UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q
(Mark One)
x
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the quarterly period ended June 30, 2012
Or
¨
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from to
Commission File Number 001-34879
Nuveen Diversified Commodity Fund
(Exact name of registrant as specified in its charter)
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Delaware
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27-2048014
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(State or other jurisdiction of
incorporation or organization)
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(I.R.S. Employer
Identification No.)
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333 West Wacker Drive
Chicago Illinois
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60606
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(Address of principal executive offices)
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(Zip Code)
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(877) 827-5920
(Registrants 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):
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Large accelerated filer
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¨
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Accelerated filer
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x
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Non-accelerated filer
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¨
(Do not check if smaller reporting company)
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Smaller reporting company
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¨
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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 August 6, 2012, the registrant had 9,219,240 shares outstanding.
NUVEEN DIVERSIFIED COMMODITY FUND
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
TABLE OF CONTENTS
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Page No.
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PART I. FINANCIAL INFORMATION
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Item 1.
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Financial Statements (Unaudited):
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Statements of Financial Condition at June 30, 2012 and December 31, 2011
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3
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Schedule of Investments at June 30, 2012
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4
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Statements of Operations for the three months ended June 30, 2012 and June
30, 2011 and the six months ended June 30, 2012 and June 30, 2011
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11
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Statements of Changes in Shareholders Capital for the six months ended June
30, 2012 and the year ended December 31, 2011
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12
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Statements of Cash Flows for the six months ended June 30, 2012 and June 30,
2011
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13
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Notes to Financial Statements
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14
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Item 2.
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Managements Discussion and Analysis of Financial Condition and Results of
Operations
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25
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Item 3.
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Quantitative and Qualitative Disclosures About Market Risk
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36
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Item 4.
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Controls and Procedures
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40
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PART II. OTHER INFORMATION
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Item 1.
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Legal Proceedings
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41
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Item 1A.
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Risk Factors
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41
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Item 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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42
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Item 3.
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Defaults Upon Senior Securities
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42
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Item 4.
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Mine Safety Disclosures
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42
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Item 5.
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Other Information
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42
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Item 6.
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Exhibits
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42
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Signatures
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43
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2
PART I. FINANCIAL INFORMATION
Item 1.
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Financial Statements
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NUVEEN DIVERSIFIED COMMODITY FUND
STATEMENTS OF FINANCIAL CONDITION
(Unaudited)
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June 30, 2012
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December 31, 2011
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ASSETS
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Short-term investments, at value (cost $163,429,056 and $175,594,508, respectively)
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$
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163,433,325
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$
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175,626,953
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Deposits with brokers
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35,198,742
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44,193,777
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Interest receivable
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64,090
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561,049
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Unrealized appreciation on futures contracts, net
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2,788,740
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Other assets
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224,651
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200,745
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Total assets
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201,709,548
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220,582,524
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LIABILITIES
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Call options written, at value (premiums received $1,504,277 and $1,428,047, respectively)
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2,337,232
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551,457
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Unrealized depreciation on futures contracts, net
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4,921,830
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Payable for:
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Distributions
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1,336,790
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Shares repurchased
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315,845
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Accrued expenses:
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Management fees
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196,679
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229,634
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Other
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310,940
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383,629
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Total liabilities
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4,181,641
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6,402,395
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SHAREHOLDERS CAPITAL
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Paid-in capital, unlimited number of shares authorized, 9,219,240 shares issued and outstanding at June 30, 2012 and
9,229,040 shares issued and outstanding at December 31, 2011
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219,835,071
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220,038,837
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Accumulated undistributed earnings (deficit)
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(22,307,164
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)
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(5,858,708
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)
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Total shareholders capital (Net assets)
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197,527,907
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214,180,129
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Total liabilities and shareholders capital
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$
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201,709,548
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$
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220,582,524
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Net assets
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$
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197,527,907
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$
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214,180,129
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Shares outstanding
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9,219,240
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9,229,040
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Net asset value per share outstanding (net assets divided by shares outstanding)
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$
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21.43
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$
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23.21
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Market value per share outstanding
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$
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20.40
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$
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20.30
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3
SCHEDULE
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS
June 30, 2012
(Unaudited)
Investments
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Principal
Amount (000)
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Description
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Coupon
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Maturity
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Ratings
(1)
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Value
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Short-Term Investments
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U.S. Government and Agency Obligations
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$
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30,000
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Federal Home Loan Mortgage Corporation
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0.000
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%
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8/07/12
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Aaa
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$
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29,998,500
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18,860
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Federal Home Loan Mortgage Corporation
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1.000
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%
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8/28/12
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Aaa
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18,884,914
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21,000
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Federal National Mortgage Association
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0.000
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%
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9/04/12
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Aaa
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20,997,018
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20,000
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Federal National Mortgage Association
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0.000
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%
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11/30/12
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Aaa
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19,990,780
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15,000
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U.S. Treasury Bills
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0.000
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%
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8/23/12
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Aaa
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14,999,025
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25,000
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U.S. Treasury Bills
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0.000
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%
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11/15/12
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Aaa
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24,989,375
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10,000
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U.S. Treasury Bills
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0.000
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%
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2/07/13
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Aaa
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9,990,230
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10,000
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U.S. Treasury Bills
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0.000
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%
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5/30/13
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Aaa
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9,982,510
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149,860
