (0.40 )     (2,315,920 )     6,695,360  
Natural Gas (224 contracts, settlement date February 27, 2012)
     (0.38 )     (2,204,450 )     6,755,840  
Natural Gas (220 contracts, settlement date March 28, 2012)
     (0.36 )     (2,067,940 )     6,773,800  
Natural Gas (220 contracts, settlement date April 26, 2012)
     (0.20 )     (1,188,850 )     6,888,200  
Natural Gas (219 contracts, settlement date May 29, 2012)
     (0.20 )     (1,169,040 )     6,968,580  
Platinum (243 contracts, settlement date April 26, 2012)
     (0.43 )     (2,468,450 )     17,069,535  
Platinum (243 contracts, settlement date July 27, 2012)
     (0.44 )     (2,566,290 )     17,124,210  
Silver (82 contracts, settlement date March 28, 2012)
     (0.35 )     (2,055,925 )     11,445,150  
Silver (81 contracts, settlement date May 29, 2012)
     (0.38 )     (2,222,650 )     11,323,800  
Silver (81 contracts, settlement date July 27, 2012)
     (0.33 )     (1,944,665 )     11,338,785  
Soybean (186 contracts, settlement date March 14, 2012)
     (0.17 )     (1,016,225 )     11,232,075  
Soybean (187 contracts, settlement date May 14, 2012)
     (0.16 )     (954,425 )     11,383,625  
Soybean (187 contracts, settlement date July 13, 2012)
     0.05       264,900       11,472,450  
Sugar (444 contracts, settlement date February 29, 2012)
     (0.24 )     (1,406,339 )     11,586,624  
Sugar (444 contracts, settlement date April 30, 2012)
     (0.20 )     (1,152,122 )     11,412,576  
Sugar (444 contracts, settlement date June 29, 2012)
     (0.09 )     (545,496 )     11,218,637  
Wheat (343 contracts, settlement date March 14, 2012)
     (0.20 )     (1,133,987 )     11,194,662  
Wheat (340 contracts, settlement date May 14, 2012)
     (0.19 )     (1,118,513 )     11,411,250  
Wheat (340 contracts, settlement date July 13, 2012)
     0.04       230,325       11,666,250  
Net Unrealized Depreciation on Futures Contracts
     (7.74 ) %   $ (45,001,789 )   $ 580,606,964  
 
*
Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to consolidated financial statements
 
 
5
 
 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended June 30, 2012 and 2011
and Six Months Ended June 30, 2012 and 2011
 
   
  Three Months
  
  Three Months
  
Six Months
    
Six Months
  
    Ended
 
  
Ended
  
Ended
    
Ended
  
    June 30, 2012
 
   June 30, 2011
 
  
June 30, 2012
    
June 30, 2011
  
Income
                        
Interest Income
   $ 90,769     $ 119,476     $ 121,484     $ 307,100  
                                 
Expenses
                                
Management fee to related party
     1,164,381       1,681,823       2,492,448       3,038,336  
Brokerage fees and expenses
     32,399       474,867       103,314       857,883  
Total expenses
     1,196,780       2,156,690       2,595,762       3,896,219  
Net Investment Loss
     (1,106,011 )     (2,037,214 )     (2,474,278 )     (3,589,119 )
                                 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                               
Realized Gain (Loss) on                                
Investments
     903       -       903       -  
Futures Contracts
     (59,164,455 )     38,183,502       (78,656,078 )     96,899,021  
Net Realized Gain (Loss)
    (59,163,552 )     38,183,502       (78,655,175 )     96,899,021  
Net Change in Unrealized Gain (Loss) on
                                
Investments
     4,637       (19,474 )     11,275       (13,373 )
Futures Contracts
     19,505,930       (73,931,624 )     45,569,922       (87,834,037 )
Net Change in Unrealized Gain (Loss)
     19,510,567       (73,951,098 )     45,581,197       (87,847,410 )
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts
     (39,652,985 )     (35,767,596 )     (33,073,978 )     9,051,611  
                                 
Net Gain (Loss)
  $ (40,758,996 )   $ (37,804,810 )   $ (35,548,256 )   $ 5,462,492  
 
See accompanying notes to unaudited consolidated financial statements
 
 
6
 
 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2012
 
   
General Units
    
Limited Units
    
Total
  
                                                       
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Accumulated
    
Shareholders’
    
Limited Units
    
Accumulated
    
Shareholders’
    
Shareholders’
  
