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 March 31, 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 issuers classes of common stock as of May 8, 2019: 7,550,000 Limited Units and 50 General Units.
WisdomTree Continuous Commodity Index Fund
WisdomTree Continuous Commodity Index Master Fund
i
PART I FINANCIAL INFORMATION
WisdomTree Continuous Commodity Index Fund
Consolidated Statements of Financial Condition
March 31, 2019 (unaudited) and December 31, 2018
March 31, 2019 (unaudited) |
December 31, 2018 |
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Assets: |
| |||||||
Cash |
$ | 1,908,898 | $ | 1,542,378 | ||||
Cash held by broker for futures contracts (Note 3) |
2,354,551 | 8,651,045 | ||||||
Short-term investments (cost $139,606,193 and $143,563,956 as of March 31, 2019 and December 31, 2018, respectively) |
139,609,648 | 143,568,752 | ||||||
Receivable for capital shares sold |
| 8,748,821 | ||||||
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Total Assets |
143,873,097 | 162,510,996 | ||||||
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Liabilities and shareholders equity: |
| |||||||
Net unrealized depreciation on futures contracts |
368,463 | 7,560,832 | ||||||
Net management fee payable to related party (Note 8) |
96,829 | 95,163 | ||||||
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Total Liabilities |
465,292 | 7,655,995 | ||||||
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Shareholders equity: |
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General Units: |
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Paid in capital50 units issued and outstanding (unlimited authorized) |
1,500 | 1,500 | ||||||
Accumulated deficit |
(598 | ) | (625 | ) | ||||
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Total General Units |
902 | 875 | ||||||
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Limited Units: |
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Paid in capital7,950,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of March 31, 2019 and December 31, 2018, respectively |
282,316,201 | 298,946,484 | ||||||
Accumulated deficit |
(138,909,298 | ) | (144,092,358 | ) | ||||
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Total Limited Units |
143,406,903 | 154,854,126 | ||||||
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Total shareholders equity |
143,407,805 | 154,855,001 | ||||||
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Total liabilities and shareholders equity |
$ | 143,873,097 | $ | 162,510,996 | ||||
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Net asset value per share |
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General Units |
$ | 18.04 | $ | 17.50 | ||||
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Limited Units |
$ | 18.04 | $ | 17.50 | ||||
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See accompanying notes to unaudited consolidated financial statements
1
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
March 31, 2019
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
||||||||||||||||
U.S. Treasury Bills |
||||||||||||||||
2.37%, 4/11/19* |
23.00 | % | $ | 32,978,281 | $ | 33,000,000 | ||||||||||
2.37%, 5/2/19* |
22.96 | 32,933,399 | 33,000,000 | |||||||||||||
2.42%, 5/23/19*(a) |
25.71 | 36,874,940 | 37,000,000 | |||||||||||||
2.44%, 6/13/19*(a) |
25.68 | 36,823,028 | 37,000,000 | |||||||||||||
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|
|||||||||||
Total U.S. Treasury Obligations (Cost: $139,606,193) |
|
97.35 | % | $ | 139,609,648 | $ | 140,000,000 | |||||||||
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Description |
Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
| |||||||||||||||
Cocoa |
| |||||||||||||||
expiration date 5/15/19 |
124 | 0.03 | % | $ | 44,070 | $ | 2,827,200 | |||||||||
expiration date 7/16/19 |
123 | (0.03 | ) | (44,650 | ) | 2,792,100 | ||||||||||
expiration date 9/13/19 |
124 | (0.01 | ) | (11,340 | ) | 2,816,040 | ||||||||||
Coffee C |
||||||||||||||||
expiration date 5/20/19 |
78 | (0.25 | ) | (353,662 | ) | 2,764,125 | ||||||||||
expiration date 7/19/19 |
77 | (0.27 | ) | (384,075 | ) | 2,802,319 | ||||||||||
expiration date 9/18/19 |
77 | (0.22 | ) | (311,044 | ) | 2,880,281 | ||||||||||
Copper |
||||||||||||||||
expiration date 5/29/19 |
38 | 0.14 | 197,775 | 2,789,200 | ||||||||||||
expiration date 7/29/19 |
38 | 0.14 | 203,300 | 2,794,900 | ||||||||||||
expiration date 9/26/19 |
38 | 0.07 | 97,025 | 2,799,650 | ||||||||||||
Corn |
||||||||||||||||
expiration date 5/14/19 |
154 | (0.14 | ) | (203,400 | ) | 2,745,050 | ||||||||||
expiration date 7/12/19 |
154 | (0.14 | ) | (206,425 | ) | 2,820,125 | ||||||||||
expiration date 9/13/19 |
153 | (0.11 | ) | (153,875 | ) | 2,868,750 | ||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 5/8/19 |
108 | 0.07 | 92,430 | 4,190,940 | ||||||||||||
expiration date 7/9/19 |
108 | 0.04 | 55,440 | 4,228,740 | ||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 6/26/19 |
33 | 0.02 | 26,720 | 4,285,050 | ||||||||||||
expiration date 8/28/19 |
32 | (0.03 | ) | (43,640 | ) | 4,174,400 | ||||||||||
Lean Hogs |
||||||||||||||||
expiration date 4/12/19 |
49 | 0.13 | 188,870 | 1,516,550 | ||||||||||||
expiration date 6/14/19 |
49 | 0.10 | 144,360 | 1,735,580 | ||||||||||||
expiration date 7/15/19 |
49 | 0.13 | 189,900 | 1,807,120 | ||||||||||||
expiration date 8/14/19 |
49 | 0.16 | 224,840 | 1,823,780 | ||||||||||||
expiration date 10/14/19 |
48 | 0.17 | 237,090 | 1,553,760 | ||||||||||||
Live Cattle |
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expiration date 6/28/19 |
59 | 0.07 | 100,620 | 2,808,400 | ||||||||||||
expiration date 8/30/19 |
60 | 0.02 | 34,480 | 2,776,200 | ||||||||||||
expiration date 10/31/19 |
60 | 0.02 | 28,110 | 2,803,800 | ||||||||||||
Natural Gas |
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expiration date 4/26/19 |
61 | (0.03 | ) | (37,050 | ) | 1,623,820 | ||||||||||
expiration date 5/29/19 |
61 | (0.02 | ) | (25,580 | ) | 1,654,930 | ||||||||||
expiration date 6/26/19 |
