þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware (State or Other Jurisdiction of Incorporation or Organization) |
26-0151234 (I.R.S. Employer Identification No.) |
|
c/o GreenHaven Commodity Services LLC 3340 Peachtree Rd, Suite 1910 Atlanta, Georgia (Address of Principal Executive Offices) |
30326 (Zip Code) |
Large Accelerated Filer o | Accelerated Filer þ | Non-Accelerated Filer o | Smaller reporting company o | |||
(Do not check if a smaller reporting company) |
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EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-31.3 | ||||||||
EX-31.4 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-32.3 | ||||||||
EX-32.4 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
2
September 30, | ||||||||
2011 | December 31, | |||||||
(unaudited) | 2010 | |||||||
Assets |
||||||||
Equity in broker trading accounts: |
||||||||
Short-term investments (cost $589,978,960 and $469,919,567 as of September
30, 2011 and December 31, 2010, respectively) |
$ | 589,979,710 | $ | 469,939,860 | ||||
Cash held by broker |
107,709,323 | 6,487,519 | ||||||
Net unrealized (depreciation) appreciation on futures contracts |
(68,616,654 | ) | 58,639,682 | |||||
Total assets |
$ | 629,072,379 | $ | 535,067,061 | ||||
Liabilities and shareholders equity |
||||||||
Capital shares payable |
$ | 9,138,309 | $ | | ||||
Management fee payable to related party |
496,429 | 352,427 | ||||||
Broker fee payable |
1,045,586 | 351,579 | ||||||
Total liabilities |
10,680,324 | 704,006 | ||||||
Shareholders equity |
||||||||
General Units: |
||||||||
Paid in capital 50 units issued |
1,500 | 1,500 | ||||||
Retained earnings |
23 | 144 | ||||||
Total General Units |
1,523 | 1,644 | ||||||
Limited Units: |
||||||||
Paid in capital 20,300,000 and 16,250,000 redeemable units
issued and outstanding as of September 30, 2011 and
December 31, 2010, respectively |
573,994,925 | 428,801,695 | ||||||
Retained earnings |
44,395,607 | 105,559,716 | ||||||
Total Limited Units |
618,390,532 | 534,361,411 | ||||||
Total shareholders equity |
618,392,055 | 534,363,055 | ||||||
Total liabilities and shareholders equity |
$ | 629,072,379 | $ | 535,067,061 | ||||
Net asset value per share |
||||||||
General Units |
$ | 30.46 | $ | 32.88 | ||||
Limited Units |
$ | 30.46 | $ | 32.88 |
3
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bills, 0.03% due December 08, 2011 |
3.24 | % | $ | 19,999,660 | $ | 20,000,000 | ||||||
U.S. Treasury Bills, 0.02% due December 29, 2011 |
92.17 | 569,980,050 | 570,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $589,978,960) |
95.41 | % | $ | 589,979,710 | $ | 590,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts |
||||||||||||
Cocoa (460 contracts, settlement date December 14, 2011) |
(0.30) | % | $ | (1,856,630 | ) | $ | 11,996,800 | |||||
Cocoa (461 contracts, settlement date March 15, 2012) |
(0.24 | ) | (1,500,790 | ) | 12,207,280 | |||||||
Cocoa (460 contracts, settlement date May 15, 2012) |
(0.23 | ) | (1,416,620 | ) | 12,249,800 | |||||||
Coffee (141 contracts, settlement date December 19, 2011) |
(0.29 | ) | (1,772,325 | ) | 12,103,088 | |||||||
Coffee (140 contracts, settlement date March 20, 2012) |
(0.16 | ) | (959,194 | ) | 12,182,625 | |||||||
Coffee (139 contracts, settlement date May 18, 2012) |
(0.16 | ) | (1,013,662 | ) | 12,176,400 | |||||||
Copper (153 contracts, settlement date December 28, 2011) |
(0.53 | ) | (3,285,725 | ) | 12,056,400 | |||||||
Copper (153 contracts, settlement date March 28, 2012) |
(0.49 | ) | (3,014,500 | ) | 12,136,725 | |||||||
Copper (153 contracts, settlement date May 29, 2012) |
(0.48 | ) | (2,993,737 | ) | 12,182,625 | |||||||
Corn (402 contracts, settlement date December 14, 2011) |
(0.27 | ) | (1,656,050 | ) | 11,909,250 | |||||||
Corn (402 contracts, settlement date March 14, 2012) |
(0.39 | ) | (2,421,300 | ) | 12,175,575 | |||||||
Corn (401 contracts, settlement date May 14, 2012) |
(0.38 | ) | (2,366,725 | ) | 12,300,675 | |||||||
Cotton (246 contracts, settlement date December 07, 2011) |
(0.16 | ) | (1,012,365 | ) | 12,323,370 | |||||||
Cotton (248 contracts, settlement date March 08, 2012) |
(0.15 | ) | (919,010 | ) | 12,080,080 | |||||||
Cotton (248 contracts, settlement date May 08, 2012) |
(0.08 | ) | (498,875 | ) | 11,907,720 | |||||||
Florida Orange Juice (922 contracts, settlement date January 10, 2012) |
(0.20 | ) | (1,224,382 | ) | 20,475,315 | |||||||
Florida Orange Juice (473 contracts, settlement date March 12, 2012) |
(0.13 | ) | (803,932 | ) | 10,550,265 | |||||||
Florida Orange Juice (241 contracts, settlement date May 10, 2012) |
(0.05 | ) | (330,758 | ) | 5,389,965 | |||||||
Gold (74 contracts, settlement date December 28, 2011) |
0.05 | 302,850 | 12,005,020 | |||||||||
Gold (74 contracts, settlement date February 27, 2012) |
0.05 | 293,020 | 12,019,080 | |||||||||
Gold (75 contracts, settlement date April 26, 2012) |
(0.15 | ) | (929,170 | ) | 12,192,000 | |||||||
Heating Oil (62 contracts, settlement date November 30, 2011) |
(0.13 | ) | (808,954 | ) | 7,233,912 | |||||||
Heating Oil (63 contracts, settlement date December 30, 2011) |
(0.15 | ) | (955,727 | ) | 7,344,238 | |||||||
Heating Oil (63 contracts, settlement date January 31, 2012) |
(0.08 | ) | (495,730 | ) | 7,305,606 | |||||||
Heating Oil (63 contracts, settlement date February 29, 2012) |
(0.08 | ) | (512,098 | ) | 7,249,775 | |||||||
Heating Oil (63 contracts, settlement date March 30, 2012) |
(0.09 | ) | (557,584 | ) | 7,163,780 | |||||||
Lean Hogs (333 contracts, settlement date December 14, 2011) |
0.06 | 347,530 | 11,694,960 | |||||||||
Lean Hogs (333 contracts, settlement date February 14, 2012) |
0.08 | 465,300 | 12,197,790 | |||||||||
Lean Hogs (332 contracts, settlement date April 16, 2012) |
0.06 | 393,160 | 12,416,800 | |||||||||
Light, Sweet Crude Oil (91 contracts, settlement date November 18, 2011) |
(0.21 | ) | (1,307,200 | ) | 7,219,030 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date December 20, 2011) |
(0.23 | ) | (1,398,750 | ) | 7,230,860 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date January 20, 2012) |
(0.12 | ) | (714,760 | ) | 7,243,600 | |||||||
Light, Sweet Crude Oil (90 contracts, settlement date February 21, 2012) |
(0.12 | ) | (720,550 | ) | 7,182,000 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date March 20, 2012) |
(0.12 | ) | (746,270 | ) | 7,281,820 | |||||||
Live Cattle (242 contracts, settlement date December 30, 2011) |
0.02 | 131,090 | 11,872,520 | |||||||||
Live Cattle (244 contracts, settlement date February 29, 2012) |
0.07 | 442,570 | 12,117,040 | |||||||||
Live Cattle (243 contracts, settlement date April 30, 2012) |