    
Units
    
Amount
    
Deficit
    
Equity
    
Units
    
Amount
    
Deficit
    
Equity
    
Equity
  
Balance at January 1, 2012
     50     $ 1,500     $ (2 )   $ 1,498       19,400,000     $ 549,362,581     $ 31,793,937     $ 581,156,518     $ 581,158,016  
Creation of Limited Units
     -       -       -       -       2,550,000       80,222,138       -       80,222,138       80,222,138  
Redemption of Limited Units
     -       -       -       -       (3,950,000 )     (114,119,319 )     -       (114,119,319 )     (114,119,319 )
Net loss:
                                                                        
Net investment loss
     -       -       (6 )     (6 )     -       -       (2,474,272 )     (2,474,272 )     (2,474,278 )
Net realized loss on Investments and Futures Contracts
     -       -       (204 )     (204 )     -       -       (78,654,971 )     (78,654,971 )     (78,655,175 )
Net change in unrealized gain on Investments and Futures Contracts
     -       -       134       134       -       -       45,581,063       45,581,063       45,581,197  
Net loss
     -       -       (76 )     (76 )     -       -       (35,548,180 )     (35,548,180 )     (35,548,256 )
                                                                         
Balance at June 30, 2012
     50     $ 1,500     $ (78 )   $ 1,422       18,000,000     $ 515,465,400     $ (3,754,243 )   $ 511,711,157     $ 511,712,579  
 
See accompanying notes to unaudited consolidated financial statements
  
 
 
7
 
 
GreenHaven Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Six Months Ended June 30, 2012 and 2011
 
   
2012
    
2011
  
Cash flow from operating activities:
            
Net gain/(loss)
   $ (35,548,256 )   $ 5,462,492  
Adjustments to reconcile net gain (loss) to net cash used for operating activities:
                
Purchase of investment securities
     (1,129,849,062 )     (994,765,343 )
Proceeds from sales of investment securities
     659,992,044       1,155,000,000  
Net accretion of discount
     (121,484 )     (307,100 )
Net realized gain on investment securities
     (903 )     -  
Unrealized depreciation (appreciation) on investments
     (45,581,197 )     87,847,410  
Decrease in payable - capital shares
     (1,497,826 )     -  
Increase (decrease) in accrued expenses
     (485,346 )     659,123  
Net cash provided by (used for) operating activities
     (553,092,030 )     253,896,582  
                 
Cash flows from financing activities:
                
Proceeds from creation of Limited Units
     80,222,138       292,134,891  
Redemption of Limited Units
     (114,119,319 )     (98,092,726 )
               Net cash provided by (used for) financing activities
     (33,897,181 )     194,042,165  
                 
Net change in cash
     (586,989,211 )     447,938,747  
Cash held by broker at beginning of period
     619,079,494       6,487,519  
Cash held by broker at end of period
   $ 32,090,283     $ 454,426,266  
 
See accompanying notes to unaudited consolidated financial statements
  
 
 
8
 
 
GreenHaven Continuous Commodity Index Master Fund
Statements of Financial Condition
June 30, 2012 (unaudited) and December 31, 2011
 
   
June 30,
        
   
2012
    
December 31,
  
   
(unaudited)
    
2011
  
Assets
            
Equity in broker trading accounts:
            
Short-term investments (cost $479,979,394 and $9,999,989 as of June 30, 2012 and December 31, 2011, respectively)
   $ 479,990,670     $ 9,999,990  
Cash held by broker
     32,090,283       619,079,494  
Net unrealized appreciation (depreciation) on futures contracts
     568,133       (45,001,789 )
Total assets
   $ 512,649,086     $ 584,077,695  
                 
Liabilities and shareholders’ equity
                
Capital shares payable
   $ -     $ 1,497,826  
Management fee payable to related party
     341,594       438,205  
Accrued brokerage fees and expenses payable
     594,913       983,648  
Total liabilities
     936,507       2,919,679  
                 
Shareholders’ equity
                
General Units:
                
Paid in capital - 50 units issued
     1,500       1,500  
Accumulated deficit
     (78 )     (2 )
Total General Units
     1,422       1,498  
Limited Units:
                
Paid in capital - 18,000,000 and 19,400,000 redeemable units issued and outstanding as of June 30, 2012 and December 31, 2011, respectively
     515,465,400       549,362,581  
Retained earnings (accumulated deficit)
     (3,754,243 )     31,793,937  
 
