# United States Commodity Index Funds Trust: Form 10-Q for the period ended Jun 30, 2021

- Company: [United States Commodity Index Funds Trust](/companies/usci.md) (CIK 1479247)
- Form: 10-Q
- Filed: 2021-08-06
- Accepted by EDGAR: Aug 6, 2021, 12:46 ET
- Period: 2021-06-30
- Accession: 0001104659-21-101306
- Inline XBRL: yes
- Main document: https://www.sec.gov/Archives/edgar/data/1479247/000110465921101306/usci-20210630x10q.htm
- All documents and exhibits: https://www.sec.gov/Archives/edgar/data/1479247/000110465921101306/

## Figures reported in this filing

Standardized XBRL line items for the period ended 2021-06-30.

| Line item | Period | Value | XBRL concept |
| --- | --- | ---: | --- |
| Net income | 6 months, 2021-01-01 to 2021-06-30 | $53.5m | us-gaap:NetIncomeLoss |
| Operating cash flow | 6 months, 2021-01-01 to 2021-06-30 | $54.7m | us-gaap:NetCashProvidedByUsedInOperatingActivities |
| Cash and equivalents | at 2021-06-30 | $497.3m | us-gaap:CashAndCashEquivalentsAtCarryingValue |

## Management's discussion and analysis

As filed, 141,722 characters.

The following discussion should be read in conjunction with the condensed financial statements and the notes thereto of the United States Commodity Index Funds Trust (the “Trust”) included elsewhere in this quarterly report on Form 10-Q.

#### Forward-Looking Information

This quarterly report on Form 10-Q, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Trust’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. The Trust believes these factors include, but are not limited to, the following: changes in inflation in the United States; movements in U.S. and foreign currencies; market volatility in the commodities markets, in apart attributable to the COVID-19 pandemic, uncertainties associated with the impact from the coronavirus (COVID-19) pandemic, including: its impact on the global and U.S. capital markets and the global and U.S. economy, the length and duration of the COVID-19 outbreak in the United States as well as worldwide and the magnitude of the economic impact of that outbreak, the effect of the COVID-19 pandemic on the business prospects of the Trust, including its ability to achieve its objectives, and the effect of the disruptions caused by the COVID-19 pandemic on our ability to continue to effectively manage our business. Forward-looking statements, which involve assumptions and describe the Trust’s future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Trust cannot assure investors that the projections included in these forward-looking statements will come to pass. The Trust’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

The Trust has based the forward-looking statements included in this quarterly report on Form 10-Q on information available to it on the date of this quarterly report on Form 10-Q, and the Trust assumes no obligation to update any such forward-looking statements. Although the Trust undertakes no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, investors are advised to consult any additional disclosures that the Trust may make directly to them or through reports that the Trust files in the future with the Securities and Exchange Commission (the “SEC”), including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

### Introduction

Each Trust Series is a commodity pool that issues shares representing fractional undivided beneficial interests in such Trust Series that may be purchased and sold on the NYSE Arca. The Trust Series are series of the Trust, a Delaware statutory trust formed on December 21, 2009.

### United States Commodity Index Fund

USCI invests in futures contracts for commodities that are traded on the Futures Exchanges and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, Other Commodity-Related Investments. Market conditions that USCF currently anticipates could cause USCI to invest in Other Commodity Related Investments would be those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing.

The investment objective of USCI is for the daily changes in percentage terms of its shares’ per share net asset value (“NAV”) to reflect the daily changes in percentage terms of the SummerHaven Dynamic Commodity Index Total ReturnSM (the “SDCI”), less USCI’s expenses.