(0.01 | ) | (43,650 | ) | 12,303,090 | |||||||
Natural Gas (177 contracts, settlement date November 28, 2011) |
(0.20 | ) | (1,235,260 | ) | 7,012,740 | |||||||
Natural Gas (178 contracts, settlement date December 28, 2011) |
(0.20 | ) | (1,265,040 | ) | 7,338,940 | |||||||
Natural Gas (178 contracts, settlement date January 27, 2012) |
(0.10 | ) | (640,900 | ) | 7,372,760 | |||||||
Natural Gas (178 contracts, settlement date February 27, 2012) |
(0.10 | ) | (638,090 | ) | 7,315,800 | |||||||
Natural Gas (178 contracts, settlement date March 28, 2012) |
(0.10 | ) | (593,700 | ) | 7,292,660 | |||||||
Platinum (238 contracts, settlement date January 27, 2012) |
(0.44 | ) | (2,692,205 | ) | 18,130,840 | |||||||
Platinum (238 contracts, settlement date April 26, 2012) |
(0.55 | ) | (3,330,585 | ) | 18,182,010 | |||||||
Silver (80 contracts, settlement date December 28, 2011) |
(0.42 | ) | (2,567,775 | ) | 12,033,200 | |||||||
Silver (80 contracts, settlement date March 28, 2012) |
(0.49 | ) | (3,009,945 | ) | 12,049,600 | |||||||
Silver (81 contracts, settlement date May 29, 2012) |
(0.49 | ) | (3,058,235 | ) | 12,206,295 | |||||||
Soybean (202 contracts, settlement date January 13, 2012) |
(0.32 | ) | (1,959,725 | ) | 12,013,950 | |||||||
Soybean (203 contracts, settlement date March 14, 2012) |
(0.27 | ) | (1,645,587 | ) | 12,162,238 | |||||||
Soybean (203 contracts, settlement date May 14, 2012) |
(0.26 | ) | (1,592,700 | ) | 12,225,675 | |||||||
Sugar (654 contracts, settlement date February 29, 2012) |
(0.09 | ) | (553,538 | ) | 18,524,419 | |||||||
Sugar (651 contracts, settlement date April 30, 2012) |
(0.15 | ) | (927,629 | ) | 17,936,352 | |||||||
Wheat (378 contracts, settlement date December 14, 2011) |
(0.39 | ) | (2,429,550 | ) | 11,514,825 | |||||||
Wheat (377 contracts, settlement date March 14, 2012) |
(0.38 | ) | (2,366,337 | ) | 12,186,525 | |||||||
Wheat (378 contracts, settlement date May 14, 2012) |
(0.36 | ) | (2,248,350 | ) | 12,634,650 | |||||||
Net Unrealized Depreciation on Futures Contracts |
(11.10) | % | $ | (68,616,654 | ) | $ | 617,810,358 | |||||
4
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bills, 0.09% due January 13, 2011 |
33.68 | % | $ | 179,998,380 | $ | 180,000,000 | ||||||
U.S. Treasury Bills, 0.12% due February 03, 2011 |
11.23 | 59,995,500 | 60,000,000 | |||||||||
U.S. Treasury Bills, 0.13% due February 17, 2011 |
1.87 | 9,998,620 | 10,000,000 | |||||||||
U.S. Treasury Bills, 0.12% due February 24, 2011 |
3.74 | 19,996,760 | 20,000,000 | |||||||||
U.S. Treasury Bills, 0.15% due March 10, 2011 |
9.36 | 49,989,000 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.13% due March 24, 2011 |
28.06 | 149,961,600 | 150,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $469,919,567) |
87.94 | % | $ | 469,939,860 | $ | 470,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation on Futures Contracts |
||||||||||||
Cocoa (344 contracts, settlement date March 16, 2011) |
0.12 | % | $ | 636,750 | $ | 10,440,400 | ||||||
Cocoa (343 contracts, settlement date May 13, 2011) |
0.11 | 606,950 | 10,468,360 | |||||||||
Cocoa (344 contracts, settlement date July 14, 2011) |
0.13 | 682,981 | 10,540,160 | |||||||||
Coffee (116 contracts, settlement date March 21, 2011) |
0.40 | 2,127,581 | 10,461,750 | |||||||||
Coffee (116 contracts, settlement date May 18, 2011) |
0.40 | 2,152,463 | 10,518,300 | |||||||||
Coffee (116 contracts, settlement date July 19, 2011) |
0.27 | 1,460,111 | 10,468,275 | |||||||||
Copper (94 contracts, settlement date March 29, 2011) |
0.36 | 1,927,650 | 10,450,450 | |||||||||
Copper (94 contracts, settlement date May 26, 2011) |
0.39 | 2,061,488 | 10,432,825 | |||||||||
Copper (95 contracts, settlement date July 27, 2011) |
0.20 | 1,078,225 | 10,504,625 | |||||||||
Corn (330 contracts, settlement date March 14, 2011) |
0.36 | 1,945,850 | 10,378,500 | |||||||||
Corn (330 contracts, settlement date May 13, 2011) |
0.36 | 1,927,875 | 10,502,250 | |||||||||
Corn (330 contracts, settlement date July 14, 2011) |
0.20 | 1,068,200 | 10,560,000 | |||||||||
Cotton (154 contracts, settlement date March 09, 2011) |
0.43 | 2,294,524 | 11,150,370 | |||||||||
Cotton (151 contracts, settlement date May 06, 2011) |
0.34 | 1,802,070 | 10,389,555 | |||||||||
Cotton (152 contracts, settlement date July 07, 2011) |
0.12 | 644,704 | 9,826,800 | |||||||||
Florida Orange Juice (427 contracts, settlement date March 11, 2011) |
0.13 | 699,810 | 10,475,378 | |||||||||
Florida Orange Juice (422 contracts, settlement date May 10, 2011) |
0.06 | 295,988 | 10,450,830 | |||||||||
Florida Orange Juice (420 contracts, settlement date July 11, 2011) |
0.10 | 537,300 | 10,480,050 | |||||||||
Gold (74 contracts, settlement date February 24, 2011) |
0.17 | 914,920 | 10,518,360 | |||||||||
Gold (73 contracts, settlement date April 27, 2011) |
0.18 | 970,160 | 10,392,280 | |||||||||
Gold (73 contracts, settlement date June 28, 2011) |
0.05 | 239,600 | 10,407,610 | |||||||||
Heating Oil (58 contracts, settlement date January 31, 2011) |
0.13 | 684,037 | 6,193,286 | |||||||||
Heating Oil (58 contracts, settlement date February 28, 2011) |
0.13 | 677,783 | 6,208,146 | |||||||||
Heating Oil (59 contracts, settlement date March 31, 2011) |
0.14 | 730,666 | 6,305,023 | |||||||||
Heating Oil (59 contracts, settlement date April 29, 2011) |
0.07 | 378,487 | 6,295,111 | |||||||||
Heating Oil (59 contracts, settlement date May 31, 2011) |
0.07 | 378,420 | 6,302,793 | |||||||||
Lean Hogs (225 contracts, settlement date February 14, 2011) |
0.08 | 405,900 | 7,177,500 | |||||||||
Lean Hogs (225 contracts, settlement date April 14, 2011) |
0.09 | 486,320 | 7,548,750 | |||||||||
Lean Hogs (225 contracts, settlement date June 14, 2011) |
0.09 | 457,720 | 8,374,500 | |||||||||
Lean Hogs (226 contracts, settlement date July 15, 2011) |
0.08 | 444,060 | 8,357,480 | |||||||||
Light, Sweet Crude Oil (67 contracts, settlement date January 20, 2011) |
0.11 | 605,960 | 6,122,460 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date February 22, 2011) |
0.12 | 655,440 | 6,270,960 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date March 22, 2011) |
0.13 | 710,820 | 6,317,880 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date April 19, 2011) |
0.07 | 378,669 | 6,351,880 | |||||||||
Light, Sweet Crude Oil (67 contracts, settlement date May 20, 2011) |
0.07 | 387,900 | 6,283,260 | |||||||||
Live Cattle (238 contracts, settlement date February 28, 2011) |
0.16 | 842,540 | 10,314,920 | |||||||||
Live Cattle (237 contracts, settlement date April 29, 2011) |
0.16 | 840,320 | 10,636,560 | |||||||||
Live Cattle (239 contracts, settlement date June 30, 2011) |
0.08 | 448,240 | 10,446,690 | |||||||||