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Total U.S. Government and Agency Obligations (cost $149,828,083)
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149,832,352
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Repurchase Agreements
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13,601
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Repurchase Agreement with State Street Bank, dated 6/29/12, repurchase price $13,600,984, collateralized by $13,250,000 U.S.
Treasury Notes, 1.750%, due 5/31/16, value $13,874,976
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0.010
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%
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7/02/12
|
|
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N/A
|
|
|
|
13,600,973
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Total Repurchase Agreements (cost $13,600,973)
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13,600,973
|
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|
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|
|
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Total Short-Term Investments (cost $163,429,056)
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|
|
|
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|
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|
|
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$
|
163,433,325
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
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Investments in Derivatives
Futures Contracts outstanding:
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|
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|
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|
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|
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|
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Commodity Group
|
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Contract
|
|
Contract
Position
(2)
|
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Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Notional
Amount
at Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Energy
|
|
Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
61
|
|
|
$
|
5,965,800
|
|
|
$
|
8,300
|
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
47
|
|
|
|
4,600,360
|
|
|
|
(543,370
|
)
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
8
|
|
|
|
782,320
|
|
|
|
33,280
|
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
166
|
|
|
|
14,103,360
|
|
|
|
104,580
|
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
127
|
|
|
|
10,841,990
|
|
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|
(1,128,470
|
)
|
|
|
|
|
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|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
Total Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,525,680
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Gas Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
20
|
|
|
|
1,686,500
|
|
|
|
(8,725
|
)
|
|
|
ICE Gas Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
8
|
|
|
|
671,800
|
|
|
|
14,300
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
41
|
|
|
|
4,666,448
|
|
|
|
120,712
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
14
|
|
|
|
1,594,421
|
|
|
|
33,369
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
6
|
|
|
|
685,692
|
|
|
|
27,249
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
186,905
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Natural Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
205
|
|
|
|
5,789,200
|
|
|
|
43,050
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
119
|
|
|
|
3,371,270
|
|
|
|
348,815
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
80
|
|
|
|
2,472,800
|
|
|
|
(55,650
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Natural Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
336,215
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(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)
|
|
Energy
(continued)
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
31
|
|
|
$
|
3,426,604
|
|
|
$
|
87,074
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
23
|
|
|
|
2,470,545
|
|
|
|
23,915
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
6
|
|
|
|
595,904
|
|
|
|
42,827
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
153,816
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(848,744
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Metals
|
|
Aluminum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Primary Aluminum Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
197
|
|
|
|
9,332,875
|
|
|
|
(438,550
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Copper Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
113
|
|
|
|
9,877,613
|
|
|
|
(743,663
|
)
|
|
|
LME Copper Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
52
|
|
|
|
10,003,500
|
|
|
|
346,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(397,213
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nickel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Nickel Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
32
|
|
|
|
3,208,704
|
|
|
|
84,096
|
|
|
|
LME Nickel Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
16
|
|
|
|
1,605,984
|
|
|
|
39,552
|
|
|
|
LME Nickel Futures Contract
|
|
Short
|
|
|
August 2012
|
|
|
|
(16
|
)
|
|
|
(1,604,352
|
)
|
|
|
(39,552
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Nickel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zinc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
29
|
|
|
|
1,364,088
|
|
|
|
(91,531
|
)
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
30
|
|
|
|
1,411,500
|
|
|
|
(15,750
|
)
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
29
|
|
|
|
1,362,637
|
|
|
|
(14,863
|
)
|
|
|
LME Zinc Futures Contract
|
|
Short
|
|
|
July 2012
|
|
|
|
(29
|
)
|
|
|
(1,364,088
|
)
|
|
|
13,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Zinc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(108,369
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lead
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Lead Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
18
|
|
|
|
832,725
|
|
|
|
(80,325
|
)
|
|
|
LME Lead Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
35
|
|
|
|
1,623,125
|
|
|
|
2,963
|
|
|
|
LME Lead Futures Contract
|
|
Short
|
|
|
July 2012
|
|
|
|
(18
|
)
|
|
|
(832,725
|
)
|
|
|
(29,675
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lead
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(107,037
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrial Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(967,073
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(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
|
|
|
September 2012
|
|
|
|
337
|
|
|
$
|
10,590,225
|
|
|
$
|
1,535,681
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
175
|
|
|
|
12,492,812
|
|
|
|
570,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
113
|
|
|
|
4,278,462
|
|
|
|
533,737
|
|
|
|
KCBT Wheat Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
110
|
|
|
|
4,158,000
|
|
|
|
454,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
988,062
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
8
|
|
|
|
343,600
|
|
|
|
9,840
|
|
|
|
CBOT Soybean Meal Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
67
|
|
|
|
2,767,770
|
|
|
|
79,360
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
89,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
93
|
|
|
|
2,961,864
|
|
|
|
177,042
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agriculturals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,360,698
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Precious Metals
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
120
|
|
|
|
19,250,400
|
|
|
|
320,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
47
|
|
|
|
6,488,820
|
|
|
|
81,545
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Platinum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Platinum Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
21
|
|
|
|
1,525,020
|
|
|
|
(40,950
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Palladium
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Palladium Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
14
|
|
|
|
818,370
|
|
|
|
(35,485
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Precious Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
325,210
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foods and Fibers
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
113
|
|
|
|
4,030,145
|
|
|
|
(177,740
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
308
|
|
|
|
7,247,610
|
|
|
|
439,853
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
55
|
|
|
|
3,520,688
|
|
|
|
251,438
|
|
|
|
LIFFE Coffee Robusta Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
64
|
|
|
|
1,365,760
|
|
|
|
36,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
287,638
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(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)
|
|
Foods and Fibers
(continued)
|
|
Cocoa
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cocoa Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
53
|
|
|
$
|
1,214,230
|
|
|
$
|
48,520
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foods and Fibers
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
598,271
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
159
|
|
|
|
7,660,620
|
|
|
|
101,500
|
|
|
|
CME Live Cattle Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
16
|
|
|
|
796,160
|
|
|
|
12,720
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
114,220
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
55
|
|
|
|
2,125,750
|
|
|
|
143,030
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
50
|
|
|
|
1,895,500
|
|
|
|
100,768
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
5
|
|
|
|
165,900
|
|
|
|
360
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
244,158
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Feeder Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Feeder Cattle Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
14
|
|
|
|
1,060,150
|
|
|
|
(19,300
|
)
|
|
|
CME Feeder Cattle Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
10
|
|
|
|
781,125
|
|
|
|
(18,700
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Feeder Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(38,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320,378
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures Contracts outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,788,740
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(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
|
|
|
August 2012
|
|
|
|
(58
|
)
|
|
$
|
108.5
|
|
|
$
|
(5,220
|
)
|
|
|
NYMEX Crude Oil Futures Options
|
|
|
July 2012
|
|
|
|
(147
|
)
|
|
|
91.0
|
|
|
|
(64,680
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(69,900
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Heating Oil Futures Options
|
|
|
July 2012
|
|
|
|
(41
|
)
|
|
|
2.9
|
|
|
|
(27,724
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Natural Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Futures Options
|
|
|
July 2012
|
|
|
|
(202
|
)
|
|
|
2,950.0
|
|
|
|
(248,460
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Options
|
|
|
July 2012
|
|
|
|
(30
|
)
|
|
|
28,500.0
|
|
|
|
(14,994
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(361,078
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Metals
|
|
Aluminum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Primary Aluminum Futures Options
(3)
|
|
|
August 2012
|
|
|
|
(98
|
)
|
|
|
2,100.0
|
|
|
|
(3,920
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Copper Futures Options
(3)
|
|
|
August 2012
|
|
|
|
(52
|
)
|
|
|
8,025.0
|
|
|
|
(119,730
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nickel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Nickel Futures Options
(3)
|
|
|
August 2012
|
|
|
|
(16
|
)
|
|
|
17,900.0
|
|
|
|
(16,825
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zinc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Zinc Futures Options
(3)
|
|
|
August 2012
|
|
|
|
(29
|
)
|
|
|
2,050.0
|
|
|
|
(7,852
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lead
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Lead Futures Options
(3)
|
|
|
August 2012
|
|
|
|
(18
|
)
|
|
|
2,075.0
|
|
|
|
(3,789
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrial Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(152,116
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculturals
|
|
Corn
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Corn Futures Options
|
|
|
August 2012
|
|
|
|
(169
|
)
|
|
|
565.0
|
|
|
|
(648,538
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Options
|
|
|
October 2012
|
|
|
|
(87
|
)
|
|
|
1,520.0
|
|
|
|
(245,231
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Options
|
|
|
August 2012
|
|
|
|
(56
|
)
|
|
|
725.0
|
|
|
|
(165,200
|
)
|
|
|
KCBT Wheat Futures Options
|
|
|
August 2012
|
|
|
|
(55
|
)
|
|
|
760.0
|
|
|
|
(103,125
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(268,325
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(Unaudited)
Investments in Derivatives (Continued)
Call Options Written outstanding (Continued):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Group
|
|
Contract
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Strike
Price
|
|
|
Value
|
|
Agriculturals
(continued)
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Options
|
|
|
November 2012
|
|
|
|
(38
|
)
|
|
$
|
450.0
|
|
|
$
|
(63,650
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Options
|
|
|
November 2012
|
|
|
|
(47
|
)
|
|
|
545.0
|
|
|
|
(65,565
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agriculturals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,291,309
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Precious Metals
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Options
|
|
|
July 2012
|
|
|
|
(60
|
)
|
|
|
1,740.0
|
|
|
|
(12,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Options
|
|
|
August 2012
|
|
|
|
(24
|
)
|
|
|
3,125.0
|
|
|
|
(41,040
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Precious Metals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(53,040
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foods and Fibers
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Options
|
|
|
November 2012
|
|
|
|
(31
|
)
|
|
|
740.0
|
|
|
|
(63,395
|
)
|
|
|
ICE Cotton Futures Options
|
|
|
November 2012
|
|
|
|
(26
|
)
|
|
|
780.0
|
|
|
|
(35,750
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(99,145
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Options
|
|
|
September 2012
|
|
|
|
(154
|
)
|
|
|
212.5
|
|
|
|
(179,379
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Options
|
|
|
August 2012
|
|
|
|
(38
|
)
|
|
|
172.5
|
|
|
|
(102,885
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cocoa
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cocoa Futures Options
|
|
|
August 2012
|
|
|
|
(26
|
)
|
|
|
2,550.0
|
|
|
|
(6,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foods and Fibers
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(387,909
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Options
|
|
|
August 2012
|
|
|
|
(107
|
)
|
|
|
128.0
|
|
|
|
(9,630
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hogs Futures Options
|
|
|
July 2012
|
|
|
|
(54
|
)
|
|
|
93.0
|
|
|
|
(82,080
|
)
|
|
|
CME Lean Hogs Futures Options
|
|
|
July 2012
|
|
|
|
(1
|
)
|
|
|
100.0
|
|
|
|
(70
