Quarterly Report (10-q)

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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2020

or

 

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

For the transition period from

                    

to

                    

Commission File Numbers:

001-33908,

001-33909

WISDOMTREE CONTINUOUS COMMODITY INDEX FUND

(Registrant)

(Exact name of Registrant as specified in its charter)

WISDOMTREE CONTINUOUS COMMODITY INDEX MASTER FUND

(Rule 140

Co-Registrant)

(Exact name of Registrant as specified in its charter)

 

Delaware		26-0151234 26-0151301
(State or Other Jurisdiction of Incorporation or Organization)		(IRS Employer Identification No.)
c/o WisdomTree Commodity Services, LLC 245 Park Avenue 35th Floor New York, NY		10167
(Address of Principal Executive Offices)		(Zip Code)

1-866-909-9473

(Telephone number, including area code)

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

 

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

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T

(§ 232.405 of this Chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  ☒     No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule

12b-2

of the Exchange Act. (Check one:)

 

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

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act).     Yes  ☐    No  ☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock as of August 6, 2020: 4,700,000 Limited Units and 50 General Units.

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Table of Contents

WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Table of Contents

 

PART I – FINANCIAL INFORMATION			1
Item 1. Financial Statements			1
WisdomTree Continuous Commodity Index Fund			1
Consolidated Statements of Financial Condition as of June 30, 2020 (unaudited) and December 31, 2019			1
Unaudited Consolidated Schedule of Investments as of June 30, 2020			2
Consolidated Schedule of Investments as of December 31, 2019			4
Unaudited Consolidated Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2020 and 2019			6
Unaudited Consolidated Statement of Changes in Shareholders’ Equity For the Three Months and Six Months Ended June 30, 2020 and 2019			7
Unaudited Consolidated Statements of Cash Flows For the Six Months Ended June 30, 2020 and 2019			9
WisdomTree Continuous Commodity Index Master Fund			10
Statements of Financial Condition as of June 30, 2020 (unaudited) and December 31, 2019			10
Unaudited Schedule of Investments as of June 30, 2020			11
Schedule of Investments as of December 31, 2019			13
Unaudited Statements of Income and Expenses For the Three Months and Six Months Ended June 30, 2020 and 2019			15
Unaudited Statement of Changes in Shareholders’ Equity For the Three Months and Six Months Ended June 30, 2020 and 2019			16
Unaudited Statements of Cash Flows For the Six Months Ended June 30, 2020 and 2019			18
Notes to Unaudited Consolidated Financial Statements as of June 30, 2020			19
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.			27
Item 3. Quantitative and Qualitative Disclosures About Market Risk.			35
Item 4. Controls and Procedures.			37
PART II—OTHER INFORMATION			38
Item 1. Legal Proceedings.			38
Item 1A. Risk Factors.			38
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.			38
Item 3. Defaults Upon Senior Securities.			38
Item 4. Mine Safety Disclosures.			38
Item 5. Other Information.			38
Item 6. Exhibits.			39
SIGNATURES			40

 

i

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Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

WisdomTree Continuous Commodity Index Fund

Consolidated Statements of Financial Condition

June 30, 2020 (unaudited) and December 31, 2019

 

		June 30, 2020 (unaudited)				December 31, 2019
Assets:
Cash		$	298,439			$	1,730,680
Cash held by broker for futures contracts (Note 3)			3,749,771				4,191,497
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively)			64,990,566				115,831,172
Net unrealized appreciation on futures contracts			653,974				6,162,155
Total Assets			69,692,750				127,915,504
Liabilities and shareholders’ equity:
Net management fee payable to related party (Note 8)			43,331				79,661
Total Liabilities			43,331				79,661
Shareholders’ equity:
General Units:
Paid in capital—50 units issued and outstanding (unlimited authorized)			1,500				1,500
Accumulated deficit			(717	)			(560	)
Total General Units			783				940
Limited Units:
Paid in capital—4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively			223,507,060				262,345,685
Accumulated deficit			(153,858,424	)			(134,510,782	)
Total Limited Units			69,648,636				127,834,903
Total shareholders’ equity			69,649,419				127,835,843
Total liabilities and shareholders’ equity		$	69,692,750			$	127,915,504
Net asset value per share
General Units		$	15.65			$	18.80
Limited Units		$	15.65			$	18.80

See

accompanying n

otes to

unaudited consolidated f

inancial

s

tatements

 

1

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Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2020

 

Description						Percentage of Net Assets				Fair Value				Face Amount
U.S. Treasury Obligations
U.S. Treasury Bills
0.12%, 7/9/20*, (a)							15.79	%		$	10,999,743			$	11,000,000
0.08%, 7/30/20*							25.84				17,998,260				18,000,000
0.11%, 8/20/20*							25.84				17,997,000				18,000,000
0.15%, 9/10/20*							25.84				17,995,563				18,000,000
Total U.S. Treasury Obligations (Cost: $64,990,781)							93.31	%		$	64,990,566			$	65,000,000
Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
Futures Contracts Long Exposure (Exchange-Traded)
Cocoa
expiration date 9/15/20			94				(0.40	)%		$	(275,420	)		$	2,054,840
expiration date 12/15/20			94				(0.16	)			(108,570	)			2,053,900
Coffee “C”
expiration date 9/18/20			54				(0.18	)			(125,288	)			2,045,250
expiration date 12/18/20			53				(0.21	)			(149,100	)			2,056,069
Copper
expiration date 9/28/20			30				0.18				124,838				2,046,375
expiration date 12/29/20			30				0.30				210,600				2,056,875
Corn
expiration date 9/14/20			118				(0.12	)			(86,650	)			2,014,850
expiration date 12/14/20			118				0.04				29,388				2,067,950
Cotton No. 2
expiration date 12/8/20			67				0.22				156,010				2,039,480
expiration date 3/9/21			66				0.05				36,435				2,030,820
Gold 100 Ounce
expiration date 12/29/20			11				0.15				105,110				2,002,440
expiration date 2/24/21			11				0.12				84,960				2,010,250
Lean Hogs
expiration date 8/14/20			48				(0.22	)			(155,140	)			941,280
expiration date 10/14/20			49				(0.07	)			(51,910	)			967,260
expiration date 12/14/20			49				(0.02	)			(13,330	)			1,013,810
expiration date 2/12/21			49				(0.02	)			(14,890	)			1,174,040
Live Cattle
expiration date 10/30/20			33				(0.08	)			(55,450	)			1,316,370
expiration date 12/31/20			33				0.04				26,920				1,368,180
expiration date 2/26/21			33				0.01				5,170				1,417,680
Natural Gas
expiration date 8/27/20			35				(0.12	)			(85,800	)			626,150
expiration date 9/28/20			35				(0.14	)			(100,950	)			660,450
expiration date 10/28/20			35				(0.08	)			(57,080	)			798,700
expiration date 11/25/20			35				(0.04	)			(28,810	)			961,450
expiration date 12/29/20			36				(0.05	)			(31,690	)			1,037,880
NY Harbor ULSD
expiration date 8/31/20			16				0.05				37,750				808,819
expiration date 9/30/20			16				0.11				76,142				821,251
expiration date 10/30/20			16				0.11				75,113				832,742
expiration date 11/30/20			16				0.02				16,535				841,747
expiration date 12/31/20			15				0.02				15,981				797,580
Platinum
expiration date 10/28/20			48				0.19				135,775				2,042,880
expiration date 1/27/21			48				0.03				23,395				2,054,640
Silver
expiration date 9/28/20			22				0.28				192,770				2,050,070
expiration date 12/29/20			22				0.33				232,180				2,068,330
Soybean
expiration date 11/13/20			46				0.03				23,850				2,029,175

 

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accompanying n

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unaudited consolidated f

inancial

s

tatements

 

2

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Table of Contents

WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Schedule of Investments

June 30, 2020

(continued)

 

Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
expiration date 1/14/21			46				0.01	%		$	8,700			$	2,034,925
Soybean Oil
expiration date 9/14/20			60				(0.09	)			(64,914	)			1,018,800
expiration date 10/14/20			60				(0.09	)			(61,632	)			1,024,920
expiration date 12/14/20			59				0.02				11,934				1,019,874
expiration date 1/14/21			59				(0.00	)			(696	)			1,026,954
Sugar No. 11
expiration date 9/30/20			150				0.21				144,581				2,009,280
expiration date 2/26/21			149				(0.04	)			(29,490	)			2,096,013
Wheat
expiration date 9/14/20			82				(0.21	)			(149,613	)			2,016,175
expiration date 12/14/20			83				(0.24	)			(170,600	)			2,070,850
WTI Crude Oil
expiration date 8/20/20			21				0.35				246,030				826,140
expiration date 9/22/20			21				0.30				207,320				829,080
expiration date 10/20/20			21				0.30				205,720				831,180
expiration date 11/20/20			20				0.03				22,070				793,600
expiration date 12/21/20			20				0.02				15,720				795,600
Total Futures Contracts Long Exposure (Exchange-Traded)							0.94	%		$	653,974			$	69,502,974

 

*	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 $10,999,743 as of June 30, 2020.