USCI seeks to achieve its investment objective by investing so that the average daily percentage change in USCI’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the SDCI over the same period. The SDCI is designed to reflect the performance of a diversified group of commodities. The SDCI is owned and maintained by SummerHaven Index Management, LLC (“SHIM”) and is calculated and published by Bloomberg L.P. Futures contracts for the commodities comprising the SDCI are traded on the New York Mercantile Exchange (“NYMEX”), ICE Futures (“ICE Futures”), Chicago Board of Trade (“CBOT”), Chicago Mercantile Exchange (“CME”), London Metal Exchange (“LME”), and Commodity Exchange, Inc. (“COMEX”) (the NYMEX, ICE Futures, CBOT, CME, LME and COMEX, collectively, the “Futures Exchanges”) and are collectively referred to herein as “Futures Contracts.” The Futures Contracts that at any given time make up the SDCI are referred to herein as “Benchmark Component Futures Contracts.” The relative weighting of the Benchmark Component Futures Contracts will change on a monthly basis, based on quantitative formulas relating to the prices of the Benchmark Component Futures Contracts developed by SHIM.

USCI seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, USCI will invest next in other Futures Contracts based on the same commodity as the futures contracts subject to such regulatory constraints or market conditions, and finally, to a lesser extent, in other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Futures Contracts if one or more other Futures Contracts is not available. When USCI has invested to the fullest extent possible in exchange-traded futures contracts, USCI may then invest in other contracts and instruments based on the Benchmark Component Futures Contracts, other Futures Contracts or the commodities included in the SDCI, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Futures Contracts and other contracts and instruments based on the Benchmark Component Futures Contracts are collectively referred to as “Other Commodity-Related Investments,” and together with Benchmark Component Futures Contracts and other Futures Contracts, “Commodity Interests.”

USCI seeks to achieve its investment objective by investing so that the average daily percentage change in USCI’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the SDCI over the same period. USCF believes that the market arbitrage opportunities will cause the daily changes in USCI’s share price on the NYSE Arca on a percentage basis to closely track the daily changes in USCI’s per share NAV on a percentage basis. USCF believes that the net effect of this expected relationship and the expected relationship described above between USCI’s per share NAV and the SDCI will be that the daily changes in the price of USCI’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the SDCI on a percentage basis, less USCI’s expenses. While USCI is composed of Benchmark Component Futures Contracts and is therefore a measure of the prices of the corresponding commodities comprising the SDCI for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the SDCI and the cash or spot prices of the commodities underlying the Benchmark Component Futures Contracts.

Investors should be aware that USCI’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts or the prices of any particular group of futures contracts. USCI will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in USCI’s shares during the past year relative to a hypothetical direct investment in the various commodities and, in the future, it is likely that the relationship between the market price of USCI’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) As of June 30, 2021, USCI held 417 Futures Contracts on the NYMEX, held 223 Futures Contracts on the ICE Futures, held 1,806 Futures Contracts on the CBOT, held 741 Futures Contracts on the CME, held 985 Futures Contracts on the LME and held 369 Futures Contracts on the COMEX, totaling 4,541 futures contracts.

### United States Copper Index Fund

CPER invests in Futures Contracts for commodities that are traded on the COMEX and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, Other Copper-Related Investments. Market conditions that USCF currently anticipates could cause CPER to invest in Other Copper-Related Investments would be those allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing.

The investment objective of CPER is for the daily changes in percentage terms of its shares’ per share NAV to reflect the daily changes in percentage terms of the SummerHaven Copper Index Total ReturnSM (the “SCI”), less CPER’s expenses. CPER seeks to achieve its investment objective by investing so that the average daily percentage change in CPER’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the Benchmark Component Copper Futures Contracts over the same period. The SCI is designed to reflect the performance of the investment returns from a portfolio of copper futures contracts on the COMEX. The SCI is owned and maintained by SHIM and calculated and published by the NYSE Arca. The SCI is comprised of either one or three Eligible Copper Futures Contracts that are selected on a monthly basis based on quantitative formulas relating to the prices of the Eligible Copper Futures Contracts developed by SHIM. The Eligible Copper Futures Contracts that at any given time make up the SCI are referred to herein as “Benchmark Component Copper Futures Contracts.”

