Nuveen Diversified Commodity Fund - FORM 10-Q

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2014

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

For the transition period from to

Commission File Number 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)


Delaware		27-2048014
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

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

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

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


Large accelerated filer	¨		Accelerated filer	x

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

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

As of August 5, 2014, the registrant had 9,206,940 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS


		Page No.
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Schedule of Investments at June 30, 2014 (Unaudited)		3

	Statements of Financial Condition at June 30, 2014 (Unaudited) and December 31, 2013		9

	Statements of Operations (Unaudited) for the three months ended June 30, 2014 and June 30, 2013 and for the six months ended June 30, 2014 and June 30, 2013		10

	Statements of Changes in Shareholders’ Capital for the six months ended June 30, 2014 (Unaudited) and the year ended December 31, 2013		11

	Statements of Cash Flows (Unaudited) for the six months ended June 30, 2014 and June 30, 2013		12

	Notes to Financial Statements (Unaudited)		13

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		26

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		41

Item 4.	Controls and Procedures		44

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		45

Item 1A.	Risk Factors		45

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		45

Item 3.	Defaults Upon Senior Securities		45

Item 4.	Mine Safety Disclosures		45

Item 5.	Other Information		45

Item 6.	Exhibits		46

Signatures			47

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2014

Investments


Principal Amount (000)	Description	Coupon		Maturity	Ratings⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 17,000	U.S. Treasury Bills	0.000	%	7/24/14	Aaa	$	16,999,813
12,000	U.S. Treasury Bills	0.000	%	8/21/14	Aaa		11,999,616
8,000	U.S. Treasury Bills	0.000	%	9/18/14	Aaa		7,999,648
8,500	U.S. Treasury Bills	0.000	%	10/16/14	Aaa		8,498,929
9,500	U.S. Treasury Bills	0.000	%	11/13/14	Aaa		9,498,214
9,500	U.S. Treasury Bills	0.000	%	12/11/14	Aaa		9,497,853
5,000	U.S. Treasury Bills	0.000	%	1/08/15	Aaa		4,998,875
6,000	U.S. Treasury Bills	0.000	%	2/05/15	Aaa		5,998,086
10,000	U.S. Treasury Bills	0.000	%	3/05/15	Aaa		9,996,050
15,000	U.S. Treasury Bills	0.000	%	4/02/15	Aaa		14,993,130
18,000	U.S. Treasury Bills	0.000	%	4/30/15	Aaa		17,989,776
18,700	U.S. Treasury Bills	0.000	%	5/28/15	Aaa		18,684,105

$ 137,200	Total U.S. Government and Agency Obligations (cost $137,129,518)					$	137,154,095

	Repurchase Agreements
$ 6,530	Repurchase Agreement with State Street Bank, dated 6/30/14, repurchase price $6,530,115, collateralized by $6,595,000 U.S. Treasury Notes, 1.500%, due 8/31/18, value $6,660,950	0.000	%	7/01/14	N/A	$	6,530,115

	Total Repurchase Agreements (cost $6,530,115)						6,530,115

	Total Short-Term Investments (cost $143,659,633)					$	143,684,210

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		August 2014		79	$	8,876,440	$	406,790
	ICE Brent Crude Oil Futures Contract		Long		September 2014		72		8,069,040		346,690
	NYMEX Crude Oil Futures Contract		Long		August 2014		87		9,167,190		(43,500	)
	NYMEX Crude Oil Futures Contract		Long		September 2014		72		7,540,560		162,980

	Total Crude Oil										872,960

	Heating Oil
	ICE Gas Oil Futures Contract		Long		August 2014		23		2,113,125		(35,075	)
	NYMEX NY Harbor ULSD Futures Contract		Long		August 2014		35		4,373,691		33,000
	NYMEX NY Harbor ULSD Futures Contract		Long		September 2014		17		2,131,647		2,482

	Total Heating Oil										407

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾			Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)
Energy	Natural Gas
(continued)	NYMEX Natural Gas Futures Contract		Long		August 2014		145		$	6,468,450		$	(82,650	)
	NYMEX Natural Gas Futures Contract		Long		September 2014		108			4,795,200			(49,741	)
	NYMEX Natural Gas Futures Contract		Long		November 2014		20			892,800			2,204

	Total Natural Gas												(130,187	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		August 2014		23			2,939,828			(19,047	)
	NYMEX Gasoline RBOB Futures Contract		Long		September 2014		17			2,145,927			40,635
	NYMEX Gasoline RBOB Futures Contract		Long		November 2014		5			585,837			(3,738	)

	Total Unleaded Gas												17,850

	Total Energy												761,030

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract		Long		July 2014		165			7,687,969			150,244
	LME Primary Aluminum Futures Contract		Long		September 2014		1			47,269			—

	Total Aluminum												150,244

	Copper
	CEC Copper Futures Contract		Long		September 2014		46			3,684,025			162,725
	LME Copper Futures Contract		Long		July 2014		64			11,257,600			467,175
	LME Copper Futures Contract		Long		September 2014		21			3,687,600			74,550
	LME Copper Futures Contract		Short		July 2014		(21	)		(3,693,900	)		(74,550	)
	LME Copper Futures Contract		Short		September 2014		(1	)		(175,600	)		—

	Total Copper												629,900

	Nickel
	LME Nickel Futures Contract		Long		July 2014		32			3,644,928			41,232
	LME Nickel Futures Contract		Long		September 2014		16			1,827,552			37,920
	LME Nickel Futures Contract		Short		July 2014		(16	)		(1,822,464	)		(37,824	)

	Total Nickel												41,328

	Zinc
	LME Zinc Futures Contract		Long		July 2014		45			2,488,781			152,156
	LME Zinc Futures Contract		Long		September 2014		22			1,221,000			17,875
	LME Zinc Futures Contract		Short		July 2014		(22	)		(1,216,738	)		(18,838	)

	Total Zinc												151,193

	Lead
	LME Lead Futures Contract		Long		July 2014		29			1,559,113			30,850

	Total Industrial Metals												1,003,515

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)
Agriculturals	Corn
	CBOT Corn Futures Contract		Long		September 2014		337	$	7,055,938	$	(624,800	)

	Soybean
	CBOT Soybean Futures Contract		Long		November 2014		159		9,200,137		(428,484	)

	Wheat
	CBOT Wheat Futures Contract		Long		September 2014		118		3,407,250		(137,175	)
	KCBT Wheat Futures Contract		Long		September 2014		96		3,361,200		(82,037	)

	Total Wheat										(219,212	)

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2014		115		4,225,100		(265,340	)

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2014		99		2,325,510		12,006

	Total Agriculturals										(1,525,830	)

Precious Metals	Gold
	CEC Gold Futures Contract		Long		August 2014		130		17,186,000		737,100

	Silver
	CEC Silver Futures Contract		Long		September 2014		47		4,948,160		(23,500	)

	Platinum
	NYMEX Platinum Futures Contract		Long		October 2014		18		1,334,610		11,535

	Palladium
	NYMEX Palladium Futures Contract		Long		September 2014		9		758,835		19,055

	Total Precious Metals										744,190

Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		December 2014		53		1,948,015		(105,295	)

	Sugar
	ICE Sugar Futures Contract		Long		October 2014		171		3,449,275		37,463

	Coffee
	ICE Coffee C Futures Contract		Long		September 2014		24		1,575,900		(12,150	)
	LIFFE Coffee Robusta Futures Contract		Long		September 2014		65		1,310,400		15,310

	Total Coffee										3,160

	Cocoa
	ICE Cocoa Futures Contract		Long		September 2014		29		906,830		12,450

	Total Foods and Fibers										(52,222	)

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		August 2014		134		8,044,020		440,162
	CME Live Cattle Futures Contract		Long		October 2014		24		1,470,000		46,982