 

See accompanying notes to unaudited consolidated financial statements

 

3

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Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2019

 

Description						Percentage of Net Assets				Fair Value				Face Amount
U.S. Treasury Obligations
U.S. Treasury Bills
1.69%, 1/2/20*							22.68	%		$	29,000,000			$	29,000,000
1.65%, 1/23/20*							22.67				28,975,217				29,000,000
1.55%, 2/20/20*, (a)							22.64				28,940,397				29,000,000
1.57%, 3/12/20*							22.62				28,915,558				29,000,000
Total U.S. Treasury Obligations (Cost: $115,820,868)							90.61	%		$	115,831,172			$	116,000,000
Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
Futures Contracts Long Exposure (Exchange-Traded)
Cocoa
expiration date 3/16/20			98				0.12	%		$	155,530			$	2,489,200
expiration date 5/13/20			99				0.12				159,550				2,515,590
expiration date 7/16/20			99				0.04				45,850				2,510,640
Coffee “C”
expiration date 3/19/20			51				0.31				399,787				2,480,513
expiration date 5/18/20			51				0.31				394,162				2,522,587
expiration date 7/21/20			50				0.21				271,069				2,511,562
Copper
expiration date 3/27/20			36				0.12				153,663				2,517,300
expiration date 5/27/20			36				0.13				164,163				2,526,750
expiration date 7/29/20			35				0.07				85,050				2,462,688
Corn
expiration date 3/13/20			127				(0.11	)			(143,788	)			2,462,213
expiration date 5/14/20			127				(0.11	)			(135,112	)			2,506,662
expiration date 7/14/20			127				0.00				3,863				2,546,350
Cotton No. 2
expiration date 3/9/20			72				0.13				160,700				2,485,800
expiration date 5/6/20			72				0.22				275,285				2,526,480
expiration date 7/9/20			71				0.08				106,580				2,518,725
Gold 100 Ounce
expiration date 2/26/20			17				0.12				153,660				2,589,270
expiration date 4/28/20			16				0.02				23,480				2,446,880
expiration date 6/26/20			16				0.04				57,060				2,456,160
Lean Hogs
expiration date 2/14/20			57				(0.00	)			(4,330	)			1,628,490
expiration date 4/15/20			58				(0.02	)			(23,410	)			1,807,860
expiration date 6/12/20			57				(0.03	)			(32,640	)			2,038,890
expiration date 7/15/20			57				(0.04	)			(46,170	)			2,035,470
Live Cattle
expiration date 2/28/20			51				0.17				214,010				2,568,870
expiration date 4/30/20			50				0.15				187,730				2,543,500
expiration date 6/30/20			50				0.02				21,140				2,378,000
Natural Gas
expiration date 1/29/20			69				(0.17	)			(217,420	)			1,510,410
expiration date 2/26/20			69				(0.14	)			(181,710	)			1,489,020
expiration date 3/27/20			69				(0.06	)			(75,920	)			1,482,810
expiration date 4/28/20			69				(0.08	)			(99,440	)			1,509,720
expiration date 5/27/20			69				(0.07	)			(92,310	)			1,549,740
NY Harbor ULSD
expiration date 1/31/20			18				0.11				135,677				1,529,237
expiration date 2/28/20			18				0.11				137,264				1,524,474
expiration date 3/31/20			18				0.11				145,618				1,511,773
expiration date 4/30/20			18				0.06				82,820				1,500,055
expiration date 5/29/20			17				0.06				78,074				1,407,508
Platinum
expiration date 4/28/20			77				0.19				244,550				3,764,530

 

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inancial

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tatements

 

4

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Table of Contents

WisdomTree Continuous Commodity Index Fund

Consolidated Schedule of Investments

December 31, 2019

(continued)

 

Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
expiration date 7/29/20			76				0.21	%		$	270,210			$	3,737,680
Silver
expiration date 3/27/20			28				0.06				78,295				2,508,940
expiration date 5/27/20			28				0.06				74,040				2,521,260
expiration date 7/29/20			27				0.06				75,760				2,442,015
Soybean
expiration date 3/13/20			52				0.09				118,475				2,484,300
expiration date 5/14/20			52				0.10				127,738				2,518,750
expiration date 7/14/20			51				0.03				34,225				2,498,363
Soybean Oil
expiration date 3/13/20			119				0.22				280,872				2,482,578
expiration date 5/14/20			119				0.23				290,004				2,503,284
expiration date 7/14/20			119				0.15				194,940				2,524,704
Sugar No. 11
expiration date 2/28/20			166				0.08				102,984				2,495,046
expiration date 4/30/20			165				0.12				148,053				2,502,192
expiration date 6/30/20			165				0.12				153,742				2,524,368
Wheat
expiration date 3/13/20			90				0.19				237,137				2,514,375
expiration date 5/14/20			89				0.18				229,225				2,499,788
expiration date 7/14/20			89				0.12				159,650				2,507,575
WTI Crude Oil
expiration date 1/21/20			25				0.13				164,900				1,526,500
expiration date 2/20/20			25				0.16				209,410				1,519,250
expiration date 3/20/20			25				0.16				208,020				1,510,250
expiration date 4/21/20			25				0.08				99,900				1,499,250
expiration date 5/19/20			24				0.08				100,490				1,426,560
Total Futures Contracts Long Exposure (Exchange-Traded)							4.82	%		$	6,162,155			$	127,602,755

 

*	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 $9,979,447 as of December 31, 2019.

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2020 and 2019

 

		Three Months Ended June 30,								Six Months Ended June 30,
		2020				2019				2020				2019
Income:
Interest income		$	71,845			$	744,029			$	456,166			$	1,620,210
Expenses:
Management fee to related party (Note 8)			153,350				286,421				377,497				620,182
Total expenses			153,350				286,421				377,497				620,182
Expense waivers (Note 8)			(18,041	)			(33,697	)			(44,411	)			(72,963	)
Net expenses			135,309				252,724				333,086				547,219
Net investment income (loss)			(63,464	)			491,305				123,080				1,072,991
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
Net Realized Gain (Loss) from:
Investments			—				44				14,440				(718	)
Futures Contracts*			(10,173,582	)			(2,029,620	)			(13,966,619	)			(4,618,485	)
Net Realized Loss			(10,173,582	)			(2,029,576	)			(13,952,179	)			(4,619,203	)
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:
Investments			(60,941	)			14,270				(10,519	)			12,929
Futures Contracts			14,237,053				(41,919	)			(5,508,181	)			7,150,450
Net Increase (Decrease) in Unrealized Appreciation/Depreciation			14,176,112				(27,649	)			(5,518,700	)			7,163,379
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts			4,002,530				(2,057,225	)			(19,470,879	)			2,544,176
Net Gain (Loss)		$	3,939,066			$	(1,565,920	)		$	(19,347,799	)		$	3,617,167
*         Includes brokerage commissions of:		$	30,743			$	43,311			$	61,030			$	82,255

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2020

 

		General Units																Limited Units																Total
		General Units								Accumulated				Total General Shareholders’				Limited Units								Accumulated				Total Limited Shareholders’				Total Shareholders’
		Units				Amount				Deficit				Equity				Units				Amount				Deficit				Equity				Equity
Balance at March 31, 2020			50			$	1,500			$	(759	)		$	741				5,050,000			$	232,672,819			$	(157,797,448	)		$	74,875,371			$	74,876,112
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(600,000	)			(9,165,759	)			—				(9,165,759	)			(9,165,759	)
Net Gain (Loss):
Net Investment Loss			—				—				(0	)*			(0	)*			—				—				(63,464	)			(63,464	)			(63,464	)
Net Realized Loss from Investments and Futures Contracts			—				—				(103	)			(103	)			—				—				(10,173,479	)			(10,173,479	)			(10,173,582	)
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				145				145				—				—				14,175,967				14,175,967				14,176,112
Net Gain			—				—				42				42				—				—				3,939,024				3,939,024				3,939,066
Balance at June 30, 2020			50			$	1,500			$	(717	)		$	783				4,450,000			$	223,507,060			$	(153,858,424	)		$	69,648,636			$	69,649,419

 

*	Amount represents less than $1.