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(82,150
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Livestock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(91,780
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Written outstanding (premiums received $1,504,277)
|
|
|
|
|
|
|
(1,664
|
)
|
|
|
|
|
|
$
|
(2,337,232
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
NUVEEN DIVERSIFIED COMMODITY FUND
SCHEDULE OF INVESTMENTS (Continued)
June 30, 2012
(Unaudited)
(1)
|
Ratings: Using the highest of Standard & Poors Group, Moodys 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 LME futures contract. The London Clearing House is the counterparty
for both the long and short position.
|
(3)
|
For fair value measurement disclosure purposes, these Call Options Written are categorized as Level 2. See Notes to Financial Statements, Footnote
2Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
|
|
|
|
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
10
NUVEEN DIVERSIFIED COMMODITY FUND
STATEMENTS OF OPERATIONS
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
June 30,
|
|
|
Six Months Ended
June 30,
|
|
|
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
Investment Income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
|
$
|
57,392
|
|
|
$
|
73,513
|
|
|
$
|
123,178
|
|
|
$
|
183,856
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Income
|
|
|
57,392
|
|
|
|
73,513
|
|
|
|
123,178
|
|
|
|
183,856
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees
|
|
|
631,736
|
|
|
|
785,305
|
|
|
|
1,320,011
|
|
|
|
1,559,406
|
|
Brokerage commissions
|
|
|
42,716
|
|
|
|
45,188
|
|
|
|
83,938
|
|
|
|
85,276
|
|
Custodians fees and expenses
|
|
|
32,769
|
|
|
|
31,605
|
|
|
|
59,045
|
|
|
|
35,442
|
|
Trustees fees and expenses
|
|
|
25,111
|
|
|
|
27,500
|
|
|
|
56,361
|
|
|
|
60,625
|
|
Professional fees
|
|
|
119,326
|
|
|
|
53,888
|
|
|
|
217,903
|
|
|
|
138,195
|
|
Shareholder reporting expense
|
|
|
39,680
|
|
|
|
53,382
|
|
|
|
71,088
|
|
|
|
110,305
|
|
Other expenses
|
|
|
6,982
|
|
|
|
7,888
|
|
|
|
11,343
|
|
|
|
19,247
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
898,320
|
|
|
|
1,004,756
|
|
|
|
1,819,689
|
|
|
|
2,008,496
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(840,928
|
)
|
|
|
(931,243
|
)
|
|
|
(1,696,511
|
)
|
|
|
(1,824,640
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
|
|
|
|
10,899
|
|
|
|
(652
|
)
|
|
|
10,899
|
|
Futures contracts
|
|
|
(22,226,328
|
)
|
|
|
(7,066,543
|
)
|
|
|
(16,939,576
|
)
|
|
|
18,030,482
|
|
Call options written
|
|
|
1,659,694
|
|
|
|
2,963,912
|
|
|
|
4,236,174
|
|
|
|
5,357,510
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
(4,822
|
)
|
|
|
10,559
|
|
|
|
(28,176
|
)
|
|
|
(7,586
|
)
|
Futures contracts
|
|
|
7,190,243
|
|
|
|
(9,779,337
|
)
|
|
|
7,710,570
|
|
|
|
(22,956,284
|
)
|
Call options written
|
|
|
(1,352,546
|
)
|
|
|
(134,460
|
)
|
|
|
(1,709,545
|
)
|
|
|
2,364,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) and change in net unrealized appreciation (depreciation)
|
|
|
(14,733,759
|
)
|
|
|
(13,994,970
|
)
|
|
|
(6,731,205
|
)
|
|
|
2,799,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(15,574,687
|
)
|
|
$
|
(14,926,213
|
)
|
|
$
|
(8,427,716
|
)
|
|
$
|
974,460
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per weighted-average share
|
|
$
|
(1.69
|
)
|
|
$
|
(1.61
|
)
|
|
$
|
(0.91
|
)
|
|
$
|
0.11
|
|
Weighted-average shares outstanding
|
|
|
9,219,240
|
|
|
|
9,267,040
|
|
|
|
9,219,589
|
|
|
|
9,267,040
|
|
See accompanying notes to financial statements
11
NUVEEN DIVERSIFIED COMMODITY FUND
STATEMENTS OF CHANGES IN SHAREHOLDERS CAPITAL
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2012
|
|
|
Year Ended
December 31, 2011
|
|
Shareholders capitalbeginning of period
|
|
$
|
214,180,129
|
|
|
$
|
247,757,748
|
|
Repurchase of shares
|
|
|
(203,766
|
)
|
|
|
(748,433
|
)
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in shareholders capital resulting from operations:
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(1,696,511
|
)
|
|
|
(3,612,955
|
)
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
(652
|
)
|
|
|
21,761
|
|
Futures contracts
|
|
|
(16,939,576
|
)
|
|
|
(2,120,418
|
)
|
Call options written
|
|
|
4,236,174
|
|
|
|
10,035,572
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
(28,176
|
)
|
|
|
4,506
|
|
Futures contracts
|
|
|
7,710,570
|
|
|
|
(23,776,469
|
)
|
Call options written
|
|
|
(1,709,545
|
)
|
|
|
2,741,582
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
(8,427,716
|
)
|
|
|
(16,706,421
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders
|
|
|
(8,020,740
|
)
|
|
|
(16,122,765
|
)
|
|
|
|
|
|
|
|
|
|
Shareholders capitalend of period
|
|
$
|
197,527,907
|
|
|
$
|
214,180,129
|
|
|
|
|
|
|
|
|
|
|
Sharesbeginning of period
|
|
|
9,229,040
|
|
|
|
9,267,040
|
|
Issuance of shares
|
|
|
|
|
|
|
|
|
Repurchase of shares
|
|
|
(9,800
|
)
|
|
|
(38,000
|
)
|
|
|
|
|
|
|
|
|
|
Sharesend of period
|
|
|
9,219,240
|
|
|
|
9,229,040
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements
12
NUVEEN DIVERSIFIED COMMODITY FUND
STATEMENTS OF CASH FLOWS
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30,
|
|
|
|
2012
|
|
|
2011
|
|
Cash flows from operating activities:
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(8,427,716
|
)
|
|
$
|
974,460
|
|
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
|
|
|
|
|
|
|
|
Purchases of short-term investments
|
|
|
(632,368,697
|
)
|
|
|
(1,059,885,820
|
)
|
Proceeds from sales and maturities of short-term investments
|
|
|
643,736,671
|
|
|
|
1,053,519,063
|
|
Premiums paid for call options written
|
|
|
(177,052
|
)
|
|
|
(448,520
|
)
|
Premiums received for call options written
|
|
|
4,489,456
|
|
|
|
5,351,925
|
|
Amortization (Accretion)
|
|
|
796,826
|
|
|
|
439,244
|
|
(Increase) Decrease in:
|
|
|
|
|
|
|
|
|
Deposits with brokers
|
|
|
8,995,035
|
|
|
|
(7,681,048
|
)
|
Interest receivable
|
|
|
496,959
|
|
|
|
(677,274
|
)
|
Other assets
|
|
|
(23,906
|
)
|
|
|
(29,517
|
)
|
Increase (Decrease) in:
|
|
|
|
|
|
|
|
|
Accrued management fees
|
|
|
(32,955
|
)
|
|
|
(2,782
|
)
|
Other accrued expenses
|
|
|
(72,689
|
)
|
|
|
(72,524
|
)
|
Net realized (gain) loss from:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
652
|
|
|
|
(10,899
|
)
|
Call options written
|
|
|
(4,236,174
|
)
|
|
|
(5,357,510
|
)
|
Change in net unrealized (appreciation) depreciation of:
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
28,176
|
|
|
|
7,586
|
|
Futures contracts
|
|
|
(7,710,570
|
)
|
|
|
22,956,284
|
|
Call options written
|
|
|
1,709,545
|
|
|
|
(2,364,079
|
)
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used in) operating activities
|
|
|
7,203,561
|
|
|
|
6,718,589
|
|
|
|
|
|
|
|
|
|
|
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
Cash paid for shares repurchased
|
|
|
(519,611
|
)
|
|
|
|
|
Cash distributions to shareholders
|
|
|
(6,683,950
|
)
|
|
|
(6,718,605
|
)
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used in) financing activities
|
|
|
(7,203,561
|
)
|
|
|
(6,718,605
|
)
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash
|
|
|
|
|
|
|
(16
|
)
|
Cashbeginning of period
|
|
|
|
|
|
|
16
|
|
|
|
|
|
|
|
|
|
|
Cashend of period
|
|
$
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements
13
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS
June 30, 2012
(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. Nuveen Commodities Asset Management, LLC, the Funds manager (NCAM or the Manager), a wholly-owned subsidiary of Nuveen Investments, Inc. (Nuveen), 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 (the NFA).
The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (Trust Agreement). The Funds
shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Funds shares trade on the NYSE MKT (formerly known as 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.
The Manager has selected Gresham Investment Management LLC (Gresham or the Commodity Sub-advisor) to manage the
Funds 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 (the SEC) as an investment adviser. On December 31, 2011, Nuveen completed its acquisition of a 60%
stake in Gresham. As part of the acquisition, Greshams management and investment teams will maintain a significant minority ownership stake in the firm, and will continue to operate independently while levering the strengths of Nuveens
shared resources. Gresham continues to serve as the Funds Commodity Sub-advisor and there have been no changes in the Funds investment objectives, strategies or expenses as a result of this transaction.
The Manager has selected Nuveen Asset Management, LLC (Nuveen Asset Management or the Collateral Sub-advisor), an
affiliate of the Manager, to serve as the Funds Collateral Sub-advisor, investing the Funds collateral in short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the
SEC as an investment adviser.
The Funds investment objective is to generate higher risk-adjusted total return than
leading commodity market benchmarks. 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 portfolios 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 Funds investment strategy has three elements:
|
|
|
An actively managed portfolio of commodity futures and forward contracts utilizing Greshams 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;
|
|
|
|
An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Funds 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.
|
14
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
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 Funds financial statements included in the Funds Annual Report on Form 10-K for the year ended December 31, 2011.
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 dollar
amount per contract. This is known as the initial margin. Cash held by the broker to cover initial margin requirements on open futures contracts 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 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 LME Clearing House is the counterparty for both the long and short positions.
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.
15
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
The average number of futures contracts outstanding during the six months ended
June 30, 2012 and the fiscal year ended December 31, 2011, was 3,559 and 3,636, respectively.
Refer to Footnote
3Derivative 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 Funds 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 six months ended June 30, 2012 and the fiscal year ended December 31, 2011, 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 six months ended June 30, 2012 or the fiscal year ended December 31, 2011.
Transactions in call options written were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30,
2012
|
|
|
Year
Ended
December 31, 2011
|
|
|
|
Number of
Contracts
|
|
|
Premiums
Received
|
|
|
Number of
Contracts
|
|
|
Premiums
Received
|
|
Outstanding, beginning of period
|
|
|
1,657
|
|
|
$
|
1,428,047
|
|
|
|
1,813
|
|
|
$
|
1,629,313
|
|
Options written
|
|
|
7,357
|
|
|
|
4,489,456
|
|
|
|
13,702
|
|
|
|
10,798,390
|
|
Options terminated in closing purchase transactions
|
|
|
(4,822
|
)
|
|
|
(2,775,250
|
)
|
|
|
(9,895
|
)
|
|
|
(8,022,605
|
)
|
Options expired
|
|
|
(2,528
|
)
|
|
|
(1,637,976
|
)
|
|
|
(3,963
|
)
|
|
|
(2,977,051
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding, end of the period
|
|
|
1,664
|
|
|
$
|
1,504,277
|
|
|
|
1,657
|
|
|
$
|
1,428,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The average number of outstanding call option contracts written during the six months ended June 30, 2012 and the
fiscal year ended December 31, 2011, was 1,675 and 1,712, respectively.
Refer to Footnote 3Derivative Instruments
and Hedging Activities for further details on options activity.
16
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
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 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 six months ended June 30, 2012 or the fiscal year ended December 31, 2011.
Collateral Investments
Currently, in the normal course of business, approximately 15% of the Funds assets are committed to secure the Funds futures
and forward contract positions. These assets are placed in a commodity futures account maintained by the Funds clearing broker, and are held in eligible cash equivalents and high-quality short-term debt securities.
The remaining assets are held in a separate collateral investment account managed by the Collateral Sub-advisor. The Funds assets
held in the separate collateral account are invested in cash equivalents and high-quality 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.
17
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
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. Additionally, events may occur after the close of the market, but prior to the determination of
the Funds net asset value that may affect the values of the Funds 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.
Prices of
fixed-income securities, including but not limited to, highly rated zero coupon fixed-income securities and U.S. Treasury bills, issued with maturities of one year or less, are provided by a pricing service approved by the Funds Manager. These
securities are generally classified as Level 2. The pricing service establishes a securitys 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 obligors 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.
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 entitys 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 following is a summary of the three-tier hierarchy of valuation inputs.
|
|
|
|
|
Level 1
|
|
|
|
Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.
|
|
|
|
Level 2
|
|
|
|
Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.).
|
|
|
|
Level 3
|
|
|
|
Prices are determined using significant unobservable inputs (including managements assumptions in determining the fair value of investments).
|
18
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
The inputs or methodologies used for valuing securities are not an indication of the
risks associated with investing in those securities. The following is a summary of the Funds fair value measurements as of June 30, 2012 and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations
|
|
$
|
|
|
|
$
|
149,832,352
|
|
|
$
|
|
|
|
$
|
149,832,352
|
|
Repurchase Agreements
|
|
|
|
|
|
|
13,600,973
|
|
|
|
|
|
|
|
13,600,973
|
|
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts*
|
|
|
2,788,740
|
|
|
|
|
|
|
|
|
|
|
|
2,788,740
|
|
Call Options Written**
|
|
|
(2,185,116
|
)
|
|
|
(152,116
|
)
|
|
|
|
|
|
|
(2,337,232
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
603,624
|
|
|
$
|
163,281,209
|
|
|
$
|
|
|
|
$
|
163,884,833
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2011
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Obligations
|
|
$
|
|
|
|
$
|
174,425,536
|
|
|
$
|
|
|
|
$
|
174,425,536
|
|
Repurchase Agreements
|
|
|
|
|
|
|
1,201,417
|
|
|
|
|
|
|
|
1,201,417
|
|
Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts*
|
|
|
(4,921,830
|
)
|
|
|
|
|
|
|
|
|
|
|
(4,921,830
|
)
|
Call Options Written**
|
|
|
(548,427
|
)
|
|
|
(3,030
|
)
|
|
|
|
|
|
|
(551,457
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(5,470,257
|
)
|
|
$
|
175,623,923
|
|
|
$
|
|
|
|
$
|
170,153,666
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments.
|
**
|
Refer to the Schedule of Investments for breakdown of Call Options Written classified as Level 2.
|
During the six months ended June 30, 2012 and the fiscal year ended December 31, 2011, the Fund recognized no
transfers to or from Level 1, Level 2 or Level 3.
