CFD Nuveen Diversified Commodity Fund Common Units of Beneficial Interest

Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form 10-Q

 

 

(Mark One)

 

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

For the quarterly period ended September 30, 2011

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 Number 001-34879

 

 

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)

 

Delaware		27-2048014
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)
333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

 

 

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   x     No   ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes   x     No   ¨

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

 

Large accelerated filer		¨				Accelerated filer		¨
Non-accelerated filer		x		(Do not check if smaller reporting company)		Smaller reporting company		¨

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

As of November 14, 2011, the registrant had 9,267,040 shares outstanding.

 

 

 

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Table of Contents

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS

 

				Page No.
PART I. FINANCIAL INFORMATION
Item 1.		Financial Statements (Unaudited):
		Statements of Financial Condition at September 30, 2011 and December 31, 2010			3
		Schedule of Investments at September 30, 2011			4
		Statements of Operations for the three months ended September 30, 2011 and September 30, 2010 and the nine months ended September 30, 2011 and September 30, 2010			11
		Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2011 and the year ended December 31, 2010			12
		Statements of Cash Flows for the nine months ended September 30, 2011 and September 30, 2010			13
		Notes to Financial Statements			14
Item 2.		Management’s Discussion and Analysis of Financial Condition and Results of Operations			27
Item 3.		Quantitative and Qualitative Disclosures About Market Risk			36
Item 4.		Controls and Procedures			39
PART II. OTHER INFORMATION
Item 1.		Legal Proceedings			40
Item 1A.		Risk Factors			40
Item 2.		Unregistered Sales of Equity Securities and Use of Proceeds			40
Item 3.		Defaults Upon Senior Securities			40
Item 4.		(Removed and Reserved)			40
Item 5.		Other Information			40
Item 6.		Exhibits			40
Signatures					41

 

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PART I. FINANCIAL INFORMATION

 

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

(Unaudited)

 

		September 30, 2011				December 31, 2010
ASSETS
Short-term investments, at value (cost $166,722,702 and $182,130,272, respectively)		$	166,756,068			$	182,158,211
Cash			—				16
Deposits with brokers			71,884,837				50,972,757
Interest receivable			859,097				3
Unrealized appreciation on futures contracts, net			—				18,854,639
Other assets			98,332				—
Total assets			239,598,334				251,985,626
LIABILITIES
Call options written, at value (premiums received $1,663,360 and $1,629,313, respectively)			471,057				3,494,305
Unrealized depreciation on futures contracts, net			24,354,111				—
Payable for distributions			1,343,721				—
Accrued expenses:
Management fees			241,646				254,641
Other			460,642				478,932
Total liabilities			26,871,177				4,227,878
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,267,040 shares issued and outstanding at September 30, 2011 and December 31, 2010			220,787,270				220,787,270
Accumulated undistributed earnings (deficit)			(8,060,113	)			26,970,478
Total shareholders’ capital (Net assets)			212,727,157				247,757,748
Total liabilities and shareholders’ capital		$	239,598,334			$	251,985,626
Net assets		$	212,727,157			$	247,757,748
Shares outstanding			9,267,040				9,267,040
Net asset value per share outstanding (net assets divided by shares outstanding)		$	22.96			$	26.74
Market value per share outstanding		$	20.52			$	25.80

 

 

See accompanying notes to financial statements.

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS

September 30, 2011

(Unaudited)

 

Principal Amount (000)				Description		Coupon				Maturity				Ratings (1)		Value
				Short-Term Investments
				U.S. Government and Agency Obligations
	$    20,030			Federal Home Loan Mortgage Corporation			4.500	%			11/15/11			Aaa		$	20,132,534
	30,000			Federal Home Loan Mortgage Corporation			0.000	%			8/07/12			Aaa			29,974,260
	20,692			Federal National Mortgage Association			6.125	%			3/15/12			Aaa			21,243,276
	20,000			Federal National Mortgage Association			0.000	%			4/02/12			Aaa			19,995,960
	5,000			U.S. Treasury Bills			0.000	%			10/20/11			Aaa			4,999,965
	35,000			U.S. Treasury Bills			0.000	%			12/15/11			Aaa			34,998,950
	29,000			U.S. Treasury Notes			4.750	%			5/31/12			Aaa			29,877,917
	159,722			Total U.S. Government And Agency Obligations (cost $161,189,496)													161,222,862
				Repurchase Agreements
	5,533			Repurchase Agreement with State Street Bank, dated 9/30/11, repurchase price $5,533,211 U.S. Treasury Notes, 1.375%, due 9/30/18, value $5,644,500			0.010	%			10/03/11			N/A			5,533,206
				Total Repurchase Agreements (cost $5,533,206)													5,533,206
				Total Short-Term Investments (cost $166,722,702)												$	166,756,068

Investments in Derivatives

Futures Contracts outstanding:

 

Commodity Group		Contract		Contract Position (2)				Contract Expiration				Number of Contracts				Notional Amount at Value				Unrealized Appreciation (Depreciation)
Energy		Crude Oil
		ICE Brent Crude Oil Futures Contract			Long				November 2011				120			$	12,331,200			$	(892,691	)
		ICE Brent Crude Oil Futures Contract			Long				December 2011				120				12,105,600				(1,197,070	)
		NYMEX Crude Oil Futures Contract			Long				November 2011				218				17,265,600				(1,997,650	)
		NYMEX Crude Oil Futures Contract			Long				January 2012				77				6,118,420				(794,090	)
		Total Crude Oil																			(4,881,501	)
		Heating Oil
		ICE Gas Oil Futures Contract			Long				November 2011				28				2,462,600				(184,200	)
		ICE Gas Oil Futures Contract			Long				December 2011				7				610,750				(325	)
		NYMEX Heating Oil Futures Contract			Long				November 2011				55				6,420,183				(297,481	)
		NYMEX Heating Oil Futures Contract			Long				January 2012				20				2,331,504				(173,254	)
		Total Heating Oil																			(655,260	)
		Natural Gas
		NYMEX Natural Gas Futures Contract			Long				November 2011				138				5,059,080				(644,230	)
		NYMEX Natural Gas Futures Contract			Long				January 2012				82				3,380,860				(100,150	)
		Total Natural Gas																			(744,380	)
		Unleaded Gas
		NYMEX Gasoline RBOB Futures Contract			Long				November 2011				43				4,583,809				(300,547	)
		NYMEX Gasoline RBOB Futures Contract			Long				January 2012				34				3,535,585				(236,271	)
		Total Unleaded Gas																			(536,818	)
		Total Energy																			(6,817,959	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

 

Commodity Group		Contract		Contract Position (2)				Contract Expiration				Number of Contracts				Notional Amount at Value				Unrealized Appreciation (Depreciation)
Industrial Metals		Aluminum
		LME Primary Aluminum Futures Contract			Long				October 2011				109			$	5,804,931			$	(630,156	)
		LME Primary Aluminum Futures Contract			Long				November 2011				106				5,674,313				(1,223,063	)
		LME Primary Aluminum Futures Contract			Short				November 2011				(1	)			(53,531	)			12,263
		Total Aluminum																			(1,840,956	)
		Copper
		CEC Copper Futures Contract			Long				December 2011				107				8,431,600				(2,605,400	)
		LME Copper Futures Contract			Long				October 2011				50				8,755,625				(2,470,694	)
		LME Copper Futures Contract			Short				October 2011				(1	)			(175,113	)			56,631
		Total Copper																			(5,019,463	)
		Nickel
		LME Nickel Futures Contract			Long				October 2011				32				3,374,592				(679,680	)
		LME Nickel Futures Contract			Short				October 2011				(1	)			(105,456	)			—
		LME Nickel Futures Contract			Long				November 2011				1				105,510				(21,732	)
		Total Nickel																			(701,412	)
		Zinc
		LME Zinc Futures Contract			Long				October 2011				31				1,428,519				(281,906	)
		LME Zinc Futures Contract			Long				November 2011				32				1,480,400				(256,688	)
		LME Zinc Futures Contract			Short				November 2011				(32	)			(1,480,400	)			86,413
		LME Zinc Futures Contract			Long				January 2012				30				1,398,938				(63,563	)
		Total Zinc																			(515,744	)
		Lead
		LME Lead Futures Contract			Long				October 2011				31				1,537,600				(278,900	)
		LME Lead Futures Contract			Long				November 2011				1				49,600				(6,738	)
		Total Lead																			(285,638	)
		Total Industrial Metals																			(8,363,213	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

