Company Quick10K Filing
Quick10K
Wisdomtree Continuous Commodity Index Master Fund
Closing Price ($) Shares Out (MM) Market Cap ($MM)
$16.93 8 $128
10-Q 2019-06-30 Quarter: 2019-06-30
10-Q 2019-03-31 Quarter: 2019-03-31
10-K 2018-12-31 Annual: 2018-12-31
10-Q 2018-09-30 Quarter: 2018-09-30
10-Q 2018-06-30 Quarter: 2018-06-30
10-Q 2018-03-31 Quarter: 2018-03-31
10-K 2017-12-31 Annual: 2017-12-31
10-Q 2017-09-30 Quarter: 2017-09-30
10-Q 2017-06-30 Quarter: 2017-06-30
10-Q 2017-03-31 Quarter: 2017-03-31
10-K 2016-12-31 Annual: 2016-12-31
10-Q 2016-09-30 Quarter: 2016-09-30
10-Q 2016-06-30 Quarter: 2016-06-30
10-Q 2016-03-31 Quarter: 2016-03-31
10-K 2015-12-31 Annual: 2015-12-31
10-Q 2015-09-30 Quarter: 2015-09-30
10-Q 2015-06-30 Quarter: 2015-06-30
10-Q 2015-03-31 Quarter: 2015-03-31
10-K 2014-12-31 Annual: 2014-12-31
10-Q 2014-09-30 Quarter: 2014-09-30
10-Q 2014-06-30 Quarter: 2014-06-30
10-Q 2014-03-31 Quarter: 2014-03-31
10-K 2013-12-31 Annual: 2013-12-31
8-K 2019-03-27 Officers
SMLR Semler Scientific 320
FNGR Fingermotion 62
MDVX Medovex 38
SPND Spindletop Oil & Gas 27
OZSC Ozop Surgical 1
ALTX Altex Industries 0
EEPL Everflow Eastern Partners 0
SVR Syniverse 0
JGRI Joshua Gold Resources 0
NBIO Nascent Biotech 0
GCC 2019-06-30
Part I - Financial Information
Item 1. Financial Statements
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations.
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Item 4. Controls and Procedures.
Part II - Other Information
Item 1. Legal Proceedings.
Item 1A. Risk Factors.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
Item 3. Defaults Upon Senior Securities.
Item 4. Mine Safety Disclosures.
Item 5. Other Information.
Item 6. Exhibits.
EX-31.1 d771659dex311.htm
EX-31.2 d771659dex312.htm
EX-31.3 d771659dex313.htm
EX-31.4 d771659dex314.htm
EX-32.1 d771659dex321.htm
EX-32.2 d771659dex322.htm
EX-32.3 d771659dex323.htm
EX-32.4 d771659dex324.htm

Wisdomtree Continuous Commodity Index Master Fund Earnings 2019-06-30

GCC 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

10-Q 1 d771659d10q.htm FORM 10-Q Form 10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

For the quarterly period ended June 30, 2019

or

 

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

For the transition period from                      to                     

Commission File Numbers: 001-33908, 001-33909

 

 

WISDOMTREE CONTINUOUS COMMODITY INDEX FUND

(Registrant)

(Exact name of Registrant as specified in its charter)

 

 

WISDOMTREE 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)

 

(IRS Employer

Identification No.)

c/o WisdomTree Commodity Services, LLC

245 Park Avenue

35th Floor

New York, NY

  10167
(Address of Principal Executive Offices)   (Zip Code)

1-866-909-9473

(Telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

 

Title of each class   Trading Symbol(s)   Name of each exchange on which registered
Shares   GCC   NYSE Arca, Inc.

 

 

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this Chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  ☒    No  ☐

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

 

Large accelerated filer      Accelerated filer  
Non-accelerated filer      Smaller reporting company  
     Emerging growth company  

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.    Yes  ☐    No  ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  ☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock as of August 7, 2019: 7,000,000 Limited Units and 50 General Units.

 

 

 


Table of Contents

WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Table of Contents

 

PART I – FINANCIAL INFORMATION

     1  

Item 1. Financial Statements

     1  

WisdomTree Continuous Commodity Index Fund

     1  

Consolidated Statements of Financial Condition as of June  30, 2019 (unaudited) and December 31, 2018

     1  

Unaudited Consolidated Schedule of Investments as of June 30, 2019

     2  

Consolidated Schedule of Investments as of December 31, 2018

     4  

Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2019 and 2018

     6  

Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Three Months and Six Months Ended June 30, 2019 and 2018

     7  

Unaudited Consolidated Statements of Cash Flows For the Six Months Ended June 30, 2019 and 2018

     9  

WisdomTree Continuous Commodity Index Master Fund

     10  

Statements of Financial Condition as of June  30, 2019 (unaudited) and December 31, 2018

     10  

Unaudited Schedule of Investments as of June 30, 2019

     11  

Schedule of Investments as of December 31, 2018

     13  

Unaudited Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2019 and 2018

     15  

Unaudited Statement of Changes in Shareholders’ Equity For the Three Months and Six Months Ended June 30, 2019 and 2018

     16  

Unaudited Statements of Cash Flows For the Six Months Ended June  30, 2019 and 2018

     18  

Notes to Unaudited Consolidated Financial Statements as of June  30, 2019

     19  

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

     27  

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

     34  

Item 4. Controls and Procedures.

     36  

PART II - OTHER INFORMATION

     37  

Item 1. Legal Proceedings.

     37  

Item 1A. Risk Factors.

     37  

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

     37  

Item 3. Defaults Upon Senior Securities.

     37  

Item 4. Mine Safety Disclosures.

     37  

Item 5. Other Information.

     37  

Item 6. Exhibits.

     38  

SIGNATURES

     39  

 

i


Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

WisdomTree Continuous Commodity Index Fund

Consolidated Statements of Financial Condition

June 30, 2019 (unaudited) and December 31, 2018

 

     June 30, 2019
(unaudited)
    December 31,
2018
 

Assets:

 

Cash

   $ 778,036     $ 1,542,378  

Cash held by broker for futures contracts (Note 3)

     4,370,148       8,651,045  

Short-term investments (cost $124,719,472 and $143,563,956 as of June 30, 2019 and December 31, 2018, respectively)

     124,737,197       143,568,752  

Receivable for capital shares sold

     —         8,748,821  
  

 

 

   

 

 

 

Total Assets

     129,885,381       162,510,996  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

 

Net unrealized depreciation on futures contracts

     410,382       7,560,832  

Net management fee payable to related party (Note 8)

     79,816       95,163  
  

 

 

   

 

 

 

Total Liabilities

     490,198       7,655,995  
  

 

 

   

 

 

 

Shareholders’ equity:

 

General Units:

 

Paid in capital—50 units issued and outstanding (unlimited authorized)

     1,500       1,500  

Accumulated deficit

     (608     (625
  

 

 

   

 

 

 

Total General Units

     892       875  
  

 

 

   

 

 

 

Limited Units:

 

Paid in capital—7,250,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2019 and December 31, 2018, respectively

     269,869,499       298,946,484  

Accumulated deficit

     (140,475,208     (144,092,358
  

 

 

   

 

 

 

Total Limited Units

     129,394,291       154,854,126  
  

 

 

   

 

 

 

Total shareholders’ equity

     129,395,183       154,855,001  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 129,885,381     $ 162,510,996  
  

 

 

   

 

 

 

Net asset value per share

 

General Units

   $ 17.85     $ 17.50  
  

 

 

   

 

 

 

Limited Units

   $ 17.85     $ 17.50  
  

 

 

   

 

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

1


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2019

 

Description

          Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

2.41%, 7/5/19*

        25.50   $ 32,992,867     $ 33,000,000  

2.40%, 7/25/19*

        25.47       32,957,210       33,000,000  

2.21%, 8/22/19*(a)

        22.34       28,912,285       29,000,000  

2.19%, 9/12/19*

        23.09       29,874,835       30,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $124,719,472)

 

     96.40   $ 124,737,197     $ 125,000,000  
     

 

 

   

 

 

   

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

         

expiration date 9/13/19

     156        0.07   $ 87,740     $ 3,783,000  

expiration date 12/13/19

     156        0.01       14,240       3,834,480  

Coffee “C”

         

expiration date 9/18/19

     92        0.20       261,300       3,776,025  

expiration date 12/18/19

     91        0.30       392,531       3,857,831  

Copper

         

expiration date 9/26/19

     56        (0.06     (80,800     3,798,900  

expiration date 12/27/19

     56        (0.12     (149,775     3,808,700  

Corn

         

expiration date 9/13/19

     178        0.11       148,588       3,780,275  

expiration date 12/13/19

     177        0.14       184,613       3,818,775  

Cotton No. 2

         

expiration date 12/6/19

     115        (0.39     (501,245     3,799,600  

expiration date 3/9/20

     114        0.01       10,395       3,801,330  

Gold 100 Ounce

         

expiration date 12/27/19

     26        0.21       272,390       3,705,260  

expiration date 2/26/20

     27        0.15       200,100       3,861,270  

Lean Hogs

         

expiration date 8/14/19

     64        (0.13     (167,570     1,945,600  

expiration date 10/14/19

     65        (0.07     (89,160     1,842,100  

expiration date 12/13/19

     65        (0.19     (247,490     1,849,900  

expiration date 2/14/20

     65        (0.05     (68,710     1,982,500  

Live Cattle

         

expiration date 10/31/19

     58        (0.15     (195,110     2,445,860  

expiration date 12/31/19

     58        (0.17     (220,710     2,557,800  

expiration date 2/28/20

     57        (0.02     (29,080     2,602,050  

Natural Gas

         

expiration date 8/28/19

     62        (0.18     (229,910     1,414,840  

expiration date 9/26/19

     62        (0.18     (234,210     1,432,820  

expiration date 10/29/19

     62        (0.18     (229,540     1,487,380  

expiration date 11/26/19

     61        (0.03     (38,090     1,582,950  

expiration date 12/27/19

     61        (0.03     (42,040     1,651,270  

NY Harbor ULSD

         

expiration date 8/30/19

     18        0.01       11,861       1,472,083  

expiration date 9/30/19

     18        (0.05     (70,279     1,476,997  

expiration date 10/31/19

     18        (0.05     (62,110     1,480,929  

expiration date 11/29/19

     19        0.07       86,927       1,565,277  

expiration date 12/31/19

     19        0.07       90,573       1,566,394  

Platinum

         

expiration date 10/29/19

     90        0.06       76,995       3,784,950  

expiration date 1/29/20

     90        0.10       123,940       3,807,900  

Silver

         

expiration date 9/26/19

     49        (0.03     (35,175     3,758,545  

expiration date 12/27/19

     50        0.05       62,460       3,861,750  

Soybean

         

expiration date 11/14/19

     82        0.03       35,525       3,784,300  

expiration date 1/14/20

     82        0.06       74,225       3,831,450  

 