	Total Live Cattle										487,144

	Lean Hogs
	CME Lean Hog Futures Contract		Long		July 2014		40		2,122,400		181,851
	CME Lean Hog Futures Contract		Long		August 2014		27		1,434,510		30,902
	CME Lean Hog Futures Contract		Long		October 2014		10		455,600		23,166

	Total Lean Hogs										235,919

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity
Group

Contract

Contract
Position⁽²⁾

Contract
Expiration

Number
of
Contracts⁽³⁾

Notional
Amount
at Value⁽³⁾

Unrealized
Appreciation
(Depreciation)

Livestock

Feeder Cattle

(continued)

CME Feeder Cattle Futures Contract

Long

August 2014

1,914,975

227,576

CME Feeder Cattle Futures Contract

Long

September 2014

535,000

23,212

Total Feeder Cattle

250,788

Total Livestock

973,851

Total Futures Contracts outstanding

2,812

169,266,535

1,904,534

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 2014		(76	)	$	115.0	$	(27,360	)
	NYMEX Crude Oil Futures Options		July 2014		(80	)		111.0		(8,800	)

	Total Crude Oil									(36,160	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2014		(35	)		3.2		(7,350	)

	Natural Gas
	NYMEX Natural Gas Futures Options		July 2014		(137	)		4,850.0		(42,470	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2014		(23	)		32,400.0		(6,086	)

	Total Energy									(92,066	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options ⁽⁴⁾		July 2014		(83	)		1,900.0		(1,618	)

	Copper
	LME Copper Futures Options⁽⁴⁾		July 2014		(43	)		7,200.0		(333	)

	Nickel
	LME Nickel Futures Options⁽⁴⁾		July 2014		(16	)		21,500.0		—

	Zinc
	LME Zinc Futures Options ⁽⁴⁾		July 2014		(23	)		2,150.0		(35,840	)

	Lead
	LME Lead Futures Options⁽⁴⁾		July 2014		(14	)		2,200.0		(151	)

	Total Industrial Metals									(37,942	)

Agriculturals	Corn
	CBOT Corn Futures Options		August 2014		(168	)		480.0		(26,250	)

	Soybean
	CBOT Soybean Futures Options		October 2014		(79	)		1,400.0		(15,800	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculturals	Wheat
(continued)	CBOT Wheat Futures Options		August 2014		(59	)	$	650.0	$	(7,744	)
	CBOT Wheat Futures Options		August 2014		(48	)		780.0		(10,200	)

	Total Wheat									(17,944	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(57	)		460.0		(13,395	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(50	)		430.0		(16,500	)

	Total Agriculturals									(89,889	)

Precious Metals	Gold
	CEC Gold Futures Options		July 2014		(65	)		1,345.0		(58,500	)

	Silver
	CEC Silver Futures Options		August 2014		(24	)		2,350.0		(16,200	)

	Total Precious Metals									(74,700	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2014		(26	)		86.0		(5,720	)

	Sugar
	ICE Sugar Futures Options		September 2014		(86	)		19.0		(33,712	)

	Coffee
	ICE Coffee C Futures Options		August 2014		(22	)		195.0		(35,145	)

	Cocoa
	ICE Cocoa Futures Options		August 2014		(15	)		3,300.0		(3,450	)

	Total Foods and Fibers									(78,027	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2014		(100	)		148.0		(148,000	)

	Lean Hogs
	CME Lean Hogs Futures Options		July 2014		(38	)		130.0		(52,060	)

	Total Livestock									(200,060	)

	Total Call Options Written outstanding (premiums received $610,271)				(1,367	)			$	(572,684	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors 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⁾		Total number of contracts and notional amount at value include the net effect of LME short futures positions.
⁽⁴⁾		For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Note 2 – Summary 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
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At June 30, 2014 (Unaudited) and December 31, 2013


	June 30, 2014			December 31, 2013
ASSETS
Short-term investments, at value (cost $143,659,633 and $141,217,188, respectively)	$	143,684,210		$	141,238,384
Deposits with brokers		26,096,551			25,753,763
Unrealized appreciation on futures contracts		3,948,278			3,905,844
Other assets		7,560			—

Total assets	$	173,736,599		$	170,897,991


LIABILITIES
Call options written, at value (premiums received $610,271 and $777,236, respectively)		572,684			1,029,767
Unrealized depreciation on futures contracts		2,043,744			2,026,830
Payable for:
Distributions		1,196,902			—
Shares repurchased		—			151,538
Accrued expenses:
Management fees		174,647			178,826
Independent Committee fees		13,740			12,935
Other		350,543			351,411

Total liabilities		4,352,260			3,751,307


SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,206,940 shares issued and outstanding at June 30, 2014 and December 31, 2013		219,648,412			219,648,412
Accumulated undistributed earnings (deficit)		(50,264,073	)		(52,501,728	)

Total shareholders’ capital (Net assets)		169,384,339			167,146,684

Total liabilities and shareholders’ capital	$	173,736,599		$	170,897,991


Net assets	$	169,384,339		$	167,146,684

Shares outstanding		9,206,940			9,206,940

Net asset value per share outstanding (net assets divided by shares outstanding)	$	18.40		$	18.15

Market value per share outstanding	$	16.26		$	15.17

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended June 30, 2014 and June 30, 2013

and the Six Months Ended June 30, 2014 and June 30, 2013


	Three Months Ended June 30,						Six Months Ended June 30,
	2014			2013			2014			2013
Investment Income:
Interest	$	38,311		$	56,393		$	75,603		$	117,053

Total Investment Income		38,311			56,393			75,603			117,053

Expenses:
Management fees		533,926			562,438			1,055,176			1,166,839
Brokerage commissions		34,823			38,390			64,872			74,011
Custodian fees and expenses		27,874			29,206			51,169			55,934
Independent Committee fees and expenses		14,545			13,476			27,593			27,124
Professional fees		128,402			134,985			252,841			238,337
Shareholder reporting expenses		43,067			34,509			75,873			50,970
Other expenses		3,411			6,834			9,663			16,896

Total expenses		786,048			819,838			1,537,187			1,630,111

Net investment income (loss)		(747,737	)		(763,445	)		(1,461,584	)		(1,513,058	)

Net realized gain (loss) from:
Short-term investments		—			984			17			1,279
Futures contracts		2,548,278			(10,843,456	)		8,490,783			(15,192,263	)
Call options written		1,069,107			1,129,161			2,070,832			2,450,012
Change in net unrealized appreciation (depreciation) of:
Short-term investments		5,724			(19,918	)		3,381			(17,913	)
Futures contracts		(1,718,480	)		(4,974,150	)		25,520			(4,243,299	)
Call options written		983,234			198,405			290,118			62,718

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		2,887,863			(14,508,974	)		10,880,651			(16,939,466	)

Net income (loss)	$	2,140,126		$	(15,272,419	)	$	9,419,067			$(18,452,524)


Net income (loss) per weighted-average share	$	0.23		$	(1.66	)	$	1.02		$	(2.00	)
Weighted-average shares outstanding		9,206,940			9,219,240			9,206,940			9,219,240

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Six Months Ended June 30, 2014 (Unaudited) and the Year Ended December 31, 2013


	Six Months Ended June 30, 2014			Year Ended December 31, 2013
Shareholders’ capital—beginning of period	$	167,146,684		$	197,141,908
Repurchase of shares		—			(186,659	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,461,584	)		(3,055,568	)
Net realized gain (loss) from:
Short-term investments		17			3,618
Futures contracts		8,490,783			(21,217,789	)
Call options written		2,070,832			4,711,122
Change in net unrealized appreciation (depreciation) of:
Short-term investments		3,381			(9,983	)
Futures contracts		25,520			5,662,047
Call options written		290,118			(690,565	)

Net income (loss)		9,419,067			(14,597,118	)

Distributions to shareholders		(7,181,412	)		(15,211,447	)

Shareholders’ capital—end of period	$	169,384,339		$	167,146,684

Shares—beginning of period		9,206,940			9,219,240
Repurchase of shares		—			(12,300	)

