Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

(5) Derivative Instruments and Hedging Activities

The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of September 30, 2020, the Master Fund was invested in Commodity Futures. For the nine months ended September 30, 2020 and the year ended December 31, 2019, the volume of derivative activity (based on average month-end notional amounts) were $88,078,634 and $134,094,833, respectively.

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


As of:	Derivative Instruments		Asset Derivatives (i)		Liability Derivatives (ii)
September 30, 2020		Commodity Futures	$	2,976,824	$	—
December 31, 2019		Commodity Futures	$	6,162,155	$	—

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

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

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


Period	Derivative Instruments		Realized Gain (Loss) on Derivative Instruments (i)			Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii)
Three months ended September 30, 2020		Commodity Futures	$	5,568,098		$	2,322,850
Three months ended September 30, 2019		Commodity Futures		(3,693,718	)		901,844
Nine months ended September 30, 2020		Commodity Futures		(8,398,521	)		(3,185,331	)
Nine months ended September 30, 2019		Commodity Futures		(8,312,203	)		8,052,294

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

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

WisdomTree Continuous Commodity Index Master Fund 10-Q