Total Limited Units
     511,711,157       581,156,518  
                 
Total shareholders’ equity
     511,712,579       581,158,016  
 
Total liabilities and shareholders’ equity
   $ 512,649,086     $ 584,077,695  
                 
Net asset value per share
                
 
General Units
   $ 28.43     $ 29.96  
 
Limited Units
   $ 28.43     $ 29.96  
 
See accompanying notes to unaudited consolidated financial statements
 
 
9
 
 
 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
June 30, 2012
 
   
Percentage of
    
Fair
    
Face
  
Description
  
Net Assets
    
Value
    
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bills, 0.04% due July 05, 2012
     35.18 %   $ 179,999,460     $ 180,000,000  
U.S. Treasury Bills, 0.06% due July 12, 2012
     5.86       29,999,520       30,000,000  
U.S. Treasury Bills, 0.06% due July 26, 2012
     39.08       199,995,400       200,000,000  
U.S. Treasury Bills, 0.10% due August 16, 2012
     13.68       69,996,290       70,000,000  
Total U.S. Treasury Obligations (cost $479,979,394)
     93.80 %   $ 479,990,670     $ 480,000,000  
                         
   
Percentage of
    
Fair
    
Notional
  
Description
  
Net Assets
    
Value
    
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
                        
Cocoa (653 contracts, settlement date September 13, 2012)
     0.07 %   $ 379,810     $ 14,960,230  
Cocoa (653 contracts, settlement date December 13, 2012)
     0.12       597,300       15,045,120  
Coffee (233 contracts, settlement date September 18, 2012)
     (0.16 )     (816,844 )     14,914,913  
Coffee (233 contracts, settlement date December 18, 2012)
     (0.01 )     (48,600 )     15,181,406  
Copper (172 contracts, settlement date September 26, 2012)
     (0.10 )     (516,150 )     15,034,950  
Copper (172 contracts, settlement date December 27, 2012)
     (0.02 )     (76,763 )     15,077,950  
Corn (472 contracts, settlement date September 14, 2012)
     0.33       1,716,588       14,832,600  
Corn (472 contracts, settlement date December 14, 2012)
     0.45       2,320,299       14,980,100  
Cotton (417 contracts, settlement date December 06, 2012)
     (0.41 )     (2,117,715 )     14,872,305  
Cotton (418 contracts, settlement date March 06, 2013)
     0.06       282,185       15,154,590  
FCOJ-A (523 contracts, settlement date September 10, 2012)
     0.03       175,815       9,551,288  
FCOJ-A (565 contracts, settlement date November 09, 2012)
     (0.12 )     (621,473 )     10,271,700  
FCOJ-A (572 contracts, settlement date January 10, 2013)
     0.10       521,558       10,381,800  
Gold (94 contracts, settlement date December 27, 2012)
     (0.11 )     (539,180 )     15,121,780  
Gold (93 contracts, settlement date February 26, 2013)
     0.04       202,640       14,980,440  
Heating Oil (52 contracts, settlement date August 31, 2012)
     (0.14 )     (721,934 )     5,922,134  
Heating Oil (53 contracts, settlement date September 28, 2012)
     (0.18 )     (935,634 )     6,045,148  
Heating Oil (53 contracts, settlement date October 31, 2012)
     (0.18 )     (928,704 )     6,056,946  
Heating Oil (53 contracts, settlement date November 30, 2012)
     0.02       100,451       6,068,521  
Heating Oil (53 contracts, settlement date December 31, 2012)
     0.02       88,679       6,081,432  
Lean Hogs (221 contracts, settlement date August 14, 2012)
     0.01       55,820       8,378,110  
Lean Hogs (221 contracts, settlement date October 12, 2012)
     (0.06 )     (280,320 )     7,332,780  
Lean Hogs (220 contracts, settlement date December 14, 2012)
     (0.01 )     (63,990 )     7,066,400  
Lean Hogs (220 contracts, settlement date February 14, 2013)
     0.01       24,420       7,277,600  
Light, Sweet Crude Oil (69 contracts, settlement date August 21, 2012)
     (0.18 )     (911,060 )     5,890,530  
Light, Sweet Crude Oil (66 contracts, settlement date September 20, 2012)
     (0.19 )     (951,400 )     5,660,160  
Light, Sweet Crude Oil (72 contracts, settlement date October 22, 2012)
     (0.20 )     (1,028,550 )     6,207,120  
Light, Sweet Crude Oil (72 contracts, settlement date November 16, 2012)
     0.04       182,690       6,240,240  
Light, Sweet Crude Oil (71 contracts, settlement date December 19, 2012)
     0.03       181,100       6,186,230  
Live Cattle (196 contracts, settlement date October 31, 2012)
     (0.09 )     (456,400 )     9,752,960  
Live Cattle (196 contracts, settlement date December 31, 2012)
     (0.00 ) *     (8,690 )     9,988,160  
Live Cattle (197 contracts, settlement date February 28, 2013)
     (0.01 )     (49,430 )     10,200,660  
Natural Gas (193 contracts, settlement date August 29, 2012)
     0.08       410,320       5,467,690  
Natural Gas (193 contracts, settlement date September 26, 2012)
     0.14       693,100       5,552,610  
Natural Gas (193 contracts, settlement date October 29, 2012)
     0.12       596,080       5,965,630  
Natural Gas (193 contracts, settlement date November 28, 2012)
     0.09       471,810       6,475,150  
Natural Gas (192 contracts, settlement date December 27, 2012)
     0.09       461,620       6,718,080  
Platinum (207 contracts, settlement date October 29, 2012)
     (0.03 )     (156,485 )     15,032,340  
Platinum (207 contracts, settlement date January 29, 2013)
     0.02       81,570       15,071,670  
Silver (108 contracts, settlement date September 26, 2012)
     (0.31 )     (1,577,820 )     14,910,480  
Silver (109 contracts, settlement date December 27, 2012)
     (0.24 )     (1,248,115 )     15,091,050  
Soybean (214 contracts, settlement date November 14, 2012)
     0.16       811,988       15,276,925  
Soybean (207 contracts, settlement date January 14, 2013)
     0.19       977,688       14,764,275  
Sugar (631 contracts, settlement date September 28, 2012)
     (0.25 )     (1,285,670 )     14,848,187  
Sugar (632 contracts, settlement date February 28, 2013)
     0.11       571,491       15,218,560  
Wheat (391 contracts, settlement date September 14, 2012)
     0.37       1,916,125       14,804,238  
Wheat (392 contracts, settlement date December 14, 2012)
     0.41       2,087,913       15,224,300  
Net Unrealized Apprecation on Futures Contracts
     0.11 %   $ 568,133     $ 511,137,488  
 