See accompanying notes to unaudited consolidated financial statements

 

2


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2019

(continued)

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Soybean Oil

         

expiration date 9/13/19

     111        (0.09 )%    $ (115,644   $ 1,897,434  

expiration date 10/14/19

     110        (0.09     (121,098     1,886,940  

expiration date 12/13/19

     110        (0.03     (44,316     1,902,780  

expiration date 1/14/20

     110        0.03       39,102       1,918,620  

Sugar No. 11

         

expiration date 9/30/19

     260        (0.09     (114,262     3,674,944  

expiration date 2/28/20

     260        (0.02     (31,618     3,945,760  

Wheat

         

expiration date 9/13/19

     143        0.10       135,588       3,769,838  

expiration date 12/13/19

     143        0.18       234,737       3,850,275  

WTI Crude Oil

         

expiration date 8/20/19

     26        0.05       71,180       1,521,520  

expiration date 9/20/19

     26        (0.07     (90,390     1,518,400  

expiration date 10/22/19

     26        (0.06     (70,670     1,513,720  

expiration date 11/20/19

     26        0.10       128,400       1,507,480  

expiration date 12/19/19

     26        0.10       125,210       1,500,460  
     

 

 

   

 

 

   

 

 

 

Total Futures Contracts Long Exposure (Exchange-Traded)

 

     (0.32 )%    $ (410,382   $ 129,219,262  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $8,972,778 as of June 30, 2019.

 

See accompanying notes to unaudited consolidated financial statements

 

3


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2018

 

Description

          Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

         

U.S. Treasury Bills

         

2.29%, 1/17/19*

        27.10   $ 41,960,100     $ 42,000,000  

2.33%, 2/7/19*

        17.39       26,936,314       27,000,000  

2.38%, 2/28/19*(a)

        25.73       39,849,504       40,000,000  

2.39%, 3/21/19*

        22.49       34,822,834       35,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $143,563,956)

        92.71   $ 143,568,752     $ 144,000,000  
     

 

 

   

 

 

   

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

 

expiration date 3/14/19

     125        0.19   $ 294,300     $ 3,020,000  

expiration date 5/15/19

     124        0.21       319,790       3,036,760  

expiration date 7/16/19

     124        0.10       155,170       3,050,400  

Coffee “C”

         

expiration date 3/19/19

     77        (0.13     (205,594     2,940,919  

expiration date 5/20/19

     77        (0.13     (195,150     3,030,431  

expiration date 7/19/19

     78        (0.22     (333,431     3,153,150  

Copper

         

expiration date 3/27/19

     46        (0.10     (148,663     3,025,650  

expiration date 5/29/19

     46        (0.10     (152,875     3,032,550  

expiration date 7/29/19

     46        (0.08     (126,363     3,037,150  

Corn

         

expiration date 3/14/19

     159        (0.04     (67,262     2,981,250  

expiration date 5/14/19

     159        (0.04     (55,612     3,044,850  

expiration date 7/12/19

     158        (0.03     (48,875     3,086,925  

Cotton No. 2

         

expiration date 3/7/19

     83        (0.31     (479,230     2,996,300  

expiration date 5/8/19

     83        (0.27     (410,890     3,050,250  

expiration date 7/9/19

     82        (0.19     (293,870     3,059,830  

Gold 100 Ounce

         

expiration date 2/26/19

     24        (0.02     (33,380     3,075,120  

expiration date 4/26/19

     24        0.08       123,000       3,090,480  

expiration date 6/26/19

     23        0.07       111,220       2,976,660  

Lean Hogs

         

expiration date 2/14/19

     78        (0.01     (22,640     1,902,420  

expiration date 4/12/19

     78        (0.01     (23,290     2,092,740  

expiration date 6/14/19

     78        0.00       2,400       2,541,240  

expiration date 7/15/19

     78        (0.00     (6,130     2,573,220  

Live Cattle

         

expiration date 2/28/19

     62        0.10       158,940       3,072,100  

expiration date 4/30/19

     62        0.11       173,850       3,131,000  

expiration date 6/28/19

     62        0.05       76,750       2,903,460  

Natural Gas

         

expiration date 1/29/19

     65        (0.17     (258,970     1,911,000  

expiration date 2/26/19

     65        (0.16     (247,080     1,853,150  

expiration date 3/27/19

     65        (0.03     (41,290     1,743,950  

expiration date 4/26/19

     66        (0.02     (30,210     1,763,520  

expiration date 5/29/19

     66        (0.01     (17,480     1,793,220  

NY Harbor ULSD

         

expiration date 1/31/19

     26        (0.25     (388,950     1,833,905  

expiration date 2/28/19

     26        (0.26     (401,738     1,823,531  

expiration date 3/29/19

     26        (0.27     (416,829     1,808,461  

expiration date 4/30/19

     26        (0.27     (421,235     1,807,151  

expiration date 5/31/19

     26        (0.25     (394,498     1,815,778  

Platinum

         

expiration date 4/26/19

     113        (0.11     (169,965     4,523,390  

expiration date 7/29/19

     113        (0.22     (343,140     4,551,640  

 

See accompanying notes to unaudited consolidated financial statements

 

4


Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2018

(continued)

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Silver

         

expiration date 3/27/19

     39        0.04   $ 55,325     $ 3,030,300  

expiration date 5/29/19

     39        0.03       40,710       3,047,070  

expiration date 7/29/19

     38        0.12       184,335       2,985,090  

Soybean

         

expiration date 3/14/19

     66        (0.01     (12,886     2,953,500  

expiration date 5/14/19

     67        (0.01     (19,312     3,040,962  

expiration date 7/12/19

     67       
(0.00

    (1,050     3,082,837  

Soybean Oil

         

expiration date 3/14/19

     180        (0.07     (108,978     3,007,800  

expiration date 5/14/19

     180        (0.08     (116,226     3,036,960  

expiration date 7/12/19

     180        (0.04     (59,586     3,065,040  

Sugar No. 11

         

expiration date 2/28/19

     224        (0.00     (7,101     3,018,086  

expiration date 4/30/19

     223        0.01       19,432       3,022,096  

expiration date 6/28/19

     223        (0.13     (200,749     3,057,062  

Wheat

         

expiration date 3/14/19

     119        (0.20     (315,438     2,994,338  

expiration date 5/14/19

     119        (0.22     (342,700     3,037,475  

expiration date 7/12/19

     118        (0.07     (109,488     3,059,150  

WTI Crude Oil

         

expiration date 1/22/19

     40        (0.32     (488,260     1,816,400  

expiration date 2/20/19

     40        (0.33     (504,050     1,828,800  

expiration date 3/20/19

     39        (0.30     (471,160     1,797,120  

expiration date 4/22/19

     39        (0.25     (383,110     1,813,890  

expiration date 5/21/19

     39        (0.26     (401,320     1,830,270  
     

 

 

   

 

 

   

 

 

 

Total Futures Contracts Long Exposure (Exchange-Traded)

        (4.88 )%    $ (7,560,832   $ 154,657,797  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $12,951,089 as of December 31, 2018.

 

See accompanying notes to unaudited consolidated financial statements

 

5


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2019 and 2018

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2019     2018     2019     2018  

Income:

 

Interest income

   $ 744,029     $ 713,571     $ 1,620,210     $ 1,251,497  

Expenses:

 

Management fee to related party (Note 8)

     286,421       384,216       620,182       743,693  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     286,421       384,216       620,182       743,693  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers (Note 8)

     (33,697     (45,201     (72,963     (87,493
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     252,724       339,015       547,219       656,200  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

     491,305       374,556       1,072,991       595,297  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:

 

Net Realized Gain (Loss) from:

 

Investments

     44       (18     (718     (18

Futures Contracts*

     (2,029,620     647,973       (4,618,485     2,409,544  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     (2,029,576     647,955       (4,619,203     2,409,526  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:

 

Investments

     14,270       15,733       12,929       9,494  

Futures Contracts

     (41,919     (4,692,279     7,150,450       (6,880,222
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation

     (27,649     (4,676,546     7,163,379       (6,870,728
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts

     (2,057,225     (4,028,591     2,544,176       (4,461,202
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ (1,565,920   $ (3,654,035   $ 3,617,167     $ (3,865,905
  

 

 

   

 

 

   

 

 

   

 

 

 

*   Includes brokerage commissions of:

   $ 43,311     $ 54,559     $ 82,255     $ 91,306  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

6


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2019

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at March 31, 2019

     50      $ 1,500      $ (598   $ 902       7,950,000     $ 282,316,201     $ (138,909,298   $ 143,406,903     $ 143,407,805  

Creation of Units

     —          —          —         —         —         —         —         —         —    

Redemption of Units

     —          —          —         —         (700,000     (12,446,702     —         (12,446,702     (12,446,702

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         491,302       491,302       491,305  

Net Realized Loss from Investments and Futures Contracts

     —          —          (15     (15     —         —         (2,029,561     (2,029,561     (2,029,576

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          2       2       —         —         (27,651     (27,651     (27,649
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (10     (10     —         —         (1,565,910     (1,565,910     (1,565,920
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2019

     50      $ 1,500      $ (608   $ 892       7,250,000     $ 269,869,499     $ (140,475,208   $ 129,394,291     $ 129,395,183  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
For the Six Months Ended June 30, 2019

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2018

     50      $ 1,500      $ (625   $ 875       8,850,000     $ 298,946,484     $ (144,092,358   $ 154,854,126     $ 154,855,001  

Creation of Units

     —          —          —         —         600,000       10,509,822       —         10,509,822       10,509,822  