For the Six Months Ended June 30, 2020

 

		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, 2019			50			$	1,500			$	(560	)		$	940				6,800,000			$	262,345,685			$	(134,510,782	)		$	127,834,903			$	127,835,843
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(2,350,000	)			(38,838,625	)			—				(38,838,625	)			(38,838,625	)
Net Gain (Loss):
Net Investment Income			—				—				3				3				—				—				123,077				123,077				123,080
Net Realized Loss from Investments and Futures Contracts			—				—				(143	)			(143	)			—				—				(13,952,036	)			(13,952,036	)			(13,952,179	)
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				(17	)			(17	)			—				—				(5,518,683	)			(5,518,683	)			(5,518,700	)
Net Loss			—				—				(157	)			(157	)			—				—				(19,347,642	)			(19,347,642	)			(19,347,799	)
Balance at June 30, 2020			50			$	1,500			$	(717	)		$	783				4,450,000			$	223,507,060			$	(153,858,424	)		$	69,648,636			$	69,649,419

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2019

 

		General Units																Limited Units																Total
		General Units								Accumulated Deficit				Total General Shareholders' Equity				Limited Units								Accumulated Deficit				Total Limited Shareholders' Equity				Total Shareholders' Equity
		Units				Amount												Units				Amount
Balance at March 31, 2019			50			$	1,500			$	(598	)		$	902				7,950,000			$	282,316,201			$	(138,909,298	)		$	143,406,903			$	143,407,805
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(700,000	)			(12,446,702	)			—				(12,446,702	)			(12,446,702	)
Net Gain (Loss):
Net Investment Income			—				—				3				3				—				—				491,302				491,302				491,305
Net Realized Loss from Investments and Futures Contracts			—				—				(15	)			(15	)			—				—				(2,029,561	)			(2,029,561	)			(2,029,576	)
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				2				2				—				—				(27,651	)			(27,651	)			(27,649	)
Net Loss			—				—				(10	)			(10	)			—				—				(1,565,910	)			(1,565,910	)			(1,565,920	)
Balance at June 30, 2019			50			$	1,500			$	(608	)		$	892				7,250,000			$	269,869,499			$	(140,475,208	)		$	129,394,291			$	129,395,183

For the Six Months Ended June 30, 2019

 

		General Units																Limited Units																Total
		General Units								Accumulated Deficit				Total General Shareholders' Equity				Limited Units								Accumulated Deficit				Total Limited Shareholders' Equity				Total Shareholders' Equity
		Units				Amount												Units				Amount
Balance at December 31, 2018			50			$	1,500			$	(625	)		$	875				8,850,000			$	298,946,484			$	(144,092,358	)		$	154,854,126			$	154,855,001
Creation of Units			—				—				—				—				600,000				10,509,822				—				10,509,822				10,509,822
Redemption of Units			—				—				—				—				(2,200,000	)			(39,586,807	)			—				(39,586,807	)			(39,586,807	)
Net Gain (Loss):
Net Investment Income			—				—				6				6				—				—				1,072,985				1,072,985				1,072,991
Net Realized Loss from Investments and Futures Contracts			—				—				(31	)			(31	)			—				—				(4,619,172	)			(4,619,172	)			(4,619,203	)
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				42				42				—				—				7,163,337				7,163,337				7,163,379
Net Gain			—				—				17				17				—				—				3,617,150				3,617,150				3,617,167
Balance at June 30, 2019			50			$	1,500			$	(608	)		$	892				7,250,000			$	269,869,499			$	(140,475,208	)		$	129,394,291			$	129,395,183

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

Unaudited Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2020 and 2019

 

		2020				2019
Cash flows from operating activities
Net Gain (Loss)		$	(19,347,799	)		$	3,617,167
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
Purchases of investment securities			(168,658,770	)			(291,508,240	)
Proceeds from sales/maturities of investment securities			219,953,521				311,942,737
Net accretion of discount			(450,224	)			(1,590,731	)
Net realized gain (loss) on investment securities			(14,440	)			718
Net change in unrealized appreciation/depreciation from investments			10,519				(12,929	)
Net change in unrealized appreciation/depreciation from futures contracts			5,508,181				(7,150,450	)
Changes in assets and liabilities
Increase/(Decrease) in liabilities:
Net management fee payable to related party			(36,330	)			(15,347	)
Net cash provided by operating activities			36,964,658				15,282,925
Cash flows from financing activities
Proceeds from creation of Limited Units			—				19,258,643
Redemption of Limited Units			(38,838,625	)			(39,586,807	)
Net cash used for financing activities			(38,838,625	)			(20,328,164	)
Net decrease in cash			(1,873,967	)			(5,045,239	)
Cash* at beginning of period			5,922,177				10,193,423
Cash* at end of period		$	4,048,210			$	5,148,184

 

*	Includes cash held by the broker for futures contracts.

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Statements of Financial Condition

June 30, 2020 (unaudited) and December 31, 2019

 

		June 30, 2020 (unaudited)				December 31, 2019
Assets:
Cash		$	298,439			$	1,730,680
Cash held by broker for futures contracts (Note 3)			3,749,771				4,191,497
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively)			64,990,566				115,831,172
Net unrealized appreciation on futures contracts			653,974				6,162,155
Total Assets			69,692,750				127,915,504
Liabilities and shareholders’ equity:
Net management fee payable to related party (Note 8)			43,331				79,661
Total Liabilities			43,331				79,661
Shareholders’ equity:
General Units:
Paid in capital - 50 units issued and outstanding (unlimited authorized)			1,500				1,500
Accumulated deficit			(717	)			(560	)
Total General Units			783				940
Limited Units:
Paid in capital - 4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively			223,507,060				262,345,685
Accumulated deficit			(153,858,424	)			(134,510,782	)
Total Limited Units			69,648,636				127,834,903
Total shareholders’ equity			69,649,419				127,835,843
Total liabilities and shareholders’ equity		$	69,692,750			$	127,915,504
Net asset value per share
General Units		$	15.65			$	18.80
Limited Units		$	15.65			$	18.80

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2020

 

Description						Percentage of Net Assets				Fair Value				Face Amount
U.S. Treasury Obligations
U.S. Treasury Bills
0.12%, 7/9/20 *, (a)							15.79	%		$	10,999,743			$	11,000,000
0.08%, 7/30/20 *							25.84				17,998,260				18,000,000
0.11%, 8/20/20 *							25.84				17,997,000				18,000,000
0.15%, 9/10/20 *							25.84				17,995,563				18,000,000
Total U.S. Treasury Obligations (Cost: $64,990,781)							93.31	%		$	64,990,566			$	65,000,000
Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
Futures Contracts Long Exposure (Exchange-Traded)
Cocoa
expiration date 9/15/20			94				(0.40	)%		$	(275,420	)		$	2,054,840
expiration date 12/15/20			94				(0.16	)			(108,570	)			2,053,900
Coffee “C”
expiration date 9/18/20			54				(0.18	)			(125,288	)			2,045,250
expiration date 12/18/20			53				(0.21	)			(149,100	)			2,056,069
Copper
expiration date 9/28/20			30				0.18				124,838				2,046,375
expiration date 12/29/20			30				0.30				210,600				2,056,875
Corn
expiration date 9/14/20			118				(0.12	)			(86,650	)			2,014,850
expiration date 12/14/20			118				0.04				29,388				2,067,950
Cotton No. 2
expiration date 12/8/20			67				0.22				156,010				2,039,480
expiration date 3/9/21			66				0.05				36,435				2,030,820
Gold 100 Ounce
expiration date 12/29/20			11				0.15				105,110				2,002,440
expiration date 2/24/21			11				0.12				84,960				2,010,250
Lean Hogs
expiration date 8/14/20			48				(0.22	)			(155,140	)			941,280
expiration date 10/14/20			49				(0.07	)			(51,910	)			967,260
expiration date 12/14/20			49				(0.02	)			(13,330	)			1,013,810
expiration date 2/12/21			49				(0.02	)			(14,890	)			1,174,040
Live Cattle
expiration date 10/30/20			33				(0.08	)			(55,450	)			1,316,370
expiration date 12/31/20			33				0.04				26,920				1,368,180
expiration date 2/26/21			33				0.01				5,170				1,417,680
Natural Gas
expiration date 8/27/20			35				(0.12	)			(85,800	)			626,150
expiration date 9/28/20			35				(0.14	)			(100,950	)			660,450
expiration date 10/28/20			35				(0.08	)			(57,080	)			798,700
expiration date 11/25/20			35				(0.04	)			(28,810	)			961,450
expiration date 12/29/20			36				(0.05	)			(31,690	)			1,037,880
NY Harbor ULSD
expiration date 8/31/20			16				0.05				37,750				808,819
expiration date 9/30/20			16				0.11				76,142				821,251
expiration date 10/30/20			16				0.11				75,113				832,742
expiration date 11/30/20			16				0.02				16,535				841,747
expiration date 12/31/20			15				0.02				15,981				797,580
Platinum
expiration date 10/28/20			48				0.19				135,775				2,042,880
expiration date 1/27/21			48				0.03				23,395				2,054,640
Silver
expiration date 9/28/20			22				0.28				192,770				2,050,070
expiration date 12/29/20			22				0.33				232,180				2,068,330
Soybean
expiration date 11/13/20			46				0.03				23,850				2,029,175

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Schedule of Investments

June 30, 2020

(continued)

 

Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
expiration date 1/14/21			46				0.01	%		$	8,700			$	2,034,925
Soybean Oil
expiration date 9/14/20			60				(0.09	)			(64,914	)			1,018,800
expiration date 10/14/20			60				(0.09	)			(61,632	)			1,024,920
expiration date 12/14/20			59				0.02				11,934				1,019,874
expiration date 1/14/21			59				(0.00	)			(696	)			1,026,954
Sugar No. 11
expiration date 9/30/20			150				0.21				144,581				2,009,280
expiration date 2/26/21			149				(0.04	)			(29,490	)			2,096,013
Wheat
expiration date 9/14/20			82				(0.21	)			(149,613	)			2,016,175
expiration date 12/14/20			83				(0.24	)			(170,600	)			2,070,850
WTI Crude Oil
expiration date 8/20/20			21				0.35				246,030				826,140
expiration date 9/22/20			21				0.30				207,320				829,080
expiration date 10/20/20			21				0.30				205,720				831,180
expiration date 11/20/20			20				0.03				22,070				793,600
expiration date 12/21/20			20				0.02				15,720				795,600
Total Futures Contracts Long Exposure (Exchange-Traded)							0.94	%		$	653,974			$	69,502,974

 

*	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 $10,999,743 as of June 30, 2020.