Natural Gas (142 contracts, settlement date January 27, 2011) |
0.02 | 125,030 | 6,255,100 | |||||||||
Natural Gas (142 contracts, settlement date February 24, 2011) |
0.03 | 184,880 | 6,279,240 | |||||||||
Natural Gas (142 contracts, settlement date March 29, 2011) |
0.03 | 185,310 | 6,249,420 | |||||||||
Natural Gas (142 contracts, settlement date April 27, 2011) |
0.09 | 484,577 | 6,296,280 | |||||||||
Natural Gas (142 contracts, settlement date May 26, 2011) |
0.09 | 463,960 | 6,354,500 | |||||||||
Platinum (176 contracts, settlement date April 27, 2011) |
0.24 | 1,277,895 | 15,648,160 | |||||||||
Platinum (177 contracts, settlement date July 27, 2011) |
0.12 | 628,240 | 15,779,550 | |||||||||
Silver (68 contracts, settlement date March 29, 2011) |
0.52 | 2,776,085 | 10,518,580 | |||||||||
Silver (67 contracts, settlement date May 26, 2011) |
0.59 | 3,152,680 | 10,381,985 | |||||||||
Silver (67 contracts, settlement date July 27, 2011) |
0.23 | 1,242,865 | 10,398,400 | |||||||||
Soybean (148 contracts, settlement date March 14, 2011) |
0.38 | 2,043,188 | 10,382,200 | |||||||||
Soybean (149 contracts, settlement date May 13, 2011) |
0.40 | 2,149,688 | 10,497,050 | |||||||||
Soybean (149 contracts, settlement date July 14, 2011) |
0.15 | 776,537 | 10,515,675 | |||||||||
Sugar (320 contracts, settlement date February 28, 2011) |
0.38 | 2,021,544 | 11,511,808 | |||||||||
Sugar (320 contracts, settlement date April 29, 2011) |
0.33 | 1,767,517 | 10,508,288 | |||||||||
Sugar (321 contracts, settlement date June 30, 2011) |
0.26 | 1,368,442 | 9,419,424 | |||||||||
Wheat (256 contracts, settlement date March 14, 2011) |
0.12 | 657,400 | 10,166,400 | |||||||||
Wheat (258 contracts, settlement date May 13, 2011) |
0.17 | 891,337 | 10,587,675 | |||||||||
Wheat (257 contracts, settlement date July 14, 2011) |
0.16 | 854,025 | 10,691,200 | |||||||||
Net Unrealized Appreciation on Futures Contracts |
10.97 | % | $ | 58,639,682 | $ | 533,765,262 | ||||||
5
Three Months | Three Months | Nine Months | Nine Months | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, 2011 | September 30, 2010 | September 30, 2011 | September 30, 2010 | |||||||||||||
Income |
||||||||||||||||
Interest Income |
$ | 8,112 | $ | 78,508 | $ | 315,212 | $ | 175,675 | ||||||||
Expenses |
||||||||||||||||
Management fee to related party |
1,541,729 | 595,747 | 4,580,065 | 1,620,799 | ||||||||||||
Brokerage commissions and fees |
377,372 | 168,211 | 1,235,255 | 457,638 | ||||||||||||
Total expenses |
1,919,101 | 763,958 | 5,815,320 | 2,078,437 | ||||||||||||
Net Investment Loss |
(1,910,989 | ) | (685,450 | ) | (5,500,108 | ) | (1,902,762 | ) | ||||||||
Realized and Net Change in Unrealized (Loss) Gain on
Investments and Futures Contracts |
||||||||||||||||
Realized (Loss) Gain on |
||||||||||||||||
Investments |
| | | (403 | ) | |||||||||||
Futures Contracts |
(25,287,264 | ) | 13,402,076 | 71,611,757 | 12,397,781 | |||||||||||
Net Realized (Loss) Gain |
(25,287,264 | ) | 13,402,076 | 71,611,757 | 12,397,378 | |||||||||||
Net Change in Unrealized (Loss) Gain on |
||||||||||||||||
Investments |
(6,170 | ) | 8,196 | (19,543 | ) | (284 | ) | |||||||||
Futures Contracts |
(39,422,299 | ) | 20,800,285 | (127,256,336 | ) | 9,261,562 | ||||||||||
Net Change in Unrealized (Loss) Gain |
(39,428,469 | ) | 20,808,481 | (127,275,879 | ) | 9,261,278 | ||||||||||
Net Realized and Unrealized (Loss) Gain on Investments
and Future Contracts |
(64,715,733 | ) | 34,210,557 | (55,664,122 | ) | 21,658,656 | ||||||||||
Net (Loss) Gain |
$ | (66,626,722 | ) | $ | 33,525,107 | $ | (61,164,230 | ) | $ | 19,755,894 | ||||||
6
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders | Limited Units | Accumulated | Shareholders | Shareholders | ||||||||||||||||||||||||||||||
Units | Amount | Earnings | Equity | Units | Amount | Earnings | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2010 |
50 | $ | 1,500 | $ | 144 | $ | 1,644 | 16,250,000 | $ | 428,801,695 | $ | 105,559,716 | $ | 534,361,411 | $ | 534,363,055 | ||||||||||||||||||||
Creation of Limited Units |
| | | | 9,700,000 | 335,388,859 | | 335,388,859 | 335,388,859 | |||||||||||||||||||||||||||
Redemption of Limited Units |
| | | | (5,650,000 | ) | (190,195,629 | ) | | (190,195,629 | ) | (190,195,629 | ) | |||||||||||||||||||||||
Net Loss: |
||||||||||||||||||||||||||||||||||||
Net Investment Loss |
| | (13 | ) | (13 | ) | | | (5,500,095 | ) | (5,500,095 | ) | (5,500,108 | ) | ||||||||||||||||||||||
Net Realized Gain on Investments
and Futures Contracts |
| | 176 | 176 | | | 71,611,581 | 71,611,581 | 71,611,757 | |||||||||||||||||||||||||||
Net Change
in Unrealized Loss on Investments and Futures Contracts |
| | (284 | ) | (284 | ) | | | (127,275,595 | ) | (127,275,595 | ) | (127,275,879 | ) | ||||||||||||||||||||||
Net Loss |
| | (121 | ) | (121 | ) | | | (61,164,109 | ) | (61,164,109 | ) | (61,164,230 | ) | ||||||||||||||||||||||
Balance at September 30, 2011 |
50 | $ | 1,500 | $ | 23 | $ | 1,523 | 20,300,000 | $ | 573,994,925 | $ | 44,395,607 | $ | 618,390,532 | $ | 618,392,055 | ||||||||||||||||||||
7
2011 | 2010 | |||||||
Cash flow from operating activities: |
||||||||
Net (Loss) Gain |
$ | (61,164,230 | ) | $ | 19,755,894 | |||
Adjustments to reconcile net (loss) gain to net cash used for operating activities: |
||||||||
Purchase of investment securities |
(1,584,744,181 | ) | (689,779,460 | ) | ||||
Proceeds from sales of investment securities |
1,465,000,000 | 534,997,503 | ||||||
Net accretion of discount |
(315,212 | ) | (175,675 | ) | ||||
Net realized gain on investment securities |
| 403 | ||||||
Unrealized depreciation (appreciation) on investments |
127,275,879 | (9,261,278 | ) | |||||
Increase in capital shares payable |
9,138,309 | | ||||||
Increase in accrued expenses |
838,009 | 226,772 | ||||||
Net cash provided by (used for) operating activities |
(43,971,426 | ) | (144,235,841 | ) | ||||
Cash flows from financing activities: |
||||||||
Proceeds from creation of Limited Units |
335,388,859 | 106,889,833 | ||||||
Redemption of Limited Units |
(190,195,629 | ) | (43,750,891 | ) | ||||
Net cash provided by financing activities |
145,193,230 | 63,138,942 | ||||||
Net change in cash |
101,221,804 | (81,096,899 | ) | |||||
Cash held by broker at beginning of period |
6,487,519 | 97,250,587 | ||||||
Cash held by broker at end of period |
$ | 107,709,323 | $ | 16,153,688 | ||||
8
September 30, | ||||||||
2011 | December 31, | |||||||
(unaudited) | 2010 | |||||||
Assets |
||||||||
Equity in broker trading accounts: |
||||||||
Short-term
investments (cost $589,978,960 and $469,919,567 as of September 30, 2011 and December 31, 2010, respectively) |
$ | 589,979,710 | $ | 469,939,860 | ||||
Cash held by broker |