Redemption of Units

     —          —          —         —         (2,200,000     (39,586,807     —         (39,586,807     (39,586,807

Net Gain (Loss):

                    

Net Investment Income

     —          —          6       6       —         —         1,072,985       1,072,985       1,072,991  

Net Realized Loss from Investments and Futures Contracts

     —          —          (31     (31     —         —         (4,619,172     (4,619,172     (4,619,203

Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          42       42       —         —         7,163,337       7,163,337       7,163,379  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain

     —          —          17       17       —         —         3,617,150       3,617,150       3,617,167  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2019

     50      $ 1,500      $ (608   $ 892       7,250,000     $ 269,869,499     $ (140,475,208   $ 129,394,291     $ 129,395,183  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

7


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2018

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at March 31, 2018

     50      $ 1,500      $ (537   $ 963       9,400,000     $ 309,298,666     $ (128,361,338   $ 180,937,328     $ 180,938,291  

Creation of Units

     —          —          —         —         200,000       3,897,304       —         3,897,304       3,897,304  

Redemption of Units

     —          —          —         —         (450,000     (8,648,395     —         (8,648,395     (8,648,395

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         374,553       374,553       374,556  

Net Realized Gain from Investments and Futures Contracts

     —          —          4       4       —         —         647,951       647,951       647,955  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (27     (27     —         —         (4,676,519     (4,676,519     (4,676,546
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (20     (20     —         —         (3,654,015     (3,654,015     (3,654,035
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
For the Six Months Ended June 30, 2018

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2017

     50      $ 1,500      $ (538   $ 962       8,050,000     $ 283,104,814     $ (128,149,467   $ 154,955,347     $ 154,956,309  

Creation of Units

     —          —          —         —         1,650,000       32,029,138       —         32,029,138       32,029,138  

Redemption of Units

     —          —          —         —         (550,000     (10,586,377     —         (10,586,377     (10,586,377

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         595,294       595,294       595,297  

Net Realized Gain from Investments and Futures Contracts

     —          —          14       14       —         —         2,409,512       2,409,512       2,409,526  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (36     (36     —         —         (6,870,692     (6,870,692     (6,870,728
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (19     (19     —         —         (3,865,886     (3,865,886     (3,865,905
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

8


Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2019 and 2018

 

     2019     2018  

Cash flows from operating activities

 

Net Gain (Loss)

   $ 3,617,167     $ (3,865,905

Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:

 

Purchases of investment securities

     (291,508,240     (354,637,947

Proceeds from sales/maturities of investment securities

     311,942,737       333,999,796  

Net accretion of discount

     (1,590,731     (1,228,013

Net realized loss on investment securities

     718       18  

Net change in unrealized appreciation/depreciation from investments

     (12,929     (9,494

Net change in unrealized appreciation/depreciation from futures contracts

     (7,150,450     6,880,222  

Changes in assets and liabilities

 

Increase/(Decrease) in liabilities:

 

Net management fee payable to related party

     (15,347     13,185  
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     15,282,925       (18,848,138
  

 

 

   

 

 

 

Cash flows from financing activities

 

Proceeds from creation of Limited Units

     19,258,643       32,029,138  

Redemption of Limited Units

     (39,586,807     (10,586,377
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     (20,328,164     21,442,761  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (5,045,239     2,594,623  

Cash* at beginning of period

     10,193,423       11,232,992  
  

 

 

   

 

 

 

Cash* at end of period

   $ 5,148,184     $ 13,827,615  
  

 

 

   

 

 

 

 

*

Includes cash held by the broker for futures contracts.

 

See accompanying notes to unaudited consolidated financial statements

 

9


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Statements of Financial Condition

June 30, 2019 (unaudited) and December 31, 2018

 

     June 30, 2019
(unaudited)
    December 31,
2018
 

Assets:

 

Cash

   $ 778,036     $ 1,542,378  

Cash held by broker for futures contracts (Note 3)

     4,370,148       8,651,045  

Short-term investments (cost $124,719,472 and $143,563,956 as of June 30, 2019 and December 31, 2018, respectively)

     124,737,197       143,568,752  

Receivable for capital shares sold

     —         8,748,821  
  

 

 

   

 

 

 

Total Assets

     129,885,381       162,510,996  
  

 

 

   

 

 

 

Liabilities and shareholders’ equity:

 

Net unrealized depreciation on futures contracts

     410,382       7,560,832  

Net management fee payable to related party (Note 8)

     79,816       95,163  
  

 

 

   

 

 

 

Total Liabilities

     490,198       7,655,995  
  

 

 

   

 

 

 

Shareholders’ equity:

 

General Units:

 

Paid in capital—50 units issued and outstanding (unlimited authorized)

     1,500       1,500  

Accumulated deficit

     (608     (625
  

 

 

   

 

 

 

Total General Units

     892       875  
  

 

 

   

 

 

 

Limited Units:

 

Paid in capital—7,250,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2019 and December 31, 2018, respectively

     269,869,499       298,946,484  

Accumulated deficit

     (140,475,208     (144,092,358
  

 

 

   

 

 

 

Total Limited Units

     129,394,291       154,854,126  
  

 

 

   

 

 

 

Total shareholders’ equity

     129,395,183       154,855,001  
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

   $ 129,885,381     $ 162,510,996  
  

 

 

   

 

 

 

Net asset value per share

 

General Units

   $ 17.85     $ 17.50  
  

 

 

   

 

 

 

Limited Units

   $ 17.85     $ 17.50  
  

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

10


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2019

 

Description

     Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

 

U.S. Treasury Bills

 

2.41%, 7/5/19*

 

     25.50   $ 32,992,867     $ 33,000,000  

2.40%, 7/25/19*

 

     25.47       32,957,210       33,000,000  

2.21%, 8/22/19*(a)

 

     22.34       28,912,285       29,000,000  

2.19%, 9/12/19*

 

     23.09       29,874,835       30,000,000  
  

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $124,719,472)

 

     96.40   $ 124,737,197     $ 125,000,000  
  

 

 

   

 

 

   

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

 

expiration date 9/13/19

     156        0.07   $ 87,740     $ 3,783,000  

expiration date 12/13/19

     156        0.01       14,240       3,834,480  

Coffee “C”

 

expiration date 9/18/19

     92        0.20       261,300       3,776,025  

expiration date 12/18/19

     91        0.30       392,531       3,857,831  

Copper

 

expiration date 9/26/19

     56        (0.06     (80,800     3,798,900  

expiration date 12/27/19

     56        (0.12     (149,775     3,808,700  

Corn

         

expiration date 9/13/19

     178        0.11       148,588       3,780,275  

expiration date 12/13/19

     177        0.14       184,613       3,818,775  

Cotton No. 2

 

expiration date 12/6/19

     115        (0.39     (501,245     3,799,600  

expiration date 3/9/20

     114        0.01       10,395       3,801,330  

Gold 100 Ounce

 

expiration date 12/27/19

     26        0.21       272,390       3,705,260  

expiration date 2/26/20

     27        0.15       200,100       3,861,270  

Lean Hogs

 

expiration date 8/14/19

     64        (0.13     (167,570     1,945,600  

expiration date 10/14/19

     65        (0.07     (89,160     1,842,100  

expiration date 12/13/19

     65        (0.19     (247,490     1,849,900  

expiration date 2/14/20

     65        (0.05     (68,710     1,982,500  

Live Cattle

 

expiration date 10/31/19

     58        (0.15     (195,110     2,445,860  

expiration date 12/31/19

     58        (0.17     (220,710     2,557,800  

expiration date 2/28/20

     57        (0.02     (29,080     2,602,050  

Natural Gas

 

expiration date 8/28/19

     62        (0.18     (229,910     1,414,840  

expiration date 9/26/19

     62        (0.18     (234,210     1,432,820  

expiration date 10/29/19

     62        (0.18     (229,540     1,487,380  

expiration date 11/26/19

     61        (0.03     (38,090     1,582,950  

expiration date 12/27/19

     61        (0.03     (42,040     1,651,270  

NY Harbor ULSD

 

expiration date 8/30/19

     18        0.01       11,861       1,472,083  

expiration date 9/30/19

     18        (0.05     (70,279     1,476,997  

expiration date 10/31/19

     18        (0.05     (62,110     1,480,929  

expiration date 11/29/19

     19        0.07       86,927       1,565,277  

expiration date 12/31/19

     19        0.07       90,573       1,566,394  

Platinum

 

expiration date 10/29/19

     90        0.06       76,995       3,784,950  

expiration date 1/29/20

     90        0.10       123,940       3,807,900  

Silver

 

expiration date 9/26/19

     49        (0.03     (35,175     3,758,545  

expiration date 12/27/19

     50        0.05       62,460       3,861,750  

Soybean

 

expiration date 11/14/19

     82        0.03       35,525       3,784,300  

expiration date 1/14/20

     82        0.06       74,225       3,831,450  

 

See accompanying notes to unaudited consolidated financial statements

 

11


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2019

(continued)

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Soybean Oil

 

expiration date 9/13/19

     111        (0.09 )%    $ (115,644   $ 1,897,434  

expiration date 10/14/19

     110        (0.09     (121,098     1,886,940  

expiration date 12/13/19

     110        (0.03     (44,316     1,902,780  

expiration date 1/14/20

     110        0.03       39,102       1,918,620  

Sugar No. 11

 

expiration date 9/30/19

     260        (0.09     (114,262     3,674,944  

expiration date 2/28/20

     260        (0.02     (31,618     3,945,760  

Wheat

 

expiration date 9/13/19

     143        0.10       135,588       3,769,838  

expiration date 12/13/19

     143        0.18       234,737       3,850,275  

WTI Crude Oil

 

expiration date 8/20/19

     26        0.05       71,180       1,521,520  

expiration date 9/20/19

     26        (0.07     (90,390     1,518,400  

expiration date 10/22/19

     26        (0.06     (70,670     1,513,720  

expiration date 11/20/19

     26        0.10       128,400       1,507,480  

expiration date 12/19/19

     26        0.10       125,210       1,500,460  
     

 

 

   

 

 

   

 

 

 

Total Futures Contracts Long Exposure (Exchange-Traded)

        (0.32 )%    $ (410,382   $ 129,219,262  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $8,973,000 as of June 30, 2019.