61 | (0.02 | ) | (29,780 | ) | 1,690,920 | ||||||||||
expiration date 7/29/19 |
61 | 0.01 | 15,480 | 1,706,170 | ||||||||||||
expiration date 8/28/19 |
61 | 0.02 | 24,350 | 1,703,730 | ||||||||||||
NY Harbor ULSD |
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expiration date 4/30/19 |
21 | 0.02 | 25,893 | 1,738,775 | ||||||||||||
expiration date 5/31/19 |
20 | 0.04 | 58,687 | 1,658,832 | ||||||||||||
expiration date 6/28/19 |
20 | 0.06 | 86,402 | 1,663,116 | ||||||||||||
expiration date 7/31/19 |
20 | 0.04 | 52,093 | 1,669,668 | ||||||||||||
expiration date 8/30/19 |
20 | 0.04 | 61,522 | 1,678,656 | ||||||||||||
Platinum |
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expiration date 7/29/19 |
98 | 0.05 | 63,780 | 4,185,090 | ||||||||||||
expiration date 10/29/19 |
99 | 0.14 | 193,290 | 4,254,525 |
See accompanying notes to unaudited consolidated financial statements
2
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Schedule of Investments
March 31, 2019
(continued)
Description |
Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Silver |
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expiration date 5/29/19 |
37 | (0.04 | )% | $ | (50,440 | ) | $ | 2,795,350 | ||||||||
expiration date 7/29/19 |
37 | 0.02 | 34,540 | 2,812,740 | ||||||||||||
expiration date 9/26/19 |
37 | (0.09 | ) | (132,690 | ) | 2,829,575 | ||||||||||
Soybean |
||||||||||||||||
expiration date 5/14/19 |
63 | (0.06 | ) | (81,175 | ) | 2,785,387 | ||||||||||
expiration date 7/12/19 |
63 | (0.07 | ) | (95,488 | ) | 2,827,912 | ||||||||||
expiration date 8/14/19 |
62 | (0.09 | ) | (125,950 | ) | 2,802,400 | ||||||||||
Soybean Oil |
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expiration date 5/14/19 |
98 | (0.02 | ) | (22,854 | ) | 1,667,568 | ||||||||||
expiration date 7/12/19 |
98 | (0.01 | ) | (14,154 | ) | 1,686,972 | ||||||||||
expiration date 8/14/19 |
97 | (0.02 | ) | (28,500 | ) | 1,678,488 | ||||||||||
expiration date 9/13/19 |
97 | (0.10 | ) | (139,878 | ) | 1,688,382 | ||||||||||
expiration date 10/14/19 |
97 | (0.09 | ) | (134,208 | ) | 1,697,112 | ||||||||||
Sugar No. 11 |
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expiration date 4/30/19 |
198 | 0.04 | 57,142 | 2,778,653 | ||||||||||||
expiration date 6/28/19 |
198 | (0.02 | ) | (35,034 | ) | 2,805,264 | ||||||||||
expiration date 9/30/19 |
197 | (0.06 | ) | (82,320 | ) | 2,857,288 | ||||||||||
Wheat |
||||||||||||||||
expiration date 5/14/19 |
121 | (0.29 | ) | (414,988 | ) | 2,769,388 | ||||||||||
expiration date 7/12/19 |
121 | (0.23 | ) | (327,700 | ) | 2,804,175 | ||||||||||
expiration date 9/13/19 |
121 | (0.21 | ) | (308,012 | ) | 2,849,550 | ||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 4/22/19 |
28 | 0.17 | 250,060 | 1,683,920 | ||||||||||||
expiration date 5/21/19 |
28 | 0.14 | 194,740 | 1,687,840 | ||||||||||||
expiration date 6/20/19 |
28 | 0.12 | 176,170 | 1,691,200 | ||||||||||||
expiration date 7/22/19 |
28 | 0.10 | 139,620 | 1,693,720 | ||||||||||||
expiration date 8/20/19 |
27 | 0.09 | 130,650 | 1,634,310 | ||||||||||||
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Total Futures Contracts Long Exposure (Exchange-Traded) |
|
(0.26 | )% | $ | (368,463 | ) | $ | 143,159,486 | ||||||||
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* | 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 $49,779,088 as of March 31, 2019. |
See accompanying notes to unaudited consolidated financial statements
3
WisdomTree Continuous Commodity Index Fund
Consolidated Schedule of Investments
December 31, 2018
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
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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 | |||||||||||||
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Total U.S. Treasury Obligations (Cost: $143,563,956) |
92.71 | % | $ | 143,568,752 | $ | 144,000,000 | ||||||||||
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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 |
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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 |
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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 |
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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 |
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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 |
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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
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 | ||||||||||
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Total Futures Contracts Long Exposure (Exchange-Traded) |
|
(4.88 | )% | $ | (7,560,832 | ) | $ | 154,657,797 | ||||||||
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|
|
* | 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
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended March 31, 2019 and 2018
2019 | 2018 | |||||||
Income: |
| |||||||
Interest income |
$ | 876,181 | $ | 537,926 | ||||
|
|
|
|
|||||
Expenses: |
| |||||||
Management fee to related party (Note 8) |
333,761 | 359,477 | ||||||
|
|
|
|
|||||
Total expenses |
333,761 | 359,477 | ||||||
|
|
|
|
|||||
Expense waivers (Note 8) |
(39,266 | ) | (42,292 | ) | ||||
|
|
|
|
|||||
Net expenses |
294,495 | 317,185 | ||||||
|
|
|
|
|||||
Net investment income |
581,686 | 220,741 | ||||||
|
|
|
|
|||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
||||||||
Net Realized Gain (Loss) from: |
| |||||||
Investments |
(762 | ) | | |||||
Futures Contracts* |
(2,588,865 | ) | 1,761,571 | |||||
|
|
|
|
|||||
Net Realized Gain (Loss) |
(2,589,627 | ) | 1,761,571 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||
Investments |
(1,341 | ) | (6,239 | ) | ||||
Futures Contracts |
7,192,369 | (2,187,943 | ) | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation |
7,191,028 | (2,194,182 | ) | |||||
|
|
|
|
|||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts |
4,601,401 | (432,611 | ) | |||||
|
|
|
|
|||||
Net Gain (Loss) |