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, incurred in connection with trading activities for the Funds investment in CFTC regulated investments.
19
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
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 Funds shares will be required to take into account its allocable share of the Funds income, gains, losses, deductions and other items for the Funds taxable year.
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.
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, 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 Funds 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.
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 Managers 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 Funds 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.
20
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
2. Summary of Significant Accounting Policies (Continued)
Distributions to shareholders are recorded on the ex-dividend date.
Commitments and Contingencies
Under the Funds organizational documents, the Manager, Wilmington Trust Company (the Funds Delaware trustee) and the
Managers Independent Committee members 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 Funds 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 June 30, 2012 and December 31, 2011,
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.
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 Funds 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.
21
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
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. 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 2Summary of Significant Accounting Policies.
The following tables present the fair value of all derivative instruments held by the Fund, the location of these instruments
on the Statements of Financial Condition and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30,
2012
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*
|
|
$
|
6,271,039
|
|
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
|
|
Futures Contracts
|
|
Unrealized appreciation on futures contracts, net*
|
|
|
(3,482,299
|
)
|
|
|
|
|
|
|
Commodity
|
|
Options
|
|
|
|
|
|
|
|
Call options written, at value
|
|
|
(2,337,232
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
2,788,740
|
|
|
|
|
$
|
(2,337,232
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31,
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*
|
|
$
|
(7,771,315
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
|
|
Futures Contracts
|
|
|
|
|
|
|
|
Unrealized depreciation on futures contracts, net*
|
|
|
2,849,485
|
|
Commodity
|
|
Options
|
|
|
|
|
|
|
|
Call options written, at value
|
|
|
(551,457
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
$
|
|
|
|
|
|
$
|
(5,473,287
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
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.
|
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
|
|
Six Months Ended
June 30,
2012
|
|
|
Year Ended
December 31, 2011
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
(16,939,576
|
)
|
|
$
|
(2,120,418
|
)
|
Call options written
|
|
|
4,236,174
|
|
|
|
10,035,572
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
7,710,570
|
|
|
$
|
(23,776,469
|
)
|
Call options written
|
|
|
(1,709,545
|
)
|
|
|
2,741,582
|
|
22
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
4. Related Parties
The Manager, the Commodity Sub-advisor (as of December 31, 2011) and the Collateral Sub-advisor are considered to
be related parties to the Fund.
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 Funds average daily net assets, according to the following schedule:
|
|
|
|
|
Average Daily Net Assets
|
|
Management Fee
|
|
For the first $500 million
|
|
|
1.250
|
%
|
For the next $500 million
|
|
|
1.225
|
|
For the next $500 million
|
|
|
1.200
|
|
For the next $500 million
|
|
|
1.175
|
|
For net assets over $2 billion
|
|
|
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.
5. Share Repurchase Program
On December 21, 2011, the Fund adopted an open-market share repurchase program allowing the Fund to repurchase an
aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Managers discretion.
Transactions in share repurchases were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2012
|
|
|
Year Ended
December 31, 2011
|
|
Shares repurchased
|
|
|
(9,800
|
)
|
|
|
(38,000
|
)
|
|
|
|
|
|
|
|
|
|
Weighted average price per share repurchased
|
|
$
|
20.77
|
|
|
$
|
19.68
|
|
|
|
|
|
|
|
|
|
|
23
NUVEEN DIVERSIFIED COMMODITY FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2012
(Unaudited)
6. Financial Highlights
The following financial highlights relate to investment performance and operations for a Fund share outstanding during
the three and six months ended June 30, 2012 and the three and six months ended June 30, 2011. 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 for periods less than a full fiscal year. 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 investors return and ratios will vary based on the timing of purchasing and selling Fund shares.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
|
|
|
Six Months Ended
|
|
|
|
June 30, 2012
|
|
|
June 30, 2011
|
|
|
June 30, 2012
|
|
|
June 30, 2011
|
|
Net Asset Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share
beginning of period
|
|
$
|
23.55
|
|
|
$
|
28.02
|
|
|
$
|
23.21
|
|
|
$
|
26.74
|
|
Net investment income (loss)
|
|
|
(.09
|
)
|
|
|
(.10
|
)
|
|
|
(.18
|
)
|
|
|
(.20
|
)
|
Net realized and unrealized gain (loss)
|
|
|
(1.59
|
)
|
|
|
(1.51
|
)
|
|
|
(.73
|
)
|
|
|
(.30
|
)
|
Distributions
|
|
|
(.44
|
)
|
|
|
(.44
|
)
|
|
|
(.87
|
)
|
|
|
(.87
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per shareend of period
|
|
$
|
21.43
|
|
|
$
|
25.97
|
|
|
|
21.43
|
|
|
$
|
25.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market Value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value per sharebeginning of period
|
|
$
|
23.08
|
|
|
$
|
27.26
|
|
|
$
|
20.30
|
|
|
$
|
25.80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value per shareend of period
|
|
$
|
20.40
|
|
|
$
|
26.25
|
|
|
$
|
20.40
|
|
|
$
|
26.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets:
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(1.67
|
)%
|
|
|
(1.48
|
)%
|
|
|
(1.61
|
)%
|
|
|
(1.46
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
1.78
|
%
|
|
|
1.60
|
%
|
|
|
1.72
|
%
|
|
|
1.61
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Returns:
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on Net Asset Value
|
|
|
(7.17
|
)%
|
|
|
(5.82
|
)%
|
|
|
(4.10
|
)%
|
|
|
.25
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on Market Value
|
|
|
(9.74
|
)%
|
|
|
(2.15
|
)%
|
|
|
4.55
|
%
|
|
|
5.03
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(b)
|
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.
24
Item 2.
|
Managements 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 (Nuveen Asset Management or 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, 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 MKT (formerly known as the NYSE Amex) under the ticker symbol CFD. The Funds investment objective is to generate higher risk-adjusted
total return than leading commodity market benchmarks. 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 Funds commodity contract positions are fully collateralized with cash equivalents, U.S. government securities, and other short-term, high grade debt securities. The Fund also writes
commodity call options seeking to enhance the Funds risk-adjusted total return. The Manager focuses on the Dow Jones-UBS Commodity Index
®
(DJ-UBSCI) when evaluating the performance of the commodity futures, forwards, and options positions (the commodity portfolio) in the Funds
portfolio against the overall commodity market.
Results of Operations
The Quarter Ended June 30, 2012Fund Share Price
The Funds
shares traded on the NYSE MKT at a price of $20.40 on the close of business on June 29, 2012 (the last trading day of the period). This represents a decrease of 11.61% in share price (not including the effect of distributions) from the $23.08
price at which the shares of the Fund traded on the close of business on March 30, 2012 (the last trading day of the previous fiscal period). The high and low intra-day share prices for the quarter were $23.57 (April 3, 2012) and $19.16 (June
1, 2012), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 2, 2012. 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 June 30, 2012 was -9.74%. At June 29, 2012, the shares of the Fund traded at a 4.81% discount to the Funds net asset value of $21.43.
The Quarter Ended June 30, 2011Fund Share Price
The Funds shares traded on the NYSE Amex (currently NYSE MKT) at a price of $26.25 on the close of business on June 30, 2011. This represented a decrease of 3.71% in share price (not including
the effect of distributions) from the $27.26 price at which the shares of the Fund traded on the close of business on March 31, 2011. The high and low share prices for the quarter were $29.40 (April 29, 2011) and $24.55 (June 24, 2011),
respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 1, 2011. The remainder was paid during the quarter. The cumulative total return on market value for
the Fund, including distributions, for the quarter ended June 30, 2011 was -2.15%. At June 30, 2011, the shares of the Fund traded at a 1.08% premium to the Funds net asset value of $25.97.
25
The Quarter Ended June 30, 2012Net Assets of the Fund
The Funds net assets decreased from $217.1 million as of March 31, 2012, to $197.5 million as of June 30, 2012, a decrease
of $19.6 million. The decrease in the Funds net assets was due to $20.6 million in net realized losses and $5.8 million in unrealized appreciation on the Funds commodity portfolio during the quarter, a net investment loss of $0.8
million, and $4.0 million of distributions declared to shareholders.
The Funds commodity and options portfolio fell
approximately 6.8% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 4.6% during the quarter. Commodity markets had a volatile quarter with the gains generated in June
overshadowed by losses in April and May. Commodity performance was driven by continued investor uncertainty over the global economic outlook spurred by the disappointing progress in the world economy and continued financial stress in Europe. Shocks
to specific commodities because of extreme weather conditions throughout the United States and other parts of the world also factored into the volatility of commodity markets.
In aggregate, the Funds commodity portfolio underperformed the DJ-UBSCI by approximately 2.2% for the quarter, before considering the expenses of the Fund. The main causes of the underperformance
were the Funds larger allocation to crude oil and its smaller allocations to the top performing agricultural group, as well as natural gas. Positive contributors included exposure to soybean meal (which is not held by the DJ-UBSCI), a smaller
allocation to aluminum, zinc and nickel positions and lesser exposure to gold relative to the DJ-UBSCI.