 

Commodity Group		Contract		Contract Position (2)				Contract Expiration				Number of Contracts				Notional Amount at Value				Unrealized Appreciation (Depreciation)
Agriculturals		Corn
		CBOT Corn Futures Contract			Long				December 2011				319			$	9,450,375			$	(1,644,700	)
		Soybean
		CBOT Soybean Futures Contract			Long				November 2011				155				9,137,250				(1,208,760	)
		CBOT Soybean Futures Contract			Long				January 2012				8				475,800				(86,100	)
		Total Soybean																			(1,294,860	)
		Wheat
		CBOT Wheat Futures Contract			Long				December 2011				127				3,868,738				(926,813	)
		KCBT Wheat Futures Contract			Long				December 2011				111				3,907,200				(815,225	)
		Total Wheat																			(1,742,038	)
		Soybean Meal
		CBOT Soybean Meal Futures Contract			Long				December 2011				113				3,487,180				(505,970	)
		Soybean Oil
		CBOT Soybean Oil Futures Contract			Long				December 2011				44				1,325,544				(217,049	)
		CBOT Soybean Oil Futures Contract			Long				January 2012				20				605,760				(89,454	)
		CBOT Soybean Oil Futures Contract			Long				March 2012				22				669,372				(107,316	)
		Total Soybean Oil																			(413,819	)
		Total Agriculturals																			(5,601,387	)
Precious Metals		Gold
		CEC Gold Futures Contract			Long				December 2011				126				20,440,980				1,162,540
		Silver
		CEC Silver Futures Contract			Long				December 2011				42				6,317,430				(2,223,480	)
		Platinum
		NYMEX Platinum Futures Contract			Long				January 2012				27				2,056,860				(276,292	)
		Palladium
		NYMEX Palladium Futures Contract			Long				December 2011				13				798,915				(242,385	)
		Total Precious Metals																			(1,579,617	)
Foods and Fibers		Cotton
		ICE Cotton Futures Contract			Long				December 2011				81				4,057,695				(1,199,084	)
		Sugar
		ICE Sugar Futures Contract			Long				March 2012				299				8,469,115				(843,667	)
		Coffee
		ICE Coffee C Futures Contract			Long				December 2011				41				3,519,338				(326,363	)
		ICE Coffee C Futures Contract			Long				March 2012				5				435,094				(111,094	)
		LIFFE Coffee Robusta Futures Contract			Long				November 2011				48				949,920				(121,210	)
		Total Coffee																			(558,667	)
		Cocoa
		ICE Cocoa Futures Contract			Long				December 2011				65				1,695,200				(210,170	)
		Total Foods and Fibers																			(2,811,588	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

 

Commodity Group		Contract		Contract Position (2)				Contract Expiration				Number of Contracts				Notional Amount at Value				Unrealized Appreciation (Depreciation)
Livestock		Live Cattle
		CME Live Cattle Futures Contract			Long				October 2011				137			$	6,693,820			$	364,420
		CME Live Cattle Futures Contract			Long				December 2011				50				2,453,000				81,970
		CME Live Cattle Futures Contract			Long				February 2012				30				1,489,800				14,990
		Total Live Cattle																			461,380
		Lean Hogs
		CME Lean Hog Futures Contract			Long				October 2011				75				2,801,250				149,012
		CME Lean Hog Futures Contract			Long				December 2011				25				878,000				38,921
		CME Lean Hog Futures Contract			Long				February 2012				44				1,611,720				57,190
		Total Lean Hogs																			245,123
		Feeder Cattle
		CME Feeder Cattle Futures Contract			Long				November 2011				37				2,644,113				113,150
		Total Livestock																			819,653
		Total Futures Contracts outstanding																		$	(24,354,111	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

 

Call Options Written outstanding:

 

Commodity Group		Contract		Contract Expiration				Number of Contracts				Strike Price				Value
Energy		Crude Oil
		ICE Brent Crude Oil Futures Options			November 2011				(120	)		$	122.0			$	(2,400	)
		NYMEX Crude Oil Futures Options			October 2011				(147	)			98.0				(7,350	)
		Total Crude Oil															(9,750	)
		Heating Oil
		NYMEX Heating Oil Futures Options			October 2011				(51	)			3.1				(13,066	)
		Natural Gas
		NYMEX Natural Gas Futures Options			October 2011				(110	)			4,050.0				(26,400	)
		Unleaded Gas
		NYMEX Gasoline RBOB Futures Options			October 2011				(38	)			31,000.0				(1,277	)
		Total Energy															(50,493	)
Industrial Metals		Aluminum
		LME Primary Aluminum Futures Options			October 2011				(107	)			2,525.0				—
		Copper
		LME Copper Futures Options			October 2011				(49	)			9,825.0				—
		Nickel
		LME Nickel Futures Options			October 2011				(16	)			22,700.0				—
		Zinc
		LME Zinc Futures Options			October 2011				(31	)			2,350.0				—
		Lead
		LME Lead Futures Options			October 2011				(16	)			2,625.0				—
		Total Industrial Metals															—
Agriculturals		Corn
		CBOT Corn Futures Options			November 2011				(147	)			830.0				(8,269	)
		CBOT Corn Futures Options			November 2011				(11	)			910.0				(344	)
		CBOT Corn Futures Options			November 2011				(1	)			670.0				(525	)
		Total Corn															(9,138	)
		Soybean
		CBOT Soybean Futures Options			October 2011				(79	)			1,580.0				(494	)
		CBOT Soybean Futures Options			October 2011				(2	)			1,500.0				(25	)
		Total Soybean															(519	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

 

Commodity Group		Contract		Contract Expiration				Number of Contracts				Strike Price				Value
Agriculturals (continued)
		Wheat
		CBOT Wheat Futures Options			November 2011				(59	)		$	860.0			$	(2,950	)
		CBOT Wheat Futures Options			November 2011				(4	)			690.0				(2,126	)
		KCBT Wheat Futures Options			November 2011				(53	)			960.0				(2,650	)
		KCBT Wheat Futures Options			November 2011				(2	)			810.0				(850	)
		Total Wheat															(8,576	)
		Soybean Meal
		CBOT Soybean Meal Futures Options			November 2011				(57	)			400.0				(2,280	)
		Soybean Oil
		CBOT Soybean Oil Futures Options			November 2011				(43	)			680.0				(129	)
		Total Agriculturals															(20,642	)
Precious Metals		Gold
		CEC Gold Futures Options			November 2011				(62	)			1,725.0				(249,239	)
		CEC Gold Futures Options			November 2011				(1	)			1,975.0				(680	)
		Total Gold															(249,919	)
		Silver
		CEC Silver Futures Options			November 2011				(21	)			4,550.0				(17,850	)
		Total Precious Metals															(267,769	)
Foods and Fibers		Cotton
		ICE Cotton Futures Options			November 2011				(38	)			1,580.0				(380	)
		ICE Cotton Futures Options			November 2011				(2	)			111.0				(1,530	)
		Total Cotton															(1,910	)
		Sugar
		ICE Sugar Futures Options			February 2012				(149	)			330.0				(91,784	)
		Coffee
		ICE Coffee C Futures Options			November 2011				(29	)			275.0				(19,249	)
		Cocoa
		ICE Cocoa Futures Options			November 2011				(33	)			3,350.0				(330	)
		Total Foods and Fibers															(113,273	)

 

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NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2011

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

 

Commodity Group		Contract		Contract Expiration				Number of Contracts				Strike Price				Value
Livestock		Live Cattle
		CME Live Cattle Futures Options			October 2011				(137	)		$	126.0			$	(10,960	)
		Lean Hogs
		CME Lean Hogs Futures Options			October 2011				(72	)			97.0				(7,920	)
		Total Livestock															(18,880	)
		Total Call Options Written outstanding
		(premiums received $1,663,360)							(1,687	)						$	(471,057	)

 

(1)		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. rating.
(2)		The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long futures contract. The London Clearing House is the counterparty for both the long and short position.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

 

See accompanying notes to financial statements.