$ | 5,183,087 | $ | (211,870 | ) | |||
|
|
|
|
|||||
* Includes brokerage commissions of: |
$ | 38,944 | $ | 36,747 | ||||
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
6
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders Equity
For the Three Months Ended March 31, 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 |
| | | | (1,500,000 | ) | (27,140,105 | ) | | (27,140,105 | ) | (27,140,105 | ) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
| | 3 | 3 | | | 581,683 | 581,683 | 581,686 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
| | (16 | ) | (16 | ) | | | (2,589,611 | ) | (2,589,611 | ) | (2,589,627 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
| | 40 | 40 | | | 7,190,988 | 7,190,988 | 7,191,028 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
| | 27 | 27 | | | 5,183,060 | 5,183,060 | 5,183,087 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
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 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
7
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders Equity
For the Three Months Ended March 31, 2018
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General |
Limited Units | Accumulated Deficit |
Total Limited Shareholders Equity |
Total Shareholders Equity |
||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | |||||||||||||||||||||||||||||||
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 |
| | | | 1,450,000 | 28,131,834 | | 28,131,834 | 28,131,834 | |||||||||||||||||||||||||||
Redemption of Units |
| | | | (100,000 | ) | (1,937,982 | ) | | (1,937,982 | ) | (1,937,982 | ) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
| | 0 | * | 0 | * | | | 220,741 | 220,741 | 220,741 | |||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts |
| | 10 | 10 | | | 1,761,561 | 1,761,561 | 1,761,571 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
| | (9 | ) | (9 | ) | | | (2,194,173 | ) | (2,194,173 | ) | (2,194,182 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain (Loss) |
| | 1 | 1 | | | (211,871 | ) | (211,871 | ) | (211,870 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
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 | ||||||||||||||||||
|
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|
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|
|
|
|
|
|
|
|
|
|
* | Amount represents less than $1. |
See accompanying notes to unaudited consolidated financial statements
8
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Statements of Cash Flows
For the Three Months Ended March 31, 2019 and 2018
2019 | 2018 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) |
$ | 5,183,087 | $ | (211,870 | ) | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
Purchases of investment securities |
(167,148,710 | ) | (180,337,272 | ) | ||||
Proceeds from sales/maturities of investment securities |
171,965,594 | 156,000,000 | ||||||
Net accretion of discount |
(859,883 | ) | (529,772 | ) | ||||
Net realized loss on investment securities |
762 | | ||||||
Net change in unrealized appreciation/depreciation from investments |
1,341 | 6,239 | ||||||
Net change in unrealized appreciation/depreciation from futures contracts |
(7,192,369 | ) | 2,187,943 | |||||
Changes in assets and liabilities |
| |||||||
Increase/(Decrease) in liabilities: |
| |||||||
Net management fee payable to related party |
1,666 | 18,003 | ||||||
|
|
|
|
|||||
Net cash provided by (used for) operating activities |
1,951,488 | (22,866,729 | ) | |||||
|
|
|
|
|||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units |
19,258,643 | 28,131,834 | ||||||
Redemption of Limited Units |
(27,140,105 | ) | (1,937,982 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used for) financing activities |
(7,881,462 | ) | 26,193,852 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(5,929,974 | ) | 3,327,123 | |||||
Cash* at beginning of period |
10,193,423 | 11,232,992 | ||||||
|
|
|
|
|||||
Cash* at end of period |
$ | 4,263,449 | $ | 14,560,115 | ||||
|
|
|
|
* | Includes cash held by the broker for futures contracts. |
See accompanying notes to unaudited consolidated financial statements
9
WisdomTree Continuous Commodity Index Master Fund
Statements of Financial Condition
March 31, 2019 (unaudited) and December 31, 2018
March 31, 2019 (unaudited) |
December 31, 2018 |
|||||||
Assets: |
| |||||||
Cash |
$ | 1,908,898 | $ | 1,542,378 | ||||
Cash held by broker for futures contracts (Note 3) |
2,354,551 | 8,651,045 | ||||||
Short-term investments (cost $139,606,193 and $143,563,956 as of March 31, 2019 and December 31, 2018, respectively) |
139,609,648 | 143,568,752 | ||||||
Receivable for capital shares sold |
| 8,748,821 | ||||||
|
|
|
|
|||||
Total Assets |
143,873,097 | 162,510,996 | ||||||
|
|
|
|
|||||
Liabilities and shareholders equity: |
| |||||||
Net unrealized depreciation on futures contracts |
368,463 | 7,560,832 | ||||||
Net management fee payable to related party (Note 8) |
96,829 | 95,163 | ||||||
|
|
|
|
|||||
Total Liabilities |
465,292 | 7,655,995 | ||||||
|
|
|
|
|||||
Shareholders equity: |
| |||||||
General Units: |
| |||||||
Paid in capital50 units issued and outstanding (unlimited authorized) |
1,500 | 1,500 | ||||||
Accumulated deficit |
(598 | ) | (625 | ) | ||||
|
|
|
|
|||||
Total General Units |
902 | 875 | ||||||
|
|
|
|
|||||
Limited Units: |
| |||||||
Paid in capital7,950,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of March 31, 2019 and December 31, 2018, respectively |
282,316,201 | 298,946,484 | ||||||
Accumulated deficit |
(138,909,298 | ) | (144,092,358 | ) | ||||
|
|
|
|
|||||
Total Limited Units |
143,406,903 | 154,854,126 | ||||||
|
|
|
|
|||||
Total shareholders equity |
143,407,805 | 154,855,001 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders equity |
$ | 143,873,097 | $ | 162,510,996 | ||||
|
|
|
|
|||||
Net asset value per share |
| |||||||
General Units |
$ | 18.04 | $ | 17.50 | ||||
|
|
|
|
|||||
Limited Units |
$ | 18.04 | $ | 17.50 | ||||
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
10
WisdomTree Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