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2019

 

 

Description						Percentage of Net Assets				Fair Value				Face Amount
U.S. Treasury Obligations
U.S. Treasury Bills
1.69%, 1/2/20*							22.68	%		$	29,000,000			$	29,000,000
1.65%, 1/23/20*							22.67				28,975,217				29,000,000
1.55%, 2/20/20*, (a)							22.64				28,940,397				29,000,000
1.57%, 3/12/20*							22.62				28,915,558				29,000,000
Total U.S. Treasury Obligations (Cost: $115,820,868)							90.61	%		$	115,831,172			$	116,000,000

 

Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
Futures Contracts Long Exposure (Exchange-Traded)
Cocoa
expiration date 3/16/20			98				0.12	%		$	155,530			$	2,489,200
expiration date 5/13/20			99				0.12				159,550				2,515,590
expiration date 7/16/20			99				0.04				45,850				2,510,640
Coffee “C”
expiration date 3/19/20			51				0.31				399,787				2,480,513
expiration date 5/18/20			51				0.31				394,162				2,522,587
expiration date 7/21/20			50				0.21				271,069				2,511,562
Copper
expiration date 3/27/20			36				0.12				153,663				2,517,300
expiration date 5/27/20			36				0.13				164,163				2,526,750
expiration date 7/29/20			35				0.07				85,050				2,462,688
Corn
expiration date 3/13/20			127				(0.11	)			(143,788	)			2,462,213
expiration date 5/14/20			127				(0.11	)			(135,112	)			2,506,662
expiration date 7/14/20			127				0.00				3,863				2,546,350
Cotton No. 2
expiration date 3/9/20			72				0.13				160,700				2,485,800
expiration date 5/6/20			72				0.22				275,285				2,526,480
expiration date 7/9/20			71				0.08				106,580				2,518,725
Gold 100 Ounce
expiration date 2/26/20			17				0.12				153,660				2,589,270
expiration date 4/28/20			16				0.02				23,480				2,446,880
expiration date 6/26/20			16				0.04				57,060				2,456,160
Lean Hogs
expiration date 2/14/20			57				(0.00	)			(4,330	)			1,628,490
expiration date 4/15/20			58				(0.02	)			(23,410	)			1,807,860
expiration date 6/12/20			57				(0.03	)			(32,640	)			2,038,890
expiration date 7/15/20			57				(0.04	)			(46,170	)			2,035,470
Live Cattle
expiration date 2/28/20			51				0.17				214,010				2,568,870
expiration date 4/30/20			50				0.15				187,730				2,543,500
expiration date 6/30/20			50				0.02				21,140				2,378,000
Natural Gas
expiration date 1/29/20			69				(0.17	)			(217,420	)			1,510,410
expiration date 2/26/20			69				(0.14	)			(181,710	)			1,489,020
expiration date 3/27/20			69				(0.06	)			(75,920	)			1,482,810
expiration date 4/28/20			69				(0.08	)			(99,440	)			1,509,720
expiration date 5/27/20			69				(0.07	)			(92,310	)			1,549,740
NY Harbor ULSD
expiration date 1/31/20			18				0.11				135,677				1,529,237
expiration date 2/28/20			18				0.11				137,264				1,524,474
expiration date 3/31/20			18				0.11				145,618				1,511,773
expiration date 4/30/20			18				0.06				82,820				1,500,055
expiration date 5/29/20			17				0.06				78,074				1,407,508
Platinum
expiration date 4/28/20			77				0.19				244,550				3,764,530

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Schedule of Investments

December 31, 2019

(continued)

 

Description		Contracts				Unrealized Appreciation/ (Depreciation) Percentage of Net Assets				Unrealized Appreciation/ (Depreciation)				Notional Value
expiration date 7/29/20			76				0.21	%		$	270,210			$	3,737,680
Silver
expiration date 3/27/20			28				0.06				78,295				2,508,940
expiration date 5/27/20			28				0.06				74,040				2,521,260
expiration date 7/29/20			27				0.06				75,760				2,442,015
Soybean
expiration date 3/13/20			52				0.09				118,475				2,484,300
expiration date 5/14/20			52				0.10				127,738				2,518,750
expiration date 7/14/20			51				0.03				34,225				2,498,363
Soybean Oil
expiration date 3/13/20			119				0.22				280,872				2,482,578
expiration date 5/14/20			119				0.23				290,004				2,503,284
expiration date 7/14/20			119				0.15				194,940				2,524,704
Sugar No. 11
expiration date 2/28/20			166				0.08				102,984				2,495,046
expiration date 4/30/20			165				0.12				148,053				2,502,192
expiration date 6/30/20			165				0.12				153,742				2,524,368
Wheat
expiration date 3/13/20			90				0.19				237,137				2,514,375
expiration date 5/14/20			89				0.18				229,225				2,499,788
expiration date 7/14/20			89				0.12				159,650				2,507,575
WTI Crude Oil
expiration date 1/21/20			25				0.13				164,900				1,526,500
expiration date 2/20/20			25				0.16				209,410				1,519,250
expiration date 3/20/20			25				0.16				208,020				1,510,250
expiration date 4/21/20			25				0.08				99,900				1,499,250
expiration date 5/19/20			24				0.08				100,490				1,426,560
Total Futures Contracts Long Exposure (Exchange-Traded)							4.82	%		$	6,162,155			$	127,602,755

 

*	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 $9,979,447 as of December 31, 2019.

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Income and Expenses

For the Three Months and Six Months Ended June 30, 2020 and 2019

 

 

		Three Months Ended June 30,								Six Months Ended June 30,
		2020				2019				2020				2019
Income:
Interest income		$	71,845			$	744,029			$	456,166			$	1,620,210
Expenses:
Management fee to related party (Note 8)			153,350				286,421				377,497				620,182
Total expenses			153,350				286,421				377,497				620,182
Expense waivers (Note 8)			(18,041	)			(33,697	)			(44,411	)			(72,963	)
Net expenses			135,309				252,724				333,086				547,219
Net investment income  (loss)			(63,464	)			491,305				123,080				1,072,991
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
Net Realized Gain (Loss) from:
Investments			—				44				14,440				(718	)
Futures Contracts*			(10,173,582	)			(2,029,620	)			(13,966,619	)			(4,618,485	)
Net Realized Loss			(10,173,582	)			(2,029,576	)			(13,952,179	)			(4,619,203	)
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from:
Investments			(60,941	)			14,270				(10,519	)			12,929
Futures Contracts			14,237,053				(41,919	)			(5,508,181	)			7,150,450
Net Increase (Decrease) in Unrealized Appreciation/Depreciation			14,176,112				(27,649	)			(5,518,700	)			7,163,379
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts			4,002,530				(2,057,225	)			(19,470,879	)			2,544,176
Net Gain (Loss)		$	3,939,066			$	(1,565,920	)		$	(19,347,799	)		$	3,617,167
*         Includes brokerage commissions of:		$	30,743			$	43,311			$	61,030			$	82,255

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2020

 

		General Units																Limited Units																Total
		General Units								Accumulated				Total General Shareholders’				Limited Units								Accumulated				Total Limited Shareholders’				Total Shareholders’
		Units				Amount				Deficit				Equity				Units				Amount				Deficit				Equity				Equity
Balance at March 31, 2020			50			$	1,500			$	(759	)		$	741				5,050,000			$	232,672,819			$	(157,797,448	)		$	74,875,371			$	74,876,112
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(600,000	)			(9,165,759	)			—				(9,165,759	)			(9,165,759	)
Net Gain (Loss):
Net Investment Loss			—				—				(0	)*			(0	)*			—				—				(63,464	)			(63,464	)			(63,464	)
Net Realized Loss from Investments and Futures Contracts			—				—				(103	)			(103	)			—				—				(10,173,479	)			(10,173,479	)			(10,173,582	)
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				145				145				—				—				14,175,967				14,175,967				14,176,112
Net Gain			—				—				42				42				—				—				3,939,024				3,939,024				3,939,066
Balance at June 30, 2020			50			$	1,500			$	(717	)		$	783				4,450,000			$	223,507,060			$	(153,858,424	)		$	69,648,636			$	69,649,419

 

*	Amount represents less than $1.