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NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS

(Unaudited)

 

		Three Months Ended September 30,								Nine Months Ended September 30,
		2011				2010				2011				2010
Investment Income:
Interest		$	60,406			$	—			$	244,262			$	—
Total Investment Income			60,406				—				244,262				—
Expenses:
Management fees			756,870				6,991				2,316,276				6,991
Brokerage commissions			32,331				—				117,607				—
Custodian’s fees and expenses			29,729				915				65,171				915
Organization expenses			—				64,000				—				141,000
Trustees’ fees and expenses			31,334				—				91,959				—
Professional fees			172,616				4,547				310,811				4,547
Shareholder reporting expense			10,794				4,808				121,099				4,808
Other expenses			1,454				15				20,701				15
Total expenses before custodian fee credit and expense reimbursement			1,035,128				81,276				3,043,624				158,276
Custodian fee credit			—				(727	)			—				(727	)
Expense reimbursement			—				(64,000	)			—				(141,000	)
Net expenses			1,035,128				16,549				3,043,624				16,549
Net investment income (loss)			(974,722	)			(16,549	)			(2,799,362	)			(16,549	)
Net realized gain (loss) from:
Short-term investments			10,912				—				21,811				—
Futures contracts			(4,910,124	)			—				13,120,358				—
Call options written			1,508,609				—				6,866,119				—
Change in net unrealized appreciation (depreciation) of:
Short-term investments			13,013				—				5,427				—
Futures contracts			(20,252,466	)			—				(43,208,750	)			—
Call options written			693,216				—				3,057,295				—
Net realized gain (loss) and change in net unrealized appreciation (depreciation)			(22,936,840	)			—				(20,137,740	)			—
Net income (loss)		$	(23,911,562	)		$	(16,549	)		$	(22,937,102	)		$	(16,549	)
Net income (loss) per weighted-average share		$	(2.58	)		$	(0.04	)		$	(2.48	)		$	(0.13	) (1)
Weighted-average shares outstanding			9,267,040				372,579				9,267,040				125,715

 

(1)	For the period May 11, 2010 through September 30, 2010.

 

See accompanying notes to financial statements.

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NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

(Unaudited)

 

		Nine Months Ended September 30, 2011				Year Ended December 31, 2010
Shareholders’ capital—beginning of period		$	247,757,748			$	—
Issuance of shares, net of offering costs			—				220,787,270
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)			(2,799,362	)			(1,185,458	)
Net realized gain (loss) from:
Short-term investments			21,811				832
Futures contracts			13,120,358				13,688,473
Call options written			6,866,119				1,480,208
Change in net unrealized appreciation (depreciation) of:
Short-term investments			5,427				27,939
Futures contracts			(43,208,750	)			18,854,639
Call options written			3,057,295				(1,864,992	)
Net income (loss)			(22,937,102	)			31,001,641
Distributions to shareholders			(12,093,489	)			(4,031,163	)
Shareholders’ capital—end of period		$	212,727,157			$	247,757,748
Shares—beginning of period			9,267,040				—
Issuance of shares			—				9,267,040
Shares—end of period			9,267,040				9,267,040

 

See accompanying notes to financial statements.

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NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS

(Unaudited)

 

		Nine Months Ended September 30,
		2011				2010
Cash flows from operating activities:
Net income (loss)		$	(22,937,102	)		$	(16,549	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments			(1,758,367,206	)			(149,812,979	)
Proceeds from sales and maturities of short-term investments			1,772,511,338				—
Premiums paid for call options written			(850,717	)			—
Premiums received for call options written			7,750,883				—
Amortization (Accretion)			1,285,249				—
(Increase) Decrease in:
Deferred offering costs			—				500,000
Deposits with brokers			(20,912,080	)			—
Interest receivable			(859,094	)			—
Receivable from Manager			—				456,000
Other assets			(98,332	)			—
Increase (Decrease) in:
Unrealized depreciation on futures contracts, net			43,208,750				—
Payable for investments purchased			—				149,812,979
Payable for offering costs			—				(72,500	)
Payable for organization expenses			—				(456,000	)
Accrued management fees			(12,995	)			6,991
Other accrued expenses			(18,290	)			9,558
Net realized (gain) loss from:
Short-term investments			(21,811	)			—
Call options written			(6,866,119	)			—
Change in net unrealized (appreciation) depreciation of:
Short-term investments			(5,427	)			—
Call options written			(3,057,295	)			—
Net cash provided by (used in) operating activities			10,749,752				427,500
Cash flows from financing activities:
Proceeds from issuance of shares			—				204,151,305
Offering costs			—				(427,500	)
Cash distributions to shareholders			(10,749,768	)			—
Net cash provided by (used in) financing activities			(10,749,768	)			203,723,805
Net increase (decrease) in cash			(16	)			204,151,305
Cash—beginning of period			16				—
Cash—end of period		$	—			$	204,151,305

 

 

See accompanying notes to financial statements.

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS

September 30, 2011

(Unaudited)

1. Organization

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. On May 11, 2010, the Fund issued 840 shares to Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). NCAM is a Delaware limited liability company registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (“NFA”). The Fund completed its initial public offering of 8,550,000 shares on September 30, 2010. During October 2010, the Fund, upon exercise of the over-allotment option granted to the underwriters in connection with the Fund’s initial public offering, issued an additional 716,200 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement (“Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE Amex under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”), and is not subject to regulation thereunder.

Prior to its initial public offering, the Fund had no operations other than those related to organizational matters. The Fund received an initial capital contribution of $20,055 from the Manager, and recorded organizational expenses that were reimbursed by Nuveen Investments, LLC, an affiliate of the Manager and a wholly-owned subsidiary of Nuveen. Effective April 30, 2011, Nuveen Investments, LLC changed its name to Nuveen Securities, LLC.

The Manager selected Gresham Investment Management LLC (“Gresham” or the “Commodity Sub-advisor”) to manage the Fund’s commodity investment strategy and its options strategy. Gresham is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham is registered with the CFTC as a commodity trading advisor and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (“SEC”) as an investment adviser.

The Manager selected Nuveen Asset Management (the “Collateral Sub-advisor”), an affiliate of the Manager and a wholly-owned subsidiary of Nuveen, to invest the Fund’s collateral in short-term, high grade debt securities. Effective January 1, 2011, Nuveen Asset Management changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities. Nuveen Asset Management, LLC now serves as the Fund’s Collateral Sub-advisor. Nuveen Asset Management, LLC is a Delaware limited liability company and is registered with the SEC as an investment adviser.

The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks, specifically the Dow Jones-UBS Commodity Index ^® (“DJ-UBSCI”) and the S&P GSCI ^® Commodity Index (“GSCI”), and passively managed commodity funds. Risk-adjusted total return refers to the income and capital appreciation generated by a portfolio (the combination of which equals its total return) per unit of risk taken, with such risk measured by the volatility of the portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three elements:

 

•

An actively managed portfolio of commodity futures and forward contracts utilizing Gresham’s proprietary Tangible Asset Program ® , or TAP ® , a long-only rules-based commodity investment strategy designed to maintain consistent, fully collateralized exposure to commodities as an asset class;

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

•

An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (TAP ® and the options strategy are collectively referred to as TAP PLUS SM ); and

 

•

A collateral portfolio of cash equivalents and short-term, high grade debt securities.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2010.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the “initial margin.” Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as “Deposits with brokers” on the Statements of Financial Condition. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts, net” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed or expired, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely for the purpose of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund has previously entered into a long futures contract. The LME Clearing House is the counterparty for both the long and short positions.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of futures contracts outstanding during the nine months ended September 30, 2011, was 3,671. The average number of futures contracts outstanding during the period October 1, 2010 (date on which the Fund began entering into futures contracts) through December 31, 2010, was 3,838.