*
Denotes greater than (0.005)% yet less than 0.000%
 
See accompanying notes to unaudited consolidated financial statements
 
 
10
 
 
GreenHaven Continuous Commodity Index Master Fund
 Schedule of Investments
December 31, 2011
 
Description
  
Percentage of
Net Assets
    
Fair
Value
    
Face
Value
  
U.S. Treasury Obligations
                  
U.S. Treasury Bill, 0.00% due January 05, 2012 (cost $9,999,989)
     1.72 %   $ 9,999,990     $ 10,000,000  
                   
Description
  
Percentage of
Net Assets
    
Fair
Value
    
Notional
Value
  
Unrealized Appreciation/(Depreciation) on Futures Contracts
                        
Cocoa (535 contracts, settlement date March 15, 2012)
     (0.55 ) %   $ (3,205,990 )   $ 11,283,150  
Cocoa (536 contracts, settlement date May 15, 2012)
     (0.53 )     (3,093,380 )     11,422,160  
Cocoa (536 contracts, settlement date July 16, 2012)
     (0.33 )     (1,932,240 )     11,513,280  
Coffee (133 contracts, settlement date March 20, 2012)
     (0.15 )     (896,456 )     11,314,144  
Coffee (132 contracts, settlement date May 18, 2012)
     (0.16 )     (919,744 )     11,367,675  
Coffee (132 contracts, settlement date July 19, 2012)
     (0.06 )     (352,538 )     11,493,900  
Copper (133 contracts, settlement date March 28, 2012)
     (0.10 )     (592,150 )     11,424,700  
Copper (132 contracts, settlement date May 29, 2012)
     (0.11 )     (608,013 )     11,376,750  
Copper (132 contracts, settlement date July 27, 2012)
     0.01       51,438       11,401,500  
Corn (349 contracts, settlement date March 14, 2012)
     (0.15 )     (862,200 )     11,281,425  
Corn (349 contracts, settlement date May 14, 2012)
     (0.15 )     (839,875 )     11,425,387  
Corn (348 contracts, settlement date July 13, 2012)
     0.01       33,125       11,505,750  
Cotton (249 contracts, settlement date March 08, 2012)
     (0.13 )     (726,570 )     11,429,100  
Cotton (248 contracts, settlement date May 08, 2012)
     (0.15 )     (851,265 )     11,368,320  
Cotton (248 contracts, settlement date July 09, 2012)
     (0.12 )     (721,380 )     11,322,440  
Florida Orange Juice (561 contracts, settlement date March 12, 2012)
     0.04       257,978       14,221,350  
Florida Orange Juice (486 contracts, settlement date May 10, 2012)
     0.15       856,470       12,261,780  
Florida Orange Juice (306 contracts, settlement date July 11, 2012)
     (0.01 )     (32,880 )     7,738,740  
Gold (72 contracts, settlement date February 27, 2012)
     (0.09 )     (527,380 )     11,280,960  
Gold (72 contracts, settlement date April 26, 2012)
     (0.21 )     (1,233,460 )     11,299,680  
Gold (73 contracts, settlement date June 27, 2012)
     (0.25 )     (1,434,620 )     11,472,680  
Heating Oil (57 contracts, settlement date January 31, 2012)
     (0.02 )     (109,389 )     6,976,595  
Heating Oil (56 contracts, settlement date February 29, 2012)
     (0.02 )     (101,056 )     6,834,677  
Heating Oil (56 contracts, settlement date March 30, 2012)
     (0.02 )     (111,661 )     6,789,283  
Heating Oil (56 contracts, settlement date April 30, 2012)
     (0.09 )     (493,088 )     6,734,482  
Heating Oil (56 contracts, settlement date May 31, 2012)
     (0.08 )     (488,053 )     6,693,557  