107,709,323 | 6,487,519 | ||||||
Net unrealized (depreciation) appreciation on futures contracts |
(68,616,654 | ) | 58,639,682 | |||||
Total assets |
$ | 629,072,379 | $ | 535,067,061 | ||||
Liabilities and shareholders equity |
||||||||
Capital shares payable |
$ | 9,138,309 | $ | | ||||
Management fee payable to related party |
496,429 | 352,427 | ||||||
Broker fee payable |
1,045,586 | 351,579 | ||||||
Total liabilities |
10,680,324 | 704,006 | ||||||
Shareholders equity |
||||||||
General Units: |
||||||||
Paid in capital - 50 units issued |
1,500 | 1,500 | ||||||
Retained earnings |
23 | 144 | ||||||
Total General Units |
1,523 | 1,644 | ||||||
Limited Units: |
||||||||
Paid in capital - 20,300,000 and 16,250,000 redeemable units
issued and outstanding as of September 30, 2011 and December 31, 2010, respectively |
573,994,925 | 428,801,695 | ||||||
Retained earnings |
44,395,607 | 105,559,716 | ||||||
Total Limited Units |
618,390,532 | 534,361,411 | ||||||
Total shareholders equity |
618,392,055 | 534,363,055 | ||||||
Total liabilities and shareholders equity |
$ | 629,072,379 | $ | 535,067,061 | ||||
Net asset value per share |
||||||||
General Units |
$ | 30.46 | $ | 32.88 | ||||
Limited Units |
$ | 30.46 | $ | 32.88 |
9
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bills, 0.03% due December 08, 2011 |
3.24 | % | $ | 19,999,660 | $ | 20,000,000 | ||||||
U.S. Treasury Bills, 0.02% due December 29, 2011 |
92.17 | 569,980,050 | 570,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $589,978,960) |
95.41 | % | $ | 589,979,710 | $ | 590,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation/(Depreciation) on Futures Contracts |
||||||||||||
Cocoa (460 contracts, settlement date December 14, 2011) |
(0.30) | % | $ | (1,856,630 | ) | $ | 11,996,800 | |||||
Cocoa (461 contracts, settlement date March 15, 2012) |
(0.24 | ) | (1,500,790 | ) | 12,207,280 | |||||||
Cocoa (460 contracts, settlement date May 15, 2012) |
(0.23 | ) | (1,416,620 | ) | 12,249,800 | |||||||
Coffee (141 contracts, settlement date December 19, 2011) |
(0.29 | ) | (1,772,325 | ) | 12,103,088 | |||||||
Coffee (140 contracts, settlement date March 20, 2012) |
(0.16 | ) | (959,194 | ) | 12,182,625 | |||||||
Coffee (139 contracts, settlement date May 18, 2012) |
(0.16 | ) | (1,013,662 | ) | 12,176,400 | |||||||
Copper (153 contracts, settlement date December 28, 2011) |
(0.53 | ) | (3,285,725 | ) | 12,056,400 | |||||||
Copper (153 contracts, settlement date March 28, 2012) |
(0.49 | ) | (3,014,500 | ) | 12,136,725 | |||||||
Copper (153 contracts, settlement date May 29, 2012) |
(0.48 | ) | (2,993,737 | ) | 12,182,625 | |||||||
Corn (402 contracts, settlement date December 14, 2011) |
(0.27 | ) | (1,656,050 | ) | 11,909,250 | |||||||
Corn (402 contracts, settlement date March 14, 2012) |
(0.39 | ) | (2,421,300 | ) | 12,175,575 | |||||||
Corn (401 contracts, settlement date May 14, 2012) |
(0.38 | ) | (2,366,725 | ) | 12,300,675 | |||||||
Cotton (246 contracts, settlement date December 07, 2011) |
(0.16 | ) | (1,012,365 | ) | 12,323,370 | |||||||
Cotton (248 contracts, settlement date March 08, 2012) |
(0.15 | ) | (919,010 | ) | 12,080,080 | |||||||
Cotton (248 contracts, settlement date May 08, 2012) |
(0.08 | ) | (498,875 | ) | 11,907,720 | |||||||
Florida Orange Juice (922 contracts, settlement date January 10, 2012) |
(0.20 | ) | (1,224,382 | ) | 20,475,315 | |||||||
Florida Orange Juice (473 contracts, settlement date March 12, 2012) |
(0.13 | ) | (803,932 | ) | 10,550,265 | |||||||
Florida Orange Juice (241 contracts, settlement date May 10, 2012) |
(0.05 | ) | (330,758 | ) | 5,389,965 | |||||||
Gold (74 contracts, settlement date December 28, 2011) |
0.05 | 302,850 | 12,005,020 | |||||||||
Gold (74 contracts, settlement date February 27, 2012) |
0.05 | 293,020 | 12,019,080 | |||||||||
Gold (75 contracts, settlement date April 26, 2012) |
(0.15 | ) | (929,170 | ) | 12,192,000 | |||||||
Heating Oil (62 contracts, settlement date November 30, 2011) |
(0.13 | ) | (808,954 | ) | 7,233,912 | |||||||
Heating Oil (63 contracts, settlement date December 30, 2011) |
(0.15 | ) | (955,727 | ) | 7,344,238 | |||||||
Heating Oil (63 contracts, settlement date January 31, 2012) |
(0.08 | ) | (495,730 | ) | 7,305,606 | |||||||
Heating Oil (63 contracts, settlement date February 29, 2012) |
(0.08 | ) | (512,098 | ) | 7,249,775 | |||||||
Heating Oil (63 contracts, settlement date March 30, 2012) |
(0.09 | ) | (557,584 | ) | 7,163,780 | |||||||
Lean Hogs (333 contracts, settlement date December 14, 2011) |
0.06 | 347,530 | 11,694,960 | |||||||||
Lean Hogs (333 contracts, settlement date February 14, 2012) |
0.08 | 465,300 | 12,197,790 | |||||||||
Lean Hogs (332 contracts, settlement date April 16, 2012) |
0.06 | 393,160 | 12,416,800 | |||||||||
Light, Sweet Crude Oil (91 contracts, settlement date November 18, 2011) |
(0.21 | ) | (1,307,200 | ) | 7,219,030 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date December 20, 2011) |
(0.23 | ) | (1,398,750 | ) | 7,230,860 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date January 20, 2012) |
(0.12 | ) | (714,760 | ) | 7,243,600 | |||||||
Light, Sweet Crude Oil (90 contracts, settlement date February 21, 2012) |
(0.12 | ) | (720,550 | ) | 7,182,000 | |||||||
Light, Sweet Crude Oil (91 contracts, settlement date March 20, 2012) |
(0.12 | ) | (746,270 | ) | 7,281,820 | |||||||
Live Cattle (242 contracts, settlement date December 30, 2011) |
0.02 | 131,090 | 11,872,520 | |||||||||
Live Cattle (244 contracts, settlement date February 29, 2012) |
0.07 | 442,570 | 12,117,040 | |||||||||
Live Cattle (243 contracts, settlement date April 30, 2012) |
(0.01 | ) | (43,650 | ) | 12,303,090 | |||||||
Natural Gas (177 contracts, settlement date November 28, 2011) |
(0.20 | ) | (1,235,260 | ) | 7,012,740 | |||||||
Natural Gas (178 contracts, settlement date December 28, 2011) |
(0.20 | ) | (1,265,040 | ) | 7,338,940 | |||||||
Natural Gas (178 contracts, settlement date January 27, 2012) |
(0.10 | ) | (640,900 | ) | 7,372,760 | |||||||
Natural Gas (178 contracts, settlement date February 27, 2012) |
(0.10 | ) | (638,090 | ) | 7,315,800 | |||||||
Natural Gas (178 contracts, settlement date March 28, 2012) |
(0.10 | ) | (593,700 | ) | 7,292,660 | |||||||
Platinum (238 contracts, settlement date January 27, 2012) |
(0.44 | ) | (2,692,205 | ) | 18,130,840 | |||||||
Platinum (238 contracts, settlement date April 26, 2012) |
(0.55 | ) | (3,330,585 | ) | 18,182,010 | |||||||
Silver (80 contracts, settlement date December 28, 2011) |
(0.42 | ) | (2,567,775 | ) | 12,033,200 | |||||||
Silver (80 contracts, settlement date March 28, 2012) |
(0.49 | ) | (3,009,945 | ) | 12,049,600 | |||||||