March 31, 2019
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
2.37%, 4/11/19* |
|
23.00 | % | $ | 32,978,281 | $ | 33,000,000 | |||||||||
2.37%, 5/2/19* |
|
22.96 | 32,933,399 | 33,000,000 | ||||||||||||
2.42%, 5/23/19*(a) |
|
25.71 | 36,874,940 | 37,000,000 | ||||||||||||
2.44%, 6/13/19*(a) |
|
25.68 | 36,823,028 | 37,000,000 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $139,606,193) |
|
97.35 | % | $ | 139,609,648 | $ | 140,000,000 | |||||||||
|
|
|
|
|
|
|||||||||||
Description |
Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
| |||||||||||||||
Cocoa |
| |||||||||||||||
expiration date 5/15/19 |
124 | 0.03 | % | $ | 44,070 | $ | 2,827,200 | |||||||||
expiration date 7/16/19 |
123 | (0.03 | ) | (44,650 | ) | 2,792,100 | ||||||||||
expiration date 9/13/19 |
124 | (0.01 | ) | (11,340 | ) | 2,816,040 | ||||||||||
Coffee C |
||||||||||||||||
expiration date 5/20/19 |
78 | (0.25 | ) | (353,662 | ) | 2,764,125 | ||||||||||
expiration date 7/19/19 |
77 | (0.27 | ) | (384,075 | ) | 2,802,319 | ||||||||||
expiration date 9/18/19 |
77 | (0.22 | ) | (311,044 | ) | 2,880,281 | ||||||||||
Copper |
||||||||||||||||
expiration date 5/29/19 |
38 | 0.14 | 197,775 | 2,789,200 | ||||||||||||
expiration date 7/29/19 |
38 | 0.14 | 203,300 | 2,794,900 | ||||||||||||
expiration date 9/26/19 |
38 | 0.07 | 97,025 | 2,799,650 | ||||||||||||
Corn |
||||||||||||||||
expiration date 5/14/19 |
154 | (0.14 | ) | (203,400 | ) | 2,745,050 | ||||||||||
expiration date 7/12/19 |
154 | (0.14 | ) | (206,425 | ) | 2,820,125 | ||||||||||
expiration date 9/13/19 |
153 | (0.11 | ) | (153,875 | ) | 2,868,750 | ||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 5/8/19 |
108 | 0.07 | 92,430 | 4,190,940 | ||||||||||||
expiration date 7/9/19 |
108 | 0.04 | 55,440 | 4,228,740 | ||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 6/26/19 |
33 | 0.02 | 26,720 | 4,285,050 | ||||||||||||
expiration date 8/28/19 |
32 | (0.03 | ) | (43,640 | ) | 4,174,400 | ||||||||||
Lean Hogs |
||||||||||||||||
expiration date 4/12/19 |
49 | 0.13 | 188,870 | 1,516,550 | ||||||||||||
expiration date 6/14/19 |
49 | 0.10 | 144,360 | 1,735,580 | ||||||||||||
expiration date 7/15/19 |
49 | 0.13 | 189,900 | 1,807,120 | ||||||||||||
expiration date 8/14/19 |
49 | 0.16 | 224,840 | 1,823,780 | ||||||||||||
expiration date 10/14/19 |
48 | 0.17 | 237,090 | 1,553,760 | ||||||||||||
Live Cattle |
||||||||||||||||
expiration date 6/28/19 |
59 | 0.07 | 100,620 | 2,808,400 | ||||||||||||
expiration date 8/30/19 |
60 | 0.02 | 34,480 | 2,776,200 | ||||||||||||
expiration date 10/31/19 |
60 | 0.02 | 28,110 | 2,803,800 | ||||||||||||
Natural Gas |
||||||||||||||||
expiration date 4/26/19 |
61 | (0.03 | ) | (37,050 | ) | 1,623,820 | ||||||||||
expiration date 5/29/19 |
61 | (0.02 | ) | (25,580 | ) | 1,654,930 | ||||||||||
expiration date 6/26/19 |
61 | (0.02 | ) | (29,780 | ) | 1,690,920 | ||||||||||
expiration date 7/29/19 |
61 | 0.01 | 15,480 | 1,706,170 | ||||||||||||
expiration date 8/28/19 |
61 | 0.02 | 24,350 | 1,703,730 | ||||||||||||
NY Harbor ULSD |
||||||||||||||||
expiration date 4/30/19 |
21 | 0.02 | 25,893 | 1,738,775 | ||||||||||||
expiration date 5/31/19 |
20 | 0.04 | 58,687 | 1,658,832 | ||||||||||||
expiration date 6/28/19 |
20 | 0.06 | 86,402 | 1,663,116 | ||||||||||||
expiration date 7/31/19 |
20 | 0.04 | 52,093 | 1,669,668 | ||||||||||||
expiration date 8/30/19 |
20 | 0.04 | 61,522 | 1,678,656 | ||||||||||||
Platinum |
||||||||||||||||
expiration date 7/29/19 |
98 | 0.05 | 63,780 | 4,185,090 | ||||||||||||
expiration date 10/29/19 |
99 | 0.14 | 193,290 | 4,254,525 |
See accompanying notes to unaudited consolidated financial statements
11
WisdomTree Continuous Commodity Index Master Fund
Unaudited Schedule of Investments
March 31, 2019
(continued)
Description |
Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Silver |
||||||||||||||||
expiration date 5/29/19 |
37 | (0.04 | )% | $ | (50,440 | ) | $ | 2,795,350 | ||||||||
expiration date 7/29/19 |
37 | 0.02 | 34,540 | 2,812,740 | ||||||||||||
expiration date 9/26/19 |
37 | (0.09 | ) | (132,690 | ) | 2,829,575 | ||||||||||
Soybean |
||||||||||||||||
expiration date 5/14/19 |
63 | (0.06 | ) | (81,175 | ) | 2,785,387 | ||||||||||
expiration date 7/12/19 |
63 | (0.07 | ) | (95,488 | ) | 2,827,912 | ||||||||||
expiration date 8/14/19 |
62 | (0.09 | ) | (125,950 | ) | 2,802,400 | ||||||||||
Soybean Oil |
||||||||||||||||
expiration date 5/14/19 |
98 | (0.02 | ) | (22,854 | ) | 1,667,568 | ||||||||||
expiration date 7/12/19 |
98 | (0.01 | ) | (14,154 | ) | 1,686,972 | ||||||||||
expiration date 8/14/19 |
97 | (0.02 | ) | (28,500 | ) | 1,678,488 | ||||||||||
expiration date 9/13/19 |
97 | (0.10 | ) | (139,878 | ) | 1,688,382 | ||||||||||
expiration date 10/14/19 |
97 | (0.09 | ) | (134,208 | ) | 1,697,112 | ||||||||||
Sugar No. 11 |
||||||||||||||||
expiration date 4/30/19 |
198 | 0.04 | 57,142 | 2,778,653 | ||||||||||||
expiration date 6/28/19 |
198 | (0.02 | ) | (35,034 | ) | 2,805,264 | ||||||||||
expiration date 9/30/19 |
197 | (0.06 | ) | (82,320 | ) | 2,857,288 | ||||||||||
Wheat |
||||||||||||||||
expiration date 5/14/19 |
121 | (0.29 | ) | (414,988 | ) | 2,769,388 | ||||||||||
expiration date 7/12/19 |
121 | (0.23 | ) | (327,700 | ) | 2,804,175 | ||||||||||
expiration date 9/13/19 |
121 | (0.21 | ) | (308,012 | ) | 2,849,550 | ||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 4/22/19 |
28 | 0.17 | 250,060 | 1,683,920 | ||||||||||||
expiration date 5/21/19 |
28 | 0.14 | 194,740 | 1,687,840 | ||||||||||||
expiration date 6/20/19 |
28 | 0.12 | 176,170 | 1,691,200 | ||||||||||||
expiration date 7/22/19 |
28 | 0.10 | 139,620 | 1,693,720 | ||||||||||||
expiration date 8/20/19 |
27 | 0.09 | 130,650 | 1,634,310 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) |
(0.26 | )% | $ | (368,463 | ) | $ | 143,159,486 | |||||||||
|
|
|
|
|
|
* | 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 $49,779,088 as of March 31, 2019. |
See accompanying notes to unaudited consolidated financial statements
12
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