 

See accompanying notes to unaudited consolidated financial statements

 

12


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2018

 

Description

     Percentage
of Net Assets
    Fair
Value
    Face
Amount
 

U.S. Treasury Obligations

 

U.S. Treasury Bills

 

2.29%, 1/17/19*

 

     27.10   $ 41,960,100     $ 42,000,000  

2.33%, 2/7/19*

 

     17.39       26,936,314       27,000,000  

2.38%, 2/28/19*(a)

 

     25.73       39,849,504       40,000,000  

2.39%, 3/21/19*

 

     22.49       34,822,834       35,000,000  
     

 

 

   

 

 

   

 

 

 

Total U.S. Treasury Obligations (Cost: $143,563,956)

 

     92.71   $ 143,568,752     $ 144,000,000  
     

 

 

   

 

 

   

 

 

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Futures Contracts Long Exposure (Exchange-Traded)

 

Cocoa

 

expiration date 3/14/19

     125        0.19   $ 294,300     $ 3,020,000  

expiration date 5/15/19

     124        0.21       319,790       3,036,760  

expiration date 7/16/19

     124        0.10       155,170       3,050,400  

Coffee “C”

         

expiration date 3/19/19

     77        (0.13     (205,594     2,940,919  

expiration date 5/20/19

     77        (0.13     (195,150     3,030,431  

expiration date 7/19/19

     78        (0.22     (333,431     3,153,150  

Copper

         

expiration date 3/27/19

     46        (0.10     (148,663     3,025,650  

expiration date 5/29/19

     46        (0.10     (152,875     3,032,550  

expiration date 7/29/19

     46        (0.08     (126,363     3,037,150  

Corn

         

expiration date 3/14/19

     159        (0.04     (67,262     2,981,250  

expiration date 5/14/19

     159        (0.04     (55,612     3,044,850  

expiration date 7/12/19

     158        (0.03     (48,875     3,086,925  

Cotton No. 2

         

expiration date 3/7/19

     83        (0.31     (479,230     2,996,300  

expiration date 5/8/19

     83        (0.27     (410,890     3,050,250  

expiration date 7/9/19

     82        (0.19     (293,870     3,059,830  

Gold 100 Ounce

         

expiration date 2/26/19

     24        (0.02     (33,380     3,075,120  

expiration date 4/26/19

     24        0.08       123,000       3,090,480  

expiration date 6/26/19

     23        0.07       111,220       2,976,660  

Lean Hogs

         

expiration date 2/14/19

     78        (0.01     (22,640     1,902,420  

expiration date 4/12/19

     78        (0.01     (23,290     2,092,740  

expiration date 6/14/19

     78        0.00       2,400       2,541,240  

expiration date 7/15/19

     78        (0.00     (6,130     2,573,220  

Live Cattle

         

expiration date 2/28/19

     62        0.10       158,940       3,072,100  

expiration date 4/30/19

     62        0.11       173,850       3,131,000  

expiration date 6/28/19

     62        0.05       76,750       2,903,460  

Natural Gas

         

expiration date 1/29/19

     65        (0.17     (258,970     1,911,000  

expiration date 2/26/19

     65        (0.16     (247,080     1,853,150  

expiration date 3/27/19

     65        (0.03     (41,290     1,743,950  

expiration date 4/26/19

     66        (0.02     (30,210     1,763,520  

expiration date 5/29/19

     66        (0.01     (17,480     1,793,220  

NY Harbor ULSD

         

expiration date 1/31/19

     26        (0.25     (388,950     1,833,905  

expiration date 2/28/19

     26        (0.26     (401,738     1,823,531  

expiration date 3/29/19

     26        (0.27     (416,829     1,808,461  

expiration date 4/30/19

     26        (0.27     (421,235     1,807,151  

expiration date 5/31/19

     26        (0.25     (394,498     1,815,778  

Platinum

         

expiration date 4/26/19

     113        (0.11     (169,965     4,523,390  

expiration date 7/29/19

     113        (0.22     (343,140     4,551,640  

 

See accompanying notes to unaudited consolidated financial statements

 

13


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2018

(continued)

 

Description

   Contracts      Unrealized
Appreciation/
(Depreciation)
Percentage of
Net Assets
    Unrealized
Appreciation/
(Depreciation)
    Notional
Value
 

Silver

         

expiration date 3/27/19

     39        0.04   $ 55,325     $ 3,030,300  

expiration date 5/29/19

     39        0.03       40,710       3,047,070  

expiration date 7/29/19

     38        0.12       184,335       2,985,090  

Soybean

         

expiration date 3/14/19

     66        (0.01     (12,886     2,953,500  

expiration date 5/14/19

     67        (0.01     (19,312     3,040,962  

expiration date 7/12/19

     67       
(0.00

    (1,050     3,082,837  

Soybean Oil

         

expiration date 3/14/19

     180        (0.07     (108,978     3,007,800  

expiration date 5/14/19

     180        (0.08     (116,226     3,036,960  

expiration date 7/12/19

     180        (0.04     (59,586     3,065,040  

Sugar No. 11

         

expiration date 2/28/19

     224        (0.00     (7,101     3,018,086  

expiration date 4/30/19

     223        0.01       19,432       3,022,096  

expiration date 6/28/19

     223        (0.13     (200,749     3,057,062  

Wheat

         

expiration date 3/14/19

     119        (0.20     (315,438     2,994,338  

expiration date 5/14/19

     119        (0.22     (342,700     3,037,475  

expiration date 7/12/19

     118        (0.07     (109,488     3,059,150  

WTI Crude Oil

         

expiration date 1/22/19

     40        (0.32     (488,260     1,816,400  

expiration date 2/20/19

     40        (0.33     (504,050     1,828,800  

expiration date 3/20/19

     39        (0.30     (471,160     1,797,120  

expiration date 4/22/19

     39        (0.25     (383,110     1,813,890  

expiration date 5/21/19

     39        (0.26     (401,320     1,830,270  
     

 

 

   

 

 

   

 

 

 

Total Futures Contracts Long Exposure (Exchange-Traded)

        (4.88 )%    $ (7,560,832   $ 154,657,797  
     

 

 

   

 

 

   

 

 

 

 

*

Interest rate shown reflects the yield to maturity at the time of purchase.

(a)

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $12,951,089 as of December 31, 2018.

 

See accompanying notes to unaudited consolidated financial statements

 

14


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2019 and 2018

 

    

Three Months Ended

June 30,

   

Six Months Ended

June 30,

 
     2019     2018     2019     2018  

Income:

 

Interest income

   $ 744,029     $ 713,571     $ 1,620,210     $ 1,251,497  

Expenses:

 

Management fee to related party (Note 8)

     286,421       384,216       620,182       743,693  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     286,421       384,216       620,182       743,693  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expense waivers (Note 8)

     (33,697     (45,201     (72,963     (87,493
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     252,724       339,015       547,219       656,200  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

     491,305       374,556       1,072,991       595,297  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:

 

Net Realized Gain (Loss) from:

 

Investments

     44       (18     (718     (18

Futures Contracts*

     (2,029,620     647,973       (4,618,485     2,409,544  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized Gain (Loss)

     (2,029,576     647,955       (4,619,203     2,409,526  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:

 

Investments

     14,270       15,733       12,929       9,494  

Futures Contracts

     (41,919     (4,692,279     7,150,450       (6,880,222
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase (Decrease) in Unrealized Appreciation/Depreciation

     (27,649     (4,676,546     7,163,379       (6,870,728
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts

     (2,057,225     (4,028,591     2,544,176       (4,461,202
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain (Loss)

   $ (1,565,920   $ (3,654,035   $ 3,617,167     $ (3,865,905
  

 

 

   

 

 

   

 

 

   

 

 

 

*   Includes brokerage commissions of:

   $ 43,311     $ 54,559     $ 82,255     $ 91,306  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

15


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2019

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at March 31, 2019

     50      $ 1,500      $ (598   $ 902       7,950,000     $ 282,316,201     $ (138,909,298   $ 143,406,903     $ 143,407,805  

Creation of Units

     —          —          —         —         —         —         —         —         —    

Redemption of Units

     —          —          —         —         (700,000     (12,446,702     —         (12,446,702     (12,446,702

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         491,302       491,302       491,305  

Net Realized Loss from Investments and Futures Contracts

     —          —          (15     (15     —         —         (2,029,561     (2,029,561     (2,029,576

Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          2       2       —         —         (27,651     (27,651     (27,649
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (10     (10     —         —         (1,565,910     (1,565,910     (1,565,920
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2019

     50      $ 1,500      $ (608   $ 892       7,250,000     $ 269,869,499     $ (140,475,208   $ 129,394,291     $ 129,395,183  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the Six Months Ended June 30, 2019

 

 
     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2018

     50      $ 1,500      $ (625   $ 875       8,850,000     $ 298,946,484     $ (144,092,358   $ 154,854,126     $ 154,855,001  

Creation of Units

     —          —          —         —         600,000       10,509,822       —         10,509,822       10,509,822  

Redemption of Units

     —          —          —         —         (2,200,000     (39,586,807     —         (39,586,807     (39,586,807

Net Gain (Loss):

                    

Net Investment Income

     —          —          6       6       —         —         1,072,985       1,072,985       1,072,991  

Net Realized Loss from Investments and Futures Contracts

     —          —          (31     (31     —         —         (4,619,172     (4,619,172     (4,619,203

Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          42       42       —         —         7,163,337       7,163,337       7,163,379  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Gain

     —          —          17       17       —         —         3,617,150       3,617,150       3,617,167  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2019

     50      $ 1,500      $ (608   $ 892       7,250,000     $ 269,869,499     $ (140,475,208   $ 129,394,291     $ 129,395,183  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

16


Table of Contents

WisdomTree Continuous Commodity Index Master Fund

Unaudited Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2018

 

     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at March 31, 2018

     50      $ 1,500      $ (537   $ 963       9,400,000     $ 309,298,666     $ (128,361,338   $ 180,937,328     $ 180,938,291  

Creation of Units

     —          —          —         —         200,000       3,897,304       —         3,897,304       3,897,304  

Redemption of Units

     —          —          —         —         (450,000     (8,648,395     —         (8,648,395     (8,648,395

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         374,553       374,553       374,556  