Shares—end of period		9,206,940			9,206,940

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Six Months Ended June 30, 2014 and June 30, 2013


	Six Months Ended June 30,
	2014			2013
Cash flows from operating activities:
Net income (loss)	$	9,419,067		$	(18,452,524	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(95,611,987	)		(76,630,987	)
Proceeds from sales and maturities of U.S. government and agency obligations		98,199,997			110,995,611
Proceeds from (Purchases of) repurchase agreements, net		(4,954,835	)		(32,605,116	)
Premiums received for call options written		2,640,982			2,761,100
Cash paid for call options written		(737,115	)		(445,977	)
Amortization (Accretion)		(75,603	)		(116,967	)
(Increase) Decrease in:
Deposits with brokers		(342,788	)		2,520,402
Receivable for interest		—			(17	)
Other assets		(7,560	)		(1,016	)
Increase (Decrease) in:
Payable for investments purchased		—			16,983,276
Accrued management fees		(4,179	)		(28,788	)
Accrued Independent Committee fees		805			(6,911	)
Other accrued expenses		(868	)		(35,339	)
Net realized (gain) loss from:
Short-term investments		(17	)		(1,279	)
Call options written		(2,070,832	)		(2,450,012	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(3,381	)		17,913
Futures contracts		(25,520	)		4,243,299
Call options written		(290,118	)		(62,718	)

Net cash provided by (used in) operating activities		6,136,048			6,683,950

Cash flows from financing activities:
Cash paid for shares repurchased		(151,538	)		—
Cash distributions paid to shareholders		(5,984,510	)		(6,683,950	)

Net cash provided by (used in) financing activities		(6,136,048	)		(6,683,950	)

Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

June 30, 2014

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 Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen Investments”), is a Delaware limited liability company registered as a commodity pool operator 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 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT 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, and is not subject to regulation thereunder.

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser 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.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other 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.

Agreement and Plan of Merger

On April 14, 2014, TIAA-CREF, a national financial services organization, announced that it had entered into an agreement (the “Purchase Agreement”) to acquire Nuveen Investments, the parent company of the Manager, the Commodity Sub-adviser and the Collateral Sub-adviser. The transaction is expected to be completed by the end of the year, subject to customary closing conditions, including obtaining necessary consents sufficient to satisfy the terms of the Purchase Agreement and obtaining customary regulatory approvals. There can be no assurance that the transaction described above will be consummated as contemplated or that necessary conditions will be satisfied.

The transaction is not expected to result in any change in the management of the Fund or in the Fund’s investment objectives or policies.

The Fund’s 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 portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three principal elements:

•

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

1. Organization (Continued)

•

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

•

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

2. Summary of Significant Accounting Policies

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

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2013.

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 execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both 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” 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, the Fund records a realized gain or loss

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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.

The average number of futures contracts outstanding during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Six Months Ended June 30, 2014		Year Ended December 31, 2013
Average number of futures contracts outstanding*		2,834		3,076

*	The average number of contracts is calculated based on the number of contracts outstanding at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the six months ended June 30, 2014 and the fiscal year ended December 31, 2013, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013. 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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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.

Transactions in call options written during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 were as follows:


	Six Months Ended June 30, 2014						Year Ended December 31, 2013
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,377		$	777,236			1,537		$	974,047
Options written		4,836			2,640,982			10,128			5,116,574
Options terminated in closing purchase transactions		(2,017	)		(1,032,883	)		(5,455	)		(2,788,807	)
Options expired		(1,850	)		(1,233,505	)		(3,897	)		(2,058,351	)
Options exercised		(979	)		(541,559	)		(936	)		(466,227	)

Outstanding, end of the period		1,367		$	610,271			1,377		$	777,236

The average number of call options written outstanding during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Six Months Ended June 30, 2014		Year Ended December 31, 2013
Average number of call options written outstanding*		1,370		1,452

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013. 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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of June 30, 2014 and December 31, 2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of June 30, 2014 and December 31, 2013, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements.


	June 30, 2014
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	6,530,115	$	(6,530,115	)	$	—


	December 31, 2013
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,575,280	$	(1,575,280	)	$	—

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

*	As of June 30, 2014 and December 31, 2013, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Schedule of Investments for details on the repurchase agreements.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures 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 investments 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 investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments 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 agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

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

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The 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 management’s assumptions in determining the fair value of investments).

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 Fund’s fair value measurements as of June 30, 2014 and December 31, 2013:



	June 30, 2014
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	137,154,095		$	—	$	137,154,095
Repurchase Agreements		—			6,530,115			—		6,530,115
Investments in Derivatives:
Futures Contracts*		1,904,534			—			—		1,904,534
Call Options Written**		(534,742	)		(37,942	)		—		(572,684	)

Total	$	1,369,792		$	143,646,268		$	—	$	145,016,060


	December 31, 2013
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	139,663,104		$	—	$	139,663,104
Repurchase Agreements		—			1,575,280			—		1,575,280
Investments in Derivatives:
Futures Contracts		1,879,014			—			—		1,879,014
Call Options Written		(779,835	)		(249,932	)		—		(1,029,767	)

Total	$	1,099,179		$	140,988,452		$	—	$	142,087,631

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

**	Refer to the Schedule of Investments for a breakdown of call options written classified as Level 2, which is comprised of the Fund’s call options written on the LME.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

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 discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays 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 its commodity trading activities.

Income Taxes

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

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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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.

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. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

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

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s 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 Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes 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, 2014 and December 31, 2013, the financial instruments held by the Fund were 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. Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the forwards, futures and option contracts. 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 commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

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.

The following tables present the fair value of all derivative instruments held by the Fund as of June 30, 2014 and December 31, 2013, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

June 30, 2014

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

3,948,278

Unrealized depreciation on futures contracts

2,043,744

Commodity

Options

—

Call options written, at value

572,684

Total

3,948,278

2,616,428

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

3. Derivative Instruments and Hedging Activities (Continued)

December 31, 2013

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

3,905,844

Unrealized depreciation on futures contracts

2,026,830

Commodity

Options

—

Call options written, at value

1,029,767

Total

3,905,844

3,056,597

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the six months ended June 30, 2014 and June 30, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.



Commodity Risk Exposure	Six Months Ended June 30, 2014		Six Months Ended June 30, 2013
Net realized gain (loss) from:
Futures contracts	$	8,490,783	$	(15,192,263	)
Call options written		2,070,832		2,450,012
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	25,520	$	(4,243,299	)
Call options written		290,118		62,718

4. Related Parties

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund.

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


Average Daily Net Assets	Management Fee
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” represents 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-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

5. Share Repurchase Program (Continued)

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

Transactions in share repurchases during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013, were as follows:


	Six Months Ended June 30, 2014		Year Ended December 31, 2013
Shares repurchased		—		12,300

Weighted average price per share repurchased		—	$	15.16

Weighted average discount per share repurchased		—		17.10	%

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, 2014 and the three and six months ended June 30, 2013. 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 investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Three Months Ended						Six Months Ended
	June 30, 2014			June 30, 2013			June 30, 2014			June 30, 2013
Net Asset Value:
Net asset value per share—beginning of period	$	18.56		$	20.60		$	18.15		$	21.38
Net investment income (loss)		(.08	)		(.08	)		(.16	)		(.16	)
Net realized and unrealized gain (loss)		.31			(1.57	)		1.19			(1.84	)
Distributions		(.39	)		(.44	)		(.78	)		(.87	)

Net asset value per share—end of period	$	18.40		$	18.51		$	18.40		$	18.51

Market Value:
Market value per share—beginning of period	$	15.88		$	20.75		$	15.17		$	19.97

Market value per share—end of period	$	16.26		$	17.07		$	16.26		$	17.07

Ratios to Average Net Assets:^(a)
Net investment income (loss)		(1.75	)%		(1.70	)%		(1.73	)%		(1.62	)%

Expenses		1.84	%		1.83	%		1.82	%		1.75	%

Total Returns:^(b)
Based on Net Asset Value		1.25	%		(8.09	)%		5.75	%		(9.59	)%

Based on Market Value		4.87	%		(15.75	)%		12.50	%		(10.62	)%

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

6. Financial Highlights (Continued)

(a)	Annualized.