During the second
quarter of 2012, agriculture and livestock were the only two of the six principal commodity groups to post positive results for both the Fund and the DJ-UBSCI. Agricultural commodities in the DJ-UBSCI, particularly wheat, corn and soybeans,
increased by more than 7.2% because of the hot weather and lower forecasts of expected crop yields. The Funds commodity portfolio captured most of this price appreciation with a gain of approximately 6.4% in this group. Correspondingly, the
lower expected crop yields also raised the prices of livestock by almost 3% as feed is now more expensive. The Funds commodity portfolio outperformed with respect to natural gas, posting a gain of approximately 15.6% versus the DJ-UBSCIs
13.9%. Record heat across much of the United States drove the positive returns. Despite the gains in natural gas, the energy group was down approximately 9% for the DJ-UBSCI and approximately 12% for the Fund for the quarter. The Fund underperformed
within the energy group, primarily because of its overweight to crude oil, which performed poorly for both the Fund and the DJ-UBSCI, falling approximately 18% and 19%, respectively. Rounding out the three remaining principal commodity groups, foods
and fibers, industrial metals, and precious metals declined approximately 11%, 9%, and 7%, respectively, within the Funds commodity portfolio.
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 portfolios 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 Funds performance. For example, with respect to natural gas, out-of-the money options with high relative premiums helped the portfolios performance. Crude oil and heating oil options also
earned premiums offsetting futures losses. However, among the agricultural commodity group, the options writing generally limited upside capture. This is illustrated by soybean meal prices, which rose approximately 11.7% in the month of April. The
performance of the Funds soybean meal position was approximately 8.5% over the same period, reflecting the negative impact of forgone futures contract appreciation as the option contracts expired in-the-money. The premiums received on the
soybean meal options contracts were less than the foregone upside of the futures positions. For the Funds commodity portfolio overall, the increased volatility drove higher premiums for option writing.
26
During the quarter ended June 30, 2012, the Funds collateral investments
generated interest income of $57,392.
The net asset value per share on June 30, 2012, was $21.43. This represents a
decrease of 9.00% in net asset value (not including the effect of distributions) from the $23.55 net asset value as of March 31, 2012. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on
July 2, 2012. 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 -7.17% for the quarter ended June 30, 2012.
The Fund generated a net loss of $15.6 million for the quarter ended June 30, 2012, resulting from interest income of $0.1 million,
net expenses of $0.9 million, net realized losses of $20.6 million, and net unrealized appreciation of $5.8 million.
The Quarter Ended
June 30, 2011Net Assets of the Fund
The Funds net assets decreased from $259.6 million at March 31,
2011, to $240.7 million at June 30, 2011, a decrease of $18.9 million. The decrease in the Funds net assets was primarily due to the realization of $4.1 million in net losses and a change of $9.9 million in net unrealized depreciation on
the Funds commodity portfolio during the quarter, a net investment loss of $0.9 million, and $4 million of distributions declared to shareholders.
The Funds commodity portfolio fell approximately 5.8% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 6.7% during
the quarter. Commodity market performance was driven by growing concerns about the weakening global macroeconomic environment, specifically concerns about Europes continued sovereign debt troubles, slowing global economic growth, a possible
double-dip recession in the United States, and continued unrest in the Middle East, which affected the supply and demand relationship of various commodities in which the Fund trades.
Given this environment, five of the six principal commodity groups in the DJ-UBSCI declined in the second quarter of 2011 with only
precious metals, on the strength of gold, posting a positive result. The Funds commodity portfolio experienced a decrease in value among all six groups. The most significant declines were in agriculturals, livestock and energy, which
experienced decreases of approximately 12%, 8%, and 7%, respectively. The Funds holdings in foods and fibers, industrial metals, and precious metals experienced decreases of approximately 3%, 3%, and 1%, respectively. Most of the individual
commodities in which the Fund trades experienced a decrease in value, with the exception of sugar, cocoa, and gold, which experienced increases in value of approximately 9%, 6%, and 4%, respectively. When compared to its benchmark, the Fund
outperformed the DJ-UBSCI by approximately 1.0% for the quarter, before considering the expenses of the Fund, due to the Funds commodity weighting differences and trading strategy. Five of the six commodity groups in which the Fund trades
outperformed the benchmark, led by the portfolios investments in agriculturals which outperformed the DJ-UBSCI due mainly to the underweight in soybeans and in Chicago wheat, along with the inclusion of Kansas City wheat, which was not held in
the DJ-UBSCI. The Funds investment in the energy group also outperformed the DJ-UBSCI, mostly due to the Funds smaller allocation to natural gas. The commodity portfolios sole underperforming group when compared to the DJ-UBSCI was
precious metals.
27
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 quarter, several of the commodity portfolios options expired without being exercised. This allowed the Fund to earn the call option premium without sacrificing any appreciation in the commodity futures contracts
which benefited the Funds performance. In certain cases where the futures price appreciation was significant, such as silver, the options the Fund wrote were exercised, which limited the Funds full participation in that commodity
contracts gains. While silver futures prices rose approximately 28% during the month of April, the commodity portfolios futures and options performance in silver was approximately 17% over the same period, reflecting the impact of the
forgone futures contract appreciation due to the option contracts being exercised. In total for the quarter, across all of the commodity and options holdings, the Funds commodity portfolio outperformed the DJ-UBSCI by approximately 1% before
expenses while experiencing less volatility.
During the quarter ended June 30, 2011, the Funds collateral
investments generated interest income of $73,513.
The net asset value per share as of June 30, 2011, was $25.97. This
represented a decrease of 7.32% in net asset value (not including the effect of distributions) from the $28.02 net asset value as of March 31, 2011. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was
paid on July 1, 2011. The remainder was paid during the quarter. When these distributions were taken into account, the cumulative total return for the Fund on net asset value was -5.82% for the quarter ended June 30, 2011.
The Fund generated a net loss of $14.9 million for the quarter ended June 30, 2011, resulting from interest income of $0.1 million
being offset by net expenses of $1.0 million, net realized losses of $4.1 million, and a change in net unrealized depreciation of $9.9 million.
The Six Months Ended June 30, 2012Fund Share Price
The Funds shares traded on the NYSE MKT at a price of $20.40 on the close of business on June 29, 2012 (the last trading day of the period). This represents an increase of 0.49% in share price
(not including the effect of distributions) from the $20.30 price at which the shares of the Fund traded on the close of business on December 30, 2011 (the last trading day of the previous fiscal period). The high and low intra-day share prices
for the six month period were $24.98 (March 22, 2012) and $19.16 (June 1, 2012), respectively. During the six month period, the Fund declared distributions totaling $0.870 per share to shareholders, of which $0.145 was paid on July 2, 2012. The
remainder was paid during the six month period. The cumulative total return on market value for the Fund, including distributions, for the six month period ended June 30, 2012 was 4.55%. As of June 29, 2012, the shares of the Fund traded
at a 4.81% discount to the Funds net asset value of $21.43.
The Six Months Ended June 30, 2011Fund Share Price
The Funds shares traded on the NYSE Amex (currently NYSE MKT) at a price of $26.25 on the close of business on
June 30, 2011. This represented an increase of 1.74% 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 six month period were $29.40 (April 29, 2011) and $24.55 (June 24, 2011), respectively. During the six month period, the Fund declared distributions totaling $0.870 per share to shareholders, of which $0.145 was paid on
July 1, 2011. The remainder was paid during the period. The cumulative total return on market value for the Fund, including distributions, for the six month period ended June 30, 2011 was 5.03%. At June 30, 2011, the shares of the
Fund traded at a 1.08% premium to the Funds net asset value of $25.97.
28
The Six Months Ended June 30, 2012Net Assets of the Fund
The Funds net assets decreased from $214.2 million as of December 31, 2011, to $197.5 million as of June 30, 2012, a
decrease of $16.7 million. The decrease in the Funds net assets was due to $12.7 million in net realized losses and $6.0 million in unrealized appreciation on the Funds commodity portfolio during the period, a net investment loss of $1.7
million, $8.1 million of distributions declared to shareholders and $0.2 million decrease in net assets due to share repurchases.
The Funds commodity portfolio fell approximately 3.2% during the six month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased
3.7%. During January and February 2012 commodities markets generally rose, but from March through June commodities markets were hurt by increased investor uncertainty over the global economic outlook. Some short-term developments in 2012, such as
extreme heat throughout the United States and other parts of the world, boosted prices, particularly in the agricultural group, while economic weakness in Europe and early signs of slowdowns in the emerging market economies hurt commodities prices
broadly.
For the six month period, four of the six principal commodity groups in the DJ-UBSCI and the Funds commodity
portfolio declined. Foods and fibers experienced a decrease of approximately 11% within the Fund. Within foods and fibers, cotton declined approximately 16% and was negatively impacted by concerns regarding a slowdown in China. A decline of
approximately 15% in coffee also negatively impacted the foods and fibers group. Energy experienced a decrease of approximately 11% within the Fund, driven by decreases in both natural gas and crude oil. Rounding out the remaining underperformers
for the Fund, industrial metals and livestock experienced a decrease of approximately 3% and 2%, respectively, during the period. Turning to the positive performing groups for the Fund, agriculturals, driven by soybean meal and soybeans, and
precious metals, driven by gold, increased by approximately 13% and 1%, respectively.
For the six month period the
Funds commodity portfolio outperformed the DJ-UBSCI benchmark in five of the six commodity groups. The commodity portfolios holdings in the energy group had the largest outperformance when compared to the DJ-UBSCI (returning
approximately -11.4% vs. -14.5%, respectively), largely due to the Funds smaller allocation to natural gas. Within foods and fibers, the Fund benefited from exposure to coffee contracts traded in the London International Financial Futures
Exchange. Additionally, the commodity portfolios positions in nickel, gold, and live cattle contributed to the Funds outperformance of the DJ-UBSCI in the industrial metals, precious metals, and livestock groups. Agriculture was the sole
relative underperformer, driven by the Funds lower weights to soybeans, wheat, and corn. As inclement weather drove these commodity prices higher, the Funds lower exposures to these commodities was a negative during the period.