Net Realized Gain from Investments and Futures Contracts

     —          —          4       4       —         —         647,951       647,951       647,955  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (27     (27     —         —         (4,676,519     (4,676,519     (4,676,546
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (20     (20     —         —         (3,654,015     (3,654,015     (3,654,035
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

For the Six Months Ended June 30, 2018

 

 
     General Units     Limited Units     Total  
     General Units      Accumulated    

Total

General

Shareholders’

    Limited Units     Accumulated    

Total

Limited

Shareholders’

   

Total

Shareholders’

 
     Units      Amount      Deficit     Equity     Units     Amount     Deficit     Equity     Equity  

Balance at December 31, 2017

     50      $ 1,500      $ (538   $ 962       8,050,000     $ 283,104,814     $ (128,149,467   $ 154,955,347     $ 154,956,309  

Creation of Units

     —          —          —         —         1,650,000       32,029,138       —         32,029,138       32,029,138  

Redemption of Units

     —          —          —         —         (550,000     (10,586,377     —         (10,586,377     (10,586,377

Net Gain (Loss):

                    

Net Investment Income

     —          —          3       3       —         —         595,294       595,294       595,297  

Net Realized Gain from Investments and Futures Contracts

     —          —          14       14       —         —         2,409,512       2,409,512       2,409,526  

Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts

     —          —          (36     (36     —         —         (6,870,692     (6,870,692     (6,870,728
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Loss

     —          —          (19     (19     —         —         (3,865,886     (3,865,886     (3,865,905
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance at June 30, 2018

     50      $ 1,500      $ (557   $ 943       9,150,000     $ 304,547,575     $ (132,015,353   $ 172,532,222     $ 172,533,165  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Cash Flows

For the Six Months Ended June 30, 2019 and 2018

 

     2019     2018  

Cash flows from operating activities

 

Net Gain (Loss)

   $ 3,617,167     $ (3,865,905

Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:

 

Purchases of investment securities

     (291,508,240     (354,637,947

Proceeds from sales/maturities of investment securities

     311,942,737       333,999,796  

Net accretion of discount

     (1,590,731     (1,228,013

Net realized loss on investment securities

     718       18  

Net change in unrealized appreciation/depreciation from investments

     (12,929     (9,494

Net change in unrealized appreciation/depreciation from futures contracts

     (7,150,450     6,880,222  

Changes in assets and liabilities

    

Increase/(Decrease) in liabilities:

 

Net management fee payable to related party

     (15,347     13,185  
  

 

 

   

 

 

 

Net cash provided by (used for) operating activities

     15,282,925       (18,848,138
  

 

 

   

 

 

 

Cash flows from financing activities

 

Proceeds from creation of Limited Units

     19,258,643       32,029,138  

Redemption of Limited Units

     (39,586,807     (10,586,377
  

 

 

   

 

 

 

Net cash provided by (used for) financing activities

     (20,328,164     21,442,761  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (5,045,239     2,594,623  

Cash* at beginning of period

     10,193,423       11,232,992  
  

 

 

   

 

 

 

Cash* at end of period

   $ 5,148,184     $ 13,827,615  
  

 

 

   

 

 

 

 

*

Includes cash held by the broker for futures contracts.

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Notes to Unaudited Consolidated Financial Statements

June 30, 2019

(1) Organization

The WisdomTree Continuous Commodity Index Fund (the “Fund”) and the WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. For each of the Funds, WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”), and GreenHaven Advisors LLC serves as the commodity trading advisor (the “Sub-Adviser”).

Shares representing units of fractional undivided beneficial interest in and ownership of the Fund (“Limited Units” or “Shares”) are listed on the NYSE Arca under the symbol “GCC.” Upon inception of the Fund, 50 general units of the Fund (“General Units” or “General Shares”) were issued to the Managing Owner in exchange for a capital contribution of $1,500. We refer to the General Shares and Shares collectively as “Total Shares,” and the holders of the Shares as the “Shareholders.”

The Master Fund is wholly-owned by the Fund and the Managing Owner. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.

The Fund and Master Fund commenced investment operations on January 23, 2008, with the offering of 350,000 Shares in exchange for $10,500,000. The Fund commenced trading on the American Stock Exchange (now known as the NYSE Arca) on January 24, 2008 under the symbol “GCC.” The term of the Fund is perpetual, unless terminated earlier in certain circumstances as defined in the Trust Agreements (as defined in Note 2—Service Providers and Related Party Agreements).

The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Equal Weight Continuous Commodity Total Return Index (the “Index”), before the Funds’ expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil) and natural gas. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC (the “Index Sponsor”), is the owner, publisher and calculation agent of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.

The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by actively trading exchange traded futures (“Commodity Futures”) on the Index Commodities, with a view to tracking the performance of the Index over time, regardless of whether the Index is rising, falling or flat over any particular period.

The Master Fund’s portfolio (its “Portfolio”) also includes cash, U.S. Treasury obligations and other high credit-quality, short-term fixed income securities (collectively, “U.S. Treasuries”) for deposit with the Commodity Broker (as defined below) as margin or otherwise held to cover the Master Fund’s notional exposure to Commodity Futures.

The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined in Note 7—Share Creations and Redemptions) per Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.

The Managing Owner and the Shareholders share in any profits and losses attributable to the Fund in proportion to the percentage interest owned by each.

The Managing Owner and the Funds retain the services of third party service providers for the ongoing operations of the Funds. See Note 2—Service Providers and Related Party Agreements.

(2) Service Providers and Related Party Agreements

(a) Trustee. Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.

 

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(b) Managing Owner. WisdomTree Commodity Services, LLC, a Delaware limited liability company, is the managing owner and commodity pool operator of each of the Funds. The Trustee has delegated to the Managing Owner the exclusive power and authority to manage the business and affairs of each of the Funds. The Managing Owner’s principal offices are located in New York, New York.

(c) Sub-Adviser. Greenhaven Advisors LLC is the sub-adviser and commodity trading adviser of each of the Funds. The Sub-Adviser, under authority delegated by the Managing Owner, is responsible for selecting Commodity Brokers and reallocating assets within the Portfolio with a view to achieving the Funds’ investment objective. The Sub-Adviser’s principal offices are located in Atlanta, Georgia.

(d) Commodity Broker. A variety of executing brokers may execute transactions in Commodity Futures on behalf of the Master Fund. Morgan Stanley & Co. LLC (the “Commodity Broker”) is the Master Fund’s commodity broker to which the executing brokers give-up all such transactions. In its capacity as the clearing broker, the Commodity Broker may execute and clear each of the Master Fund’s futures transactions. The Commodity Broker’s principal offices are located in New York, New York.

(e) Administrator. State Street Bank and Trust Company (the “Administrator”) is the administrator of the Funds and has entered into an Administration Agreement in connection therewith. The Administrator also serves as custodian of the Funds pursuant to a Master Custodian Agreement, and transfer agent of the Funds pursuant to a Transfer Agency and Service Agreement. The Administrator performs certain services necessary for the operation and administration of the Funds (other than making investment decisions), including calculations of the Master Fund’s Net Asset Value and accounting and other administrative services. The Administrator retains certain financial books and records, including: fund accounting records, ledgers with respect to assets, liabilities, capital, income and expenses, the registrar, transfer journals and related details and trading and related documents received from futures commission merchants. The Administrator has an office in Boston, Massachusetts.

(f) Distributor. Foreside Fund Services LLC is the Funds’ distributor (the “Distributor”) pursuant to a Distribution Services Agreement. The Distributor assists the Managing Owner and the Administrator with certain functions and duties relating to the creation and redemption of Baskets, including assisting in matters associated with receiving and processing orders from Authorized Participants to create and redeem Baskets, coordinating the processing of such orders and related functions and duties. The Distributor has an office in Portland, Maine.

(g) Authorized Participant. The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. Each Authorized Participant must (i) be a registered broker-dealer or other securities market participant, such as a bank or other financial institution that is not required to register as a broker-dealer to engage in securities transactions, (ii) be a participant in the Depository Trust Company (“DTC”), and (iii) have entered into a “Participant Agreement.” The Participant Agreement sets forth the procedures for the creation and redemption of Baskets and for the delivery of cash required for such creations or redemptions. The current Authorized Participants are J.P. Morgan Securities LLC, Merrill Lynch Professional Clearing Corporation, and Morgan Stanley & Co. Incorporated.

(3) Summary of Significant Accounting Policies

(a) Basis of Presentation and Consolidation

The financial statements of the Fund and the Master Fund have been prepared using U.S. generally accepted accounting principles (“GAAP”). The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative GAAP recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under the authority of federal laws are also sources of authoritative GAAP for SEC registrants.

In accordance with Accounting Standards Update (“ASU”) 2013-08, Financial Services-Investment Companies (“ASC Topic 946”), the Funds each qualify as an investment company and are applying ASC Topic 946 accounting and reporting guidance for investment companies.

All of the capital raised by the Fund from the offering of its Shares is used to purchase Master Fund Units. The financial statements of the Fund include the balances of the Master Fund on a consolidated basis and all inter-company balances and transactions have been eliminated in the consolidation. Separate financial statements of the Master Fund are presented to comply with reporting requirements of the SEC as both the Fund and the Master Fund are SEC registrants.

 

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Unaudited Interim Financial Information

The financial statements as of June 30, 2019 and for the three-months and six-months ended June 30, 2019 and June 30, 2018 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statements and include all adjustments, which are of the normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year. Past performance of the Fund is not necessarily indicative of future performance.

(b) Use of Estimates

The preparation of the financial statements in conformity with GAAP requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses during the period. Actual results could differ from those estimates.

(c) Cash Held by Broker

A portion of the Master Fund’s cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Fund’s open Commodity Futures. The Commodity Broker allows the Master Fund to apply its U.S. Treasuries positions towards its initial margin requirement for the Master Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and U.S. Treasuries positions are held in segregated accounts at the Commodity Broker and are not insured by the Federal Deposit Insurance Corporation.

(d) U. S. Treasury Obligations

The Master Fund records purchases and sales of U.S. Treasuries on a trade date basis. These holdings are marked to market based on quotations from broker-dealers or independent service providers. The Master Fund may hold U.S. Treasuries for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open Commodity Futures. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasuries.