CPER seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Copper Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, CPER will invest next in other Eligible Copper Futures Contracts based on the same copper as the futures contracts subject to such regulatory constraints or market conditions, and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts if one or more other Eligible Copper Futures Contracts is not available. When CPER has invested to the fullest extent possible in exchange-traded futures contracts, CPER may then invest in other contracts and instruments based on the Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts or other items based on copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts and other contracts and instruments based on the Benchmark Component Copper Futures Contracts, are collectively referred to collectively as “Other Copper-Related Investments,” and together with Benchmark Component Copper Futures Contracts and other Eligible Copper Futures Contracts, “Copper Interests.”

CPER seeks to achieve its investment objective by investing so that the average daily percentage change in CPER’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the Benchmark Component Copper Futures Contracts over the same period. USCF believes that market arbitrage opportunities will cause daily changes in CPER’s share price on the NYSE Arca on a percentage basis, to closely track the daily changes in CPER’s per share NAV on a percentage basis. USCF believes that the net effect of this expected relationship and the expected relationship described above between CPER’s per share NAV and the SCI will be that the daily changes in the price of CPER’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the SCI on a percentage basis, less CPER’s expenses. While CPER is composed of Benchmark Component Copper Futures Contracts and is therefore a measure of the prices of the corresponding commodities comprising the SCI for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the SCI and the cash or spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts.

Investors should be aware that CPER’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts or the prices of any particular group of futures contracts. CPER will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in CPER’s shares during the past year relative to a hypothetical direct investment in various commodities and, in the future, it is likely that the relationship between the market price of CPER’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) CPER’s shares began trading on November 15, 2011. As of June 30, 2021, CPER held 2,861 Futures Contracts on the COMEX.

### Other Defined Terms

The SCI, together with the SDCI, are referred to throughout this quarterly report on Form 10-Q collectively as the “Applicable Index” or “Indices.”

Benchmark Component Futures Contracts and Benchmark Component Copper Futures Contracts are referred to throughout this quarterly report on Form 10-Q collectively as “Applicable Benchmark Component Futures Contracts.”

Other Commodity-Related Investments and Other Copper-Related Investments are collectively referred to herein as “Other Related Investments.” Commodity Interests and Copper Interests are collectively referred to herein as “Applicable Interests” throughout this quarterly report on Form 10-Q.

### Regulatory Disclosure

*Accountability Levels, Position Limits and Price Fluctuation Limits.* Designated contract markets (“DCMs”), such as the NYMEX and ICE Futures, have established accountability levels and position limits on the maximum net long or net short futures contracts in commodity interests that any person or group of persons under common trading control (other than as a hedge, which is not applicable to the Trust Series’ investments) may hold, own or control. These levels and position limits apply to the futures contracts that the Trust invests in to meet the investment objective of the Trust Series. In addition to accountability levels and position limits, the NYMEX and ICE Futures also set daily price fluctuation limits on futures contracts. The daily price fluctuation limit establishes the maximum amount that the price of a futures contract may vary either up or down from the previous day’s settlement price. Once the daily price fluctuation limit has been reached in a particular futures contract, no trades may be made at a price beyond that limit.

The accountability levels for the commodities comprising an Applicable Index and other futures contracts traded on U.S. based futures exchanges are not a fixed ceiling, but rather a threshold above which such exchanges may exercise greater scrutiny and control over an investor’s positions.

As of June 30, 2021, USCI held 417 Futures Contracts on the NYMEX, held 223 Futures Contracts on the ICE Futures, held 1,806 Futures Contracts on the CBOT, held 741 Futures Contracts on the CME, held 985 Futures Contracts on the LME and held 369 Futures Contracts on the COMEX, totaling 4,541 futures contracts. As of June 30, 2021, CPER held 2,861 Futures Contracts on the COMEX. For the six months ended June 30, 2021, no Trust Series exceeded accountability levels imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Position limits differ from accountability levels in that they represent fixed limits on the maximum number of futures contracts that any person may hold and cannot allow such limits to be exceeded without express CFTC authority to do so. In addition to accountability levels and position limits that may apply at any time, the Futures Exchanges may impose position limits on contracts held in the last few days of trading in the near month contract to expire. It is unlikely that a Trust Series will run up against such position limits. A Trust Series does not typically hold the near month contract in its Applicable Benchmark Component Futures Contracts. In addition, each Trust Series’ investment strategy is to close out its positions during each Rebalancing Period in advance of the period right before expiration and purchase new contracts. As such, none of the Trust Series anticipates that position limits that apply to the last few days prior to a contract’s expiration will impact it. For the six months ended June 30, 2021, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