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on futures contract activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30, 2011 and the year ended December 31, 2010, the Fund wrote call options on futures contracts.

The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty. The Fund did not purchase options on futures or forward contracts during the nine months ended September 30, 2011 or the year ended December 31, 2010.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

Transactions in call options written were as follows:

 

		Nine Months Ended September 30, 2011								Year Ended December 31, 2010
		Number of Contracts				Premiums Received				Number of Contracts				Premiums Received
Outstanding, beginning of period			1,813			$	1,629,313				—			$	—
Options written			10,532				7,750,883				4,670				3,227,880
Options terminated in closing purchase transactions			(7,752	)			(5,794,283	)			(1,761	)			(975,129	)
Options expired			(2,906	)			(1,922,553	)			(1,096	)			(623,438	)
Outstanding, end of the period			1,687			$	1,663,360				1,813			$	1,629,313

The average number of outstanding call option contracts written during the nine months ended September 30, 2011, was 1,726. The average number of outstanding call option contracts written during the period October 1, 2010 (date on which the Fund began entering into options contracts) through December 31, 2010, was 907.

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on options activity.

Forward Contracts

The Fund may enter into forward contracts. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recognized on the Statements of Operations as unrealized appreciation or depreciation until the contract settlement date.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Fund may collateralize forward commodity contracts with cash and/or certain securities as indicated on its Statements of Financial Condition or Schedule of Investments, when applicable, and such collateral is held for the benefit of the counterparty in a segregated account at the custodian to protect the counterparty against non-payment by the Fund. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.

The Fund remains subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager. The Fund did not enter into any forward contracts during the nine months ended September 30, 2011 or the fiscal year ended December 31, 2010.

Collateral Investments

In the normal course of business at least 25% of the Fund’s assets will be committed to secure the Fund’s futures and forward contract positions. These assets will be placed in a commodity futures account maintained by the Fund’s clearing broker, and will be held in cash or invested in U.S. Treasury bills and other direct or guaranteed debt obligations of the U.S. government maturing within less than one year at the time of investment.

The remaining assets are held in a separate collateral investment account managed by the Collateral Sub-advisor. The Fund’s assets held in the separate collateral account are invested in cash equivalents or short-term debt securities with final terms not exceeding one year at the time of investment. These collateral investments are rated at the applicable highest short-term or long-term debt or deposit rating or money market fund rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”), or if unrated, are judged by the Collateral Sub-advisor to be of comparable quality.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2011 and December 31, 2010:

 

		September 30, 2011
		Level 1				Level 2				Level 3				Total
Investments:
Short-Term Investments		$	—			$	166,756,068			$	—			$	166,756,068
Derivatives:
Futures Contracts*			(24,354,111	)			—				—				(24,354,111	)
Call Options Written			(465,276	)			(5,781	)			—				(471,057	)
Total		$	(24,819,387	)		$	166,750,287			$	—			$	141,930,900

		December 31, 2010
		Level 1				Level 2				Level 3				Total
Investments:
Short-Term Investments		$	—			$	182,158,211			$	—			$	182,158,211
Derivatives:
Futures Contracts*			18,854,639				—				—				18,854,639
Call Options Written			(2,903,405	)			(590,900	)			—				(3,494,305	)
Total		$	15,951,234			$	181,567,311			$	—			$	197,518,545

*	Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments.

    During the nine months ended September 30, 2011 and the fiscal year ended December 31, 2010, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3.

Investment Valuation

Commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These securities are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These securities are generally classified as Level 2.

Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

In the event the Fund utilizes independent pricing services to value any of its commodity futures and forward contracts, options on commodity futures and forward contracts and OTC commodity options, the pricing services typically will value such commodity futures and forward contracts, options on commodity futures and forward contracts and OTC commodity put options using a range of market data and other information and analysis, including reference to transactions in other comparable investments, if available. The procedures of any independent pricing service provider will be reviewed by the Manager on a periodic basis.

Prices of fixed-income securities, including highly rated zero coupon fixed-income securities, like U.S. Treasury Bills, issued with maturities of one year or less, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. When price quotes are not readily available the pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discount for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays its respective brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses charged in connection with trading activities for the Fund’s investment in CFTC regulated investments.

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Management Fees

For the services and facilities provided by the Manager, the Fund has agreed to pay the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:

 

Average Daily Net Assets		Management Fee
Up to $500 million			1.250	%
$500 million to $1 billion			1.225	%
$1 billion to $1.5 billion			1.200	%
$1.5 billion to $2 billion			1.175	%
$2 billion and over			1.150	%

“Average daily net assets” means the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-advisor and the Collateral Sub-advisor. Both the Commodity Sub-advisor and Collateral Sub-advisor (collectively, the “Sub-advisors”) are compensated for their services to the Fund from the management fees paid to the Manager.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements and reports to governmental agencies, and taxes, if any.

Custodian Fee Credit

The Fund has an arrangement with its custodian bank, State Street Bank and Trust Company, whereby certain custodian fees and expenses are reduced by net credits earned on the Fund’s cash on deposit. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which the Fund overdraws its account at the custodian bank.

Organization Expenses and Offering Costs

In connection with the Fund’s initial public offering, Nuveen Securities, LLC (i) reimbursed all organization expenses of the Fund and (ii) paid all offering costs (other than underwriting commissions) that exceeded $.05 per share. The Fund’s share of offering costs was recorded as a reduction of the proceeds from the sale of shares.

 

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders (stated in terms of a fixed cents per share distribution rate) based on the past and projected performance of the Fund. Among other factors, the Fund seeks to establish a distribution rate that roughly corresponds to the Manager’s projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. Each monthly distribution is not solely dependent on the amount of income earned or capital gains realized by the Fund, and such distributions may from time to time represent a return of capital and may require that the Fund liquidate investments. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Fund reserves the right to change its distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the individual trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be immaterial.

Financial Instrument Risk

In the normal course of its business, the Fund is 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 Statements of Financial Condition, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of September 30, 2011 and December 31, 2010, the financial instruments held by the Fund 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 Fund due to market changes, including fluctuations in commodity prices. In entering into futures contracts, there exists a market risk that such futures contracts may be significantly influenced by adverse market conditions, resulting in such futures contracts being less valuable. If the markets should move against all of the futures contracts at the same time, the Fund could experience substantial losses.

 

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

2. Summary of Significant Accounting Policies (Continued)

 

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

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations, when applicable. For additional information on the derivative instruments in which the Fund invested during and at the end of the reporting period, refer to the Schedule of Investments and Footnote 2 – Summary of Significant Accounting Policies.

The following tables present the fair value of all derivative instruments held by the Fund and the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

 

Nine Months Ended September 30, 2011 Location on the Statements of Financial Condition

Underlying Risk Exposure

Derivative Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized depreciation on futures contracts, net*

$

2,137,500

Unrealized depreciation on futures contracts, net*

$

26,491,611

Commodity

Options

—

—

Call options written, at value

471,057

Total

$

2,137,500

$

26,962,668

 

Year Ended December 31, 2010 Location on the Statements of Financial Condition

Underlying Risk Exposure

Derivative Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts, net*

$

19,281,313

Unrealized appreciation on futures contracts, net*

$

426,674

Commodity

Options

—

—

Call options written, at value

3,494,305

Total

$

19,281,313

$

3,920,979

*

Value represents cumulative gross unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments and not the “Deposits with brokers” or the “Unrealized appreciation (depreciation) on futures contracts, net” as presented on the Statements of Financial Condition.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

3. Derivative Instruments and Hedging Activities (Continued)

 

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments and the primary underlying risk exposure.