For the Six Months Ended June 30, 2020

 

		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, 2019			50			$	1,500			$	(560	)		$	940				6,800,000			$	262,345,685			$	(134,510,782	)		$	127,834,903			$	127,835,843
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(2,350,000	)			(38,838,625	)			—				(38,838,625	)			(38,838,625	)
Net Gain (Loss):
Net Investment Income			—				—				3				3				—				—				123,077				123,077				123,080
Net Realized Loss from Investments and Futures Contracts			—				—				(143	)			(143	)			—				—				(13,952,036	)			(13,952,036	)			(13,952,179	)
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				(17	)			(17	)			—				—				(5,518,683	)			(5,518,683	)			(5,518,700	)
Net Loss			—				—				(157	)			(157	)			—				—				(19,347,642	)			(19,347,642	)			(19,347,799	)
Balance at June 30, 2020			50			$	1,500			$	(717	)		$	783				4,450,000			$	223,507,060			$	(153,858,424	)		$	69,648,636			$	69,649,419

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statement of Changes in Shareholders’ Equity

For the Three Months Ended June 30, 2019

 

		General Units																Limited Units																Total
		General Units								Accumulated				Total General Shareholders’				Limited Units								Accumulated				Total Limited Shareholders’				Total Shareholders’
		Units				Amount				Deficit				Equity				Units				Amount				Deficit				Equity				Equity
Balance at March 31, 2019			50			$	1,500			$	(598	)		$	902				7,950,000			$	282,316,201			$	(138,909,298	)		$	143,406,903			$	143,407,805
Creation of Units			—				—				—				—				—				—				—				—				—
Redemption of Units			—				—				—				—				(700,000	)			(12,446,702	)			—				(12,446,702	)			(12,446,702	)
Net Gain (Loss):
Net Investment Income			—				—				3				3				—				—				491,302				491,302				491,305
Net Realized Loss from Investments and Futures Contracts			—				—				(15	)			(15	)			—				—				(2,029,561	)			(2,029,561	)			(2,029,576	)
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				2				2				—				—				(27,651	)			(27,651	)			(27,649	)
Net Loss			—				—				(10	)			(10	)			—				—				(1,565,910	)			(1,565,910	)			(1,565,920	)
Balance at June 30, 2019			50			$	1,500			$	(608	)		$	892				7,250,000			$	269,869,499			$	(140,475,208	)		$	129,394,291			$	129,395,183

For the Six Months Ended June 30, 2019

 

		General Units																Limited Units																Total
		General Units								Accumulated				Total General Shareholders’				Limited Units								Accumulated				Total Limited Shareholders’				Total Shareholders’
		Units				Amount				Deficit				Equity				Units				Amount				Deficit				Equity				Equity
Balance at December 31, 2018			50			$	1,500			$	(625	)		$	875				8,850,000			$	298,946,484			$	(144,092,358	)		$	154,854,126			$	154,855,001
Creation of Units			—				—				—				—				600,000				10,509,822				—				10,509,822				10,509,822
Redemption of Units			—				—				—				—				(2,200,000	)			(39,586,807	)			—				(39,586,807	)			(39,586,807	)
Net Gain (Loss):
Net Investment Income			—				—				6				6				—				—				1,072,985				1,072,985				1,072,991
Net Realized Loss from Investments and Futures Contracts			—				—				(31	)			(31	)			—				—				(4,619,172	)			(4,619,172	)			(4,619,203	)
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts			—				—				42				42				—				—				7,163,337				7,163,337				7,163,379
Net Gain			—				—				17				17				—				—				3,617,150				3,617,150				3,617,167
Balance at June 30, 2019			50			$	1,500			$	(608	)		$	892				7,250,000			$	269,869,499			$	(140,475,208	)		$	129,394,291			$	129,395,183

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Master Fund

Unaudited Statements of Cash Flows

For the Six Months Ended June 30, 2020 and 2019

 

 

		2020				2019
Cash flows from operating activities
Net Gain (Loss)		$	(19,347,799	)		$	3,617,167
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
Purchases of investment securities			(168,658,770	)			(291,508,240	)
Proceeds from sales/maturities of investment securities			219,953,521				311,942,737
Net accretion of discount			(450,224	)			(1,590,731	)
Net realized gain (loss) on investment securities			(14,440	)			718
Net change in unrealized appreciation/depreciation from investments			10,519				(12,929	)
Net change in unrealized appreciation/depreciation from futures contracts			5,508,181				(7,150,450	)
Changes in assets and liabilities
Increase/(Decrease) in liabilities:
Net management fee payable to related party			(36,330	)			(15,347	)
Net cash provided by operating activities			36,964,658				15,282,925
Cash flows from financing activities
Proceeds from creation of Limited Units			—				19,258,643
Redemption of Limited Units			(38,838,625	)			(39,586,807	)
Net cash used for financing activities			(38,838,625	)			(20,328,164	)
Net decrease in cash			(1,873,967	)			(5,045,239	)
Cash* at beginning of period			5,922,177				10,193,423
Cash* at end of period		$	4,048,210			$	5,148,184

 

*	Includes cash held by the broker for futures contracts.

 

See accompanying notes to unaudited consolidated financial statements

 

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WisdomTree Continuous Commodity Index Fund

WisdomTree Continuous Commodity Index Master Fund

Notes to Unaudited Consolidated Financial Statements

June 30, 2020

(1) Organization

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

“Sub-Adviser”).

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

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

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

Note 2—Service Providers and Related Party Agreements

).

The Funds’ collective investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index” and also known as the

“CCI-TR

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. 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 (the “Index Sponsor”), is the owner, publisher and calculation agent of the Index. The Index Sponsor is not an affiliate of the Funds or the Managing Owner.

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

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

The Fund continuously offers and redeems baskets of 50,000 Shares (“Baskets”) to authorized participants (“Authorized Participants”) at a price based on the Master Fund’s Net Asset Value (as defined in

Note 7—Share Creations and Redemptions)

per Share. Authorized Participants, in turn, may offer such Shares to the public at a per Share offering price that varies, depending on, among other factors, the trading price of the Shares, the Master Fund’s Net Asset Value, and the supply of and demand for the Shares at the time of the offer.

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

The Managing Owner and the Funds retain the services of third party service providers for the ongoing operations of the Funds.

See Note 2—Service Providers and Related Party Agreements

.

(2) Service Providers and Related Party Agreements

(a)

Trustee.

Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and

 

collectively with the Fund Trust Agreement, the “Trust

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Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.

(b)

Managing Owner.

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

(c)

Sub-Adviser.

Greenhaven Advisors LLC is the

sub-adviser

and commodity trading adviser of each of the Funds. The

Sub-Adviser,

under authority delegated by the Managing Owner, is responsible for selecting Commodity Brokers and reallocating assets within the Portfolio with a view to achieving the Funds’ investment objective. The

Sub-Adviser’s

principal offices are located in Atlanta, Georgia.

(d)

Commodity Broker.

A variety of executing brokers may execute transactions in Commodity Futures on behalf of the Master Fund. Morgan Stanley & Co. LLC (the “Commodity Broker”) is the Master Fund’s commodity broker to which the executing brokers

give-up

all such transactions. In its capacity as the clearing broker, the Commodity Broker may execute and clear each of the Master Fund’s futures transactions. The Commodity Broker’s principal offices are located in New York, New York.

(e)

Administrator.

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

(f)

Distributor.

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

(g)

Authorized Participant.

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

(3) Summary of Significant Accounting Policies

(a) Basis of Presentation and Consolidation

The financial statements of the Fund and the Master Fund have been prepared using U.S. generally accepted accounting principles (“GAAP”) and in the opinion of management reflects all adjustments, consisting of only normal recurring adjustments, necessary for a fair statement of financial condition, results of operations, and cash flows for the period presented. 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 ASC Topic 946, 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.

 

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Unaudited Interim Financial Information

The financial statements as of June 30, 2020 and 2019 and for the three-months and

six-months

ended June 30, 2020 and 2019 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statements and include all adjustments, which are of the normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year. Past performance of the Fund is not necessarily indicative of future performance.

(b) Use of Estimates

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

(c) Cash Held by Broker

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

(d) U. S. Treasury Obligations

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

(e) Futures Contracts

The Master Fund utilizes futures contracts to obtain long exposure to Commodity Futures consistent with its investment objective. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant exchanges where they are principally traded. 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

. The Managing Owner will do other procedures (consistent with GAAP) to value an investment when a market quote is not available. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.