Silver (81 contracts, settlement date May 29, 2012) |
(0.49 | ) | (3,058,235 | ) | 12,206,295 | |||||||
Soybean (202 contracts, settlement date January 13, 2012) |
(0.32 | ) | (1,959,725 | ) | 12,013,950 | |||||||
Soybean (203 contracts, settlement date March 14, 2012) |
(0.27 | ) | (1,645,587 | ) | 12,162,238 | |||||||
Soybean (203 contracts, settlement date May 14, 2012) |
(0.26 | ) | (1,592,700 | ) | 12,225,675 | |||||||
Sugar (654 contracts, settlement date February 29, 2012) |
(0.09 | ) | (553,538 | ) | 18,524,419 | |||||||
Sugar (651 contracts, settlement date April 30, 2012) |
(0.15 | ) | (927,629 | ) | 17,936,352 | |||||||
Wheat (378 contracts, settlement date December 14, 2011) |
(0.39 | ) | (2,429,550 | ) | 11,514,825 | |||||||
Wheat (377 contracts, settlement date March 14, 2012) |
(0.38 | ) | (2,366,337 | ) | 12,186,525 | |||||||
Wheat (378 contracts, settlement date May 14, 2012) |
(0.36 | ) | (2,248,350 | ) | 12,634,650 | |||||||
Net Unrealized Depreciation on Futures Contracts |
(11.10) | % | $ | (68,616,654 | ) | $ | 617,810,358 | |||||
10
Percentage of | Fair | Face | ||||||||||
Description | Net Assets | Value | Value | |||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bills, 0.09% due January 13, 2011 |
33.68 | % | $ | 179,998,380 | $ | 180,000,000 | ||||||
U.S. Treasury Bills, 0.12% due February 03, 2011 |
11.23 | 59,995,500 | 60,000,000 | |||||||||
U.S. Treasury Bills, 0.13% due February 17, 2011 |
1.87 | 9,998,620 | 10,000,000 | |||||||||
U.S. Treasury Bills, 0.12% due February 24, 2011 |
3.74 | 19,996,760 | 20,000,000 | |||||||||
U.S. Treasury Bills, 0.15% due March 10, 2011 |
9.36 | 49,989,000 | 50,000,000 | |||||||||
U.S. Treasury Bills, 0.13% due March 24, 2011 |
28.06 | 149,961,600 | 150,000,000 | |||||||||
Total U.S. Treasury Obligations (cost $469,919,567) |
87.94 | % | $ | 469,939,860 | $ | 470,000,000 | ||||||
Percentage of | Fair | Notional | ||||||||||
Description | Net Assets | Value | Value | |||||||||
Unrealized Appreciation on Futures Contracts |
||||||||||||
Cocoa (344 contracts, settlement date March 16, 2011) |
0.12 | % | $ | 636,750 | $ | 10,440,400 | ||||||
Cocoa (343 contracts, settlement date May 13, 2011) |
0.11 | 606,950 | 10,468,360 | |||||||||
Cocoa (344 contracts, settlement date July 14, 2011) |
0.13 | 682,981 | 10,540,160 | |||||||||
Coffee (116 contracts, settlement date March 21, 2011) |
0.40 | 2,127,581 | 10,461,750 | |||||||||
Coffee (116 contracts, settlement date May 18, 2011) |
0.40 | 2,152,463 | 10,518,300 | |||||||||
Coffee (116 contracts, settlement date July 19, 2011) |
0.27 | 1,460,111 | 10,468,275 | |||||||||
Copper (94 contracts, settlement date March 29, 2011) |
0.36 | 1,927,650 | 10,450,450 | |||||||||
Copper (94 contracts, settlement date May 26, 2011) |
0.39 | 2,061,488 | 10,432,825 | |||||||||
Copper (95 contracts, settlement date July 27, 2011) |
0.20 | 1,078,225 | 10,504,625 | |||||||||
Corn (330 contracts, settlement date March 14, 2011) |
0.36 | 1,945,850 | 10,378,500 | |||||||||
Corn (330 contracts, settlement date May 13, 2011) |
0.36 | 1,927,875 | 10,502,250 | |||||||||
Corn (330 contracts, settlement date July 14, 2011) |
0.20 | 1,068,200 | 10,560,000 | |||||||||
Cotton (154 contracts, settlement date March 09, 2011) |
0.43 | 2,294,524 | 11,150,370 | |||||||||
Cotton (151 contracts, settlement date May 06, 2011) |
0.34 | 1,802,070 | 10,389,555 | |||||||||
Cotton (152 contracts, settlement date July 07, 2011) |
0.12 | 644,704 | 9,826,800 | |||||||||
Florida Orange Juice (427 contracts, settlement date March 11, 2011) |
0.13 | 699,810 | 10,475,378 | |||||||||
Florida Orange Juice (422 contracts, settlement date May 10, 2011) |
0.06 | 295,988 | 10,450,830 | |||||||||
Florida Orange Juice (420 contracts, settlement date July 11, 2011) |
0.10 | 537,300 | 10,480,050 | |||||||||
Gold (74 contracts, settlement date February 24, 2011) |
0.17 | 914,920 | 10,518,360 | |||||||||
Gold (73 contracts, settlement date April 27, 2011) |
0.18 | 970,160 | 10,392,280 | |||||||||
Gold (73 contracts, settlement date June 28, 2011) |
0.05 | 239,600 | 10,407,610 | |||||||||
Heating Oil (58 contracts, settlement date January 31, 2011) |
0.13 | 684,037 | 6,193,286 | |||||||||
Heating Oil (58 contracts, settlement date February 28, 2011) |
0.13 | 677,783 | 6,208,146 | |||||||||
Heating Oil (59 contracts, settlement date March 31, 2011) |
0.14 | 730,666 | 6,305,023 | |||||||||
Heating Oil (59 contracts, settlement date April 29, 2011) |
0.07 | 378,487 | 6,295,111 | |||||||||
Heating Oil (59 contracts, settlement date May 31, 2011) |
0.07 | 378,420 | 6,302,793 | |||||||||
Lean Hogs (225 contracts, settlement date February 14, 2011) |
0.08 | 405,900 | 7,177,500 | |||||||||
Lean Hogs (225 contracts, settlement date April 14, 2011) |
0.09 | 486,320 | 7,548,750 | |||||||||
Lean Hogs (225 contracts, settlement date June 14, 2011) |
0.09 | 457,720 | 8,374,500 | |||||||||
Lean Hogs (226 contracts, settlement date July 15, 2011) |
0.08 | 444,060 | 8,357,480 | |||||||||
Light, Sweet Crude Oil (67 contracts, settlement date January 20, 2011) |
0.11 | 605,960 | 6,122,460 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date February 22, 2011) |
0.12 | 655,440 | 6,270,960 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date March 22, 2011) |
0.13 | 710,820 | 6,317,880 | |||||||||
Light, Sweet Crude Oil (68 contracts, settlement date April 19, 2011) |
0.07 | 378,669 | 6,351,880 | |||||||||
Light, Sweet Crude Oil (67 contracts, settlement date May 20, 2011) |
0.07 | 387,900 | 6,283,260 | |||||||||
Live Cattle (238 contracts, settlement date February 28, 2011) |
0.16 | 842,540 | 10,314,920 | |||||||||
Live Cattle (237 contracts, settlement date April 29, 2011) |
0.16 | 840,320 | 10,636,560 | |||||||||
Live Cattle (239 contracts, settlement date June 30, 2011) |
0.08 | 448,240 | 10,446,690 | |||||||||
Natural Gas (142 contracts, settlement date January 27, 2011) |
0.02 | 125,030 | 6,255,100 | |||||||||
Natural Gas (142 contracts, settlement date February 24, 2011) |
0.03 | 184,880 | 6,279,240 | |||||||||
Natural Gas (142 contracts, settlement date March 29, 2011) |
0.03 | 185,310 | 6,249,420 | |||||||||
Natural Gas (142 contracts, settlement date April 27, 2011) |
0.09 | 484,577 | 6,296,280 | |||||||||
Natural Gas (142 contracts, settlement date May 26, 2011) |
0.09 | 463,960 | 6,354,500 | |||||||||
Platinum (176 contracts, settlement date April 27, 2011) |
0.24 | 1,277,895 | 15,648,160 | |||||||||
Platinum (177 contracts, settlement date July 27, 2011) |
0.12 | 628,240 | 15,779,550 | |||||||||
Silver (68 contracts, settlement date March 29, 2011) |
0.52 | 2,776,085 | 10,518,580 | |||||||||
Silver (67 contracts, settlement date May 26, 2011) |