(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.

7. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements

In June 2013, the FASB issued Accounting Standards Update (“ASU”) 2013-08, “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. ASU 2013-08 is effective for fiscal years beginning on or after December 15, 2013. The Fund has adopted ASU 2013-08 for its fiscal year end December 31, 2014 as it follows the investment company reporting requirements under U.S. GAAP and therefore follows the accounting and reporting guidance under Topic 946. The adoption of ASU 2013-08 did not have an impact on the Fund’s financial statements or footnote disclosures.

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

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

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

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005 and commenced operations on September 27, 2010, with its public offering. The shares of the Fund trade on the NYSE MKT under the ticker symbol “CFD”. Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents and short-term, high grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Dow Jones-UBS Commodity Index^® (“DJ-UBSCI”) (effective July 1, 2014, the name of the index changed to the Bloomberg Commodity Index) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Results of Operations

The Quarter Ended June 30, 2014—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.26 on the close of business on June 30, 2014. This represents an increase of 2.39% in share price (not including an assumed reinvestment of distributions) from the $15.88 price at which the shares of the Fund traded on the close of business on March 31, 2014. The high and low intra-day share prices for the quarter were $16.51 (May 23, 2014) and $15.83 (April 2, 2014), respectively. During the quarter, the Fund declared distributions totaling $0.390 per share to shareholders, of which $0.130 was paid on July 1, 2014. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 4.87%. At June 30, 2014, shares of the Fund traded at a 11.63% discount to the Fund’s net asset value of $18.40.

The Quarter Ended June 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $17.07 on the close of business on June 28, 2013 (the last trading day of the quarter). This represents a decrease of 17.73% in share price (not including an assumed reinvestment of distributions) from the $20.75 price at which the shares of the Fund traded on the close of business on March 28, 2013 (the last trading day of the previous quarter). The high and low intra-day share prices

for the quarter were $20.84 (April 1, 2013) and $16.54 (June 24, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 1, 2013. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -15.75%. At June 28, 2013 (the last trading day of the quarter), the shares of the Fund traded at a 7.78% discount to the Fund’s net asset value of $18.51.

The Quarter Ended June 30, 2014—Net Assets of the Fund

The Fund’s net assets decreased from $170.8 million at March 31, 2014, to $169.4 million at June 30, 2014, a decrease of $1.4 million. The decrease in the Fund’s net assets was due to the Fund’s distributions to shareholders of approximately $3.5 million exceeding the Fund’s net income of $2.1 million.

The Fund generated net income of $2.1 million for the quarter ended June 30, 2014, resulting from net realized gains of $3.6 million, offset by expenses of $0.8 million and net unrealized depreciation of $0.7 million.

During the quarter ended June 30, 2014, the Fund’s collateral investments generated interest income of $38,311, which represents 0.02% of average net assets for the quarter ended June 30, 2014.

The net asset value per share on June 30, 2014, was $18.40. This represents a decrease of 0.86% in net asset value (not including an assumed reinvestment of distributions) from the $18.56 net asset value as of March 31, 2014. The Fund declared distributions totaling $0.390 per share during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 1.25% for the quarter ended June 30, 2014.

The Quarter Ended June 30, 2014—Overall Commodity Market Commentary

In the quarter ended June 30, 2014, the commodity markets contended with rising geopolitical risks as violence increased with attacks by the militant groups ISIS (Islamic State of Iraq and Syria) in Iraq and Boko Haram in Nigeria, moderating global weather conditions, and well-received efforts by the Chinese government to stimulate its economy through fiscal policy and market reforms.

The broad commodity market traded flat in the quarter ended June 30, 2014, returning 0.1%, as measured by the DJ-UBSCI. The DJ-UBSCI’s best-performing group was industrial metals, followed by energy, precious metals, and livestock. Agriculture was the worst performer, with a double-digit loss. Foods and fibers also declined during the quarter.

Energy commodities represented 32.0% of the DJ-UBSCI at the end of the quarter, and were its most significant commodity group by weight. The group rose 4.4% for the quarter, with gains across all of the underlying energy commodities. Increasing violence in the Middle East and Africa raised the risk of future supply disruptions, which boosted crude oil prices over 6% for the quarter.

Agricultural commodities, as grouped by Gresham, made up 20.8% of the DJ-UBSCI at the end of the quarter. All of the agriculture commodities in the group ended the period lower, for an 11.2% decline for the group overall. Reports of accelerated plantings, abundant supply, and favorable weather weighed on prices for corn, wheat, and soybeans.

The industrial metals comprised 16.6% of the DJ-UBSCI at the end of the quarter. The group was up 8.5% for the quarter, fueled in part by proposed structural improvements to China’s financial markets announced in May. Nickel registered the largest advance both in the group and in the DJ-UBSCI overall, as investors worried about supply availability from the two largest nickel miners, Indonesia and Russia.

Precious metals commodities represented 15.8% of the DJ-UBSCI at the end of the quarter. Gold and silver prices ended the quarter higher following a rally late in June, leading to a 3.8% return for the group overall. The possibility of rising inflation helped lift the demand for these metals, as they are perceived to be inflation-protected assets. Platinum and palladium, which are included in the Fund’s portfolio but not represented in the DJ-UBSCI, also gained during the quarter.

The commodities in the foods and fibers category, as grouped by Gresham, made up a combined 8.7% of the DJ-UBSCI at the end of the quarter. Cotton and sugar prices fell during the period, as more favorable growing conditions were expected to add to already plentiful inventories. Coffee also declined after June rains in Brazil helped mitigate the damage of a drought earlier in the year. The foods and fibers group lost 6.9% in the index during the quarter.

Livestock is the smallest group, comprising 6.1% of the DJ-UBSCI at the end of the quarter. Both feeder cattle (which is not represented in the DJ-UBSCI) and live cattle saw strong price appreciation on supply concerns during the quarter due to the bad winter weather which hampered breeding, weight gain, and slaughter rates of cattle. Lean hogs prices were volatile as a highly contagious pig virus continued to spread in the U.S., Canada, and Asia, fueling further supply worries.

The Quarter Ended June 30, 2014—Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio gained 1.69% for the quarter ended June 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, was up 0.1%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was 1.25%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on approximately 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity contributed positively to performance for the quarter and helped reduce the Fund’s volatility versus the DJ-UBSCI, as measured by the standard deviation of return. Call options written on precious metals and natural gas expired out of the money, enabling the Fund to retain all of the premiums.

At the commodity group level, the Fund’s commodity portfolio led the DJ-UBSCI on an absolute basis in livestock, energy, agriculture, and precious metals, but lagged the DJ-UBSCI in industrial metals and foods and fibers. On a weighted basis, the Fund’s portfolio outperformed in all groups except industrial metals and precious metals.

The Fund’s energy position, up 5.5%, outperformed the DJ-UBSCI, up 4.4%, primarily because of the Fund’s higher weight (35.5%) in energy commodities. In particular, the Fund’s significantly higher weight in crude oil, at 19.9% for the portfolio versus 15.4% for the index, was a key contributor to performance in the energy group.

Although the Fund’s agriculture position declined 10.4%, it had a smaller loss than the DJ-UBSCI’s position, which was down 11.2% during the period. The Fund, with a 17.5% weight in agriculture, had less exposure to the group’s weak performance than the DJ-UBSCI, which had a 20.8% weight.

The Fund’s industrial metals position was up 7.0%, but lagged the DJ-UBSCI’s 8.5% increase. The Fund’s nickel position was the main detractor, as the position was underweight relative to the DJ-UBSCI and therefore captured less of nickel’s rally when options switched to in the money and were exercised.