 

Commodity Risk Exposure		Three Months Ended September 30, 2011				Nine Months Ended September 30, 2011
Net Realized Gain (Loss) from:
Futures Contracts Options Written		$	(4,910,124 1,508,609	)		$	13,120,358 6,866,119
Change in Net Unrealized Appreciation (Depreciation) of:
Futures Contracts Options Written		$	(20,252,466 693,216	)		$	(43,208,750 3,057,295	)

4. Related Parties

The Manager, the Collateral Sub-advisor and Nuveen Securities, LLC are considered to be related parties to the Fund.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

5. Financial Highlights

 

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2011 and the three and nine months ended September 30, 2010. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.

 

			June 30, 2011				June 30, 2011				June 30, 2011				June 30, 2011
		Three Months Ended								Nine Months Ended
		September 30, 2011				September 30, 2010				September 30, 2011				September 30, 2010
Net Asset Value:
Net asset value per share —beginning of period (a)		$	25.97			$	23.88			$	26.74			$	23.88
Net investment income (loss)			(.10	)			(.01	)			(.30	)			(.01	)
Net realized and unrealized gain (loss)			(2.47	)			—				(2.17	)			—
Distributions			(.44	)			—				(1.31	)			—
Offering costs			—				(.05	)			—				(.05	)
Net asset value per share—end of period		$	22.96			$	23.82			$	22.96				23.82
Market Value:
Market value per share—beginning of period (b)		$	26.25			$	25.00			$	25.80			$	25.00
Market value per share—end of period		$	20.52			$	25.10			$	20.52			$	25.10
Ratios to Average Net Assets: (c)
Net investment income (loss)			(1.61	)%			(2.97	)%			(1.51	)%			(2.97	)%
Expenses			1.71	%			2.97	%			1.64	%			2.97	%
Total Returns: (d)
Based on Net Asset Value			(10.05	)%			(.23	)%			(9 .83	)%			(.23	)%
Based on Market Value			(20.39	)%			.40	%			(16.39	)%			.40	%

 

(a)

Represents initial offering proceeds per share before offering costs for the three months ended September 30, 2010 and nine months ended September 30, 2010, respectively. The Fund did not have a Net Asset Value per share prior to its initial offering and commencement of operations on September 27, 2010.

(b)	The Fund did not have a Market Value per share prior to its initial offering and commencement of operations on September 27, 2010.

(c)	Annualized.

(d)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

 

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NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2011

(Unaudited)

 

6. New Accounting Pronouncements

 

Financial Accounting Standards Board (“FASB”) Transfers and Servicing (Topic 860): Reconsideration of Effective Control for Repurchase Agreements

On April 15, 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-03 (“ASU No. 2011-03”). The guidance in ASU No. 2011-03 is intended to improve the accounting for repurchase agreements and other similar agreements. Specifically, ASU No. 2011-03 modifies the criteria for determining when these transactions would be accounted for as financing transactions (secured borrowings/lending agreements) as opposed to sale (purchase) transactions with commitments to repurchase (resell). The effective date of ASU No. 2011-03 is for interim and annual periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts or footnote disclosures, if any.

Fair Value Measurements and Disclosures

On May 12, 2011, the FASB issued ASU No. 2011-04 modifying Topic 820, Fair Value Measurements and Disclosures . At the same time, the International Accounting Standards Board (“IASB”) issued International Financial Reporting Standard (“IFRS”) 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers, ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have on the financial statement amounts and footnote disclosures, if any.

 

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

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC (“Gresham” or the “Commodity Sub-advisor”) and Nuveen Asset Management, LLC (the “Collateral Sub-advisor”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Diversified Commodity Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool, which was organized as a Delaware statutory trust on December 7, 2005, and completed its initial public offering on September 30, 2010. The shares of the Fund trade on the NYSE Amex under the ticker symbol “CFD.” Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks, specifically the Dow Jones-UBS Commodity Index ^® (“DJ-UBSCI”) and the S&P GSCI ^® Commodity Index (“GSCI”), and passively managed commodity funds. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents and short-term, high grade debt securities. The Fund also writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager primarily focuses on the DJ-UBSCI when evaluating the commodity futures, forwards, and options positions (the commodity portfolio) in the Fund’s portfolio.

The Quarter Ended September 30, 2011 – Fund Share Price

The Fund’s shares traded on the NYSE Amex at a price of $20.52 on the close of business on September 30, 2011. This represents a decrease of 21.83% in share price (not including the effect of distributions) from the $26.25 price at which the shares of the Fund traded on the close of business on June 30, 2011. The high and low share prices for the quarter were $27.39 (July 7) and $20.41 (September 30), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the quarter. The cumulative total return on market value for the Fund, including distributions during the period, for the quarter ended September 30, 2011 was -20.39%. At September 30, 2011, the shares of the Fund traded at a 10.63% discount to the Fund’s net asset value of $22.96.

The Quarter Ended September 30, 2010 – Fund Share Price

The Fund’s shares traded on the NYSE Amex at a price of $25.10 on the close of business on September 30, 2010. This represents an increase of 0.40% in share price from the $25.00 price at which the shares were offered on September 27, 2010. The high and low share prices for the quarter were $25.13 (September 30) and $24.85 (September 28), respectively. The Fund did not declare any distributions during the quarter ended September 30, 2010. At September 30, 2010, the shares of the Fund traded at a 5.37% premium to the Fund’s net asset value of $23.82.

 

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The Quarter Ended September 30, 2011 – Net Assets of the Fund

The Fund’s net assets decreased from $240.7 million at June 30, 2011, to $212.7 million at September 30, 2011, a decrease of $28.0 million. The decrease in the Fund’s net assets was due to $3.4 million in net realized losses and an increase of $19.6 million in the change in net unrealized depreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $1.0 million, and $4 million of distributions declared to shareholders.

The Fund’s commodity and options portfolio fell approximately 9.9% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 11.3% during the quarter, and the GSCI, which has greater energy-related exposure than the DJ-UBSCI (68% versus 33%, respectively), fell 11.7% over the quarter. Commodity markets had a volatile quarter with gains generated in July and August being overshadowed by losses in September. Commodity performance has been driven by a lack of confidence in the overall market and macro level events, such as the continuing sovereign debt crisis in Europe that has plagued the majority of markets this quarter.

Even in this environment, two of the six principal commodity groups in the Fund’s and the DJ-UBSCI’s commodity portfolios increased in the third quarter of 2011. The increases came mainly from livestock, which experienced an increase of approximately 6%, and within that group its holding of lean hogs and live cattle, which posted positive returns of approximately 11% and 5%, respectively. Gold had an increase of approximately 7% and helped the precious metals group post a small positive return for the quarter, despite losses in other precious metals such as silver. The most significant decline came from the industrial metals group, which experienced a decline of approximately 22%, with all of its individual commodities losing over 21%, with the exception of aluminum, which was down approximately 16%. Energies, foods and fibers and agriculturals also decreased approximately 12%, 8% and 7%, respectively. When compared to its benchmark, the portfolio outperformed the DJ-UBSCI by approximately 1.4% for the quarter, before considering the expenses of the Fund, due to the Fund’s commodity weighting differences and trading strategy. Three of the six commodity groups in which the Fund trades outperformed the benchmark, led by the portfolio’s investments in energy commodities, which outperformed the DJ-UBSCI mainly due to the underweight in natural gas, along with the inclusion of Brent crude oil, which is held by the Fund but not held in the DJ-UBSCI. The Fund’s investments in the agricultural group also outperformed the DJ-UBSCI, mostly due to the Fund’s smaller allocation to corn, soybeans, and soybean oil. Precious metals and foods and fibers slightly underperformed when compared to the DJ-UBSCI, but industrial metals had a more significant underperformance due to the Fund being overweight on copper.

The commodity call option component of the portfolio was generally successful over the period as it served to limit volatility without significant impact on the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the quarter, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium offsetting some of the losses experienced in the futures positions and without sacrificing any appreciation depending on the contract and time period, which benefited the Fund’s performance. In certain cases earlier in the quarter where the futures price appreciation was significant, such as corn and silver, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In July, while silver futures prices rose approximately 15%, the commodity portfolio’s futures and options performance was approximately 13% over the same period, reflecting the impact of the forgone futures contract appreciation due to the option contracts being in-the-money. In total for the quarter, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 1.4% while experiencing less volatility.