The regulation of commodity interest trading in the United States and other countries is an evolving area of the law. The various statements made in this summary are subject to modification by legislative action and changes in the rules and regulations of the SEC, Financial Industry Regulatory Authority (“FINRA”), the CFTC, the NFA, the futures exchanges, clearing organizations and other regulatory bodies. Pending final resolution of all applicable regulatory requirements, some examples of how new rules and regulations could impact the Trust Series are discussed in “Item 1. Business” and “Item 1A. Risk Factors” in this quarterly report on Form 10-Q.

### Futures Contracts and Position Limits

The CFTC is generally prohibited by statute from regulating trading on non-U.S. futures exchanges and markets. The CFTC, however, has adopted regulations relating to the marketing of non-U.S. futures contracts in the United States. These regulations permit certain contracts on non-U.S. exchanges to be offered and sold in the United States.

On October 15, 2020, the CFTC approved the Position Limits Rule. The Position Limits Rule establishes federal position limits for 25 core referenced futures contracts (comprised of agricultural, energy and metals futures contracts), futures and options linked to the core referenced futures contracts, and swaps that are economically equivalent to the core referenced futures contracts. The Position Limits Rule sets position limits for the spot month and non-spot month; however, the non-spot month limits only apply in respect of the agricultural futures contracts that are currently subject to position limits under Part 150 of the CFTC regulations (the “legacy agricultural contracts”). With respect to regulatory oversight, the Position Limits Rule delegates authority to designated contract markets and swap execution facilities to oversee certain aspects of the position limits framework. In addition to setting the federal position limits, the Position Limits Rule also provides several exemptions from such position limits, including an expanded list of enumerated bona fide hedge exemptions and certain spread exemptions. Further, the Position Limits Rule sets forth two alternative processes for pursuing an exemption for non-enumerated hedge positions. Other than for the legacy agricultural contracts, compliance with the limits imposed by the Position Limits Rule will not be required until 2022, except that economically equivalent swaps need not comply with the Position Limits Rule until 2023.

Certain Applicable Benchmark Component Futures Contracts will be subject to position limits under the Position Limits Rule, and the Trust Series’ trading does not qualify as an enumerated bona fide hedge. Accordingly, the Position Limits Rule could negatively impact the ability of the Trust Series to meet their investment objectives by inhibiting USCF’s ability to effectively invest the proceeds from sales of Creation Baskets of the Trust Series in particular amounts and types of its permitted investments.

Until such time as compliance with the Position Limits Rule is required, the regulatory architecture in effect prior to the adoption of the Position Limit Rules will govern transactions in commodities and related derivatives. Under that system, the CFTC enforces federal limits on speculation in the nine legacy agricultural contracts, while futures exchanges establish and enforce position limits and accountability levels for other agricultural products and certain energy products (e.g., oil and natural gas).

Under existing CFTC regulations and the Position Limits Rule, for the purpose of position limits, a market participant is generally required, subject to certain narrow exceptions, to aggregate all positions for which that participant controls the trading decisions with all positions for which that participant has a 10 percent or greater ownership interest in an account or position, as well as the positions of two or more persons acting pursuant to an express or implied agreement or understanding with that market participant (the “Aggregation Rules”).

#### OTC Swaps

In October 2015, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC, the Farm Credit Administration, and the Federal Housing Finance Agency (each an “Agency” and, collectively, the “Agencies”) jointly adopted final rules to establish minimum margin and capital requirements for registered swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants (“Swap Entities”) that are subject to the jurisdiction of one of the Agencies (such entities, “Covered Swap Entities”, and the joint final rules, the “Final Margin Rules”).