The Fund’s precious metals position rose 4.0%, outperforming the DJ-UBSCI’s 3.8% appreciation. But, on a weighted basis, the Fund slightly underperformed. Although the Fund’s options strategy in precious metals and its exposure to platinum and palladium were positive for results during the quarter, the gain was offset by the Fund’s lower weights in gold and silver, which detracted.

The foods and fibers group was down 7.0% in the Fund and down 6.9% in the DJ-UBSCI. The Fund’s position underperformed primarily due to options that were assigned against the Fund. However, the Fund’s sugar and cotton positions had positive relative performance because of the Fund’s lower weightings in these commodities.

The Fund’s livestock position was up 5.5%, compared to the 3.6% rise in the DJ-UBSCI’s position, with outperformance largely driven by the Fund’s exposure to feeder cattle and a modest gain from the Fund’s higher weighting in live cattle.

The Quarter Ended June 30, 2013—Net Assets of the Fund and Commodity Market and Portfolio Commentary

The Fund’s net assets decreased from $190.0 million as of March 31, 2013, to $170.7 million as of June 30, 2013, a decrease of $19.3 million. The decrease in the Fund’s net assets was due to $9.7 million in net realized losses and $4.8 million in unrealized depreciation on the Fund’s portfolio during the quarter, a net investment loss of $0.8 million, and $4.0 million of distributions declared to shareholders.

Commodity markets continued to struggle in the second quarter of 2013 and were heavily influenced by supply and demand fundamentals of individual markets. The broad commodity market fell consecutively in April, May, and June falling 9.5% overall as five of the six commodity groups tracked by the DJ-USBCI posted declines for the quarter.

Energy commodities represented 36.5% of the DJ-UBSCI at the end of the period and were broadly lower losing 8.5% in the quarter as weakening global demand put downward pressure on prices. Natural gas prices were especially weak, down 13.9% for the quarter and offsetting a significant advance during the first quarter. This decline was in response to reduced demand stemming from mild weather in the U.S. at the end of the quarter and reports of rebuilding of inventories.

Agricultural commodities (as composed in the Commodity Weightings table later in this Report) made up 21.8% of the DJ-UBSCI at the end of the period and were under pressure during the second quarter, losing 3.1% due to expectations of generous supplies for many markets, including corn and wheat. Corn and wheat fell as the U.S. Department of Agriculture increased its forecasts of crop sizes for the 2013/2014 season.

Industrial metals, which made up 16.0% of the DJ-UBSCI at the end of the period, fell 10.4% during the period. Slowing GDP growth in China, pointing to lower demand in global manufacturing and domestic construction, took all four industrial metals components of the DJ-UBSCI down. Most notably, nickel and copper experienced double digit declines.

Precious metals represented 11.8% of the DJ-UBSCI at the end of the period and were the worst performing group, down 25.5%. Selling pressures resulted in a 23.4% loss for gold and a 31.6% loss in silver for the second quarter. Precious metals prices fell in April on the news that the Central Bank of Cyprus might liquidate its gold reserves as part of its bailout settlement with the International Monetary Fund and the European Union. Gold and silver weakened further in May and June, stemming from the U.S. Federal Reserve’s indication that it might begin to reduce its policy of quantitative easing.

Foods and fibers, which made up 8.2% of the DJ-UBSCI at the end of the period, were down 8.4% as favorable weather for sugar and coffee growing raised expectations of surplus for the season in global markets coupled with a backdrop of weak demand pushed prices lower.

Livestock was the smallest group in the DJ-UBSCI, representing 5.7% at the end of the period. Livestock was the only group to post a gain for the quarter rising approximately 2.2%. Appreciation in lean hog prices was driven by seasonal strength in U.S. demand for summer grilling and reports in April and May of a virus affecting piglets that could impair breeding of the U.S. herd later in 2013.

In this challenging environment of downward price action, the Fund’s commodity portfolio outperformed, falling 7.7% (before considering the expenses of the Fund or the performance of the collateral portfolio) vs. the 9.5% decline of the DJ-UBSCI. Relative to the DJ-UBSCI, the primary drivers of outperformance were in the energy and agriculture groups. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was a loss of 8.09%.

Within energy, the portfolio’s better relative results were mainly attributable to an underweight to natural gas, which retreated 13.9% as measured by the DJ-UBSCI. The portfolio had nearly half the exposure of the DJ-UBSCI in this commodity, a 6.5% weight vs. a 12.6% weight, respectively, leading to the better relative performance. Together, the Fund’s portfolio lost 5.5% in energy commodities while the DJ-UBSCI fell 8.5% over the period.

The agriculture group was an area of both positive absolute performance and relative outperformance for the Fund’s commodity portfolio. The Fund’s portfolio gained approximately 0.2% in this group vs. the DJ-UBSCI’s 3.1% loss. This was primarily driven by an underweight position, and better returns in corn for the Fund’s commodity portfolio versus the DJ-UBSCI. The Fund’s commodity portfolio was also overweight soybeans which rallied over the quarter on spotty crop conditions and increased demand from China. Options positions that expired without being exercised (meaning the Fund retained the premium received for selling those options) contributed to the better returns for the Fund as well.

The Fund’s portfolio was overweight precious metals with a weighting of 13.1% versus the DJ-UBSCI weight of 11.8% using period ending weights, which detracted from relative performance versus the DJ-UBSCI given the strong declines in that commodity group. Industrial metals was also an area of underperformance mainly driven by an overweight position in the underperforming copper commodity.

During the quarter, most of the commodity portfolio’s call options expired without being exercised. Depending on the contract and time period, this allowed the Fund to earn the entire call option premium without sacrificing any appreciation on the related futures contract, thereby offsetting some of the Fund’s losses, or partially offsetting any losses on the related futures contract, and benefiting the Fund’s overall performance. In certain cases during the quarter where the futures contract price appreciation was significant, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In summary, the options program allowed the Fund to limit its volatility relative to its benchmark while also allowing the Fund to participate meaningfully in the appreciation in those commodity groups with strong price appreciation.

During the quarter ended June 30, 2013, the Fund’s collateral investments generated interest income of $56,393, which represents 0.03% of average net assets for the quarter ended June 30, 2013.

The net asset value per share on June 30, 2013, was $18.51. This represents a decrease of 10.15% in net asset value (not including an assumed reinvestment of distributions) from the $20.60 net asset value as of March 31, 2013. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on July 1, 2013. The remainder was paid during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -8.09% for the quarter ended June 30, 2013.

The Fund generated a net loss of $15.3 million for the quarter ended June 30, 2013, resulting from interest income of $0.1 million, expenses of $0.9 million, net realized losses of $9.7 million, and net unrealized depreciation of $4.8 million.

The Six Months Ended June 30, 2014—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.26 on the close of business on June 30, 2014. This represents an increase of 7.19% in share price (not including an assumed reinvestment of distributions) from the $15.17 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and low intra-day share prices for the six month period were $16.51 (May 23, 2014) and $14.93 (January 10, 2014), respectively. During the six month period, the Fund declared distributions totaling $0.780 per share to shareholders, of which $0.130 was paid on July 1, 2014. The remainder was paid during the period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was 12.50%. At June 30, 2014, shares of the Fund traded at a 11.63% discount to the Fund’s net asset value of $18.40.

The Six Months Ended June 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $17.07 on the close of business on June 28, 2013 (the last trading day of the period). This represents a decrease of 14.52% in share price (not including an assumed reinvestment of distributions) from the $19.97 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the six month period were $22.09 (January 23, 2013) and $16.54 (June 24, 2013), 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, 2013. The remainder was paid during the six month period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was -10.62%. At June 28, 2013, (the last trading day of the period) the shares of the Fund traded at a 7.78% discount to the Fund’s net asset value of $18.51.