(f) Income Taxes

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

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

(g) Subsequent Events

For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended June 30, 2020 and when the financial statements were issued on August

7

, 2020.

 

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During that period, 350,000 Shares were created for $5,818,629 and 100,000 Shares were redeemed for $1,625,102, resulting in 4,700,050

 

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 in an orderly transaction between market participants at the measurement date. The Managing Owner will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available. 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 futures contracts that are valued daily at settlement prices provided by the relevant exchanges 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. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. A summary of the Master Fund’s assets and liabilities at fair value as of June 30, 2020, 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		$	—			$	64,990,566			$	—			$	64,990,566
Unrealized appreciation on futures contracts			653,974				—				—				653,974
Total		$	653,974			$	64,990,566			$	—			$	65,644,540

The Master Fund did not hold any Level 3 securities during the six months ended June 30, 2020.

A summary of the Master Fund’s assets and liabilities at fair value as of December 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		$	—			$	115,831,172			$	—			$	115,831,172
Unrealized appreciation on futures contracts			6,162,155				—				—				6,162,155
Total		$	6,162,155			$	115,831,172			$	—			$	121,993,327

The Master Fund did not hold any Level 3 securities during the year ended December 31, 2019.

(5) Derivative Instruments and Hedging Activities

The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of June 30, 2020, the Master Fund was invested in Commodity Futures. For the six months ended June 30, 2020 and the year ended December 31, 2019, the volume of derivative activity (based on average

month-end

notional amounts) were $90,367,283 and $134,094,833, respectively.

 

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The fair value of derivative instruments at June 30, 2020 and December 31, 2019, were as follows:

 

As of:		Derivative Instruments				Asset Derivatives (i)				Liability Derivatives (ii)
June 30, 2020			Commodity Futures			$	653,974			$	—
December 31, 2019			Commodity Futures			$	6,162,155			$	—

 

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

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

The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the three months and six months ended June 30, 2020 and 2019:

 

Period		Derivative Instruments				Realized Gain (Loss) on Derivative Instruments (i)				Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii)
Three months ended June 30, 2020			Commodity Futures			$	(10,173,582	)		$	14,237,053
Three months ended June 30, 2019			Commodity Futures				(2,029,620	)			(41,919	)
Six months ended June 30, 2020			Commodity Futures				(13,966,619	)			(5,508,181	)
Six months ended June 30, 2019			Commodity Futures				(4,618,485	)			7,150,450

 

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

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

(6) Financial Instrument Risk

In the normal course of its business, the Master Fund may be party to financial instruments with

off-balance

sheet risk. The term

“off-balance

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

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

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

The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate

off-balance

sheet financing arrangements and have no loan guarantee arrangements or

off-balance

sheet arrangements of any kind other than agreements entered into in the normal course of business.

(7) Share Creations and Redemptions

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

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

 

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(a) Creation of Shares

General.

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

non-refundable

transaction fee due for the purchase order.

Determination of Required Payment.

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

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

Rejection of Purchase Orders.

The Administrator may reject a creation order if:

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

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

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

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

(b) Redemption of Shares

General.

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

non-refundable

transaction fee due for the redemption order.

Determination of Required Payment.

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

Delivery of Redemption Proceeds.

The redemption proceeds due from the Fund are delivered to the Authorized Participant at 12:00 p.m. ET, on the business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Distributor receives the fee applicable to the extension of the redemption distribution date which the Distributor may, from

time-to-time,

determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 12:00 p.m. ET, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Distributor is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 12:00 p.m. ET, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Distributor and the Managing Owner may from

time-to-time

agree.

 

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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 and Brokerage Commissions

(a) Management Fee

The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. The Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Master Fund. For the three months and six months ended June 30, 2020 and 2019, the Management Fee incurred by the Master Fund was as follows:

 

Period		Management Fee				Voluntary Fee Waiver				Net Management Fee
Three months ended June 30, 2020		$	153,350			$	(18,041	)		$	135,309
Three months ended June 30, 2019		$	286,421			$	(33,697	)		$	252,724
Six months ended June 30, 2020		$	377,497			$	(44,411	)		$	333,086
Six months ended June 30, 2019		$	620,182			$	(72,963	)		$	547,219

(b) Brokerage Commission

s

Brokerage commissions are charged against the Fund’s assets on a per transaction basis. The brokerage commissions incurred for the three months ended June 30, 2020 were $30,743 and for the three months ended June 30, 2019 were $43,311 and for the six months ended June 30, 2020 were $61,030 and for the six months ended June 30, 2019 were $82,255.

(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 June 30, 2020, no party to any such service agreement has made a claim against the Funds, and it is therefore not possible to estimate the Funds’ potential future exposure under such indemnification and exculpation provisions.

(11) Net Asset Value and Financial Highlights

The Fund is presenting the following Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the three months and six months ended June 30, 2020 and 2019.

 

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		Three Months Ended June 30, 2020				Three Months Ended June 30, 2019				Six Months Ended June 30, 2020				Six Months Ended June 30, 2019
Net Asset Value
Net asset value per Limited Share, beginning of period		$	14.83			$	18.04			$	18.80			$	17.50
Investment operations:
Net realized and unrealized gain (loss) (1)			0.83				(0.25	)			(3.17	)			0.22
Net investment income  (loss) (2)			(0.01	)			0.06				0.02				0.13
Net increase (decrease) in net assets from operations			0.82				(0.19	)			(3.15	)			0.35
Net asset value per Limited Share, end of period		$	15.65			$	17.85			$	15.65			$	17.85
Total Return, at net asset value (3)			5.53	%			(1.05	)%			(16.76	)%			2.00	%
Ratio/Supplemental Data:
Net assets, end of period (000’s omitted)		$	69,649			$	129,395			$	69,649			$	129,395
Ratios to average net assets of:
Net investment income (4)			(0.35	)%			1.46	%			0.28	%			1.47	%
Expenses, prior to expense waivers (4)			0.85	%			0.85	%			0.85	%			0.85	%
Expenses, net of expense waivers (4)			0.75	%			0.75	%			0.75	%			0.75	%

 

(1)	Includes brokerage commissions of less than $0.01 per share for the three months ended June 30, 2020 and 2019, respectively, and includes brokerage commissions of $0.01 per share for the six months ended June 30, 2020 and 2019, respectively. See Note 8(b) on page 25 .

(2)	Based on average shares outstanding.

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

(4)	Annualized.

(12) Additional Information

As previously disclosed pursuant to the Fund’s Current Report on Form 8-K filed with the SEC on July 22, 2020, the Managing Owner, on behalf of the Fund, plans to enter into an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization (the “Reorganization”) of the Fund into and with the WisdomTree Enhanced Commodity Strategy Fund (the “Acquiring Fund”), a newly created series of WisdomTree Trust. WisdomTree Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The terms of the proposed Plan, information about the Reorganization, including the reasons for the Reorganization, and information about the Acquiring Fund, will be contained in a combined proxy statement/prospectus (the “Proxy Statement/Prospectus”) with respect to a special meeting of shareholders expected to be called for the purpose of asking the Fund’s shareholders to approve the Plan.

* * * * *

A recent outbreak of a respiratory disease caused by a novel coronavirus (COVID-19) has spread globally in a short period of time. In an organized attempt to contain and mitigate the effects of the spread of COVID-19, governments and businesses world-wide have taken aggressive measures, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of the Fund’s investments in those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Fund of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of the Fund.

 

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

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

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

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

10-K,

Quarterly Reports on Form

10-Q

and Current Reports on Form

8-K.

Introduction

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

“Sub-Adviser”).

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

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

The Fund’s investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index” and also known as the “CCI-TR Index”), before Fund 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. 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 cash and U.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasuries on deposit towards satisfying any margin requirements related to the Commodity Futures in the Master Fund’s futures account.

Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended

 

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

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

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

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

Performance Summary

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

Results of Operations

” section below.

Net Asset Value

“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. The Funds’ Administrator calculates the Net Asset Value once each NYSE Arca trading day. The Net Asset Value for a particular trading day is released after 5:00 p.m. ET and posted at www.wisdomtree.com. To provide updated information relating to the Funds for use by investors and market professionals, the NYSE Arca calculates and disseminates throughout the trading day an updated “indicative fund value.” The indicative

intra-day

value is calculated by using the prior day’s closing Net Asset Value as a base and updating that value throughout the trading day to reflect changes in the value of the Master Fund’s Commodity Futures during the trading day. The indicative

intra-day

value will be disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m. ET to 4:00 p.m. ET. The indicative

intra-day

value is an approximate value and should not be viewed as a “real” time update of the Net Asset Value.