During the six month period, several of the commodity portfolios 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 Funds performance. The option
writing was most beneficial within the energy group where options premium helped cushion losses experienced in both crude oil and natural gas. In certain cases, such as soybean meal, where the futures price appreciation was significant, the options
the Fund wrote were exercised, which limited the Funds full participation in that commodity contracts gains. In total, across all of the commodity and options holdings, the Funds commodity portfolio outperformed the DJ-UBSCI by
approximately 0.5% before considering the expenses of the Fund, while experiencing less volatility.
During the six month
period ended June 30, 2012, the Funds collateral investments generated interest income of $123,178.
The net asset
value per share as of June 30, 2012, was $21.43. This represents a decrease of 7.67% in net asset value (not including the effect of distributions) from the $23.21 net asset value as of December 31, 2011. The Fund declared distributions of
$0.870 per share during the six month period, of which $0.145 was paid on July 2, 2012. 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
-4.10% for the six months ended June 30, 2012.
29
The Fund generated a net loss of $8.4 million for the six month period ended June 30,
2012, resulting from interest income of $0.1 million, net expenses of $1.8 million, net realized losses of $12.7 million, and net unrealized appreciation of $6.0 million.
The Six Months Ended June 30, 2011Net Assets of the Fund
The
Funds net assets decreased from $247.8 million as of December 31, 2010, to $240.7 million as of June 30, 2011, a decrease of $7.1 million. The decrease in the Funds net assets was primarily due to the realization of $23.4
million of gains on the Funds commodity portfolio during the period, offset by an increase of $20.6 million in the change in net unrealized depreciation of the Funds commodity portfolio, a net investment loss of $1.8 million, and $8.1
million of distributions declared to shareholders.
The Funds commodity portfolio rose approximately 0.7% during the six
month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased 2.6%. After a first quarter where expectations of a global economic recovery and rising inflation pushed commodity
prices higher, commodity market performance during the second quarter had been driven by growing concerns about the weakening global macroeconomic environment, specifically concerns about Europes continued sovereign debt troubles, slowing
global economic growth, a possible double-dip recession in the United States, and continued unrest in the Middle East, which affected the supply and demand relationship of various commodities in which the Fund trades.
For the six month period, three of the six principal commodity groups in the DJ-UBSCI declined. Only energy, driven by increases in
unleaded gas and heating oil, precious metals, driven by increases in silver and gold, and the foods and fibers, driven by increases in coffee, increased over the period. The Funds commodity portfolio experienced increases in value in foods
and fibers, energy and precious metals of approximately 6%, 4%, and 4%, respectively. Agriculturals experienced a decrease of approximately 10% in value, driven in large part by a 25% decrease in the value of the Funds wheat holdings (the
commodity portfolios wheat holdings outperformed the DJ-UBSCI wheat position by more than 7%). Livestock and industrial metals both experienced decreases of approximately 1% during the period. For the six month period, the Funds
commodity portfolio outperformed the DJ-UBSCI benchmark in five of the six commodity groups, with precious metals being the sole underperformer driven by holdings in silver. The commodity portfolios holdings in the energy group had the largest
outperformance when compared to the DJ-UBSCI (by approximately 2.2%), largely due to the Funds investments in brent crude, which was up approximately 19.5% for the year and was not held in the DJ-UBSCI. The commodity portfolios positions
in natural gas, Chicago wheat, and soybeans also contributed to the Funds outperformance of the DJ-UBSCI.
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 six month period, several of the commodity portfolios options expired without being exercised. This allowed the Fund to earn the call
option premium without sacrificing any appreciation in the commodity futures contracts, which benefited the Funds performance. In certain cases where the futures price appreciation was significant the options the Fund wrote were exercised,
which limited the Funds full participation in that commodity contracts gains. In total, across all of the commodity and options holdings, the Funds commodity portfolio outperformed the DJ-UBSCI by approximately 3.3% before
considering the expenses of the Fund, while experiencing less volatility.
30
During the six month period ended June 30, 2011, the Funds collateral investments
generated interest income of $183,856.
The net asset value per share as of June 30, 2011, was $25.97. This represents a
decrease of 2.88% in net asset value (not including the effect of distributions) from the $26.74 net asset value as of December 31, 2010. During the six month period, the Fund declared distributions totaling $0.870 per share to shareholders, of
which $0.145 was paid on July 1, 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 0.25% for the six month period ended June 30,
2011.
The Fund generated net income of $1.0 million for the six month period ended June 30, 2011, resulting from
interest income of $0.2 million, offset by expenses of $2.0 million, net realized gain of $23.4 million, and a change in net unrealized depreciation of $20.6 million.
Fund Total Returns
The following table presents selected total returns for
the Fund as of June 30, 2012. 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 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
|
|
|
4.34
|
%
|
|
|
-9.74
|
%
|
|
|
-15.97
|
%
|
|
|
-4.24
|
%
|
Net Asset Value
|
|
|
3.43
|
%
|
|
|
-7.17
|
%
|
|
|
-11.19
|
%
|
|
|
0.81
|
%
|
Since inception returns present performance for the period since the Funds commencement
of operations on September 27, 2010.
Returns represent past performance, which is no guarantee of future performance.
31
Commodity Weightings
The table below presents the composition of the Funds TAP PLUS
S
M
strategy (Greshams long-only rules-based investment strategy, which uses futures and forward contracts to gain
exposure to commodities and options to enhance the Funds risk-adjusted total return) and the DJ-UBSCI as of June 30, 2012. This table serves as a guide to how the composition of the Funds 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
|
|
|
18.32
|
%
|
|
|
13.17
|
%
|
|
|
Heating Oil
|
|
|
4.70
|
%
|
|
|
3.17
|
%
|
|
|
Natural Gas
|
|
|
5.87
|
%
|
|
|
10.19
|
%
|
|
|
Unleaded Gas
|
|
|
3.28
|
%
|
|
|
3.26
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32.17
|
%
|
|
|
29.79
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Metals
|
|
Aluminum
|
|
|
4.71
|
%
|
|
|
5.62
|
%
|
|
|
Copper
|
|
|
10.04
|
%
|
|
|
7.44
|
%
|
|
|
Nickel
|
|
|
1.62
|
%
|
|
|
2.38
|
%
|
|
|
Zinc
|
|
|
1.40
|
%
|
|
|
3.28
|
%
|
|
|
Lead
|
|
|
0.82
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18.59
|
%
|
|
|
18.72
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Agriculturals
|
|
Corn
|
|
|
5.34
|
%
|
|
|
6.74
|
%
|
|
|
Soybean
|
|
|
6.31
|
%
|
|
|
8.75
|
%
|
|
|
Wheat
|
|
|
4.26
|
%
|
|
|
6.22
|
%
|
|
|
Soybean Meal
|
|
|
1.57
|
%
|
|
|
0.00
|
%
|
|
|
Soybean Oil
|
|
|
1.50
|
%
|
|
|
3.62
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18.98
|
%
|
|
|
25.33
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Precious Metals
|
|
Gold
|
|
|
9.72
|
%
|
|
|
10.06
|
%
|
|
|
Silver
|
|
|
3.28
|
%
|
|
|
2.76
|
%
|
|
|
Platinum
|
|
|
0.77
|
%
|
|
|
0.00
|
%
|
|
|
Palladium
|
|
|
0.41
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14.18
|
%
|
|
|
12.82
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Foods and Fibers
|
|
Cotton
|
|
|
2.03
|
%
|
|
|
1.54
|
%
|
|
|
Sugar
|
|
|
3.66
|
%
|
|
|
3.51
|
%
|
|
|
Coffee
|
|
|
2.47
|
%
|
|
|
2.05
|
%
|
|
|
Cocoa
|
|
|
0.61
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8.77
|
%
|
|
|
7.10
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
4.27
|
%
|
|
|
3.77
|
%
|
|
|
Lean Hogs
|
|
|
2.11
|
%
|
|
|
2.47
|
%
|
|
|
Feeder Cattle
|
|
|
0.93
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7.31
|
%
|
|
|
6.24
|
%
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
100.00
|
%
|
|
|
100.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
32
Liquidity and Capital Resources
The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as
part of an integrated program designed to enhance the risk-adjusted total return of the Funds commodity investments. The Funds investment activity in futures contracts and writing commodity call options does 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 U.S. government securities and other 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 Funds futures contracts.
The Funds 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.
The Funds shares trade on the NYSE MKT and shares are not redeemed by the Fund in the
normal course of business (although the Manager may decide to do so at its discretion), 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. On December 21, 2011 the Fund announced the adoption of an open-market share repurchase program, whereby the Fund is authorized to repurchase an aggregate of up to 10% of its
outstanding common shares in open-market transactions. Refer to Part IIItem 2. Unregistered Sales of Equity Securities and Use of Proceeds in this Report for details of repurchase activity during the six months ended June 30,
2012.
The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material
changes to the Funds 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 clearing brokers or 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 Funds commitments to purchase commodities will be limited to the gross or
face amount of the contracts held.
The Funds 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 Funds investments in options on commodity futures and forward contracts. The inherent uncertainty of the Funds investments as well as the development of
drastic market occurrences could ultimately lead to a loss of all or substantially all of investors capital.
33
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 Funds
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 Funds 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.
|
A commodity broker, when acting as the Funds 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. A 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 a commodity broker, when acting as the Funds 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 Funds 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 Funds cash. While these consist of eligible cash equivalents and high-quality short-term debt
securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.
Off-Balance Sheet Arrangements
As of June 30, 2012, 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 Funds exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Funds financial
position.
34
Contractual Obligations
The Funds contractual obligations are with the Manager, the Collateral Sub-advisor, the Commodity Sub-advisor, 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 Funds net assets. The custodian fee is
calculated based on the Funds 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 Funds 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 and assumptions. The Funds 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 Funds financial statements.
|
|
|
|
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.
|
|
|
|
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 Funds net asset value, which may affect the values of the Funds 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) on investment transactions are determined on a specific identification basis and recognized in the Statements of Operations in
the period in which they occur.
|
|
|
|
Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an
accrual basis.
|
35
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 Funds futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of June 30, 2012. 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. As of June 30, 2012, the Fund has not invested in forward contracts.