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
WisdomTree Continuous Commodity Index Master Fund
Unaudited Statements of Income and Expenses
For the Three Months Ended March 31, 2019 and 2018
2019 | 2018 | |||||||
Income: |
||||||||
Interest income |
$ | 876,181 | $ | 537,926 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Management fee to related party (Note 8) |
333,761 | 359,477 | ||||||
|
|
|
|
|||||
Total expenses |
333,761 | 359,477 | ||||||
|
|
|
|
|||||
Expense waivers (Note 8) |
(39,266 | ) | (42,292 | ) | ||||
|
|
|
|
|||||
Net expenses |
294,495 | 317,185 | ||||||
|
|
|
|
|||||
Net investment income |
581,686 | 220,741 | ||||||
|
|
|
|
|||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
||||||||
Net Realized Gain (Loss) from: |
||||||||
Investments |
(762 | ) | | |||||
Futures Contracts* |
(2,588,865 | ) | 1,761,571 | |||||
|
|
|
|
|||||
Net Realized Gain (Loss) |
(2,589,627 | ) | 1,761,571 | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
||||||||
Investments |
(1,341 | ) | (6,239 | ) | ||||
Futures Contracts |
7,192,369 | (2,187,943 | ) | |||||
|
|
|
|
|||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation |
7,191,028 | (2,194,182 | ) | |||||
|
|
|
|
|||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts |
4,601,401 | (432,611 | ) | |||||
|
|
|
|
|||||
Net Gain (Loss) |
$ | 5,183,087 | $ | (211,870 | ) | |||
|
|
|
|
|||||
* Includes brokerage commissions of: |
$ | 38,944 | $ | 36,747 | ||||
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
15
WisdomTree Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders Equity
For the Three Months Ended March 31, 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 |
| | | | (1,500,000 | ) | (27,140,105 | ) | | (27,140,105 | ) | (27,140,105 | ) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
| | 3 | 3 | | | 581,683 | 581,683 | 581,686 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
| | (16 | ) | (16 | ) | | | (2,589,611 | ) | (2,589,611 | ) | (2,589,627 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
| | 40 | 40 | | | 7,190,988 | 7,190,988 | 7,191,028 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
| | 27 | 27 | | | 5,183,060 | 5,183,060 | 5,183,087 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
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 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
16
WisdomTree Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders Equity
For the Three Months Ended March 31, 2018
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General |
Limited Units | Accumulated Deficit |
Total Limited Shareholders Equity |
Total Shareholders Equity |
||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | |||||||||||||||||||||||||||||||
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 |
| | | | 1,450,000 | 28,131,834 | | 28,131,834 | 28,131,834 | |||||||||||||||||||||||||||
Redemption of Units |
| | | | (100,000 | ) | (1,937,982 | ) | | (1,937,982 | ) | (1,937,982 | ) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
| | 0 | * | 0 | * | | | 220,741 | 220,741 | 220,741 | |||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts |
| | 10 | 10 | | | 1,761,561 | 1,761,561 | 1,761,571 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
| | (9 | ) | (9 | ) | | | (2,194,173 | ) | (2,194,173 | ) | (2,194,182 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain (Loss) |
| | 1 | 1 | | | (211,871 | ) | (211,871 | ) | (211,870 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
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 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Amount represents less than $1. |
See accompanying notes to unaudited consolidated financial statements
17
WisdomTree Continuous Commodity Index Master Fund
Unaudited Statements of Cash Flows
For the Three Months Ended March 31, 2019 and 2018
2019 | 2018 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) |
$ | 5,183,087 | $ | (211,870 | ) | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
Purchases of investment securities |
(167,148,710 | ) | (180,337,272 | ) | ||||
Proceeds from sales/maturities of investment securities |
171,965,594 | 156,000,000 | ||||||
Net accretion of discount |
(859,883 | ) | (529,772 | ) | ||||
Net realized loss on investment securities |
762 | | ||||||
Net change in unrealized appreciation/depreciation from investments |
1,341 | 6,239 | ||||||
Net change in unrealized appreciation/depreciation from futures contracts |
(7,192,369 | ) | 2,187,943 | |||||
Changes in assets and liabilities |
||||||||
Increase/(Decrease) in liabilities: |
| |||||||
Net management fee payable to related party |
1,666 | 18,003 | ||||||
|
|
|
|
|||||
Net cash provided by (used for) operating activities |
1,951,488 | (22,866,729 | ) | |||||
|
|
|
|
|||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units |
19,258,643 | 28,131,834 | ||||||
Redemption of Limited Units |
(27,140,105 | ) | (1,937,982 | ) | ||||
|
|
|
|
|||||
Net cash provided by (used for) financing activities |
(7,881,462 | ) | 26,193,852 | |||||
|
|
|
|
|||||
Net increase (decrease) in cash |
(5,929,974 | ) | 3,327,123 | |||||
Cash* at beginning of period |
10,193,423 | 11,232,992 | ||||||
|
|
|
|
|||||
Cash* at end of period |
$ | 4,263,449 | $ | 14,560,115 | ||||
|
|
|
|
* | Includes cash held by the broker for futures contracts. |
See accompanying notes to unaudited consolidated financial statements
18
WisdomTree Continuous Commodity Index Fund
WisdomTree Continuous Commodity Index Master Fund
Notes to Unaudited Consolidated Financial Statements
March 31, 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 Funds 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 2Service 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 Funds 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 Funds 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 Funds Net Asset Value (as defined in Note 7Share 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 Funds 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 2Service Providers and Related Party Agreements.