Critical Accounting Policies

Critical accounting policies for the Funds are as follows:

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

The Master Fund holds a significant portion of its assets in Commodity Futures and U.S. Treasuries, both of which are recorded on a trade date basis and at fair value in the consolidated financial statements, with changes in fair value reported in the statements of income and expenses. The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Master Fund’s financial statements. The fair value of a financial instrument is the price 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 Managing Owner will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available.

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.

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.

 

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

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

Liquidity

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

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

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

Contractual Obligations

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

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 Master 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 June 30, 2020, 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.

 

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Results of Operations

FOR THE FIVE-YEAR PERIOD ENDED JUNE 30, 2020

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

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Date		Net Asset Value Per Share				Total Shares				Net Assets				1 Month				3 Months				Year to Date				Cumulative Return Since Inception
7/31/2015		$	20.14				12,350,050			$	248,781,672				-8.79	%			-8.04	%			-11.71	%			-32.87	%
8/31/2015		$	19.89				12,250,050			$	243,701,247				-1.24	%			-7.53	%			-12.80	%			-33.70	%
9/30/2015		$	19.48				12,350,050			$	240,610,264				-2.06	%			-11.78	%			-14.60	%			-35.07	%
10/31/2015		$	19.80				12,450,050			$	246,482,902				1.64	%			-1.69	%			-13.20	%			-34.00	%
11/30/2015		$	18.65				12,600,050			$	234,930,303				-5.81	%			-6.23	%			-18.24	%			-37.83	%
12/31/2015		$	18.56				12,100,050			$	224,518,525				-0.48	%			-4.72	%			-18.63	%			-38.13	%
1/31/2016		$	18.08				11,800,050			$	213,290,323				-2.59	%			-8.69	%			-2.59	%			-39.73	%
2/29/2016		$	17.95				11,500,050			$	206,423,399				-0.72	%			-3.75	%			-3.29	%			-40.17	%
3/31/2016		$	18.73				11,350,050			$	212,556,966				4.35	%			0.92	%			0.92	%			-37.57	%
4/30/2016		$	19.83				11,400,050			$	226,055,159				5.87	%			9.68	%			6.84	%			-33.90	%
5/31/2016		$	19.61				11,450,050			$	224,548,529				-1.11	%			9.25	%			5.66	%			-34.63	%
6/30/2016		$	20.42				11,100,050			$	226,681,895				4.13	%			9.02	%			10.02	%			-31.93	%
7/31/2016		$	19.83				11,350,050			$	225,092,558				-2.89	%			0.00	%			6.84	%			-33.90	%
8/31/2016		$	19.33				11,450,050			$	221,349,718				-2.52	%			-1.43	%			4.15	%			-35.57	%
9/30/2016		$	19.51				10,950,050			$	213,673,816				0.93	%			-4.46	%			5.12	%			-34.97	%
10/31/2016		$	19.62				10,950,050			$	214,888,405				0.56	%			-1.06	%			5.71	%			-34.60	%
11/30/2016		$	19.39				11,300,050			$	219,111,876				-1.17	%			0.31	%			4.47	%			-35.37	%
12/31/2016		$	19.35				11,350,050			$	219,660,595				-0.21	%			-0.82	%			4.26	%			-35.50	%
1/31/2017		$	19.82				11,350,050			$	224,901,754				2.43	%			1.02	%			2.43	%			-33.93	%
2/28/2017		$	19.70				10,750,050			$	211,819,623				-0.61	%			1.60	%			1.81	%			-34.33	%
3/31/2017		$	19.25				10,150,050			$	195,428,354				-2.28	%			-0.52	%			-0.52	%			-35.83	%
4/30/2017		$	18.93				9,450,050			$	178,936,038				-1.66	%			-4.49	%			-2.17	%			-36.90	%
5/31/2017		$	18.85				8,900,050			$	167,788,181				-0.42	%			-4.31	%			-2.58	%			-37.17	%
6/30/2017		$	18.68				8,850,050			$	165,359,886				-0.90	%			-2.96	%			-3.46	%			-37.73	%
7/31/2017		$	19.15				8,750,050			$	167,534,220				2.52	%			1.16	%			-1.03	%			-36.17	%
8/31/2017		$	18.84				8,750,050			$	164,834,840				-1.62	%			-0.05	%			-2.64	%			-37.20	%
9/30/2017		$	18.76				8,550,050			$	160,409,438				-0.42	%			0.43	%			-3.05	%			-37.47	%
10/31/2017		$	19.08				8,400,050			$	160,283,921				1.71	%			-0.37	%			-1.40	%			-36.40	%
11/30/2017		$	19.11				8,200,050			$	156,718,600				0.16	%			1.43	%			-1.24	%			-36.30	%
12/31/2017		$	19.25				8,050,050			$	154,956,309				0.73	%			2.61	%			-0.52	%			-35.83	%

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

 

Date		Net Asset Value Per Share				Total Shares				Net Assets				1 Month				3 Months				Year to Date				Cumulative Return Since Inception
1/31/2018		$	19.50				8,800,050			$	171,590,704				1.30	%			2.20	%			1.30	%			-35.00	%
2/28/2018		$	19.45				9,150,050			$	177,987,164				-0.26	%			1.78	%			1.04	%			-35.17	%
3/31/2018		$	19.25				9,400,050			$	180,938,291				-1.03	%			0.00	%			0.00	%			-35.83	%
4/30/2018		$	19.48				9,300,050			$	181,169,802				1.19	%			-0.10	%			1.19	%			-35.07	%
5/31/2018		$	19.73				9,400,050			$	185,447,260				1.28	%			1.44	%			2.49	%			-34.23	%
6/30/2018		$	18.86				9,150,050			$	172,533,165				-4.41	%			-2.03	%			-2.03	%			-37.13	%
7/31/2018		$	18.36				9,400,050			$	172,579,285				-2.65	%			-5.75	%			-4.62	%			-38.80	%
8/31/2018		$	18.02				9,000,050			$	162,207,008				-1.85	%			-8.67	%			-6.39	%			-39.93	%
9/30/2018		$	18.08				8,800,050			$	159,102,078				0.33	%			-4.14	%			-6.08	%			-39.73	%
10/31/2018		$	18.28				8,650,050			$	158,160,214				1.11	%			-0.44	%			-5.04	%			-39.07	%
11/30/2018		$	17.96				8,350,050			$	149,939,026				-1.75	%			-0.33	%			-6.70	%			-40.13	%
12/31/2018		$	17.50				8,850,050			$	154,855,001				-2.56	%			-3.21	%			-9.09	%			-41.67	%
1/31/2019		$	18.09				9,000,050			$	162,845,090				3.37	%			-1.04	%			3.37	%			-39.70	%
2/28/2019		$	18.07				8,700,050			$	157,241,808				-0.11	%			0.61	%			3.26	%			-39.77	%
3/31/2019		$	18.04				7,950,050			$	143,407,805				-0.17	%			3.09	%			3.09	%			-39.87	%
4/30/2019		$	17.90				7,700,050			$	137,843,116				-0.78	%			-1.05	%			2.29	%			-40.33	%
5/31/2019		$	17.53				7,450,050			$	130,608,270				-2.07	%			-2.99	%			0.17	%			-41.57	%
6/30/2019		$	17.85				7,250,050			$	129,395,183				1.83	%			-1.05	%			2.00	%			-40.50	%
7/31/2019		$	17.62				7,250,050			$	127,772,592				-1.29	%			-1.56	%			0.69	%			-41.27	%
8/31/2019		$	17.10				6,700,050			$	114,556,679				-2.95	%			-2.45	%			-2.29	%			-43.00	%
9/30/2019		$	17.56				6,500,050			$	114,110,261				2.69	%			-1.62	%			0.34	%			-41.47	%
10/31/2019		$	17.95				6,850,050			$	122,956,931				2.22	%			1.87	%			2.57	%			-40.17	%
11/30/2019		$	17.86				6,850,050			$	122,348,578				-0.50	%			4.44	%			2.06	%			-40.47	%
12/31/2019		$	18.80				6,800,050			$	127,835,843				5.26	%			7.06	%			7.43	%			-37.33	%
1/31/2020		$	17.61				6,400,050			$	112,722,603				-6.33	%			-1.89	%			-6.33	%			-41.30	%
2/29/2020		$	16.76				6,000,050			$	100,581,288				-4.83	%			-6.16	%			-10.85	%			-44.13	%
3/31/2020		$	14.83				5,050,050			$	74,876,112				-11.52	%			-21.12	%			-21.12	%			-50.57	%
4/30/2020		$	14.85				4,950,050			$	73,491,909				0.13	%			-15.67	%			-21.01	%			-50.50	%
5/31/2020		$	15.45				4,850,050			$	74,932,143				4.04	%			-7.82	%			-17.82	%			-48.50	%
6/30/2020		$	15.65				4,450,050			$	69,649,419				1.29	%			5.53	%			-16.76	%			-47.83	%

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

 

 

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

 

 

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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 six months ended June 30, 2020, the Fund’s Net Asset Value underperformed the Index by 0.27%. For the six months ended June 30, 2019, the Fund’s Net Asset Value underperformed the Index by 0.50%.