(e) Futures Contracts

The Master Fund utilizes futures contracts to obtain long exposure to Commodity Futures consistent with its investment objective. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges. In the Schedules of Investments, Commodity Futures are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard. See Note 4 — Fair Value Measurements. However, when market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

(f) Income Taxes

The Fund and Master Fund are treated as partnerships for U.S. federal income tax purposes. Accordingly, the Fund and Master Fund are not subject to U.S. federal income tax and may not be subject to state or local income taxes. As a result, no provision for federal, state or local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items.

The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution.

 

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(g) Subsequent Events

For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended June 30, 2019 and when the financial statements were issued.

During that period, no Shares were created and 250,000 Shares were redeemed for $4,312,528, resulting in 7,000,050 Total Shares outstanding.

Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

(4) Fair Value Measurements

The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Master Fund uses a three-tier fair value hierarchy based upon observable and unobservable inputs as follows:

 

  Level 1 —  

Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date.

 

  Level 2 —  

Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly.

 

  Level 3 —  

Unobservable inputs for the asset or liability.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Master Fund are either exchange-traded securities that are valued at the official closing price on the exchange where they are principally traded or U.S. government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. A summary of the Master Fund’s assets and liabilities at fair value as of June 30, 2019, classified according to the levels used to value them, is as follows:

 

Assets

   Quoted
Prices in
Active
Market
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Totals  

U.S. Treasury Obligations

   $ —        $ 124,737,197      $ —        $ 124,737,197  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

 

Unrealized depreciation on futures contracts

     (410,382      —          —          (410,382
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (410,382    $ 124,737,197      $ —        $ 124,326,815  
  

 

 

    

 

 

    

 

 

    

 

 

 

The Master Fund did not hold any Level 3 securities during the six months ended June 30, 2019.

A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2018, classified according to the levels used to value them, is as follows:

 

Assets

   Quoted
Prices in
Active
Market
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Totals  

U.S. Treasury Obligations

   $ —        $ 143,568,752      $ —        $ 143,568,752  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

 

Unrealized depreciation on futures contracts

     (7,560,832      —          —          (7,560,832
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (7,560,832    $ 143,568,752      $ —        $ 136,007,920  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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The Master Fund did not hold any Level 3 securities during the year ended December 31, 2018.

(5) Derivative Instruments and Hedging Activities

The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2019, the Master Fund was invested in Commodity Futures. For the six months ended June 30, 2019 and the year ended December 31, 2018, the volume of derivative activity (based on average month-end notional amounts) were $144,962,487 and $167,547,151, respectively.

The fair value of derivative instruments at June 30, 2019 and December 31, 2018, were as follows:

 

As of:

   Derivative
Instruments
     Asset
Derivatives (i)
     Liability
Derivatives (ii)
 

June 30, 2019

     Commodity Futures      $ —        $ 410,382  

December 31, 2018

     Commodity Futures      $ —        $ 7,560,832  

 

(i)

Values are disclosed on the Statements of Financial Condition under Net unrealized appreciation on futures contracts.

(ii)

Values are disclosed on the Statements of Financial Condition under Net unrealized depreciation on futures contracts.

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the three months and six months ended June 30, 2019 and 2018:

 

Period

   Derivative
Instruments
     Realized Gain (Loss)
on Derivative
Instruments (i)
     Net Increase (Decrease) in
Unrealized
Appreciation/Depreciation
on Derivative
Instruments (ii)
 

Three months ended June 30, 2019

     Commodity Futures      $ (2,029,620    $ (41,919

Three months ended June 30, 2018

     Commodity Futures        647,973        (4,692,279

Six months ended June 30, 2019

     Commodity Futures        (4,618,485      7,150,450  

Six months ended June 30, 2018

     Commodity Futures        2,409,544        (6,880,222

 

(i)

Values are disclosed on the Statements of Income and Expenses under Net realized gain (loss) from futures contracts.

(ii)

Values are disclosed on the Statements of Income and Expenses under Net increase (decrease) in unrealized appreciation/depreciation from futures contracts.

(6) Financial Instrument Risk

In the normal course of its business, the Master Fund may be party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Master Fund are Commodity Futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Master Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statement of Financial Condition and not represented by the contract or notional amounts of the instruments.

 

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The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.

(7) Share Creations and Redemptions

The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. To compensate the Administrator for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $200 per order.

“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. In particular, Net Asset Value includes any unrealized profit or loss on open Commodity Futures, and any other credit or debit accruing to the Master Fund but unpaid or not received by the Master Fund.

(a) Creation of Shares

General. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Purchase orders must be placed by 10:00 a.m. ET. The day on which a valid purchase order is received is the purchase order date. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the purchase order.

Determination of Required Payment. The total payment required to create each Basket is the Net Asset Value of 50,000 Shares as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m. ET, on the business day immediately following the purchase order date at the Net Asset Value per Share as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.

Because orders to create Baskets must be placed by 10:00 a.m. ET, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m. ET, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.

Rejection of Purchase Orders. The Administrator may reject a creation order if:

(i) it determines that the creation order is not in proper form;

(ii) the Managing Owner believes that the purchase order would have adverse tax consequences to the Fund or its Shareholders; or

(iii) circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets.

The Distributor and the Managing Owner will not be liable for the rejection of any purchase order.

(b) Redemption of Shares

General. The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m. ET. The day on which a valid redemption order is received in proper form is the redemption order date. Redemption orders are irrevocable. Shareholders may not redeem directly from the Fund. By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than 12:00 p.m. ET, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account will be charged the non-refundable transaction fee due for the redemption order.

 

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Determination of Required Payment. The redemption proceeds from the Fund consists of the cash redemption amount equal to the Net Asset Value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at 12:00 p.m. ET, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.

Delivery of Redemption Proceeds. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 12:00 p.m. ET, on the business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Distributor receives the fee applicable to the extension of the redemption distribution date which the Distributor may, from time-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 12:00 p.m. ET, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Distributor is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 12:00 p.m. ET, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Distributor and the Managing Owner may from time-to-time agree.

Suspension or Rejection of Redemption Orders. The Managing Owner may suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. The Managing Owner will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.

A redemption order may be rejected if the order is not in proper form as described in the order form and/or Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful.

(8) Operating Expenses

(a) Management Fee

The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. The Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Master Fund. For the three months and six months ended June 30, 2019 and 2018, the Management Fee paid by the Master Fund was as follows:

 

Period

   Management
Fee
     Voluntary
Fee Waiver
     Net Management
Fee
 

Three months ended June 30, 2019

   $ 286,421      $ (33,697    $ 252,724  
  

 

 

    

 

 

    

 

 

 

Three months ended June 30, 2018

   $ 384,216      $ (45,201    $ 339,015  
  

 

 

    

 

 

    

 

 

 

Six months ended June 30, 2019

   $ 620,182      $ (72,963    $ 547,219  
  

 

 

    

 

 

    

 

 

 

Six months ended June 30, 2018

   $ 743,693      $ (87,493    $ 656,200  
  

 

 

    

 

 

    

 

 

 

(b) Brokerage Commissions

Brokerage commissions are charged against the Fund’s assets on a per transaction basis. Brokerage commissions incurred for the three months ended June 30, 2019 were $43,311 and for the three months ended June 30, 2018 were $54,559 and for the six months ended June 30, 2019 were $82,255 and for the six months ended June 30, 2018 were $91,306.

(9) Profit and Loss Allocations and Distributions

The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on a pro-rata basis in accordance with the respective capital balances of the Shareholders, but the Fund is under no obligation to make periodic distributions to Shareholders. The Fund has made no distributions to its Shareholders since the Fund commenced operations.

 

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(10) Commitments and Contingencies

The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Funds, has entered into various service agreements that contain indemnification and exculpation provisions with respect to costs, expenses, damages, liabilities and/or claims that may be incurred by a service provider in connection with the provision of its services to the Funds. As of June 30, 2019, no party to any such service agreement has made a claim against the Funds, and it is therefore not possible to estimate the Funds’ potential future exposure under such indemnification and exculpation provisions.

(11) Net Asset Value and Financial Highlights

The Fund is presenting the following Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the three months and six months ended June 30, 2019 and 2018.

 

     Three Months
Ended
June 30, 2019
    Three Months
Ended
June 30, 2018
    Six Months
Ended
June 30, 2019
    Six Months
Ended
June 30, 2018
 

Net Asset Value

 

Net asset value per Limited Share, beginning of period

   $ 18.04     $ 19.25     $ 17.50     $ 19.25  

Investment operations:

 

Net realized and unrealized gain (loss)(1)

     (0.25     (0.43     0.22       (0.46

Net investment income(2)

     0.06       0.04       0.13       0.07  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     (0.19     (0.39     0.35       (0.39
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Limited Share, end of period

   $ 17.85     $ 18.86     $ 17.85     $ 18.86  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return, at net asset value(3)

     (1.05 )%      (2.03 )%      2.00     (2.03 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratio/Supplemental Data:

 

Net assets, end of period (000’s omitted)

   $ 129,395     $ 172,533     $ 129,395     $ 172,533  
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average net assets of:

 

Net investment income(4)

     1.46     0.83     1.47     0.68
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, prior to expense waivers(4)

     0.85     0.85     0.85     0.85
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses, net of expense waivers(4)

     0.75     0.75     0.75     0.75
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(1)

Includes brokerage commissions of less than $0.01 per share for the three months ended June 30, 2019 and 2018, respectively, and includes brokerage commissions of $0.01 per share for the six months ended June 30, 2019 and 2018, respectively. See Note 8(b) on page 25.

(2)

Based on average shares outstanding.

(3)

Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page 25.

(4)

Annualized.

 

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

The following discussion should be read in conjunction with the Funds’ Financial Statements and the related Notes to the Funds’ Financial Statements included elsewhere in this Quarterly Report.

This Quarterly Report, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of the Managing Owner for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Funds’ actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Funds’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Funds cannot assure investors that these projections included in these forward-looking statements will come to pass. The Funds’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

The Funds have based the forward-looking statements included in this Quarterly Report on information available to it as close to the filing date of this Quarterly Report as reasonably practicable, and the Funds assume no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the Funds may make directly to them or through reports that the Funds file in the future with the SEC, including Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q and Current Reports on Form 8-K.