19
(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 Funds 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 Funds 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 Trustees principal offices are located in Wilmington, Delaware.
(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 Owners 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-Advisers 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 Funds 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 Funds futures transactions. The Commodity Brokers 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 Funds 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.
20
(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.
Unaudited Interim Financial Information
The financial statements as of March 31, 2019 and for the three-months ended March 31, 2019 and March 31, 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 Funds 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 Funds cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Funds 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 Funds 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 Funds 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.
21
(g) Subsequent Events
For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended March 31, 2019 and when the financial statements were issued.
During that period, no Shares were created and 400,000 Shares were redeemed for $7,173,716, resulting in 7,550,050 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 Funds assets and liabilities at fair value as of March 31, 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 |
$ | | $ | 139,609,648 | $ | | $ | 139,609,648 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
| |||||||||||||||
Unrealized depreciation on futures contracts |
(368,463 | ) | | | (368,463 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (368,463 | ) | $ | 139,609,648 | $ | | $ | 139,241,185 | |||||||
|
|
|
|
|
|
|
|
The Master Fund did not hold any Level 3 securities during the three months ended March 31, 2019.
A summary of the Master Funds 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 | |||||||
|
|
|
|
|
|
|
|
22
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 March 31, 2019, the Master Fund was invested in Commodity Futures. For the three months ended March 31, 2019 and the year ended December 31, 2018, the volume of derivative activity (based on average month-end notional amounts) were $154,368,808 and $167,547,151, respectively.
The fair value of derivative instruments at March 31, 2019 and December 31, 2018, were as follows:
As of: |
Derivative Instruments |
Asset Derivatives (i) |
Liability Derivatives (ii) |
|||||||||
March 31, 2019 |
Commodity Futures | $ | | $ | 368,463 | |||||||
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 ended March 31, 2019 and 2018:
For the Three Months Ended: |
Derivative Instruments |
Realized Gain (Loss) on Derivative Instruments (i) |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) |
|||||||||
March 31, 2019 |
Commodity Futures | $ | (2,588,865 | ) | $ | 7,192,369 | ||||||
March 31, 2018 |
Commodity Futures | 1,761,571 | (2,187,943 | ) |
(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 Funds 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.
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.
23
(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 Participants 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 Funds 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 DTCs 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 Participants DTC account will be charged the non-refundable transaction fee due for the redemption order.
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 Participants 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 DTCs book entry system.
24
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 Funds DTC account has been credited with the Baskets to be redeemed. If the Funds 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 Funds 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 Funds 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 DTCs 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 ended March 31, 2019 and 2018, the Management Fee paid by the Master Fund was as follows:
For the Three Months Ended: |
Management Fee |
Voluntary Fee Waiver |
Net Management Fee |
|||||||||
March 31, 2019 |
$ | 333,761 | $ | (39,266 | ) | $ | 294,495 | |||||
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|
|
|
|
|
|||||||
March 31, 2018 |
$ | 359,477 | $ | (42,292 | ) | $ | 317,185 | |||||
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|
(b) Brokerage Commissions
Brokerage commissions are charged against the Funds assets on a per transaction basis. Brokerage commissions incurred for the three months ended March 31, 2019 were $38,944 and for the three months ended March 31, 2018 were $36,747.
(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.
(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 March 31, 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.
25
(11) Recent Accounting Pronouncement
On August 28, 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 includes removals, additions and modifications to the disclosure requirements for fair value measurements that are intended to improve the effectiveness of disclosures in the notes to financial statements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt any removed or modified disclosures upon issuance of this ASU and delay adoption of the additional disclosures until their effective date. The Managing Owner has evaluated ASU 2018-13 and has adopted the disclosure framework.
(12) 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 ended March 31, 2019 and 2018.