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

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

Qualitative Disclosures Regarding

Non-Trading

Risk Exposure

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Under ordinary circumstances, the Managing Owner’s discretionary power is limited to determining whether the Fund will make a distribution. Under emergency or extraordinary circumstances, the Managing Owner’s discretionary powers increase, but remain circumscribed. Examples of these special circumstances include the unavailability of the Index or certain natural or

man-made

disasters impacting the United States and global financial markets. The Managing Owner does not apply risk management techniques. The Master Fund initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques.

Quantitative Disclosures

Market Risk by Sector

The following were the primary trading risk exposures of the Fund as of June 30, 2020 by market sector. The table below indicates the sector weighting of the Commodity Futures held within the Master Fund.

 

Sector		Sector Weight				Commodity
Energy			17.64	%		WTI Crude Oil, Natural Gas, NY Harbor ULSD
Grains			23.49	%		Corn, Soybean, Wheat, Soybean Oil
Livestock			11.80	%		Live Hogs, Live Cattle
Metals			23.50	%		Gold 100 Ounce, Silver, Platinum, Copper
Softs			23.57	%		Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2

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 provide information about the Master Fund’s investments, which were sensitive to both commodity price and interest rate risk.

As of June 30, 2020, the Master Fund’s long exposure Commodity Futures subject to commodity price risk were as follows:

 

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Description		Range of Expiration Dates		Number of Contracts				Weighted- Average Price per Contract				Contract Multiplier				Notional Value				Unrealized Appreciation/ (Depreciation)
Energy
Natural Gas		August 2020—December 2020			176			$	2.32				10,000			$	4,084,630			$	(304,330	)
NY Harbor ULSD		August 2020—December 2020			79				1.24				42,000				4,102,139				221,521
WTI Crude Oil		August 2020—December 2020			103				39.57				1,000				4,075,600				696,860
Grains
Corn		September 2020—December 2020			236				3.46				5,000				4,082,800				(57,262	)
Soybean		November 2020—January 2021			92				8.84				5,000				4,064,100				32,550
Soybean Oil		September 2020—January 2021			238				0.29				60,000				4,090,548				(115,308	)
Wheat		September 2020—December 2020			165				4.95				5,000				4,087,025				(320,213	)
Livestock
Lean Hogs		August 2020—February 2021			195				0.53				40,000				4,096,390				(235,270	)
Live Cattle		October 2020—February 2021			99				1.04				40,000				4,102,230				(23,360	)
Metals
Copper		September 2020—December 2020			60				2.74				25,000				4,103,250				335,438
Gold 100 Ounce		December 2020—February 2021			22				1,823.95				100				4,012,690				190,070
Platinum		October 2020—January 2021			96				853.65				50				4,097,520				159,170
Silver		September 2020—December 2020			44				18.72				5,000				4,118,400				424,950
Softs
Cocoa		September 2020—December 2020			188				2,185.50				10				4,108,740				(383,990	)
Coffee “C”		September 2020—December 2020			107				1.02				37,500				4,101,319				(274,388	)
Cotton No. 2		December 2020—March 2021			133				0.61				50,000				4,070,300				192,445
Sugar No. 11		September 2020—February 2021			299				0.12				112,000				4,105,293				115,091
																$	69,502,974			$	653,974

As of June 30, 2020, the Master Fund’s aggregate position in short-term U.S. Treasuries subject to interest rate risk was 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		0.08% – 0.15%			July 2020 – September 2020			$	65,000,000			$	64,990,566			$	(215	)

 

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Item 4. Controls and Procedures.

Disclosure controls and procedures

Under the supervision and with the participation of the management of the Managing Owner, including its chief executive officer and principal financial officer, the Funds carried out an evaluation of the effectiveness of the design and operation of their respective disclosure controls and procedures (as defined in Rule

13a-15(f))

of the Securities Exchange Act of 1934). Based upon that evaluation, the chief executive officer and principal financial officer concluded that the Funds’ disclosure controls and procedures were effective as of the end of the period covered by this quarterly report.

Changes in Internal Control over Financial Reporting

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

The Managing Owner does not believe that there have been any change in the Funds’ internal control over financial reporting during the three months and six months ended June 30, 2020 that has materially affected, or is reasonably likely to materially affect, the Funds’ internal control over financial reporting.

 

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PART II—OTHER INFORMATION

Item 1. Legal Proceedings.

Not Applicable.

Item 1A. Risk Factors.

The risk factors as previously disclosed in Item 1A contained in Part I of the Fund’s Annual Report on Form 10-K for the year ended December 31, 2019 are updated to add the risk factor set forth below.

The ongoing COVID-19 pandemic and measures intended to prevent its spread could have a material adverse effect on the Fund’s business, results of operations, cash flows and financial condition.

An investment in the Shares should be made with an understanding that the value of Index Commodities may fluctuate (including significantly decrease) in accordance with changes in the financial condition of an issuer or counterparty, changes in specific economic or political conditions that affect a particular security or issuer, changes in general economic or political conditions, local, regional or global events such as war, threats of war, acts of terrorism, the spread of infectious illness or other public health issue, recessions, natural and environmental disasters, systemic market dislocations, supply disruptions, or other events. Such events may disparately impact a particular Index Commodity or Index Commodities, exchange, counterparty, country, group of countries, region, market, industry, group of industries, sector or asset class.

A recent outbreak of a respiratory disease caused by a novel coronavirus (COVID-19) has spread globally in a short period of time. The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of the Fund’s investments in those sectors or industries. COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Shares of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the Shares and/or risk profile of the Fund. Contemporaneous with the onset of COVID-19 in the United States, the oil market experienced fluctuations in supply and demand, significantly impacting the price and volatility of oil. The impact of COVID-19 may result in further changes to the supply and demand of other commodities. The COVID-19 pandemic may also have the effect of heightening or contributing to many of the other risks described in the “Risk Factors” section of the Fund’s Annual Report on Form 10-K for the year ended December 31, 2019.

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

(a) None.

(b) For the three months ended June 30, 2020, 600,000 Limited Shares were redeemed for $9,165,759 and no Limited Shares were created. The Fund’s Shares were registered pursuant to the Fund’s Registration Statement on

Form S-3 (Registration

No.: 333-214153), which

was declared effective by the SEC on October 22, 2019. The Fund filed a prospectus under Rule 424(b) of the Exchange Act on October 25, 2019 to update certain information contained in the Registration Statement. On June 30, 2020, 4,450,000 Limited Shares of the Fund were outstanding for a market capitalization of $69,375,500, based on the June 30, 2020 closing price of $15.59 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 June 30, 2020:

 

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
April 1, 2020 to April 30, 2020			100,000			$	14.39				N/A				N/A
May 1, 2020 to May 31, 2020			100,000			$	14.90				N/A				N/A
June 1, 2020 to June 30, 2020			400,000			$	15.59				N/A				N/A
Total			600,000			$	15.28				N/A				N/A

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

None.

Item 5. Other Information.

As previously disclosed pursuant to the Fund’s Current Report on Form 8-K filed with the SEC on July 22, 2020, the Managing Owner, on behalf of the Fund, plans to enter into an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization (the “Reorganization”) of the Fund into and with the WisdomTree Enhanced Commodity Strategy Fund (the “Acquiring Fund”), a newly created series of WisdomTree Trust. WisdomTree Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The terms of the proposed Plan, information about the Reorganization, including the reasons for the Reorganization, and information about the Acquiring Fund, will be contained in a combined proxy statement/prospectus (the “Proxy Statement/Prospectus”) with respect to a special meeting of shareholders expected to be called for the purpose of asking the Fund’s shareholders to approve the Plan.

 

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Item 6. Exhibits. 

 

Exhibit No.		Description of Document
31.1		Certification by Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
31.2		Certification by Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
31.3		Certification by Principal Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
31.4		Certification by Principal Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended(1)
32.1		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
32.2		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
32.3		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
32.4		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS		XBRL Instance Document – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.
101.SCH		Inline XBRL Taxonomy Extension Schema Document.
101.CAL		Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.DEF		Inline XBRL Taxonomy Extension Definition Linkbase Document.
101.LAB		Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE		Inline XBRL Taxonomy Extension Presentation Linkbase Document.
104		Cover Page Interactive Data File – the cover page XBRL tags are embedded within the Inline XBRL document (included in Exhibit 101).

 

 

(1)	Filed herewith.

 

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SIGNATURES

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: August 7, 2020
By:		/s/ David Castano
David Castano
Chief Financial Officer and Treasurer
(Principal Financial Officer)
Date: August 7, 2020
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: August 7, 2020
By:		/s/ David Castano
David Castano
Chief Financial Officer and Treasurer
(Principal Financial Officer)
Date: August 7, 2020

 

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