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
|
|
|
August 2012
|
|
|
|
61
|
|
|
$
|
97.8000
|
|
|
|
1,000
|
|
|
$
|
5,965,800
|
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
47
|
|
|
|
97.8800
|
|
|
|
1,000
|
|
|
|
4,600,360
|
|
|
|
ICE Brent Crude Oil Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
8
|
|
|
|
97.7900
|
|
|
|
1,000
|
|
|
|
782,320
|
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
166
|
|
|
|
84.9600
|
|
|
|
1,000
|
|
|
|
14,103,360
|
|
|
|
NYMEX Crude Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
127
|
|
|
|
85.3700
|
|
|
|
1,000
|
|
|
|
10,841,990
|
|
|
|
Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Gas Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
20
|
|
|
|
843.2500
|
|
|
|
100
|
|
|
|
1,686,500
|
|
|
|
ICE Gas Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
8
|
|
|
|
839.7500
|
|
|
|
100
|
|
|
|
671,800
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
41
|
|
|
|
2.7099
|
|
|
|
42,000
|
|
|
|
4,666,448
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
14
|
|
|
|
2.7116
|
|
|
|
42,000
|
|
|
|
1,594,421
|
|
|
|
NYMEX Heating Oil Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
6
|
|
|
|
2.7210
|
|
|
|
42,000
|
|
|
|
685,692
|
|
|
|
Natural Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
205
|
|
|
|
2.8240
|
|
|
|
10,000
|
|
|
|
5,789,200
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
119
|
|
|
|
2.8330
|
|
|
|
10,000
|
|
|
|
3,371,270
|
|
|
|
NYMEX Natural Gas Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
80
|
|
|
|
3.0910
|
|
|
|
10,000
|
|
|
|
2,472,800
|
|
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
31
|
|
|
|
2.6318
|
|
|
|
42,000
|
|
|
|
3,426,604
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
23
|
|
|
|
2.5575
|
|
|
|
42,000
|
|
|
|
2,470,545
|
|
|
|
NYMEX Gasoline RBOB Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
6
|
|
|
|
2.3647
|
|
|
|
42,000
|
|
|
|
595,904
|
|
36
Futures Contracts (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Group
|
|
Contract
|
|
Contract
Position
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Valuation
Price
|
|
|
Contract
Multiplier
|
|
|
Notional
Amount
at Value
|
|
Industrial Metals
|
|
Aluminum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Primary Aluminum Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
197
|
|
|
$
|
1,895.0000
|
|
|
|
25
|
|
|
$
|
9,332,875
|
|
|
|
Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Copper Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
113
|
|
|
|
3.4965
|
|
|
|
25,000
|
|
|
|
9,877,613
|
|
|
|
LME Copper Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
52
|
|
|
|
7,695.0000
|
|
|
|
25
|
|
|
|
10,003,500
|
|
|
|
Nickel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Nickel Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
32
|
|
|
|
16,712.0000
|
|
|
|
6
|
|
|
|
3,208,704
|
|
|
|
LME Nickel Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
16
|
|
|
|
16,729.0000
|
|
|
|
6
|
|
|
|
1,605,984
|
|
|
|
LME Nickel Futures Contract
|
|
Short
|
|
|
August 2012
|
|
|
|
(16
|
)
|
|
|
16,712.0000
|
|
|
|
6
|
|
|
|
(1,604,352
|
)
|
|
|
Zinc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
29
|
|
|
|
1,881.5000
|
|
|
|
25
|
|
|
|
1,364,088
|
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
30
|
|
|
|
1,882.0000
|
|
|
|
25
|
|
|
|
1,411,500
|
|
|
|
LME Zinc Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
29
|
|
|
|
1,879.5000
|
|
|
|
25
|
|
|
|
1,362,637
|
|
|
|
LME Zinc Futures Contract
|
|
Short
|
|
|
July 2012
|
|
|
|
(29
|
)
|
|
|
1,881.5000
|
|
|
|
25
|
|
|
|
(1,364,088
|
)
|
|
|
Lead
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Lead Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
18
|
|
|
|
1,850.5000
|
|
|
|
25
|
|
|
|
832,725
|
|
|
|
LME Lead Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
35
|
|
|
|
1,855.0000
|
|
|
|
25
|
|
|
|
1,623,125
|
|
|
|
LME Lead Futures Contract
|
|
Short
|
|
|
July 2012
|
|
|
|
(18
|
)
|
|
|
1,850.5000
|
|
|
|
25
|
|
|
|
(832,725
|
)
|
|
|
|
|
|
|
|
|
Agriculturals
|
|
Corn
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Corn Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
337
|
|
|
|
6.2850
|
|
|
|
5,000
|
|
|
|
10,590,225
|
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Contract
|
|
Long
|
|
|
November 2012
|
|
|
|
175
|
|
|
|
14.2775
|
|
|
|
5,000
|
|
|
|
12,492,812
|
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
113
|
|
|
|
7.5725
|
|
|
|
5,000
|
|
|
|
4,278,462
|
|
|
|
KCBT Wheat Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
110
|
|
|
|
7.5600
|
|
|
|
5,000
|
|
|
|
4,158,000
|
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
8
|
|
|
|
429.5000
|
|
|
|
100
|
|
|
|
343,600
|
|
|
|
CBOT Soybean Meal Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
67
|
|
|
|
413.1000
|
|
|
|
100
|
|
|
|
2,767,770
|
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
93
|
|
|
|
0.5308
|
|
|
|
60,000
|
|
|
|
2,961,864
|
|
|
|
|
|
|
|
|
|
Precious Metals
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
120
|
|
|
|
1,604.2000
|
|
|
|
100
|
|
|
|
19,250,400
|
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
47
|
|
|
|
27.6120
|
|
|
|
5,000
|
|
|
|
6,488,820
|
|
|
|
Platinum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Platinum Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
21
|
|
|
|
1,452.4000
|
|
|
|
50
|
|
|
|
1,525,020
|
|
|
|
Palladium
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Palladium Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
14
|
|
|
|
584.5500
|
|
|
|
100
|
|
|
|
818,370
|
|
|
|
|
|
|
|
|
|
Foods and Fibers
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Contract
|
|
Long
|
|
|
December 2012
|
|
|
|
113
|
|
|
|
0.7133
|
|
|
|
50,000
|
|
|
|
4,030,145
|
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
308
|
|
|
|
0.2101
|
|
|
|
112,000
|
|
|
|
7,247,610
|
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
55
|
|
|
|
1.7070
|
|
|
|
37,500
|
|
|
|
3,520,688
|
|
|
|
LIFFE Coffee Robusta Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
64
|
|
|
|
2,134.0000
|
|
|
|
10
|
|
|
|
1,365,760
|
|
|
|
Cocoa
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cocoa Futures Contract
|
|
Long
|
|
|
September 2012
|
|
|
|
53
|
|
|
|
2,291.0000
|
|
|
|
10
|
|
|
|
1,214,230
|
|
37
Futures Contracts (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Group
|
|
Contract
|
|
Contract
Position
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Valuation
Price
|
|
|
Contract
Multiplier
|
|
|
Notional
Amount
at Value
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
159
|
|
|
$
|
1.2045
|
|
|
|
40,000
|
|
|
$
|
7,660,620
|
|
|
|
CME Live Cattle Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
16
|
|
|
|
1.2440
|
|
|
|
40,000
|
|
|
|
796,160
|
|
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
July 2012
|
|
|
|
55
|
|
|
|
0.9663
|
|
|
|
40,000
|
|
|
|
2,125,750
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
50
|
|
|
|
0.9478
|
|
|
|
40,000
|
|
|
|
1,895,500
|
|
|
|
CME Lean Hog Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
5
|
|
|
|
0.8295
|
|
|
|
40,000
|
|
|
|
165,900
|
|
|
|
Feeder Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Feeder Cattle Futures Contract
|
|
Long
|
|
|
August 2012
|
|
|
|
14
|
|
|
|
1.5145
|
|
|
|
50,000
|
|
|
|
1,060,150
|
|
|
|
CME Feeder Cattle Futures Contract
|
|
Long
|
|
|
October 2012
|
|
|
|
10
|
|
|
|
1.5623
|
|
|
|
50,000
|
|
|
|
781,125
|
|
38
Commodity Call Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Group
|
|
Contract
|
|
Contract
Expiration
|
|
|
Number
of
Contracts
|
|
|
Strike
Price
|
|
|
Value
|
|
Energy
|
|
Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Brent Crude Oil Futures Options
|
|
|
August 2012
|
|
|
|
(58
|
)
|
|
$
|
108.5
|
|
|
$
|
(5,220
|
)
|
|
|
NYMEX Crude Oil Futures Options
|
|
|
July 2012
|
|
|
|
(147
|
)
|
|
|
91.0
|
|
|
|
(64,680
|
)
|
|
|
Heating Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Heating Oil Futures Options
|
|
|
July 2012
|
|
|
|
(41
|
)
|
|
|
2.9
|
|
|
|
(27,724
|
)
|
|
|
Natural Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Natural Gas Futures Options
|
|
|
July 2012
|
|
|
|
(202
|
)
|
|
|
2,950.0
|
|
|
|
(248,460
|
)
|
|
|
Unleaded Gas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NYMEX Gasoline RBOB Futures Options
|
|
|
July 2012
|
|
|
|
(30
|
)
|
|
|
28,500.0
|
|
|
|
(14,994
|
)
|
|
|
|
|
|
|
Industrial Metals
|
|
Aluminum
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Primary Aluminum Futures Options
|
|
|
August 2012
|
|
|
|
(98
|
)
|
|
|
2,100.0
|
|
|
|
(3,920
|
)
|
|
|
Copper
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Copper Futures Options
|
|
|
August 2012
|
|
|
|
(52
|
)
|
|
|
8,025.0
|
|
|
|
(119,730
|
)
|
|
|
Nickel
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Nickel Futures Options
|
|
|
August 2012
|
|
|
|
(16
|
)
|
|
|
17,900.0
|
|
|
|
(16,825
|
)
|
|
|
Zinc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Zinc Futures Options
|
|
|
August 2012
|
|
|
|
(29
|
)
|
|
|
2,050.0
|
|
|
|
(7,852
|
)
|
|
|
Lead
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LME Lead Futures Options
|
|
|
August 2012
|
|
|
|
(18
|
)
|
|
|
2,075.0
|
|
|
|
(3,789
|
)
|
|
|
|
|
|
|
Agriculturals
|
|
Corn
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Corn Futures Options
|
|
|
August 2012
|
|
|
|
(169
|
)
|
|
|
565.0
|
|
|
|
(648,538
|
)
|
|
|
Soybean
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Futures Options
|
|
|
October 2012
|
|
|
|
(87
|
)
|
|
|
1,520.0
|
|
|
|
(245,231
|
)
|
|
|
Wheat
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Wheat Futures Options
|
|
|
August 2012
|
|
|
|
(56
|
)
|
|
|
725.0
|
|
|
|
(165,200
|
)
|
|
|
KCBT Wheat Futures Options
|
|
|
August 2012
|
|
|
|
(55
|
)
|
|
|
760.0
|
|
|
|
(103,125
|
)
|
|
|