Three Months Ended March 31, 2019 |
Three Months Ended March 31, 2018 |
|||||||
Net Asset Value |
| |||||||
Net asset value per Limited Share, beginning of period |
$ | 17.50 | $ | 19.25 | ||||
Investment operations: |
| |||||||
Net realized and unrealized gain (loss) |
0.47 | (1) | (0.02 | )(1) | ||||
Net investment income(2) |
0.07 | 0.02 | ||||||
|
|
|
|
|||||
Net increase in net assets from operations |
0.54 | | ||||||
|
|
|
|
|||||
Net asset value per Limited Share, end of period |
$ | 18.04 | $ | 19.25 | ||||
|
|
|
|
|||||
Total Return, at net asset value(3) |
3.09 | % | 0.00 | % | ||||
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|
|
|
|||||
Ratio/Supplemental Data: |
| |||||||
Net assets, end of period (000s omitted) |
$ | 143,408 | $ | 180,938 | ||||
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|
|
|
|||||
Ratios to average net assets of: |
| |||||||
Net investment income(4) |
1.48 | % | 0.52 | % | ||||
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|
|
|
|||||
Expenses, prior to expense waivers(4) |
0.85 | % | 0.85 | % | ||||
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|
|
|
|||||
Expenses, net of expense waivers(4) |
0.75 | % | 0.75 | % | ||||
|
|
|
|
(1) | Includes brokerage commissions of less than $0.01 per share. 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. |
26
Item 2. Managements 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 Managements 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 Funds 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 Funds 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 Funds 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 Funds futures account.
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 Funds Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016
27
(as amended, the Fund Trust Agreement), and the Master Funds 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 Trustees 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 Funds 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 days closing Net Asset Value as a base and updating that value throughout the trading day to reflect changes in the value of the Master Funds 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 Funds 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.
28
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 Owners 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.
29
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 PERIOD FROM MARCH 31, 2014 TO MARCH 31, 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.
30
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 |
|||||||||||||||||||||
3/31/2014 |
$ | 28.19 | 12,350,050 | $ | 348,183,222 | 1.40 | % | 9.69 | % | 9.69 | % | -6.03 | % | |||||||||||||||
4/30/2014 |
$ | 28.74 | 12,500,050 | $ | 359,209,409 | 1.95 | % | 11.09 | % | 11.83 | % | -4.20 | % | |||||||||||||||
5/31/2014 |
$ | 27.78 | 12,800,050 | $ | 355,553,581 | -3.34 | % | -0.07 | % | 8.09 | % | -7.40 | % | |||||||||||||||
6/30/2014 |
$ | 27.91 | 12,900,050 | $ | 359,978,141 | 0.47 | % | -0.99 | % | 8.60 | % | -6.97 | % | |||||||||||||||
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 | % |
31
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 | % |
32
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
33
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The Fund and the Master Fund seek to track changes in the Index over time. For the three months ended March 31, 2019, the Funds Net Asset Value underperformed the Index by 0.26%. For the three months ended March 31, 2018, the Funds Net Asset Value underperformed the Index by 0.28%.
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 Funds 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 Owners discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owners 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.
34
Quantitative Disclosures
Market Risk by Sector
The following were the primary trading risk exposures of the Fund as of March 31, 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 |
23.53 | % | Corn, Soybean, Wheat, Soybean Oil | |||
Livestock |
11.75 | % | Hogs, Cattle | |||
Metals |
23.56 | % | Gold, Silver, Platinum, Copper | |||
Energy |
17.59 | % | Crude Oil, Natural Gas, NY Harbor ULSD | |||
Softs |
23.57 | % | Coffee, Cocoa, Sugar, Cotton |
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 Funds investments, which were sensitive to both commodity price and interest rate risk.
As of March 31, 2019, the Master Funds 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 |
April 2019 - August 2019 | 305 | $ | 2.75 | 10,000 | $ | 8,379,570 | $ | (52,580 | ) | ||||||||||||
NY Harbor ULSD |
April 2019 - August 2019 | 101 | 1.98 | 42,000 | 8,409,047 | 284,597 | ||||||||||||||||
WTI Crude Oil |
April 2019 - August 2019 | 139 | 60.37 | 1,000 | 8,390,990 | 891,240 | ||||||||||||||||
Grains |
||||||||||||||||||||||
Corn |
May 2019 - September 2019 | 461 | 3.66 | 5,000 | 8,433,925 | (563,700 | ) | |||||||||||||||
Soybean |
May 2019 - August 2019 | 188 | 8.95 | 5,000 | 8,415,699 | (302,613 | ) | |||||||||||||||
Soybean Oil |
May 2019 - October 2019 | 487 | 0.29 | 60,000 | 8,418,522 | (339,594 | ) | |||||||||||||||
Wheat |
May 2019 - September 2019 | 363 | 4.64 | 5,000 | 8,423,113 | (1,050,700 | ) | |||||||||||||||
Livestock |
||||||||||||||||||||||
Lean Hogs |
April 2019 - October 2019 | 244 | 0.86 | 40,000 | 8,436,790 | 985,060 | ||||||||||||||||
Live Cattle |
June 2019 - October 2019 | 179 | 1.17 | 40,000 | 8,388,400 | 163,210 | ||||||||||||||||
Metals |
||||||||||||||||||||||
Copper |
May 2019 - September 2019 | 114 | 2.94 | 25,000 | 8,383,750 | 498,100 | ||||||||||||||||
Gold 100 Ounce |
June 2019 - August 2019 | 65 | 1,301.45 | 100 | 8,459,450 | (16,920 | ) | |||||||||||||||
Platinum |
July 2019 - October 2019 | 197 | 856.81 | 50 | 8,439,615 | 257,070 | ||||||||||||||||
Silver |
May 2019 - September 2019 | 111 | 15.20 | 5,000 | 8,437,665 | (148,590 | ) | |||||||||||||||
Softs |
||||||||||||||||||||||
Cocoa |
May 2019 - September 2019 | 371 | 2,273.68 | 10 | 8,435,340 | (11,920 | ) | |||||||||||||||
Coffee C |
May 2019 - September 2019 | 232 | 0.97 | 37,500 | 8,446,725 | (1,048,781 | ) | |||||||||||||||
Cotton No. 2 |
May 2019 - July 2019 | 216 | 0.78 | 50,000 | 8,419,680 | 147,870 | ||||||||||||||||
Sugar No. 11 |
April 2019 - September 2019 | 593 | 0.13 | 112,000 | 8,441,205 | (60,212 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||
$ | 143,159,486 | $ | (368,463 | ) | ||||||||||||||||||
|
|
|
|
35
As of March 31, 2019, the Master Funds 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 |
2.37% -2.44% | April 2019 June 2019 | $ | 140,000,000 | $ | 139,609,648 | $ | 3,455 |
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 Owners 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 ended March 31, 2019 that has materially affected, or is reasonably likely to materially affect, the Funds internal control over financial reporting.