0.59 | 3,152,680 | 10,381,985 | |||||||||
Silver (67 contracts, settlement date July 27, 2011) |
0.23 | 1,242,865 | 10,398,400 | |||||||||
Soybean (148 contracts, settlement date March 14, 2011) |
0.38 | 2,043,188 | 10,382,200 | |||||||||
Soybean (149 contracts, settlement date May 13, 2011) |
0.40 | 2,149,688 | 10,497,050 | |||||||||
Soybean (149 contracts, settlement date July 14, 2011) |
0.15 | 776,537 | 10,515,675 | |||||||||
Sugar (320 contracts, settlement date February 28, 2011) |
0.38 | 2,021,544 | 11,511,808 | |||||||||
Sugar (320 contracts, settlement date April 29, 2011) |
0.33 | 1,767,517 | 10,508,288 | |||||||||
Sugar (321 contracts, settlement date June 30, 2011) |
0.26 | 1,368,442 | 9,419,424 | |||||||||
Wheat (256 contracts, settlement date March 14, 2011) |
0.12 | 657,400 | 10,166,400 | |||||||||
Wheat (258 contracts, settlement date May 13, 2011) |
0.17 | 891,337 | 10,587,675 | |||||||||
Wheat (257 contracts, settlement date July 14, 2011) |
0.16 | 854,025 | 10,691,200 | |||||||||
Net Unrealized Appreciation on Futures Contracts |
10.97 | % | $ | 58,639,682 | $ | 533,765,262 | ||||||
11
Three Months | Three Months | Nine Months | Nine Months | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, 2011 | September 30, 2010 | September 30, 2011 | September 30, 2010 | |||||||||||||
Income |
||||||||||||||||
Interest Income |
$ | 8,112 | $ | 78,508 | $ | 315,212 | $ | 175,675 | ||||||||
Expenses |
||||||||||||||||
Management fee to related party |
1,541,729 | 595,747 | 4,580,065 | 1,620,799 | ||||||||||||
Brokerage commissions and fees |
377,372 | 168,211 | 1,235,255 | 457,638 | ||||||||||||
Total expenses |
1,919,101 | 763,958 | 5,815,320 | 2,078,437 | ||||||||||||
Net Investment Loss |
(1,910,989 | ) | (685,450 | ) | (5,500,108 | ) | (1,902,762 | ) | ||||||||
Realized and Net Change in Unrealized Gain (Loss) on
Investments and Futures Contracts |
||||||||||||||||
Realized (Loss) Gain on |
||||||||||||||||
Investments |
| | | (403 | ) | |||||||||||
Futures Contracts |
(25,287,264 | ) | 13,402,076 | 71,611,757 | 12,397,781 | |||||||||||
Net Realized (Loss) Gain |
(25,287,264 | ) | 13,402,076 | 71,611,757 | 12,397,378 | |||||||||||
Net Change in Unrealized (Loss) Gain on |
||||||||||||||||
Investments |
(6,170 | ) | 8,196 | (19,543 | ) | (284 | ) | |||||||||
Futures Contracts |
(39,422,299 | ) | 20,800,285 | (127,256,336 | ) | 9,261,562 | ||||||||||
Net Change in Unrealized (Loss) Gain |
(39,428,469 | ) | 20,808,481 | (127,275,879 | ) | 9,261,278 | ||||||||||
Net Realized and Unrealized (Loss) Gain on Investments
and Future Contracts |
(64,715,733 | ) | 34,210,557 | (55,664,122 | ) | 21,658,656 | ||||||||||
Net (Loss) Gain |
$ | (66,626,722 | ) | $ | 33,525,107 | $ | (61,164,230 | ) | $ | 19,755,894 | ||||||
12
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||||||
General | Limited | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Shareholders | Limited Units | Accumulated | Shareholders | Shareholders | ||||||||||||||||||||||||||||||
Units | Amount | Earnings | Equity | Units | Amount | Earnings | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2010 |
50 | $ | 1,500 | $ | 144 | $ | 1,644 | 16,250,000 | $ | 428,801,695 | $ | 105,559,716 | $ | 534,361,411 | $ | 534,363,055 | ||||||||||||||||||||
Creation of Limited Units |
| | | | 9,700,000 | 335,388,859 | | 335,388,859 | 335,388,859 | |||||||||||||||||||||||||||
Redemption of Limited Units |
| | | | (5,650,000 | ) | (190,195,629 | ) | | (190,195,629 | ) | (190,195,629 | ) | |||||||||||||||||||||||
Net Loss: |
||||||||||||||||||||||||||||||||||||
Net Investment Loss |
| | (13 | ) | (13 | ) | | | (5,500,095 | ) | (5,500,095 | ) | (5,500,108 | ) | ||||||||||||||||||||||
Net Realized Gain on Investments
and Futures Contracts |
| | 176 | 176 | | | 71,611,581 | 71,611,581 | 71,611,757 | |||||||||||||||||||||||||||
Net Change in Unrealized Loss on
Investments and
Futures Contracts |
| | (284 | ) | (284 | ) | | | (127,275,595 | ) | (127,275,595 | ) | (127,275,879 | ) | ||||||||||||||||||||||
Net Loss |
| | (121 | ) | (121 | ) | | | (61,164,109 | ) | (61,164,109 | ) | (61,164,230 | ) | ||||||||||||||||||||||
Balance at September 30, 2011 |
50 | $ | 1,500 | $ | 23 | $ | 1,523 | 20,300,000 | $ | 573,994,925 | $ | 44,395,607 | $ | 618,390,532 | $ | 618,392,055 | ||||||||||||||||||||
13
2011 | 2010 | |||||||
Cash flow from operating activities: |
||||||||
Net (Loss) Gain |
$ | (61,164,230 | ) | $ | 19,755,894 | |||
Adjustments to reconcile net (loss) gain to net cash used for operating activities: |
||||||||
Purchase of investment securities |
(1,584,744,181 | ) | (689,779,460 | ) | ||||
Proceeds from sales of investment securities |
1,465,000,000 | 534,997,503 | ||||||
Net accretion of discount |
(315,212 | ) | (175,675 | ) | ||||
Net realized gain on investment securities |
| 403 | ||||||
Unrealized depreciation (appreciation) on investments |
127,275,879 | (9,261,278 | ) | |||||
Increase in capital shares payable |
9,138,309 | | ||||||
Increase in accrued expenses |
838,009 | 226,772 | ||||||
Net cash provided by (used for) operating activities |
(43,971,426 | ) | (144,235,841 | ) | ||||
Cash flows from financing activities: |
||||||||
Proceeds from creation of Limited Units |
335,388,859 | 106,889,833 | ||||||
Redemption of Limited Units |
(190,195,629 | ) | (43,750,891 | ) | ||||
Net cash provided by financing activities |
145,193,230 | 63,138,942 | ||||||
Net change in cash |
101,221,804 | (81,096,899 | ) | |||||
Cash held by broker at beginning of period |
6,487,519 | 97,250,587 | ||||||
Cash held by broker at end of period |
$ | 107,709,323 | $ | 16,153,688 | ||||
14
15
16
17
18
Quoted Prices in | Other Significant | Significant | ||||||||||||||
Active Market | Observable Inputs | Unobservable Inputs | ||||||||||||||
Assets | (Level 1) | (Level 2) | (Level 3) | Totals | ||||||||||||
U.S. Treasuries |
$ | | $ | 589,979,710 | $ | | $ | 589,979,710 | ||||||||
Futures Contracts |
(68,616,654 | ) | | | (68,616,654 | ) | ||||||||||
Total |
$ | (68,616,654 | ) | $ | 589,979,710 | $ | | $ | 521,363,056 | |||||||
Quoted Prices in | Other Significant | Significant | ||||||||||||||
Active Market | Observable Inputs | Unobservable Inputs | ||||||||||||||
Assets | (Level 1) | (Level 2) | (Level 3) | Totals | ||||||||||||
U.S. Treasuries |
$ | | $ | 469,939,860 | $ | | $ | 469,939,860 | ||||||||
Futures Contracts |
58,639,682 | | | 58,639,682 | ||||||||||||
Total |
$ | 58,639,682 | $ | 469,939,860 | $ | | $ | 528,579,542 | ||||||||
Derivative Instruments | Asset Derivatives* | Liability Derivatives | Net Derivatives* | |||||||||
Futures Contracts |
$ | (68,616,654 | ) | $ | | $ | (68,616,654 | ) |