Lean Hogs (236 contracts, settlement date February 14, 2012)
     (0.07 )     (384,030 )     7,957,920  
Lean Hogs (236 contracts, settlement date April 16, 2012)
     (0.06 )     (325,560 )     8,278,880  
Lean Hogs (235 contracts, settlement date June 14, 2012)
     (0.05 )     (275,680 )     8,977,000  
Lean Hogs (236 contracts, settlement date July 16, 2012)
     (0.04 )     (210,990 )     8,951,480  
Light, Sweet Crude Oil (69 contracts, settlement date January 20, 2012)
     0.13       727,240       6,819,270  
Light, Sweet Crude Oil (69 contracts, settlement date February 21, 2012)
     0.13       746,950       6,831,000  
Light, Sweet Crude Oil (69 contracts, settlement date March 20, 2012)
     0.13       746,560       6,845,490  
Light, Sweet Crude Oil (69 contracts, settlement date April 20, 2012)
     0.01       82,600       6,859,290  
Light, Sweet Crude Oil (68 contracts, settlement date May 22, 2012)
     0.02       113,320       6,764,640  
Live Cattle (229 contracts, settlement date February 29, 2012)
     0.00 *     2,380       11,124,820  
Live Cattle (230 contracts, settlement date April 30, 2012)
     (0.02 )     (131,730 )     11,541,400  
Live Cattle (230 contracts, settlement date June 29, 2012)
     (0.02 )     (122,410 )     11,460,900  
Natural Gas (224 contracts, settlement date January 27, 2012)
     (0.40 )     (2,315,920 )     6,695,360  
Natural Gas (224 contracts, settlement date February 27, 2012)
     (0.38 )     (2,204,450 )     6,755,840  
Natural Gas (220 contracts, settlement date March 28, 2012)
     (0.36 )     (2,067,940 )     6,773,800  
Natural Gas (220 contracts, settlement date April 26, 2012)
     (0.20 )     (1,188,850 )     6,888,200  
Natural Gas (219 contracts, settlement date May 29, 2012)
     (0.20 )     (1,169,040 )     6,968,580  
Platinum (243 contracts, settlement date April 26, 2012)
     (0.43 )     (2,468,450 )     17,069,535  
Platinum (243 contracts, settlement date July 27, 2012)
     (0.44 )     (2,566,290 )     17,124,210  
Silver (82 contracts, settlement date March 28, 2012)
     (0.35 )     (2,055,925 )     11,445,150  
Silver (81 contracts, settlement date May 29, 2012)
     (0.38 )     (2,222,650 )     11,323,800  
Silver (81 contracts, settlement date July 27, 2012)
     (0.33 )     (1,944,665 )     11,338,785  
Soybean (186 contracts, settlement date March 14, 2012)
     (0.17 )     (1,016,225 )     11,232,075  
Soybean (187 contracts, settlement date May 14, 2012)
     (0.16 )     (954,425 )     11,383,625  
Soybean (187 contracts, settlement date July 13, 2012)
     0.05       264,900       11,472,450  
Sugar (444 contracts, settlement date February 29, 2012)
     (0.24 )     (1,406,339 )     11,586,624  
Sugar (444 contracts, settlement date April 30, 2012)
     (0.20 )     (1,152,122 )     11,412,576  
Sugar (444 contracts, settlement date June 29, 2012)
     (0.09 )     (545,496 )     11,218,637  
Wheat (343 contracts, settlement date March 14, 2012)
     (0.20 )     (1,133,987 )     11,194,662  
Wheat (340 contracts, settlement date May 14, 2012)
     (0.19 )     (1,118,513 )     11,411,250  
Wheat (340 contracts, settlement date July 13, 2012)
     0.04       230,325       11,666,250  
Net Unrealized Depreciation on Futures Contracts
     (7.74 ) %   $ (45,001,789 )   $ 580,606,964  
 