36
Not Applicable.
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.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) None.
(b) For the three months ended March 31, 2019, 1,500,000 Limited Shares were redeemed for $27,140,105 and 600,000 Limited Shares were created for $10,509,822. The created Shares were registered pursuant to the Funds Registration Statement on Form S-3 (Registration No.: 333-214153), which was declared effective by the SEC on October 28, 2016. The Fund filed prospectuses under Rule 424(b) of the Exchange Act on October 29, 2018 and March 28, 2019 to update certain information contained in the Registration Statement. On March 31, 2019, 7,950,000 Limited Shares of the Fund were outstanding for a market capitalization of $143,179,500, based on the March 29, 2019 closing price of $18.01 on the NYSE Arca.
(c) The following table shows the number of Shares redeemed (purchased back by the Fund, or Issuer) from Authorized Participants for each month during the quarter ended March 31, 2019:
Issuer Purchases of Equity Securities | ||||||||||||||||
Period |
Total Number of Shares Redeemed |
Average Price Paid per Share |
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs |
Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs |
||||||||||||
January 1, 2019 to January 31, 2019 |
450,000 | $ | 17.97 | N/A | N/A | |||||||||||
February 1, 2019 to February 28, 2019 |
300,000 | $ | 18.15 | N/A | N/A | |||||||||||
March 1, 2019 to March 31, 2019 |
750,000 | $ | 18.14 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
1,500,000 | $ | 18.09 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
|
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
None.
None.
37
(1) | Filed herewith. |
38
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant and co-registrant have duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
WisdomTree Commodity Services, LLC, |
Managing Owner of the WisdomTree Continuous Commodity Index Fund (registrant) |
By: /s/ Jeremy Schwartz |
Jeremy Schwartz |
President and Chief Executive Officer |
(Principal Executive Officer) |
Date: May 9, 2019 |
By: /s/ David Castano |
David Castano |
Chief Financial Officer and Treasurer |
(Principal Financial Officer) |
Date: May 9, 2019 |
WisdomTree Commodity Services, LLC, |
Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (co-registrant) |
By: /s/ Jeremy Schwartz |
Jeremy Schwartz |
President and Chief Executive Officer |
(Principal Executive Officer) |
Date: May 9, 2019 |
By: /s/ David Castano |
David Castano |
Chief Financial Officer and Treasurer |
(Principal Financial Officer) |
Date: May 9, 2019 |
39
Exhibit 31.1
CERTIFICATION
I, Jeremy Schwartz, President and Chief Executive Officer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Fund (the Fund), certify that:
1. | I have reviewed this Quarterly Report on Form 10-Q of the Fund; |
2. | based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | the registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 9, 2019 | /s/ Jeremy Schwartz |
|||||
Jeremy Schwartz | ||||||
President and Chief Executive Officer | ||||||
(Principal Executive Officer) |
Exhibit 31.2
CERTIFICATION
I, David Castano, Chief Financial Officer and Treasurer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Fund (the Fund), certify that:
1. | I have reviewed this Quarterly Report on Form 10-Q of the Fund; |
2. | based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | the registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 9, 2019 | /s/ David Castano |
|||||
David Castano | ||||||
Chief Financial Officer and Treasurer | ||||||
(Principal Financial Officer) |
Exhibit 31.3
CERTIFICATION
I, Jeremy Schwartz, President and Chief Executive Officer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (the Master Fund), certify that:
1. | I have reviewed this Quarterly Report on Form 10-Q of the Master Fund; |
2. | based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | the registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 9, 2019 | /s/ Jeremy Schwartz |
|||||
Jeremy Schwartz | ||||||
President and Chief Executive Officer | ||||||
(Principal Executive Officer) |
Exhibit 31.4
CERTIFICATION
I, David Castano, Chief Financial Officer and Treasurer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (the Master Fund), certify that:
1. | I have reviewed this Quarterly Report on Form 10-Q of the Master Fund; |
2. | based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | the registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: May 9, 2019 | /s/ David Castano |
|||||
David Castano | ||||||
Chief Financial Officer and Treasurer | ||||||
(Principal Financial Officer) |
Exhibit 32.1
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
The undersigned, Jeremy Schwartz, President and Chief Executive Officer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Fund (the Fund), hereby certifies pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. | The Funds Quarterly Report on Form 10-Q for the period ended March 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the Report), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: May 9, 2019 | /s/ Jeremy Schwartz |
|||||
Jeremy Schwartz | ||||||
President and Chief Executive Officer | ||||||
(Principal Executive Officer) |
Exhibit 32.2
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
The undersigned, David Castano, Chief Financial Officer and Treasurer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Fund (the Fund), hereby certifies pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. | The Funds Quarterly Report on Form 10-Q for the period ended March 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the Report), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. |
Date: May 9, 2019 | /s/ David Castano |
|||||
David Castano | ||||||
Chief Financial Officer and Treasurer | ||||||
(Principal Financial Officer) |
Exhibit 32.3
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
The undersigned, Jeremy Schwartz, President and Chief Executive Officer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (the Master Fund), hereby certifies pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. | The Master Funds Quarterly Report on Form 10-Q for the period ended March 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the Report), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Master Fund. |
Date: May 9, 2019 | /s/ Jeremy Schwartz |
|||||
Jeremy Schwartz | ||||||
President and Chief Executive Officer | ||||||
(Principal Executive Officer) |
Exhibit 32.4
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
The undersigned, David Castano, Chief Financial Officer and Treasurer of WisdomTree Commodity Services, LLC, the Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (the Master Fund), hereby certifies pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. | The Master Funds Quarterly Report on Form 10-Q for the period ended March 31, 2019, as filed with the Securities and Exchange Commission on the date hereof (the Report), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Master Fund. |
Date: May 9, 2019 | /s/ David Castano |
|||||
David Castano | ||||||
Chief Financial Officer and Treasurer | ||||||
(Principal Financial Officer) |
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