During the quarter ended September 30, 2011, the Fund’s collateral investments generated interest income of $60,406.

 

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The net asset value per share on September 30, 2011, was $22.96. This represents a decrease of 11.59% in net asset value (not including the effect of distributions) from the $25.97 net asset value as of June 30, 2011. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on October 3, 2011. The remainder was paid during the quarter. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was -10.05% for the quarter ended September 30, 2011.

The Fund generated a net loss of $23.9 million for the quarter ended September 30, 2011, resulting from interest income of $0.1 million being offset by net expenses of $1.0 million, net realized losses of $3.4 million, and an increase in the change in net unrealized depreciation of $19.6 million.

The Quarter Ended September 30, 2010 – Net Assets of the Fund

The Fund’s net assets increased from $20,055 at June 30, 2010 to $203.7 million at September 30, 2010. The increase in the Fund’s net assets was primarily due to the initial public offering of the Fund on September 27, 2010, with settlement of that offering occurring on September 30, 2010. Prior to its initial public offering, the Fund had been inactive except for matters relating to its organization and registration.

The Nine Months Ended September 30, 2011 – Fund Share Price

The Fund’s shares traded on the NYSE Amex at a price of $20.52 on the close of business on September 30, 2011. This represents a decrease of 20.47% in share price (not including the effect of distributions) from the $25.80 price at which the shares of the Fund traded on the close of business on December 31, 2010. The high and low share prices for the nine month period were $29.40 (April 29) and $20.41 (September 30), respectively. During the nine month period, the Fund declared distributions totaling $1.305 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the period. The cumulative total return on market value for the Fund including distributions during the nine month period ended September 30, 2011 was -16.39%. At September 30, 2011, the shares of the Fund traded at a 10.63% discount to the Fund’s net asset value of $22.96.

The Nine Months Ended September 30, 2010 – Fund Share Price

The Fund’s shares traded on the NYSE Amex at a price of $25.10 on the close of business on September 30, 2010. This represents an increase of 0.40% in share price from the $25.00 price at which the shares were offered on September 27, 2010. The high and low share prices for the period were $25.13 (September 30) and $24.85 (September 28), respectively. The Fund did not declare any distributions during the period ended September 30, 2010. At September 30, 2010, the shares of the Fund traded at a 5.37% premium to the Fund’s net asset value of $23.82.

The Nine Months Ended September 30, 2011 – Net Assets of the Fund

The Fund’s net assets decreased from $247.8 million at December 31, 2010, to $212.7 million at September 30, 2011, a decrease of $35.1 million. The decrease in the Fund’s net assets was due to the realization of $20.0 million in gains from the Fund’s commodity portfolio during the period, offset by an increase of $40.2 million in the change in net unrealized depreciation of the Fund’s commodity portfolio, a net investment loss of $2.8 million, and $12.1 million of distributions declared to shareholders.

The Fund’s commodity portfolio fell approximately 9.0% during the nine month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased 13.7%, and using the GSCI, which has greater energy-related exposure than the DJ-UBSCI (68% versus 33%, respectively), the market lost 9.3% over the same period. Concerns in the second quarter of 2011 carried over into the third, especially in September. Specifically, continued uncertainty regarding Europe’s sovereign debt troubles and the future of global economic growth remain unresolved and, as such, have created a market driven by headlines and uncertainty.

 

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For the nine month period, four of the six principal commodity groups in the DJ-UBSCI declined and for the Fund’s commodity portfolio two of the six principal commodity groups declined. Both livestock, driven by lean hogs and feeder cattle, and precious metals, driven by gold, however, increased by approximately 5% and 4%, respectively. Industrial metals experienced a decrease of approximately 23% of its value, driven in large part by decreases of approximately 28% and 27% in the value of the Fund’s nickel and copper holdings, respectively. Agriculturals experienced a decrease of approximately 16% due to a loss of approximately 27% in wheat and a loss in both soybean meal and soybean oil of approximately 16%. Energies and foods and fibers experienced a decrease of approximately 8% and 2%, respectively, during the period. For the nine month period, the Fund’s commodity portfolio outperformed the DJ-UBSCI benchmark in four of the six commodity groups, with industrial metals having flat performance and precious metals being the sole underperformer driven by holdings in gold and silver, which underperformed when compared to the DJ-UBSCI. The commodity portfolio’s holdings in the energy group had the largest outperformance when compared to the DJ-UBSCI (by approximately 3.3%), largely due to the Fund’s smaller allocation to natural gas and the inclusion of Brent crude oil, which is not currently held in the DJ-UBSCI portfolio. The commodity portfolio’s positions in soybeans, Chicago and Kansas City wheat, and sugar also contributed to the Fund’s outperformance of the DJ-UBSCI in the agricultural and foods and fibers group.

The commodity call option component of the investment strategy used by the Commodity Sub-advisor was generally successful over the period as it served to limit volatility without sacrificing significant appreciation in the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the nine month period, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium, offsetting some of the losses experienced in the futures positions, without sacrificing any appreciation depending on the contract and time period, which benefited the Fund’s performance. In certain cases where the futures price appreciation was significant the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In total, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 4.6% before considering the expenses of the Fund, while experiencing less volatility.

During the nine month period ended September 30, 2011, the Fund’s collateral investments generated interest income of $244,262.

The net asset value per share on September 30, 2011, was $22.96. This represents a decrease of 14.14% in net asset value (not including the effect of distributions) from the $26.74 net asset value as of December 31, 2010. During the nine month period, the Fund declared distributions totaling $1.305 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the period. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was -9.83% for the nine month period ended September 30, 2011.

The Fund generated a net loss of $22.9 million for the nine month period ended September 30, 2011, resulting from interest income of $0.2 million, offset by net expenses of $3.0 million, net realized gains of $20.0 million, and an increase in the change in net unrealized depreciation of $40.1 million.

The Nine Months Ended September 30, 2010 – Net Assets of the Fund

The Fund’s net assets increased from zero at December 31, 2009 to $203.7 at September 30, 2010. The increase in the Fund’s net assets was primarily due to the initial public offering of the Fund on September 27, 2010, with settlement of that offering occurring on September 30, 2010, and the initial capital contribution previously made by the Manager. Prior to its initial public offering, the Fund had been inactive except for matters relating to its organization and registration.

 

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Fund Total Returns

The table below presents selected total returns for the Fund as of September 30, 2011. Total returns based on net asset value and market value are based on the change in net asset value and market value, respectively, for a share during the period presented. The total returns presented below assume the reinvestment of distributions at net asset value on the distribution payment date for returns based on net asset value, and at market value on the distribution payment date for returns based on market value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period for total returns based on net asset value, and at the ending market price per share at the end of the period for total returns based on market value.

 

		Cumulative								Annualized
		1 Month				3 Month				1 Year				Since Inception
Market Value			-18.96	%			-20.39	%			-12.57	%			-12.10	%
Net Asset Value			-12.84	%			-10.05	%			2.96	%			2.70	%

“Since inception” returns present performance for the period since the commencement of the Fund’s initial offering on September 27, 2010.

Returns represent past performance, which is no guarantee of future performance.

 

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Commodity Weightings

The table below presents the composition of the Fund’s TAP PLUS ^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the DJ-UBSCI as of September 30, 2011. This table serves as a guide to how the composition of the Fund’s TAP PLUS ^SM investment strategy compared to that of the DJ-UBSCI, a leading commodity market benchmark.