Introduction

WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”) of the Funds, and GreenHaven Advisors LLC serves as the commodity trading advisor (the “Sub-Adviser”).

The Fund continuously offers shares representing common units of fractional undivided beneficial interest in and ownership of the Fund (“Shares”).

The Fund invests substantially all of its assets in the Master Fund in a master-feeder structure. The Master Fund is wholly-owned by the Fund and the Managing Owner. The Master Fund and the Fund each follow the same investment objective. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Upon inception of the Master Fund, the Master Fund issued 50 of its general units to the Managing Owner in exchange for a capital contribution of $1,500. Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.

The Fund’s investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index (the “Index”), before Fund expenses. The Index Commodities consist of corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC, is the owner, publisher and calculation agent of the Index (the “Index Sponsor”). The Index Sponsor is not an affiliate of the Funds or the Managing Owner.

The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a portfolio of Commodity Futures on the Index Commodities (the “Portfolio”). The Portfolio also includes U.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasuries on deposit towards satisfying any margin requirements related to the Commodity Futures in the Master Fund’s futures account.

 

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Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.

Under the Trust Agreements, Delaware Trust Company, the Trustee of the Funds, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor does the Trustee have any liability for the acts or omissions of the Managing Owner.

The Shares are intended to provide investment results that generally correspond to the changes, positive or negative, in the levels of the Index over time. The value of the Shares is expected to fluctuate in relation to changes in the value of the Master Fund’s Portfolio. The market price of the Shares may not be identical to the Net Asset Value per Share, but these two valuations are expected to be very close.

The Fund is listed on the NYSE Arca under the symbol “GCC.”

Performance Summary

There is no performance history prior to the beginning of trading on January 24, 2008. For current five-year performance history subsequent to the beginning of trading, see the “Results of Operations” section below.

Net Asset Value

“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. The Funds’ Administrator calculates the Net Asset Value once each NYSE Arca trading day. The Net Asset Value for a particular trading day is released after 5:00 p.m. ET and posted at www.wisdomtree.com. To provide updated information relating to the Funds for use by investors and market professionals, the NYSE Arca calculates and disseminates throughout the trading day an updated “indicative fund value.” The indicative intra-day value is calculated by using the prior day’s closing Net Asset Value as a base and updating that value throughout the trading day to reflect changes in the value of the Master Fund’s Commodity Futures during the trading day. The indicative intra-day value will be disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m. ET to 4:00 p.m. ET. The indicative intra-day value is an approximate value and should not be viewed as a “real” time update of the Net Asset Value.

Critical Accounting Policies

Critical accounting policies for the Funds are as follows:

Preparation of the financial statements and related disclosures in conformity with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the consolidated financial statements and accompanying notes. Both the Fund and the Master Fund apply these policies that involve judgments and actual results may differ from the estimates used.

The Master Fund holds a significant portion of its assets in Commodity Futures and U.S. Treasuries, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the statements of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Master Fund’s financial statements. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). When market closing prices are not available, the Managing Owner may value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable.

Interest income on U.S. Treasuries is recognized on an accrual basis when earned. Discounts and premiums are amortized or accreted over the life of the U.S. Treasuries.

 

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Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the statements of income and expenses in the period in which the contract is closed or the changes occur, respectively.

Asset Valuation

In determining fair value of U.S. Treasuries and Commodity Futures, the Fund uses unadjusted quoted market prices in active markets and a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. See Note 4 – Fair Value Measurements for further information regarding this accounting policy.

Market Risk

See Item 1A – Risk Factors and Item 3 – Quantitative and Qualitative Disclosures About Market Risk for a complete discussion of market risk.

Credit Risk

The Master Fund holds two types of investments: (1) short-term U.S. Treasury obligations, and (2) long positions in futures contracts on the seventeen Index Commodities. Since the Index allocates equally among the components and is rebalanced daily, performance risk of the Commodity Futures is divided equally among the components. Each of the Index Commodities is traded on the CME Group or ICE exchanges.

The CME Group and ICE exchanges guarantee the performance of its outstanding Commodity Futures. Each exchange is also publicly traded and, in the Managing Owner’s opinion, well-capitalized. Each uses a system of margining and daily cash settlement of unrealized gains and losses in open positions, which reduces counterparty risk for market participants. Hence, the Managing Owner believes that the Master Fund faces minimal credit or counterparty risk in its futures trading and contract positions.

The Master Fund will also hold significant cash balances representing the excess of invested funds above the margin requirements for its Commodity Futures. To the extent practical, the Fund will hold this excess cash in short-term U.S. Treasury obligations. Hence, the Managing Owner assigns no counterparty risk to such holdings.

Liquidity

The Funds do not anticipate making use of borrowings or other lines of credit to meet their obligations. The Funds meet liquidity needs in the normal course of business from cash, cash equivalents, and/or the sale of U.S. Treasuries it holds. The Funds’ liquidity needs include: redeeming Shares, providing margin deposits for existing Commodity Futures, the purchase of additional Commodity Futures and paying expenses.

The Funds generate cash primarily from (i) the sale of creation Baskets and (ii) interest earned on cash, cash equivalents and investments in collateralizing U.S. Treasuries. Substantially all of the net assets of the Master Fund are allocated to trading in Commodity Futures. Most of the assets of the Master Fund are held in U.S. Treasuries, cash and/or cash equivalents that could or are used as margin or collateral for trading in Commodity Futures. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Commodity Futures change. Interest earned on interest-bearing assets of the Master Fund is paid to the Master Fund.

The investments of the Master Fund in Commodity Futures could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Master Fund from promptly liquidating a position in Commodity Futures.

Contractual Obligations

The Funds’ contractual obligations are with the Managing Owner and the Commodity Broker. Management Fee payments made to the Managing Owner are calculated as a fixed percentage of Net Asset Value. Commissions paid by the Master Fund to the Commodity Broker are on a per contract half-turn basis. As such, the Managing Owner cannot anticipate the amount of payments and commissions related to half-turns or round-turns that will be required under these arrangements for future periods as the amount and level of future trading activity is unknown.

 

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Off-Balance Sheet Risk

In the normal course of business, the Funds are party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Fund are standardized Commodity Futures traded on regulated exchanges and are recognized on the balance sheet at fair value pursuant to the accounting standards for derivatives and hedging activities, “Accounting for Derivative Instruments and Hedging Activities.” As of September 30, 2018, therefore, the Funds have no unrecorded liabilities relating to Commodity Futures. However, until these contracts are closed, they will fluctuate in value with changing commodity prices.

Results of Operations

FOR THE FIVE-YEAR PERIOD ENDED JUNE 30, 2019

The Fund was launched on January 23, 2008 at $30.00 per share and listed for trading on the NYSE Arca, formerly the American Stock Exchange, on January 24, 2008. The total returns shown in the below table are based on Net Asset Value. Net Asset Value returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at Net Asset Value. The Net Asset Value returns do not reflect brokerage commissions or taxes on transactions in Shares or taxes that a shareholder would pay on Fund distributions.

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Date

   Net Asset Value
Per Share
     Total Shares      Net Assets      1 Month     3 Months     Year to Date     Cumulative Return
Since Inception
 

7/31/2014

   $ 26.62        13,150,050      $ 350,041,597        -4.62     -7.38     3.58     -11.27

8/31/2014

   $ 26.25        13,150,050      $ 345,220,665        -1.39     -5.51     2.14     -12.50

9/30/2014

   $ 24.79        12,950,050      $ 321,017,239        -5.56     -11.18     -3.54     -17.37

10/31/2014

   $ 24.73        12,750,050      $ 315,332,090        -0.24     -7.10     -3.77     -17.57

11/30/2014

   $ 23.97        12,250,050      $ 293,666,858        -3.07     -8.69     -6.73     -20.10

12/31/2014

   $ 22.81        11,700,050      $ 266,898,134        -4.84     -7.99     -11.25     -23.97

1/31/2015

   $ 21.83        11,600,050      $ 253,276,499        -4.30     -11.73     -4.30     -27.23

2/28/2015

   $ 22.21        11,400,050      $ 253,156,514        1.74     -7.34     -2.63     -25.97

3/31/2015

   $ 21.20        11,500,050      $ 243,765,407        -4.55     -7.06     -7.06     -29.33

4/30/2015

   $ 21.90        11,450,050      $ 250,728,635        3.30     0.32     -3.99     -27.00

5/31/2015

   $ 21.51        11,550,050      $ 248,405,407        -1.78     -3.15     -5.70     -28.30

6/30/2015

   $ 22.08        12,650,050      $ 279,283,550        2.65     4.15     -3.20     -26.40

7/31/2015

   $ 20.14        12,350,050      $ 248,781,672        -8.79     -8.04     -11.71     -32.87

8/31/2015

   $ 19.89        12,250,050      $ 243,701,247        -1.24     -7.53     -12.80     -33.70

9/30/2015

   $ 19.48        12,350,050      $ 240,610,264        -2.06     -11.78     -14.60     -35.07

10/31/2015

   $ 19.80        12,450,050      $ 246,482,902        1.64     -1.69     -13.20     -34.00

11/30/2015

   $ 18.65        12,600,050      $ 234,930,303        -5.81     -6.23     -18.24     -37.83

12/31/2015

   $ 18.56        12,100,050      $ 224,518,525        -0.48     -4.72     -18.63     -38.13

1/31/2016

   $ 18.08        11,800,050      $ 213,290,323        -2.59     -8.69     -2.59     -39.73

2/29/2016

   $ 17.95        11,500,050      $ 206,423,399        -0.72     -3.75     -3.29     -40.17

3/31/2016

   $ 18.73        11,350,050      $ 212,556,966        4.35     0.92     0.92     -37.57

4/30/2016

   $ 19.83        11,400,050      $ 226,055,159        5.87     9.68     6.84     -33.90

5/31/2016

   $ 19.61        11,450,050      $ 224,548,529        -1.11     9.25     5.66     -34.63

6/30/2016

   $ 20.42        11,100,050      $ 226,681,895        4.13     9.02     10.02     -31.93

7/31/2016

   $ 19.83        11,350,050      $ 225,092,558        -2.89     0.00     6.84     -33.90

8/31/2016

   $ 19.33        11,450,050      $ 221,349,718        -2.52     -1.43     4.15     -35.57