The Final Margin Rules will subject non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and Swap Entities, and between Covered Swap Entities and financial end users that have material swaps exposure (i.e., an average daily aggregate notional of $8 billion or more in non-cleared swaps calculated in accordance with the Final Margin Rules), to a mandatory two-way minimum initial margin requirement. The minimum amount of the initial margin required to be posted or collected would be either the amount calculated by the Covered Swap Entity using a standardized schedule set forth as an appendix to the Final Margin Rules, which provides the gross initial margin (as a percentage of total notional exposure) for certain asset classes, or an internal margin model of the Covered Swap Entity conforming to the requirements of the Final Margin Rules that is approved by the Agency having jurisdiction over the particular Covered Swap Entity. The Final Margin Rules specify the types of collateral that may be posted or collected as initial margin for non-cleared swaps and non-cleared security-based swaps with financial end users (generally cash, certain government, government-sponsored enterprise securities, certain liquid debt, certain equity securities, certain eligible publicly traded debt, and gold); and sets forth haircuts for certain collateral asset classes.

The Final Margin Rules require minimum variation margin to be exchanged daily for non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and Swap Entities and between Covered Swap Entities and all financial end-users (without regard to the swaps exposure of the particular financial end-user). The minimum variation margin amount is the daily mark-to-market change in the value of the swap to the Covered Swap Entity, taking into account variation margin previously posted or collected. For non-cleared swaps and security-based swaps between Covered Swap Entities and financial end-users, variation margin may be posted or collected in cash or non-cash collateral that is considered eligible for initial margin purposes. Variation margin is not subject to segregation with an independent, third-party custodian, and may, if permitted by contract, be rehypothecated.

The initial margin requirements of the Final Margin Rules are being phased in over time, and the variation margin requirements of the Final Margin Rules are currently in effect. Each of the Trust Series is not a Covered Swap Entity under the Final Margin Rules, but it is a financial end-user. Accordingly, each of the Trust Series is currently subject to the variation margin requirements of the Final Margin Rules. However, each of the Trust Series does not have material swaps exposure and, accordingly, will not be subject to the initial margin requirements of the Final Margin Rules.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) required the CFTC and the SEC to adopt their own margin rules to apply to a limited number of registered swap dealers, security-based swap dealers, major swap participants, and major security-based swap participants that are not subject to the jurisdiction of one of the Agencies. On December 16, 2015 the CFTC finalized its margin rules, which are substantially the same as the Final Margin Rules and have the same implementation timeline. The SEC adopted margin rules for security-based swap dealers and major security-based swap participants on June 21, 2019. The SEC’s margin rules are generally aligned with the Final Margin Rules and the CFTC’s margin rules, but they differ in a few key respects relating to timing for compliance and the manner in which initial margin must be segregated. The Trust Series do not currently engage in security-based swap transactions and, therefore, the SEC’s margin rules are not expected to apply to any Trust Series.

### Mandatory Trading and Clearing of Swaps

CFTC regulations require that certain swap transactions be executed on organized exchanges or “swap execution facilities” and cleared through regulated clearing organizations (“derivative clearing organizations” (“DCOs”)), if the CFTC mandates the central clearing of a particular class of swap and such swap is “made available to trade” on a swap execution facility. Currently, swap dealers, major swap participants, commodity pools, certain private funds and entities predominantly engaged in activities that are financial in nature are required to execute on a swap execution facility, and clear, certain interest rate swaps and index-based credit default swaps. As a result, if a Trust Series enters into an interest rate or index-based credit default swap that is subject to these requirements, such swap will be required to be executed on a swap execution facility and centrally cleared. Mandatory clearing and “made available to trade” determinations with respect to additional types of swaps may be issued in the future, and, when finalized, could require each Trust Series to electronically execute and centrally clear certain OTC instruments presently entered into and settled on a bi-lateral basis. If a swap is required to be cleared, initial and variation margin requirements are set by the relevant clearing organization, subject to certain regulatory requirements and guidelines. Additional margin may be required and held by a Trust Series’ FCM.