 

				Composition
Commodity Group		Commodity		TAP PLUS SM				DJ-UBSCI
Energy		Crude Oil			22.48	%			14.31	%
		Heating Oil			5.56	%			4.27	%
		Natural Gas			3.97	%			10.15	%
		Unleaded Gas			3.82	%			3.89	%
					35.83	%			32.62	%
Industrial Metals		Aluminum			5.37	%			4.90	%
		Copper			8.00	%			6.01	%
		Nickel			1.59	%			1.82	%
		Zinc			1.33	%			2.36	%
		Lead			0.75	%			0.00	%
					17.04	%			15.09	%
Agriculturals		Corn			4.44	%			7.79	%
		Soybean			4.52	%			7.46	%
		Wheat			3.66	%			4.06	%
		Soybean Meal			1.64	%			0.00	%
		Soybean Oil			1.22	%			2.83	%
					15.48	%			22.14	%
Precious Metals		Gold			9.60	%			13.10	%
		Silver			2.97	%			3.66	%
		Platinum			0.97	%			0.00	%
		Palladium			0.38	%			0.00	%
					13.92	%			16.76	%
Foods and Fibers		Cotton			1.91	%			1.54	%
		Sugar			3.98	%			3.02	%
		Coffee			2.31	%			2.48	%
		Cocoa			0.80	%			0.00	%
					9.00	%			7.04	%
Livestock		Live Cattle			5.00	%			4.06	%
		Lean Hogs			2.49	%			2.29	%
		Feeder Cattle			1.24	%			0.00	%
					8.73	%			6.35	%
Total					100.00	%			100.00	%

 

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Liquidity and Capital Resources

The Fund implemented its commodity investment activities on October 1, 2010, by taking long positions in commodity futures contracts pursuant to Gresham’s long-only rules-based investment strategy designed to maintain consistent, fully collateralized exposure to commodities as an asset class (Tangible Asset Program or TAP ^® ) and its integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (collectively referred to as TAP PLUS ^SM ). The Fund’s investment activity in futures contracts and writing commodity call options do not require a significant outlay of capital. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in short-term, high grade debt securities with any remaining cash balance on deposit with the custodian earning custody fee credits. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

In regards to shareholder transactions, the Fund’s shares trade on the NYSE Amex and shares are not redeemed by the Fund in the normal course of business, thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On April 15, 2011, the Fund filed a Registration Statement on Form S-1 with the Securities and Exchange Commission (SEC) to register additional shares of the Fund for future issuance. On June 8, 2011, the Fund filed Pre-Effective Amendment No. 1 to Form S-1 with the SEC. The Fund has not yet determined the size or timing of any potential future offering.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

 

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Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund’s investment strategy attempts to moderate market risks, and the Commodity Sub-advisor attempts to minimize credit risks, by requiring the Fund to abide by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-advisor implements procedures which include, but are not limited to:

 

•

Employing the options strategy to reduce directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

 

•

Executing and clearing trades only with creditworthy counterparties;

 

•

Limiting the amount of margin or premium required for any one commodity contract or all commodities contracts combined; and

 

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

The commodity broker, when acting as the Fund’s futures commission merchant in accepting orders for the purchase or sale of domestic commodity futures contracts, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for, and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures investments. The commodity broker is not allowed to commingle such assets with other assets of, or held by, the commodity broker. In addition, CFTC regulations also require the commodity broker, when acting as the Fund’s futures commission merchant, to hold in a separate account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with other assets of, or held by, the commodity broker.

If the Fund purchases over-the-counter (“OTC”) commodity put options, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. In cases where the Fund purchases OTC commodity put options with a counterparty, the sole recourse of the Fund will be the financial resources of the counterparty to the transaction since there is no clearing house to assume the obligations of the counterparty.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of the highest quality short-term U.S. treasury and corporate debt instruments, like any investment, these too would be affected by any credit difficulties that might be experienced by the U.S. government or top quality issuers.

Off-Balance Sheet Arrangements

As of September 30, 2011, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

 

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Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Sub-advisors, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC transactions, dealers. Management fee payments made to the Manager are calculated as a fixed percentage of the Fund’s net assets. The custodian fee is calculated based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract basis, and payments to forward contract dealers are usually based on a fee or percentage of the notional value of the contract. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

 

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

 

•

The Fund holds a significant portion of its assets in options and futures contracts, and high quality debt instruments, all of which are recorded on a trade date basis and at fair value, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).

 

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

 

•

Generally, commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

 

•

Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

 

•

Realized gains (losses) are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed.

 

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures and forward contracts and options on futures and forward contracts as of September 30, 2011. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract.

 

Futures Contracts
Commodity Group		Contract		Contract Position		Contract Expiration		Number of Contracts				Valuation Price				Contract Multiplier				Notional Amount at Value
Energy		Crude Oil
		ICE Brent Crude Oil Futures     Contract		Long		November 2011			120			$	102.7600				1,000			$	12,331,200
		ICE Brent Crude Oil Futures     Contract		Long		December 2011			120				100.8800				1,000				12,105,600
		NYMEX Crude Oil Futures     Contract		Long		November 2011			218				79.2000				1,000				17,265,600
		NYMEX Crude Oil Futures     Contract		Long		January 2012			77				79.4600				1,000				6,118,420
		Heating Oil
		ICE Gas Oil Futures Contract		Long		November 2011			28				879.5000				100				2,462,600
		ICE Gas Oil Futures Contract		Long		December 2011			7				872.5000				100				610,750
		NYMEX Heating Oil Futures     Contract		Long		November 2011			55				2.7793				42,000				6,420,183
		NYMEX Heating Oil Futures     Contract		Long		January 2012			20				2.7756				42,000				2,331,504
		Natural Gas
		NYMEX Natural Gas Futures     Contract		Long		November 2011			138				3.6660				10,000				5,059,080
		NYMEX Natural Gas Futures     Contract		Long		January 2012			82				4.1230				10,000				3,380,860
		Unleaded Gas
		NYMEX Gasoline RBOB     Futures Contract		Long		November 2011			43				2.5381				42,000				4,583,809
		NYMEX Gasoline RBOB     Futures Contract		Long		January 2012			34				2.4759				42,000				3,535,585
Industrial Metals		Aluminum
		LME Primary Aluminum     Futures Contract		Long		October 2011			109				2,130.2500				25				5,804,931
		LME Primary Aluminum     Futures Contract		Long		November 2011			106				2,141.2500				25				5,674,313
		LME Primary Aluminum     Futures Contract		Short		November 2011			(1	)			2,141.2500				25				(53,531	)
		Copper
		CEC Copper Futures Contract		Long		December 2011			107				3.1520				25,000				8,431,600
		LME Copper Futures Contract		Long		October 2011			50				7,004.5000				25				8,755,625
		LME Copper Futures Contract		Short		October 2011			(1	)			7,004.5000				25				(175,113	)
		Nickel
		LME Nickel Futures Contract		Long		October 2011			32				17,576.0000				6				3,374,592
		LME Nickel Futures Contract		Short		October 2011			(1	)			17,576.0000				6				(105,456	)
		LME Nickel Futures Contract		Long		November 2011			1				17,585.0000				6				105,510
		Zinc
		LME Zinc Futures Contract		Long		October 2011			31				1,843.2500				25				1,428,519
		LME Zinc Futures Contract		Long		November 2011			32				1,850.5000				25				1,480,400
		LME Zinc Futures Contract		Short		November 2011			(32	)			1,850.5000				25				(1,480,400	)
		LME Zinc Futures Contract		Long		January 2012			30				1,865.2500				25				1,398,938
		Lead
		LME Lead Futures Contract		Long		October 2011			31				1,984.0000				25				1,537,600
		LME Lead Futures Contract		Long		November 2011			1				1,984.0000				25				49,600

 

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Futures Contracts (Continued)

 