The Six Months Ended June 30, 2014—Net Assets of the Fund

The Fund’s net assets increased from $167.1 million at December 31, 2013, to $169.4 million at June 30, 2014, an increase of $2.3 million. The increase in the Fund’s net assets was due to the Fund’s net income of $9.4 million exceeding the distributions to shareholders of approximately $7.1 million.

The Fund generated net income of $9.4 million for the six month period ended June 30, 2014, resulting from net realized gains of $10.6 million and net unrealized appreciation of $0.3 million, offset by expenses of $1.5 million.

During the six month period ended June 30, 2014, the Fund’s collateral investments generated interest income of $75,603, which represents 0.04% of average net assets for the six month period ended June 30, 2014.

The net asset value per share on June 30, 2014, was $18.40. This represents an increase of 1.38% in net asset value (not including an assumed reinvestment of distributions) from the $18.15 net asset value as of December 31, 2013. The Fund declared distributions totaling $0.780 per share during the six month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 5.75% for the six month period ended June 30, 2014.

The Six Months Ended June 30, 2014 – Overall Commodity Market Commentary

A strong rally in the first quarter of 2014 was followed by a flat performance in the second quarter, resulting in a 7.1% gain in the broad commodity market for the six months ended June 30, 2014, as measured by the DJ-UBSCI. All six commodity groups had positive performance, led by livestock. Agriculture commodities had the smallest gain.

Energy commodities as a group returned 8.7% for the six month period, primarily driven by natural gas and crude oil. Demand for natural gas was unusually high during the first quarter due to the prolonged, frigid winter weather in the U.S., triggering a significant price rally. Crude oil prices rose strongly in the second quarter amid increasing geopolitical risks in the Middle East and Africa.

The agriculture group was up a modest 1.9% during the six month period. Robust appreciation in the first quarter, when corn and wheat inventories looked tighter, was largely offset by losses in the second quarter, as improving crop conditions were expected to add ample supply to already plentiful inventory.

The industrial metals group increased 3.5% during the six month period, led by a large rally in nickel. Indonesia’s ban on mineral-ore exports, which was announced in January and remained in place throughout the rest of the period, prompted fears of nickel shortages. Additionally, investors were concerned of the potential impact of economic sanctions on Russia, the world’s other main nickel producer.

Gold and silver both rose during the six month period, lifting the precious metals group by 9.4%. Both metals benefited from speculation that inflation may rise after the U.S. Federal Reserve exits its quantitative easing program, which is expected to happen in October 2014. Gold prices also surged on two technical rallies during the period.

The foods and fibers group, as grouped by Gresham, appreciated 12.9% in the six month period. Early in 2014, crop damage to Arabica coffee caused by record heat and drought in Brazil, the world’s top Arabica producer and exporter, sent prices 51% higher in the first quarter. However, coffee prices eased in the second quarter as Brazil’s coffee growing conditions improved.

Supply concerns drove the livestock group up 20.5% during the six month period. Contracts for live cattle and lean hogs increased 16.8% and 27.6%, respectively, as herd sizes were down in advance of summer’s seasonally stronger demand. Cattle herds were weakened by the exceptionally cold winter, which impeded weight gain, increased feed costs, and slowed transport for slaughter. A pig virus epidemic that appeared in the U.S. in April 2013 continued to spread across the U.S. and into Canada and Asia.

The Six Months Ended June 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio gained 6.60% for the six months ended June 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, was up 7.1%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was 5.75%.

During the six month period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity detracted slightly from performance for the period, but premiums collected on other call options helped reduce the Fund’s volatility versus the DJ-UBSCI, as measured by the standard deviation of return.

At the commodity group level, the Fund’s commodity portfolio outperformed the DJ-UBSCI on an absolute basis in precious metals and agriculture, but underperformed in the other four commodity groups for the six month period. On a weighted basis, the Fund’s portfolio underperformed in industrial metals and foods and fibers.

In the energy group, the Fund’s portfolio gained 8.6%, falling short of the DJ-UBSCI’s 8.7% return. However, on a weighted basis, the Fund’s energy position outperformed the DJ-UBSCI’s. Gas oil, which is included in the Fund’s portfolio but not part of the DJ-UBSCI, posted a loss for the six-month period. However, on a weighted performance basis, the negative impact of gas oil was minimized due to the Fund’s small weighting in the contract, and was offset by strong results from the Fund’s crude oil position.

The Fund’s agriculture position was up 2.3% for the six month period, while the DJ-UBSCI agriculture positions, as grouped by Gresham, rose 1.9%. The Fund’s underweight positions in corn and wheat were beneficial to relative performance, as these commodities saw declining performance during the period.

The Fund’s industrial metals group underperformed the DJ-UBSCI’s during the six month period, with a return of 2.6% for the Fund versus 3.5% for the index. Relative performance was dampened by the Fund’s lower weighting in nickel, which advanced 36.1% in the DJ-UBSCI during the period, and in-the-money call options that were exercised against the Fund during the second quarter.

In the precious metals group, the Fund’s portfolio posted a 10.3% gain during the six month period, outperforming the DJ-UBSCI’s 9.4% increase. The Fund’s portfolio benefited from strong-performing platinum and palladium contracts, which are not represented in the DJ-UBSCI.

The Fund’s foods and fibers position, as grouped by Gresham, was the largest detractor from performance for the six month period, returning a modest 3.9% versus 12.9% for the DJ-UBSCI. Underperformance was primarily driven by the Fund’s coffee position, which suffered because of a smaller exposure to Arabica coffee’s first quarter rally and in-the-money call options that were exercised during the six-month period.

Performance in the livestock group was a relative detractor for the Fund’s portfolio on an absolute basis, but had a nearly neutral impact on a weighted performance basis. The Fund was up 15.7% for the six month period, compared to 20.5% for the DJ-UBSCI, lagging primarily because of the Fund’s underweight in lean hogs, which rallied strongly during the period. On a weighted basis, gains from the Fund’s feeder cattle contracts, which are not in the DJ-UBSCI, helped offset less favorable performance from its lean hogs position.

The Six Months Ended June 30, 2013—Net Assets of the Fund and Commodity Market and Portfolio Commentary

The Fund’s net assets decreased from $197.1 million as of December 31, 2012, to $170.7 million as of June 30, 2013, a decrease of $26.4 million. The decrease in the Fund’s net assets was due to $12.7 million in net realized losses and $4.2 million in unrealized depreciation on the Fund’s portfolio during the period, a net investment loss of $1.5 million, and $8.0 million of distributions declared to shareholders.

Commodities markets fell steadily during the first six months of 2013, and while rallies in January, March and late April limited the drop, the broad market ended down 10.5% for the period, as measured by the DJ-UBSCI, with each of the six commodity groups in the DJ-UBSCI losing ground during the first half of 2013.

Energy commodities represented 36.5% of the DJ-UBSCI at the end of the period. The group gained during the first quarter of the year, but weakened in the second quarter, giving up all of the first quarter gains, and falling 2.0% for the six month period. The only commodity in the group experiencing gains for the period was West Texas Intermediate (“WTI”) crude oil, which rose 2.5%, as measured by the DJ-UBSCI. WTI crude was higher in the first quarter on a spurt of growth in the U.S. economy, and in the second quarter on early signs of a resolution to the large supply buildup resulting from growing domestic production in shale oil fields. Natural gas

posted a loss of 1.0% for the first six months of 2013, as measured by the DJ-UBSCI, after an unseasonably cold late winter and early spring in the U.S. took prices up approximately 14%, it then sold off from a rebuilding of inventories in the second quarter.

Agricultural commodities (as composed in the Commodity Weightings table later in this Report) made up 21.8% of the DJ-UBSCI at the end of the period and experienced mixed results for the period. Overall, the group returned a loss of 6.1% for the period as measured by the DJ-UBSCI. Prices of both corn and wheat were lower on influential forecasts from the U.S. Department of Agriculture, issued at the end of March and again in June, on the likely abundance of the coming harvest. In contrast, soybeans and soybean meal moved higher on developments in the physical markets, namely shortages for current domestic consumption and exports to China.