Soybean Meal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Meal Futures Options
|
|
|
November 2012
|
|
|
|
(38
|
)
|
|
|
450.0
|
|
|
|
(63,650
|
)
|
|
|
Soybean Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CBOT Soybean Oil Futures Options
|
|
|
November 2012
|
|
|
|
(47
|
)
|
|
|
545.0
|
|
|
|
(65,565
|
)
|
|
|
|
|
|
|
Precious Metals
|
|
Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Gold Futures Options
|
|
|
July 2012
|
|
|
|
(60
|
)
|
|
|
1,740.0
|
|
|
|
(12,000
|
)
|
|
|
Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CEC Silver Futures Options
|
|
|
August 2012
|
|
|
|
(24
|
)
|
|
|
3,125.0
|
|
|
|
(41,040
|
)
|
|
|
|
|
|
|
Foods and Fibers
|
|
Cotton
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cotton Futures Options
|
|
|
November 2012
|
|
|
|
(31
|
)
|
|
|
740.0
|
|
|
|
(63,395
|
)
|
|
|
ICE Cotton Futures Options
|
|
|
November 2012
|
|
|
|
(26
|
)
|
|
|
780.0
|
|
|
|
(35,750
|
)
|
|
|
Sugar
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Sugar Futures Options
|
|
|
September 2012
|
|
|
|
(154
|
)
|
|
|
212.5
|
|
|
|
(179,379
|
)
|
|
|
Coffee
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Coffee C Futures Options
|
|
|
August 2012
|
|
|
|
(38
|
)
|
|
|
172.5
|
|
|
|
(102,885
|
)
|
|
|
Cocoa
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ICE Cocoa Futures Options
|
|
|
August 2012
|
|
|
|
(26
|
)
|
|
|
2,550.0
|
|
|
|
(6,500
|
)
|
|
|
|
|
|
|
Livestock
|
|
Live Cattle
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Live Cattle Futures Options
|
|
|
August 2012
|
|
|
|
(107
|
)
|
|
|
128.0
|
|
|
|
(9,630
|
)
|
|
|
Lean Hogs
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CME Lean Hogs Futures Options
|
|
|
July 2012
|
|
|
|
(54
|
)
|
|
|
93.0
|
|
|
|
(82,080
|
)
|
|
|
CME Lean Hogs Futures Options
|
|
|
July 2012
|
|
|
|
(1
|
)
|
|
|
100.0
|
|
|
|
(70
|
)
|
39
|
|
|
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
|
The Fund also invests the assets held as collateral for its investments in commodity futures and forward
contracts in cash equivalents and short-term, high-quality 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 June 30, 2012, the Fund held agency notes, agency discount notes, and U.S. Treasury bills worth $149,832,352 with a total par value of $149,860,000, and repurchase agreements worth $13,600,973.
Qualitative Disclosure
The Funds 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 Part IItem 1A. Risk Factors in the Funds annual report on Form 10-K for the year ended December 31, 2011, 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 Funds risk-adjusted total returns. 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 Funds options strategy will be
successful. The Funds risk-adjusted returns over any particular period may be positive or negative. 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 Funds primary non-trading risk exposure is interest rate risk as it relates to its collateral investments in short-term, high-quality 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 Funds 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 Funds 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 Funds internal control over financial reporting (as defined in 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 Funds internal control over financial reporting.
40
PART II. OTHER INFORMATION
Item 1.
|
Legal Proceedings
|
None.
The Fund is
subject to various risks that could negatively affect the Fund as described in the Funds annual report on Form 10-K and the Funds quarterly reports on Form 10-Q. The following statements represent changes and/or additions to the
risks previously disclosed in the Funds annual report and quarterly reports:
Recent Market Conditions
. The
financial crisis in the U.S. and global economies over the past several years, including the European sovereign debt crisis, has resulted, and may continue to result, in an unusually high degree of volatility in the financial markets, both domestic
and foreign. Liquidity in some markets has decreased and credit has become scarcer worldwide. Recent regulatory changes, including the Dodd-Frank Act and the introduction of new international capital and liquidity requirements under Basel III, may
cause lending activity within the financial services sector to be constrained for several years as Basel III rules phase in and rules and regulations are promulgated and interpreted under the Dodd-Frank Act. These market conditions may continue or
deteriorate further and may add significantly to the risk of short-term volatility in the Fund. In response to the crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial
markets. Withdrawal of this support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities and futures contracts. Because these
events are widespread and largely unprecedented, it may be unusually difficult for the Fund to identify both risks and opportunities using past models of the interplay of market forces, or to predict the duration of these market conditions. The
severity or duration of these conditions may also be affected by policy changes made by governments or quasi-governmental organizations. Changes in market conditions will not have the same impact on all types of securities and futures contracts.
In addition, since 2010, the risks of investing in certain foreign government debt have increased dramatically as a result of
the ongoing European debt crisis, which began in Greece and has spread throughout various other European countries. These debt crises and the ongoing efforts of governments around the world to address these debt crises have also resulted in
increased volatility and uncertainty in the global financial markets and it is impossible to predict the effects of these or similar events in the future on the Fund, though it is possible that these or similar events could have a significant
adverse impact on the value and risk of investments held by the Fund.
In the United States, on August 5, 2011,
Standard & Poors Financial Services, LLC, a subsidiary of The McGraw-Hill Companies, Inc. (S&P), lowered its long-term sovereign credit rating on the U.S. federal government debt to AA+ from
AAA. The downgrade by S&P has increased volatility in financial markets, and could result in higher interest rates and higher Treasury yields and increase the costs of capital and financing. In addition, global economies and
financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region.
Possible constructive termination
. The Fund will be considered to have terminated for tax purposes if there is a sale or
exchange of 50% or more of the total Fund shares within a 12-month period. A constructive termination results in the closing of the Funds taxable year for the Fund for all holders of shares. Among other things, constructive termination could
result in the imposition of substantial penalties on the Fund if the Fund were unable to determine that the termination had occurred.
41
Item 2.
|
Unregistered Sales of Equity Securities and Use of Proceeds
|
a) None.
b) The Fund did not issue new shares within the six month period ended
on June 30, 2012.
c) On December 21, 2011 the Fund announced the adoption of an open-market share repurchase
program whereby the Fund is authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions. Share repurchases during the fiscal year to date period ended June 30,
2012 were as set forth in the following table:
|
|
|
|
|
|
|
|
|
|
|
|
|
Period
|
|
Total Number of
Shares Repurchased
|
|
|
Weighted Average
Price per Share Repurchased
|
|
|
Maximum Number of Shares
that May Yet Be Repurchased
|
|
1/1/12 to 1/31/12
|
|
|
9,800
|
|
|
$
|
20.77
|
|
|
|
Approximately 872,200
|
|
2/1/12 to 2/29/12
|
|
|
|
|
|
$
|
|
|
|
|
Approximately 872,200
|
|
3/1/12 to 3/31/12
|
|
|
|
|
|
$
|
|
|
|
|
Approximately 872,200
|
|
4/1/12 to 4/30/12
|
|
|
|
|
|
$
|
|
|
|
|
Approximately 872,200
|
|
5/1/12 to 5/31/12
|
|
|
|
|
|
$
|
|
|
|
|
Approximately 872,200
|
|
6/1/12 to 6/30/12
|
|
|
|
|
|
$
|
|
|
|
|
Approximately 872,200
|
|
A total of 47,800 shares have been repurchased through the repurchase program described above. No shares
have been repurchased outside of the program described.
Item 3.
|
Defaults Upon Senior Securities
|
None.
Item 4.
|
Mine Safety Disclosures
|
Not applicable.
Item 5.
|
Other Information
|
As
described in the Funds Form 8-K filed with the SEC on June 19, 2012, the Fund experienced a constructive termination under federal tax law during the calendar year 2011. The Fund recently received relief from the Internal Revenue Service
in the form of an extraordinary extension with respect to the constructive termination issue, which will permit the Fund to file its federal tax returns on September 17, 2012 and avoid any late filing penalties.
|
|
|
|
|
4.1
|
|
Second 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.
|
1
|
Filed on March 30, 2012 as an exhibit to Registrants Form 8-K dated March 30, 2012 and incorporated by reference herein.
|
42
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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, in the City of Chicago, State of Illinois, on August 8, 2012.
|
|
|
Nuveen Diversified Commodity Fund
|
|
|
By:
|
|
Nuveen Commodities Asset
Management, LLC, its Manager
|
|
|
By:
|
|
/s/ William Adams IV
|
President
(Principal Executive Officer)
|
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed
below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
Nuveen Commodities Asset
Management, LLC
Manager of Registrant
|
/s/ William Adams IV
|
President
(Principal Executive
Officer) August 8, 2012
|
|
/s/ Stephen D. Foy
|
Chief Financial Officer
|
(Principal Financial and Accounting Officer) August 8, 2012
43
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