Commodity Group		Contract		Contract Position		Contract Expiration		Number of Contracts				Valuation Price				Contract Multiplier				Notional Amount at Value
Agriculturals		Corn
		CBOT Corn Futures     Contract		Long		December 2011			319			$	5.9250				5,000			$	9,450,375
		Soybean
		CBOT Soybean Futures     Contract		Long		November 2011			155				11.7900				5,000				9,137,250
		CBOT Soybean Futures     Contract		Long		January 2012			8				11.8950				5,000				475,800
		Wheat
		CBOT Wheat Futures     Contract		Long		December 2011			127				6.0925				5,000				3,868,738
		KCBT Wheat Futures     Contract		Long		December 2011			111				7.0400				5,000				3,907,200
		Soybean Meal
		CBOT Soybean Meal     Futures Contract		Long		December 2011			113				308.6000				100				3,487,180
		Soybean Oil
		CBOT Soybean Oil     Futures Contract		Long		December 2011			44				0.5021				60,000				1,325,544
		CBOT Soybean Oil     Futures Contract		Long		January 2012			20				0.5048				60,000				605,760
		CBOT Soybean Oil     Futures Contract		Long		March 2012			22				0.5071				60,000				669,372
Precious Metals		Gold
		CEC Gold Futures     Contract		Long		December 2011			126				1,622.3000				100				20,440,980
		Silver
		CEC Silver Futures     Contract		Long		December 2011			42				30.0830				5,000				6,317,430
		Platinum
		NYMEX Platinum     Futures Contract		Long		January 2012			27				1,523.6000				50				2,056,860
		Palladium
		NYMEX Palladium     Futures Contract		Long		December 2011			13				614.5500				100				798,915
Foods and Fibers		Cotton
		ICE Cotton Futures     Contract		Long		December 2011			81				1.0019				50,000				4,057,695
		Sugar
		ICE Sugar Futures     Contract		Long		March 2012			299				0.2529				112,000				8,469,115
		Coffee
		ICE Coffee C     Futures Contract		Long		December 2011			41				2.2890				37,500				3,519,338
		ICE Coffee C     Futures Contract		Long		March 2012			5				2.3205				37,500				435,094
		LIFFE Coffee     Robusta Futures     Contract		Long		November 2011			48				1,979.0000				10				949,920
		Cocoa
		ICE Cocoa Futures     Contract		Long		December 2011			65				2,608.0000				10				1,695,200
Livestock		Live Cattle
		CME Live Cattle     Futures Contract		Long		October 2011			137				1.2215				40,000				6,693,820
		CME Live Cattle     Futures Contract		Long		December 2011			50				1.2265				40,000				2,453,000
		CME Live Cattle     Futures Contract		Long		February 2012			30				1.2415				40,000				1,489,800
		Lean Hogs
		CME Lean Hog     Futures Contract		Long		October 2011			75				0.9338				40,000				2,801,250
		CME Lean Hog     Futures Contract		Long		December 2011			25				0.8780				40,000				878,000
		CME Lean Hog     Futures Contract		Long		February 2012			44				0.9158				40,000				1,611,720
		Feeder Cattle
		CME Feeder Cattle     Futures Contract		Long		November 2011			37				1.4293				50,000				2,644,113

 

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Commodity Call Options
Commodity Group		Contract		Contract Expiration		Number  of Contracts				Strike Price				Value
Energy		Crude Oil
		ICE Brent Crude Oil Futures Options		November 2011			(120	)		$	122.0			$	(2,400	)
		NYMEX Crude Oil Futures Options		October 2011			(147	)			98.0				(7,350	)
		Heating Oil
		NYMEX Heating Oil Futures Options		October 2011			(51	)			3.1				(13,066	)
		Natural Gas
		NYMEX Natural Gas Futures Options		October 2011			(110	)			4,050.0				(26,400	)
		Unleaded Gas
		NYMEX Gasoline RBOB Futures Options		October 2011			(38	)			31,000.0				(1,277	)
Industrial Metals		Aluminum
		LME Primary Aluminum Futures Options		October 2011			(107	)			2,525.0				—
		Copper
		LME Copper Futures Options		October 2011			(49	)			9,825.0				—
		Nickel
		LME Nickel Futures Options		October 2011			(16	)			22,700.0				—
		Zinc
		LME Zinc Futures Options		October 2011			(31	)			2,350.0				—
		Lead
		LME Lead Futures Options		October 2011			(16	)			2,625.0				—
Agriculturals		Corn
		CBOT Corn Futures Options		November 2011			(147	)			830.0				(8,269	)
		CBOT Corn Futures Options		November 2011			(11	)			910.0				(344	)
		CBOT Corn Futures Options		November 2011			(1	)			670.0				(525	)
		Soybean
		CBOT Soybean Futures Options		October 2011			(79	)			1,580.0				(494	)
		CBOT Soybean Futures Options		October 2011			(2	)			1,500.0				(25	)
		Wheat
		CBOT Wheat Futures Options		November 2011			(59	)			860.0				(2,950	)
		CBOT Wheat Futures Options		November 2011			(4	)			690.0				(2,126	)
		KCBT Wheat Futures Options		November 2011			(53	)			960.0				(2,650	)
		KCBT Wheat Futures Options		November 2011			(2	)			810.0				(850	)
		Soybean Meal
		CBOT Soybean Meal Futures Options		November 2011			(57	)			400.0				(2,280	)
		Soybean Oil
		CBOT Soybean Oil Futures Options		November 2011			(43	)			680.0				(129	)
Precious Metals		Gold
		CEC Gold Futures Options		November 2011			(62	)			1,725.0				(249,239	)
		CEC Gold Futures Options		November 2011			(1	)			1,975.0				(680	)
		Silver
		CEC Silver Futures Options		November 2011			(21	)			4,550.0				(17,850	)
Foods & Fibers		Cotton
		ICE Cotton Futures Options		November 2011			(38	)			1,580.0				(380	)
		ICE Cotton Futures Options		November 2011			(2	)			111.0				(1,530	)
		Sugar
		ICE Sugar Futures Options		February 2012			(149	)			330.0				(91,784	)
		Coffee
		ICE Coffee C Futures Options		November 2011			(29	)			275.0				(19,249	)
		Cocoa
		ICE Cocoa Futures Options		November 2011			(33	)			3,350.0				(330	)
Livestock		Live Cattle
		CME Live Cattle Futures Options		October 2011			(137	)			126.0				(10,960	)
		Lean Hogs
		CME Lean Hogs Futures Options		October 2011			(72	)			97.0				(7,920	)

 

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The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in short-term, high grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of September 30, 2011, the Fund held agency notes, agency discount notes, and U.S. Treasury bills worth $161,222,862 with a total par value of $159,722,000, and repurchase agreements worth $5,533,206.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Item 1A. Risk Factors of the December 31, 2010 Form 10-K filed with the SEC). These include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

To help manage the commodity price risk mentioned above, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns relative to the returns of leading commodity market benchmarks. In up markets, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of options written plus the premium collected by writing the call options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the premium collected by writing the call options. In down markets, the Fund will experience declines in value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative. Furthermore, the Fund invests in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group.

The Fund’s primary non-trading risk exposure is interest rate risk as it relates to its collateral investments in short-term, high grade debt securities which is mitigated due to the short-term nature of these debt securities, as well as by ensuring that the collateral investments are rated at the highest rating applicable for the type of investment as determined by at least one nationally recognized statistical rating organization or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934. Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in the Rules 13a-15(f) and 15d-15(f) of the Securities Exchange Act of 1934) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There have been no changes to the Risk Factors since last reported on Part 1, Item 1A of the Fund’s Annual Report on Form 10-K filed with the SEC.

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

a) None.

b) The Fund did not issue new shares within the nine month period ended on September 30, 2011.

c) There were no repurchases made by the Fund or any of its affiliates within the nine month period ended on September 30, 2011.

Item 3. Defaults Upon Senior Securities

None.

Item 4. (Removed and Reserved)

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

4.1 Amended and Restated Trust Agreement of the Fund. ¹

31.1 Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2 Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1 Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2 Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS XBRL Instance Document.

101.SCH XBRL Taxonomy Extension Schema Document.

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL Taxonomy Extension Definition Linkbase Document.

 

1	Filed on September 23, 2010 as an exhibit to Amendment No. 8 to Registrant’s Registration Statement on Form S-1 (File No. 333-130360) and incorporated by reference herein.

 

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Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

NUVEEN DIVERSIFIED COMMODITY FUND

By: Nuveen Commodities Asset Management, LLC, its Manager

Date: November 14, 2011

 

/s/ William Adams, IV

William Adams, IV President (Principal Executive Officer)

Date: November 14, 2011

/s/ Stephen D. Foy

Stephen D. Foy Chief Financial Officer (Principal Financial Officer)

 

41