Industrial metals, which made up 16.0% of the DJ-UBSCI at the end of the period, fell steadily through the first half of 2013, reflecting weak demand in the global manufacturing environment. The group experienced a loss of 17.4% for the period as measured by the DJ-UBSCI, with losses in all underlying components of the DJ-UBSCI.

Precious metals represented 11.8% of the DJ-UBSCI at the end of the period and were the weakest component of the DJ-UBSCI, down 29.6% during the first six months of 2013, driven by losses in gold and silver. Gold underperformed early in the period as investors sought opportunities in the rising equity markets, compounded by the mid-April bailout negotiations for Cyprus, when markets focused on the possibility that the Central Bank of Cyprus might liquidate a portion of its gold reserves. In mid-June, gold and silver experienced additional losses, when the U.S. Federal Reserve chairman suggested that a withdrawal from its quantitative easing program might begin in late 2013.

Foods and fibers, which made up 8.2% of the DJ-UBSCI at the end of the period, declined 11.4% over the period. Growing conditions for coffee and sugar have been favorable, particularly in Brazil, so that global stocks continue to increase driving most of the price decline.

Livestock, the smallest group in the DJ-UBSCI at the end of the period making up 5.7%, experienced gains in the second quarter of 2013, but were unable to overcome a weak first quarter and suffered a decline of 4.4% for the six month period, as measured by the DJ-UBSCI.

In this challenging environment of mostly falling prices over the first six months of 2013, the Fund’s commodity portfolio outperformed its benchmark falling 8.9% (before considering the expenses of the Fund or the performance of the collateral portfolio) vs. the 10.5% decline of the DJ-UBSCI. The Fund’s commodity portfolio outperformed relative to the index in five of the six commodity groups, most notably within the agriculture and foods and fibers, while underperforming in livestock. The Fund’s total return on net asset value for the period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distributions, was a loss of 9.59%.

The Fund’s commodity portfolio outperformed the DJ-UBSCI in every agricultural commodity with strong results across the board. The portfolio benefited from underweight positions in the falling markets of corn and soybean oil, as well as an overweight position in the rising soybean market, in comparison to the DJ-UBSCI. Additionally, while certain options positions were exercised against the Fund creating small losses, during the period the Fund generally benefited from its option activity in corn, soybeans, soybean meal and soybean oil.

The foods and fibers group within the Fund’s commodity portfolio experienced a loss of approximately 9.7% during the six month period. Despite this loss, the Fund’s portfolio performed better than the DJ-UBSCI where this group fell 11.4%. The Fund’s commodity portfolio benefited from lower portfolio weightings than the index in coffee and sugar.

The Fund’s commodity portfolio experienced a loss of approximately 5.5% in the livestock group, underperforming the DJ-UBSCI which lost 4.4%. The underperformance was mostly a result of the portfolio’s position in feeder cattle, which lost approximately 11.5% and is not held in the DJ-UBSCI.

During the period, most of the commodity futures portfolio’s call options expired without being exercised. Depending on the contract and time period, this allowed the Fund to earn the entire call option premium without sacrificing any appreciation on the related futures contract, thereby offsetting some of the Fund’s losses, or partially offsetting any losses on the related futures contract, and benefiting the Fund’s overall performance. In certain cases during the period where the futures contract price appreciation was significant, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In summary, the options program allowed the Fund to limit its volatility relative to its benchmark while also allowing the Fund to participate meaningfully in the appreciation in those commodity groups with strong price appreciation.

During the six month period ended June 30, 2013, the Fund’s collateral investments generated interest income of $117,053, which represents 0.06% of average net assets for the six months ended June 30, 2013.

The net asset value per share on June 30, 2013, was $18.51. This represents a decrease of 13.42% in net asset value (not including an assumed reinvestment of distributions) from the $21.38 net asset value as of December 31, 2012. The Fund declared distributions of $0.870 per share during the six month period, of which $0.145 was paid on July 1, 2013. The remainder was paid during the period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -9.59% for the six months ended June 30, 2013.

The Fund generated a net loss of $18.5 million for the six months ended June 30, 2013, resulting from interest income of $0.1 million, expenses of $1.7 million, net realized losses of $12.7 million, and net unrealized depreciation of $4.2 million.

Fund Total Returns

The following table presents selected total returns for the Fund as of June 30, 2014. Total returns based on market value and net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset 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 market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.


	Total Returns as of June 30, 2014
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		4.87	%		12.50	%		4.94	%		-3.15	%
Net Asset Value		1.25	%		5.75	%		8.12	%		0.75	%

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

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

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s 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. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

Commodity Weightings

The table below presents the composition of the Fund’s TAP PLUS^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the DJ-UBSCI as of June 30, 2014. The June 30, 2014 composition serves as a guide to how the composition of the Fund’s TAP PLUS^SM investment strategy compared to that of the DJ-UBSCI, a leading commodity market benchmark.


		Composition
Commodity Group	Commodity	TAP PLUSSM			DJ-UBSCI
Energy	Crude Oil		19.89	%		15.35	%
	Heating Oil		5.09	%		3.56	%
	Natural Gas		7.18	%		9.26	%
	Unleaded Gas		3.35	%		3.81	%

			35.51	%		31.98	%

Industrial Metals	Aluminum		4.57	%		4.74	%
	Copper		8.72	%		6.73	%
	Nickel		2.16	%		2.73	%
	Zinc		1.47	%		2.37	%
	Lead		0.92	%		0.00	%

			17.84	%		16.57	%

Agriculturals	Corn		4.17	%		6.66	%
	Soybean		5.43	%		4.86	%
	Wheat		4.00	%		4.26	%
	Soybean Meal		2.50	%		2.23	%
	Soybean Oil		1.37	%		2.75	%

			17.47	%		20.76	%

Precious Metals	Gold		10.15	%		11.68	%
	Silver		2.92	%		4.15	%
	Platinum		0.79	%		0.00	%
	Palladium		0.45	%		0.00	%

			14.31	%		15.83	%

Foods and Fibers	Cotton		1.15	%		1.29	%
	Sugar		2.03	%		4.18	%
	Coffee		1.71	%		3.26	%
	Cocoa		0.54	%		0.00	%

			5.43	%		8.73	%

Livestock	Live Cattle		5.62	%		3.39	%
	Lean Hogs		2.37	%		2.74	%
	Feeder Cattle		1.45	%		0.00	%

			9.44	%		6.13	%

Total			100.00	%		100.00	%

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 Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call

options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with Barclay’s Capital Inc., the Fund’s clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. 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 cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

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

The Fund’s 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 December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares in open-market transactions. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity, if any, during the six months ended June 30, 2014.

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

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of 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 Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

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

Credit Risk

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

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding 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-adviser implements procedures which include, but are not limited to:

•

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

•

Executing and clearing trades only with counterparties the Commodity Sub-adviser believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity 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 Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of the commodity broker.

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

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of 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, 2014, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

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

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

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

•

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

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements.