* | Fair values of derivative instruments include variation margins receivable/payable for futures contracts. |
Net Change in | ||||||||
Realized Gain on | Unrealized Gain on | |||||||
Derivative Instruments | Derivative Instruments | Derivative Instruments | ||||||
Futures Contracts |
$ | 71,611,757 | $ | (127,256,336 | ) |
Net Change in | ||||||||
Realized Gain on | Unrealized Gain on | |||||||
Derivative Instruments | Derivative Instruments | Derivative Instruments | ||||||
Futures Contracts |
$ | (25,287,264 | ) | $ | (39,422,299 | ) |
19
Derivative Instruments | Asset Derivatives* | Liability Derivatives | Net Derivatives* | |||||||||
Futures Contracts |
$ | 58,639,682 | $ | | $ | 58,639,682 |
* | Fair values of derivative instruments include variation margin receivable/payable for futures contracts. |
Net Change in | ||||||||
Realized Loss on | Unrealized Loss on | |||||||
Derivative Instruments | Derivative Instruments | Derivative Instruments | ||||||
Futures Contracts |
$ | 12,397,781 | $ | 9,261,562 |
Net Change in | ||||||||
Realized Loss on | Unrealized Gain on | |||||||
Derivative Instruments | Derivative Instruments | Derivative Instruments | ||||||
Futures Contracts |
$ | 13,402,076 | $ | 20,800,285 |
20
21
22
Three Months | Three Months | Nine Months | Nine Months | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
September 30, 2011 | September 30, 2010 | September 30, 2011 | September 30, 2010 | |||||||||||||
Net Asset Value |
||||||||||||||||
Net asset value per Limited Share, beginning of
period |
$ | 33.59 | $ | 24.92 | $ | 32.88 | $ | 26.22 | ||||||||
Net realized and change in unrealized (loss) gain
from investments |
(3.04 | ) | 3.29 | (2.16 | ) | 2.11 | ||||||||||
Net investment loss |
(0.09 | ) | (0.07 | ) | (0.26 | ) | (0.19 | ) | ||||||||
Net (decrease) increase in net assets from operations |
(3.13 | ) | 3.22 | (2.42 | ) | 1.92 | ||||||||||
Net asset value per Limited Share, end of period |
$ | 30.46 | $ | 28.14 | $ | 30.46 | $ | 28.14 | ||||||||
Market value per Limited Share, beginning of period |
$ | 33.50 | $ | 24.93 | $ | 32.95 | $ | 26.32 | ||||||||
Market value per Limited Share, end of period |
$ | 30.34 | $ | 28.16 | $ | 30.34 | $ | 28.16 | ||||||||
Ratio to average net assets (i) |
||||||||||||||||
Net investment loss |
(1.06 | )% | (0.97 | )% | (1.02 | )% | (1.00 | )% | ||||||||
Total expenses |
1.06 | % | 1.09 | % | 1.08 | % | 1.09 | % | ||||||||
Total Return, at net asset value (ii) |
(9.32 | )% | 12.92 | % | (7.36 | )% | 7.32 | % | ||||||||
Total Return, at market value (ii) |
(9.43 | )% | 12.96 | % | (7.92 | )% | 6.99 | % | ||||||||
(i) | Percentages are annualized. | |
(ii) | Percentages are not annualized. |
23
ITEM 2. | MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS. |
24
25
Date | NAV | Total Shares | Extended Value | 1 Month | 3 Months | Year to Date | Since Inception | ||||||||||||||||||||||
1/23/2008 |
$ | 30.00 | 350,050 | $ | 10,501,500 | | | | | ||||||||||||||||||||
1/31/2008 |
$ | 31.65 | 350,050 | $ | 11,079,083 | 5.50 | % | | 5.50 | % | 5.50 | % | |||||||||||||||||
2/29/2008 |
$ | 35.41 | 900,050 | $ | 31,870,771 | 11.88 | % | | 18.03 | % | 18.03 | % | |||||||||||||||||
3/31/2008 |
$ | 32.46 | 900,050 | $ | 29,215,623 | -8.33 | % | | 8.20 | % | 8.20 | % | |||||||||||||||||
4/30/2008 |
$ | 33.49 | 900,050 | $ | 30,142,675 | 3.17 | % | 5.81 | % | 11.63 | % | 11.63 | % | ||||||||||||||||
5/31/2008 |
$ | 33.77 | 950,050 | $ | 32,083,189 | 0.84 | % | -4.63 | % | 12.57 | % | 12.57 | % | ||||||||||||||||
6/30/2008 |
$ | 36.83 | 800,050 | $ | 29,465,842 | 9.06 | % | 13.46 | % | 22.77 | % | 22.77 | % | ||||||||||||||||
7/31/2008 |
$ | 33.71 | 750,050 | $ | 25,284,186 | -8.47 | % | 0.66 | % | 12.37 | % | 12.37 | % | ||||||||||||||||
8/31/2008 |
$ | 31.65 | 800,050 | $ | 25,321,583 | -6.11 | % | -6.28 | % | 5.50 | % | 5.50 | % | ||||||||||||||||
9/30/2008 |
$ | 27.74 | 750,050 | $ | 20,806,387 | -12.35 | % | -24.68 | % | -7.53 | % | -7.53 | % | ||||||||||||||||
10/31/2008 |
$ | 22.68 | 700,050 | $ | 15,877,134 | -18.24 | % | -32.72 | % | -24.40 | % | -24.40 | % | ||||||||||||||||
11/28/2008 |
$ | 22.03 | 700,050 | $ | 15,422,102 | -2.87 | % | -30.39 | % | -26.57 | % | -26.57 | % | ||||||||||||||||
12/31/2008 |
$ | 21.92 | 800,050 | $ | 17,537,096 | -0.50 | % | -20.98 | % | -26.93 | % | -26.93 | % | ||||||||||||||||
1/31/2009 |
$ | 21.80 | 900,050 | $ | 19,621,090 | -0.55 | % | -3.88 | % | -0.55 | % | -27.33 | % | ||||||||||||||||
2/28/2009 |
$ | 20.87 | 950,050 | $ | 19,827,544 | -4.27 | % | -5.27 | % | -4.79 | % | -30.43 | % | ||||||||||||||||
3/31/2009 |
$ | 21.73 | 3,950,050 | $ | 85,834,587 | 4.12 | % | -0.87 | % | -0.87 | % | -27.57 | % | ||||||||||||||||
4/30/2009 |
$ | 21.69 | 3,950,050 | $ | 85,676,585 | -0.18 | % | -0.50 | % | -1.05 | % | -27.70 | % | ||||||||||||||||
5/30/2009 |
$ | 24.21 | 5,000,050 | $ | 121,051,211 | 11.62 | % | 16.00 | % | 10.45 | % | -19.30 | % | ||||||||||||||||
6/30/2009 |
$ | 22.73 | 6,300,050 | $ | 143,200,137 | -6.11 | % | 4.60 | % | 3.70 | % | -24.23 | % | ||||||||||||||||
7/31/2009 |
$ | 23.44 | 5,550,000 | $ | 130,092,000 | 3.12 | % | 8.07 | % | 6.93 | % | -21.87 | % | ||||||||||||||||
8/31/2009 |
$ | 23.19 | 6,100,050 | $ | 141,460,160 | -1.07 | % | -4.21 | % | 5.79 | % | -22.70 | % | ||||||||||||||||
9/30/2009 |
$ | 23.89 | 8,350,050 | $ | 199,482,695 | 3.02 | % | 5.10 | % | 8.99 | % | -20.37 | % | ||||||||||||||||
10/31/2009 |
$ | 24.94 | 8,850,050 | $ | 220,720,247 | 4.40 | % | 6.40 | % | 13.78 | % | -16.87 | % | ||||||||||||||||
11/30/2009 |
$ | 26.09 | 7,550,050 | $ | 196,980,805 | 4.61 | % | 12.51 | % | 19.02 | % | -13.03 | % | ||||||||||||||||
12/31/2009 |
$ | 26.22 | 8,750,050 | $ | 229,426,311 | 0.50 | % | 9.75 | % | 19.62 | % | -12.60 | % | ||||||||||||||||
1/31/2010 |
$ | 25.09 | 9,850,050 | $ | 247,137,755 | -4.31 | % | 0.60 | % | -4.31 | % | -16.37 | % | ||||||||||||||||
2/28/2010 |
$ | 25.67 | 9,400,050 | $ | 241,299,284 | 2.31 | % | -1.61 | % | -2.10 | % | -14.43 | % | ||||||||||||||||
3/31/2010 |
$ | 25.07 | 9,550,050 | $ | 239,419,754 | -2.34 | % | -4.39 | % | -4.39 | % | -16.43 | % | ||||||||||||||||
4/30/2010 |
$ | 25.76 | 9,650,050 | $ | 248,585,288 | 2.75 | % | 2.67 | % | -1.75 | % | -14.13 | % | ||||||||||||||||
5/31/2010 |
$ | 24.50 | 9,650,050 | $ | 236,426,225 | -4.89 | % | -4.56 | % | -6.56 | % | -18.33 | % | ||||||||||||||||
6/30/2010 |
$ | 24.92 | 9,750,050 | $ | 242,971,246 | 1.71 | % | -0.60 | % | -4.96 | % | -16.93 | % | ||||||||||||||||
7/31/2010 |
$ | 26.42 | 10,200,050 | $ | 269,485,321 | 6.02 | % | 2.56 | % | 0.76 | % | -11.93 | % | ||||||||||||||||
8/31/2010 |
$ | 26.21 | 11,250,050 | $ | 294,863,811 | -0.79 | % | 6.98 | % | -0.04 | % | -12.63 | % | ||||||||||||||||
9/30/2010 |