*
Denotes greater than 0.000% yet less than 0.005%
 
See accompanying notes to consolidated financial statements
 
 
11
 
 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statements of Income and Expenses
For the Three Months Ended June 30, 2012 and 2011
and Six Months Ended June 30, 2012 and 2011
 
   
Three Months
    
Three Months
    
Six Months
    
Six Months
  
   
Ended
    
Ended
    
Ended
    
Ended
  
   
June 30, 2012
    
June 30, 2011
    
June 30, 2012
    
June 30, 2011
  
Income
                        
Interest Income
   $ 90,769     $ 119,476     $ 121,484     $ 307,100  
                                 
Expenses
                                
Management fee to related party
     1,164,381       1,681,823       2,492,448       3,038,336  
Brokerage fees and expenses
     32,399       474,867       103,314       857,883  
Total expenses
     1,196,780       2,156,690       2,595,762       3,896,219  
Net Investment Loss
     (1,106,011 )     (2,037,214 )     (2,474,278 )     (3,589,119 )
                                 
Realized and Net Change in Unrealized Gain (Loss) on Investments and Futures Contracts
                                
Realized Gain (Loss) on
                                
Investments
     903       -       903       -  
Futures Contracts
     (59,164,455 )     38,183,502       (78,656,078 )     96,899,021  
Net Realized Gain (Loss)
    (59,163,552 )     38,183,502       (78,655,175 )     96,899,021  
Net Change in Unrealized Gain (Loss) on
                                
Investments
     4,637       (19,474 )     11,275       (13,373 )
Futures Contracts
     19,505,930       (73,931,624 )     45,569,922       (87,834,037 )
Net Change in Unrealized Gain (Loss)
     19,510,567       (73,951,098 )     45,581,197       (87,847,410 )
Net Realized and Unrealized Gain (Loss) on Investments and Future Contracts
     (39,652,985 )     (35,767,596 )     (33,073,978 )     9,051,611  
                                 
Net Gain (Loss)
  $ (40,758,996 )   $ (37,804,810 )   $ (35,548,256 )   $ 5,462,492  
 
See accompanying notes to unaudited consolidated financial statements
 
 
12
 
 
GreenHaven Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Six Months Ended June 30, 2012
 
   
General Units
    
Limited Units
    
Total
  
                                                       
                     
Total
                      
Total
        
                     
General
                      
Limited
    
Total
  
   
General Units
    
Accumulated
    
Shareholders’
    
Limited Units
    
Accumulated
    
Shareholders’
    
Shareholders’
  
   
Units
    
Amount
    
Deficit
    
Equity
    
Units
    
Amount
    
Deficit
    
Equity
    
Equity
  
Balance at January 1, 2012
     50     $ 1,500     $ (2 )   $ 1,498       19,400,000     $ 549,362,581     $ 31,793,937     $ 581,156,518     $ 581,158,016  
Creation of Limited Units
     -       -       -       -       2,550,000       80,222,138       -       80,222,138       80,222,138  
Redemption of Limited Units
     -       -       -       -       (3,950,000 )     (114,119,319 )     -       (114,119,319 )     (114,119,319 )
Net loss:
                                                                        
Net investment loss
     -       -       (6 )     (6 )     -       -       (2,474,272 )     (2,474,272 )     (2,474,278 )
Net realized loss on Investments and Futures Contracts
     -       -       (204 )     (204 )     -       -       (78,654,971 )     (78,654,971 )     (78,655,175 )