•

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

•

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

•

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

•

Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

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

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of June 30, 2014. 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, 2014, 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 2014		79		$	112.3600		1,000	$	8,876,440
	ICE Brent Crude Oil Futures Contract	Long		September 2014		72			112.0700		1,000		8,069,040
	NYMEX Crude Oil Futures Contract	Long		August 2014		87			105.3700		1,000		9,167,190
	NYMEX Crude Oil Futures Contract	Long		September 2014		72			104.7300		1,000		7,540,560
	Heating Oil
	ICE Gas Oil Futures Contract	Long		August 2014		23			918.7500		100		2,113,125
	NYMEX NY Harbor ULSD Futures Contract	Long		August 2014		35			2.9753		42,000		4,373,691
	NYMEX NY Harbor ULSD Futures Contract	Long		September 2014		17			2.9855		42,000		2,131,647
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		August 2014		145			4.4610		10,000		6,468,450
	NYMEX Natural Gas Futures Contract	Long		September 2014		108			4.4400		10,000		4,795,200
	NYMEX Natural Gas Futures Contract	Long		November 2014		20			4.4640		10,000		892,800
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		August 2014		23			3.0433		42,000		2,939,828
	NYMEX Gasoline RBOB Futures Contract	Long		September 2014		17			3.0055		42,000		2,145,927
	NYMEX Gasoline RBOB Futures Contract	Long		November 2014		5			2.7897		42,000		585,837

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		July 2014		165			1,863.7500		25		7,687,969
	LME Primary Aluminum Futures Contract	Long		September 2014		1			1,890.7500		25		47,269
	Copper
	CEC Copper Futures Contract	Long		September 2014		46			3.2035		25,000		3,684,025
	LME Copper Futures Contract	Long		July 2014		64			7,036.0000		25		11,257,600
	LME Copper Futures Contract	Long		September 2014		21			7,024.0000		25		3,687,600
	LME Copper Futures Contract	Short		July 2014		(21	)		7,036.0000		25		(3,693,900	)
	LME Copper Futures Contract	Short		September 2014		(1	)		7,024.0000		25		(175,600	)
	Nickel
	LME Nickel Futures Contract	Long		July 2014		32			18,984.0000		6		3,644,928
	LME Nickel Futures Contract	Long		September 2014		16			19,037.0000		6		1,827,552
	LME Nickel Futures Contract	Short		July 2014		(16	)		18,984.0000		6		(1,822,464	)
	Zinc
	LME Zinc Futures Contract	Long		July 2014		45			2,212.2500		25		2,488,781
	LME Zinc Futures Contract	Long		September 2014		22			2,220.0000		25		1,221,000
	LME Zinc Futures Contract	Short		July 2014		(22	)		2,212.2500		25		(1,216,738	)
	Lead
	LME Lead Futures Contract	Long		July 2014		29			2,150.5000		25		1,559,113

Agriculturals	Corn
	CBOT Corn Futures Contract	Long		September 2014		337			4.1875		5,000		7,055,938
	Soybean
	CBOT Soybean Futures Contract	Long		November 2014		159			11.5725		5,000		9,200,137
	Wheat
	CBOT Wheat Futures Contract	Long		September 2014		118			5.7750		5,000		3,407,250
	KCBT Wheat Futures Contract	Long		September 2014		96			7.0025		5,000		3,361,200

Futures Contracts (Continued)


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		December 2014		115	$	367.4000		100	$	4,225,100
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2014		99		0.3915		60,000		2,325,510

Precious Metals	Gold
	CEC Gold Futures Contract	Long		August 2014		130		1,322.0000		100		17,186,000
	Silver
	CEC Silver Futures Contract	Long		September 2014		47		21.0560		5,000		4,948,160
	Platinum
	NYMEX Platinum Futures Contract	Long		October 2014		18		1,482.9000		50		1,334,610
	Palladium
	NYMEX Palladium Futures Contract	Long		September 2014		9		843.1500		100		758,835

Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long		December 2014		53		0.7351		50,000		1,948,015
	Sugar
	ICE Sugar Futures Contract	Long		October 2014		171		0.1801		112,000		3,449,275
	Coffee
	ICE Coffee C Futures Contract	Long		September 2014		24		1.7510		37,500		1,575,900
	LIFFE Coffee Robusta Futures Contract	Long		September 2014		65		2,016.0000		10		1,310,400
	Cocoa
	ICE Cocoa Futures Contract	Long		September 2014		29		3,127.0000		10		906,830

Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		August 2014		134		1.5008		40,000		8,044,020
	CME Live Cattle Futures Contract	Long		October 2014		24		1.5313		40,000		1,470,000
	Lean Hogs
	CME Lean Hog Futures Contract	Long		July 2014		40		1.3265		40,000		2,122,400
	CME Lean Hog Futures Contract	Long		August 2014		27		1.3283		40,000		1,434,510
	CME Lean Hog Futures Contract	Long		October 2014		10		1.1390		40,000		455,600
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long		August 2014		18		2.1278		50,000		1,914,975
	CME Feeder Cattle Futures Contract	Long		September 2014		5		2.1400		50,000		535,000

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 2014		(76	)	$	115.0	$	(27,360	)
	NYMEX Crude Oil Futures Options		July 2014		(80	)		111.0		(8,800	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2014		(35	)		3.2		(7,350	)
	Natural Gas
	NYMEX Natural Gas Futures Options		July 2014		(137	)		4,850.0		(42,470	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2014		(23	)		32,400.0		(6,086	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options		July 2014		(83	)		1,900.0		(1,618	)
	Copper
	LME Copper Futures Options		July 2014		(43	)		7,200.0		(333	)
	Nickel
	LME Nickel Futures Options		July 2014		(16	)		21,500.0		—
	Zinc
	LME Zinc Futures Options		July 2014		(23	)		2,150.0		(35,840	)
	Lead
	LME Lead Futures Options		July 2014		(14	)		2,200.0		(151	)

Commodity Call Options Written (Continued)


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value

Agriculturals	Corn
	CBOT Corn Futures Options		August 2014		(168	)	$	480.0	$	(26,250	)
	Soybean
	CBOT Soybean Futures Options		October 2014		(79	)		1,400.0		(15,800	)
	Wheat
	CBOT Wheat Futures Options		August 2014		(59	)		650.0		(7,744	)
	CBOT Wheat Futures Options		August 2014		(48	)		780.0		(10,200	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(57	)		460.0		(13,395	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(50	)		430.0		(16,500	)

Precious Metals	Gold
	CEC Gold Futures Options		July 2014		(65	)		1,345.0		(58,500	)
	Silver
	CEC Silver Futures Options		August 2014		(24	)		2,350.0		(16,200	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2014		(26	)		86.0		(5,720	)
	Sugar
	ICE Sugar Futures Options		September 2014		(86	)		19.0		(33,712	)
	Coffee
	ICE Coffee C Futures Options		August 2014		(22	)		195.0		(35,145	)
	Cocoa
	ICE Cocoa Futures Options		August 2014		(15	)		3,300.0		(3,450	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2014		(100	)		148.0		(148,000	)
	Lean Hogs
	CME Lean Hogs Futures Options		July 2014		(38	)		130.0		(52,060	)


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
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
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, U.S. government securities, and other 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, 2014, the Fund held U.S. Treasury bills worth $137,154,095 with a total par value of $137,200,000 and a repurchase agreement worth $6,530,115.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2013 and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the Securities and Exchange Commission (“SEC”)) which 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.

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. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s 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 the value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

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

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None.

Item 1A.

Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2013, filed with the SEC.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the six month period ended on June 30, 2014.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). Share repurchases during the fiscal year to date period ended June 30, 2014 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
1/1/14 to 1/31/14	—	$ —	Approximately 920,000
2/1/14 to 2/28/14	—	$ —	Approximately 920,000
3/1/14 to 3/31/14	—	$ —	Approximately 920,000
4/1/14 to 4/30/14	—	$ —	Approximately 920,000
5/1/14 to 5/31/14	—	$ —	Approximately 920,000
6/1/14 to 6/30/14	—	$ —	Approximately 920,000

A cumulative total of 60,100 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

None.

Item 6.

Exhibits



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.

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document.

(1)	Filed on March 30, 2012 as an exhibit to Registrant’s Form 8-K dated March 30, 2012 and incorporated by reference herein.

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 7, 2014.


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 7, 2014

/s/ Stephen D. Foy
Chief Financial Officer (Principal Financial and Accounting Officer) August 7, 2014

Nuveen Diversified Commodity Fund - FORM 10-Q - August 7, 2014

Attached files

Nuveen Diversified Commodity Fund Reports