$ | 28.14 | 11,100,050 | $ | 312,355,407 | 7.36 | % | 12.92 | % | 7.32 | % | -6.20 | % | ||||||||||||||||
10/31/2010 |
$ | 29.76 | 13,000,050 | $ | 386,881,488 | 5.76 | % | 12.64 | % | 13.50 | % | -0.80 | % | ||||||||||||||||
11/30/2010 |
$ | 29.67 | 14,900,050 | $ | 442,084,484 | -0.30 | % | 13.20 | % | 13.16 | % | -1.10 | % | ||||||||||||||||
12/31/2010 |
$ | 32.88 | 16,250,050 | $ | 534,301,644 | 10.82 | % | 16.84 | % | 25.40 | % | 9.60 | % | ||||||||||||||||
1/31/2011 |
$ | 34.01 | 17,650,050 | $ | 600,278,201 | 3.44 | % | 14.28 | % | 3.44 | % | 13.37 | % | ||||||||||||||||
2/28/2011 |
$ | 35.16 | 19,600,050 | $ | 689,137,758 | 3.38 | % | 18.50 | % | 6.93 | % | 17.20 | % | ||||||||||||||||
3/31/2011 |
$ | 35.20 | 23,250,050 | $ | 818,401,760 | 0.11 | % | 7.06 | % | 7.06 | % | 17.33 | % | ||||||||||||||||
4/30/2011 |
$ | 36.34 | 23,800,050 | $ | 864,893,817 | 3.24 | % | 6.85 | % | 10.52 | % | 21.13 | % | ||||||||||||||||
5/31/2011 |
$ | 34.87 | 22,000,050 | $ | 767,141,744 | -4.05 | % | -0.82 | % | 6.05 | % | 16.23 | % | ||||||||||||||||
6/30/2011 |
$ | 33.59 | 21,850,050 | $ | 733,943,180 | -3.67 | % | -4.57 | % | 2.16 | % | 11.97 | % | ||||||||||||||||
7/31/2011 |
$ | 34.48 | 21,000,050 | $ | 724,081,724 | 2.65 | % | -5.12 | % | 4.87 | % | 14.93 | % | ||||||||||||||||
8/31/2011 |
$ | 35.23 | 20,700,050 | $ | 729,262,762 | 2.18 | % | 1.03 | % | 7.15 | % | 17.43 | % | ||||||||||||||||
9/30/2011 |
$ | 30.46 | 20,600,050 | $ | 627,498,123 | -13.54 | % | -9.32 | % | -7.36 | % | 1.54 | % |
26
27
| changing supply and demand relationships; | ||
| general economic activities and conditions; | ||
| weather and other environmental conditions; | ||
| acts of God; | ||
| agricultural, fiscal, monetary and exchange control programs and policies of governments; | ||
| national and international political and economic events and policies; | ||
| changes in rates of inflation; or | ||
| the general emotions and psychology of the marketplace, which at times can be volatile and unrelated to other more tangible factors. |
| A change in economic conditions, such as a recession, can adversely affect the price of both industrial and precious metals. An economic downturn may have a negative impact on the usage and demand of metals which may result in a loss for the Master Fund. |
| A sudden shift in political conditions of the worlds leading metal producers may have a negative effect on the global pricing of metals. |
| An increase in the hedging of precious metals may result in the price of precious metals to decline. | ||
| Changes in global supply and demand for industrial and precious metals. | ||
| The price and quantity of imports and exports of industrial and precious metals. | ||
| Technological advances in the processing and mining of industrial and precious metals. |
| Farmer planting decisions, general economic, market and regulatory factors. | ||
| Weather conditions, including hurricanes, tornadoes, storms and droughts, may have a material adverse effect on crops, live cattle, live hogs and lumber, which may result in significant fluctuations in prices in such commodities. | ||
| Changes in global supply and demand for agricultural products. |
28
| The price and quantity of imports and exports of agricultural commodities. | ||
| Political conditions, including embargoes and war, in or affecting agricultural production, imports and exports. | ||
| Technological advances in agricultural production. | ||
| The price and availability of alternative agricultural commodities. |
| Changes in global supply and demand for oil and natural gas. | ||
| The price and quantity of imports and exports of oil and natural gas. | ||
| Political conditions, including embargoes and war, in or affecting other oil producing activities. | ||
| The level of global oil and natural gas exploration and production. | ||
| The level of global oil and natural gas inventories, production or pricing. | ||
| Weather conditions. | ||
| Technological advances effecting energy consumption. | ||
| The price and availability of alternative fuels. |
29
Grains
|
17.65 | % | Corn, Soybeans, Wheat | |||
Livestock
|
11.76 | % | Hogs, Cattle | |||
Metals
|
23.53 | % | Gold, Silver, Platinum, Copper | |||
Energy
|
17.65 | % | Crude Oil, Natural Gas, Heating Oil | |||
Softs
|
29.41 | % | Coffee, Cocoa, Sugar, Orange Juice, Cotton |
30
Item 1. Legal Proceedings. |
31
31.1 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | |
31.2 | Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | |
31.3 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | |
31.4 | Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)) | |
32.1 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | |
32.2 | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | |
32.3 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | |
32.4 | Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | |
EX-101 | INSTANCE DOCUMENT | |
EX-101 | SCHEMA DOCUMENT | |
EX-101 | CALCULATION LINKBASE DOCUMENT | |
EX-101 | LABELS LINKBASE DOCUMENT | |
EX-101 | PRESENTATION LINKBASE DOCUMENT | |
EX-101 | DEFINITION LINKBASE DOCUMENT |
GreenHaven Continuous Commodity Index Fund By: GreenHaven Commodity Services LLC, its Managing Owner |
By: | /s/ Ashmead Pringle | |||
Name: | Ashmead Pringle | |||
Title: | Chief Executive Officer | |||
Dated: November 8, 2011 | By: | /s/ Thomas J. Fernandes | ||
Name: | Thomas J. Fernandes | |||
Title: | Principal Financial Officer |
32
GreenHaven Continuous Commodity Index Master Fund By: GreenHaven Commodity Services LLC, its Managing Owner |
By: | /s/ Ashmead Pringle | |||
Name: | Ashmead Pringle | |||
Title: | Chief Executive Officer | |||
Dated: November 8, 2011 | By: | /s/ Thomas J. Fernandes | ||
Name: | Thomas J. Fernandes | |||
Title: | Principal Financial Officer |
33
Exhibit | Page | |||
Number | Description of Document | Number | ||
31.1
|
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-1 | ||
31.2
|
Certification of Chief Executive Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-2 | ||
31.3
|
Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith) | E-3 | ||
31.4
|
Certification of Principal Financial Officer pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)) | E-4 | ||
32.1
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-5 | ||
32.2
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-6 | ||
32.3
|
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-7 | ||
32.4
|
Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith) | E-8 | ||
EX-101
|
INSTANCE DOCUMENT | |||
EX-101
|
SCHEMA DOCUMENT | |||
EX-101
|
CALCULATION LINKBASE DOCUMENT | |||
EX-101
|
LABELS LINKBASE DOCUMENT | |||
EX-101
|
PRESENTATION LINKBASE DOCUMENT | |||
EX-101
|
DEFINITION LINKBASE DOCUMENT |
34