9/30/2016

   $ 19.51        10,950,050      $ 213,673,816        0.93     -4.46     5.12     -34.97

10/31/2016

   $ 19.62        10,950,050      $ 214,888,405        0.56     -1.06     5.71     -34.60

11/30/2016

   $ 19.39        11,300,050      $ 219,111,876        -1.17     0.31     4.47     -35.37

12/31/2016

   $ 19.35        11,350,050      $ 219,660,595        -0.21     -0.82     4.26     -35.50

1/31/2017

   $ 19.82        11,350,050      $ 224,901,754        2.43     1.02     2.43     -33.93

2/28/2017

   $ 19.70        10,750,050      $ 211,819,623        -0.61     1.60     1.81     -34.33

3/31/2017

   $ 19.25        10,150,050      $ 195,428,354        -2.28     -0.52     -0.52     -35.83

4/30/2017

   $ 18.93        9,450,050      $ 178,936,038        -1.66     -4.49     -2.17     -36.90

5/31/2017

   $ 18.85        8,900,050      $ 167,788,181        -0.42     -4.31     -2.58     -37.17

6/30/2017

   $ 18.68        8,850,050      $ 165,359,886        -0.90     -2.96     -3.46     -37.73

7/31/2017

   $ 19.15        8,750,050      $ 167,534,220        2.52     1.16     -1.03     -36.17

8/31/2017

   $ 18.84        8,750,050      $ 164,834,840        -1.62     -0.05     -2.64     -37.20

9/30/2017

   $ 18.76        8,550,050      $ 160,409,438        -0.42     0.43     -3.05     -37.47

10/31/2017

   $ 19.08        8,400,050      $ 160,283,921        1.71     -0.37     -1.40     -36.40

11/30/2017

   $ 19.11        8,200,050      $ 156,718,600        0.16     1.43     -1.24     -36.30

12/31/2017

   $ 19.25        8,050,050      $ 154,956,309        0.73     2.61     -0.52     -35.83

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

 

Date

   Net Asset Value
Per Share
     Total Shares      Net Assets      1 Month     3 Months     Year to Date     Cumulative Return
Since Inception
 

1/31/2018

   $ 19.50           8,800,050      $ 171,590,704        1.30     2.20     1.30     -35.00

2/28/2018

   $ 19.45        9,150,050      $ 177,987,164        -0.26     1.78     1.04     -35.17

3/31/2018

   $ 19.25        9,400,050      $ 180,938,291        -1.03     0.00     0.00     -35.83

4/30/2018

   $ 19.48        9,300,050      $ 181,169,802        1.19     -0.10     1.19     -35.07

5/31/2018

   $ 19.73        9,400,050      $ 185,447,260        1.28     1.44     2.49     -34.23

6/30/2018

   $ 18.86        9,150,050      $ 172,533,165        -4.41     -2.03     -2.03     -37.13

7/31/2018

   $ 18.36        9,400,050      $ 172,579,285        -2.65     -5.75     -4.62     -38.80

8/31/2018

   $ 18.02        9,000,050      $ 162,207,008        -1.85     -8.67     -6.39     -39.93

9/30/2018

   $ 18.08        8,800,050      $ 159,102,078        0.33     -4.14     -6.08     -39.73

10/31/2018

   $ 18.28        8,650,050      $ 158,160,214        1.11     -0.44     -5.04     -39.07

11/30/2018

   $ 17.96        8,350,050      $ 149,939,026        -1.75     -0.33     -6.70     -40.13

12/31/2018

   $ 17.50        8,850,050      $ 154,855,001        -2.56     -3.21     -9.09     -41.67

1/31/2019

   $ 18.09        9,000,050      $ 162,845,090        3.37     -1.04     3.37     -39.70

2/28/2019

   $ 18.07        8,700,050      $ 157,241,808        -0.11     0.61     3.26     -39.77

3/31/2019

   $ 18.04        7,950,050      $ 143,407,805        -0.17     3.09     3.09     -39.87

4/30/2019

   $ 17.90        7,700,050      $ 137,843,116        -0.78     -1.05     2.29     -40.33

5/31/2019

   $ 17.53        7,450,050      $ 130,608,270        -2.07     -2.99     0.17     -41.57

6/30/2019

   $ 17.85        7,250,050      $ 129,395,183        1.83     -1.05     2.00     -40.50

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

LOGO

 

33


Table of Contents

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

LOGO

The Fund and the Master Fund seek to track changes in the Index over time. For the six months ended June 30, 2019, the Fund’s Net Asset Value underperformed the Index by 0.50%. For the six months ended June 30, 2018, the Fund’s Net Asset Value underperformed the Index by 0.56%.

The Funds are unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

The Funds are designed to replicate a commodity index. The market-sensitive instruments held by the Master Fund are subject to the risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is integral, not incidental, to the Funds’ main line of business.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.

Market movements can produce frequent changes in the fair market value of the Master Fund’s open positions and, consequently, in its earnings and cash flows. The Funds’ market risk is primarily influenced by changes in the price of the Index Commodities.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. Examples of these special circumstances include the unavailability of the Index or certain natural or man-made disasters impacting the United States and global financial markets. The Managing Owner does not apply risk management techniques. The Master Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.

 

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Table of Contents

Quantitative Disclosures

Market Risk by Sector

The following were the primary trading risk exposures of the Fund as of June 30, 2019 by market sector. The table below indicates the sector weighting of the Commodity Futures held within the Master Fund.

 

Sector

   Sector Weight    

Commodity

Grains

     23.56   Corn, Soybean, Wheat, Soybean Oil

Livestock

     11.78   Lean Hogs, Live Cattle

Metals

     23.52   Gold 100 Ounce, Silver, Platinum, Copper

Energy

     17.56   WTI Crude Oil, Natural Gas, NY Harbor ULSD

Softs

     23.58   Cocoa, Coffee “C”, Cotton No. 2, Sugar No. 11

Commodity Price Sensitivity and Interest Rate Sensitivity

The Master Fund is exposed to commodity price risk through its holdings of Commodity Futures and interest rate risk through its holdings of short-term U.S. Treasuries. The following tables provides information about the Master Fund’s investments, which were sensitive to both commodity price and interest rate risk.

As of June 30, 2019, the Master Fund’s long exposure Commodity Futures subject to commodity price risk were as follows:

 

Description

  

Range of

Expiration Dates

   Number of
Contracts
     Weighted-
Average
Price
per
Contract
     Contract
Multiplier
     Notional Value      Unrealized
Appreciation/
(Depreciation)
 

Energy

                 

Natural Gas

   August 2019 - December 2019      308      $ 2.46        10,000      $ 7,569,260      $ (773,790

NY Harbor ULSD

   August 2019 - December 2019      92        1.96        42,000        7,561,680        56,972  

WTI Crude Oil

   August 2019 - December 2019      130        58.17        1,000        7,561,580        163,730  

Grains

                 

Corn

   September 2019 - December 2019      355        4.28        5,000        7,599,050        333,201  

Soybean

   November 2019 - January 2020      164        9.29        5,000        7,615,750        109,750  

Soybean Oil

   September 2019 - January 2020      441        0.29        60,000        7,605,774        (241,956

Wheat

   September 2019 - December 2019      286        5.33        5,000        7,620,113        370,325  

Livestock

                 

Lean Hogs

   August 2019 - February 2020      259        0.74        40,000        7,620,100        (572,930

Live Cattle

   October 2019 - February 2020      173        1.10        40,000        7,605,710        (444,900

Metals

                 

Copper

   September 2019 - December 2019      112        2.72        25,000        7,607,600        (230,575

Gold 100 Ounce

   December 2019 - February 2020      53        1,427.65        100        7,566,530        472,490  

Platinum

   October 2019 - January 2020      180        843.65        50        7,592,850        200,935  

Silver

   September 2019 - December 2019      99        15.39        5,000        7,620,295        27,285  

 

35


Table of Contents

Description

  

Range of

Expiration Dates

   Number of
Contracts
     Weighted-
Average
Price
per
Contract
     Contract
Multiplier
     Notional Value      Unrealized
Appreciation/
(Depreciation)
 

Softs

                 

Cocoa

   September 2019 - December 2019      312      $ 2,441.50        10      $ 7,617,480      $ 101,980  

Coffee “C”

   September 2019 - December 2019      183        1.11        37,500        7,633,856        653,831  

Cotton No. 2

   December 2019 - March 2020      229        0.66        50,000        7,600,930        (490,850

Sugar No. 11

   September 2019 - February 2020      520        0.13        112,000        7,620,704        (145,880
              

 

 

    

 

 

 
               $ 129,219,262      $ (410,382
              

 

 

    

 

 

 

As of June 30, 2019, the Master Fund’s aggregate position in short-term U.S. Treasuries subject to interest rate risk were as follows:

 

Description

  

Range of Yields to Maturity

   Range of
Maturity Dates
     Face Amount      Fair Value      Unrealized
Appreciation/
(Depreciation)
 

U.S. Treasury Obligations

              

U.S. Treasury Bills

   2.19% - 2.41%      July 2019 – September 2019      $ 125,000,000      $ 124,737,197      $ 17,725  

Item 4. Controls and Procedures.

Disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Funds carried out an evaluation of the effectiveness of the design and operation of their respective disclosure controls and procedures (as defined in Rule 13a-15(f)) of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Funds’ disclosure controls and procedures were effective as of the end of the period covered by this quarterly report.

Changes in Internal Control over Financial Reporting

The Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting. The Managing Owner’s internal control system is designed to provide reasonable assurance to the Funds’ management regarding the preparation and fair presentation of published financial statements. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

The Managing Owner does not believe that there have been any change in the Funds’ internal control over financial reporting during the three months and six months ended June 30, 2019 that has materially affected, or is reasonably likely to materially affect, the Funds’ internal control over financial reporting.

 

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Table of Contents

PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

Not Applicable.

Item 1A. Risk Factors.

The Funds have filed their Annual Report on Form 10-K for the year ended December 31, 2018, with the SEC on February 28, 2019, which sets forth certain risk factors in Part I, Item 1A therein. The Funds have not experienced any material changes from the risk factors previously described in the Annual Report on Form 10-K for the year ended December 31, 2018.