### Other Requirements for Swaps

Swaps that are not required to be cleared and executed on a SEF but that are executed bilaterally are also subject to various requirements pursuant to CFTC regulations, including, among other things, reporting and recordkeeping requirements and, depending on the status of the counterparties, trading documentation requirements and dispute resolution requirements.

### Derivatives Regulations in Non-U.S. Jurisdictions

In addition to U.S. laws and regulations, a Trust Series may be subject to non-U.S. derivatives laws and regulations if it engages in futures and/or swap transactions with non-U.S. persons. For example, each Trust Series may be impacted by European laws and regulations to the extent that it engages in futures transactions on European exchanges or derivatives transactions with European entities. Other jurisdictions impose requirements applicable to futures and derivatives that are similar to those imposed by the U.S., including position limits, margin, clearing and trade execution requirements.

#### Money Market Funds

The SEC adopted amendments to Rule 2a-7 under the Investment Company Act of 1940, as amended (“1940 Act”) which became effective in 2016, to reform money market funds (“MMFs”). While the rule applies only to MMFs, it may indirectly affect institutional investors such as the Trust Series. A portion of the assets of each Trust Series that are not used for margin or collateral in the Futures Contracts currently are invested in government MMFs. No Trust Series holds any non-government MMFs and neither Trust Series anticipates investing in any non-government MMFs. However, if a Trust Series invests in other types of MMFs besides government MMFs in the future, such Trust Series could be negatively impacted by investing in an MMF that does not maintain a stable $1.00 NAV or that has the potential to impose redemption fees and gates (temporary suspension of redemptions).

Although such government MMFs seek to preserve the value of an investment at $1.00 per share, there is no guarantee that they will be able to do so and a Trust Series may lose money by investing in a government MMF. An investment in a government MMF is not insured or guaranteed by the Federal Deposit Insurance Corporation, referred to herein as the FDIC, or any other government agency. The share price of a government MMF can fall below the $1.00 share price. A Trust Series cannot rely on or expect a government MMF’s adviser or its affiliates to enter into support agreements or take other actions to maintain the government MMF’s $1.00 share price. The credit quality of a government MMF’s holdings can change rapidly in certain markets, and the default of a single holding could have an adverse impact on the government MMF’s share price. Due to fluctuations in interest rates, the market value of securities held by a government MMF may vary. A government MMF’s share price can also be negatively affected during periods of high redemption pressures and/or illiquid markets.

### Commodity Markets

### Commodity Futures Price Movements

### Six Months Ended June 30, 2021

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited a mostly upward trend during the six months ended June 30, 2021. The table below compares the total returns of the SDCI to the three major diversified commodity indexes over this time period.

| ​ ​ | ​ ​ |
| --- | ---: |
| SummerHaven Dynamic Commodity Index Total ReturnSM (“SDCI”)(1) | 24.91% |
| S&P GSCI Commodity Index (GSCI®) Total Return(2) | 31.40% |
| Bloomberg Commodity Index Total Return(2) | 21.15% |
| Deutsche Bank Liquid Commodity Index-Optimum Yield Total ReturnTM(2) | 31.75% |

(1) The inception date for the SummerHaven Dynamic Commodity Index Total ReturnSM is December 2009.

(2) Source: Bloomberg

The value of the SDCI as of December 31, 2020 was $1,089.40. As of June 30, 2021, the value of the SDCI was $1,360.72, up approximately 24.91% over the six months ended June 30, 2021.

The return of approximately 24.91% on the SDCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. USCI’s per share NAV began the period at $32.58 and ended the period at $40.46 on June 30, 2021, an increase of approximately 24.19% over the period. See “*Tracking Each Trust Series’ Benchmark”* below for information about how expenses and income affect USCI’s per share NAV.

### Copper Markets

### Copper Futures Price Movements

### Six Months Ended June 30, 2021

As measured by the two major copper indexes, copper futures prices exhibited a mostly upward trend during the six months ended June 30, 2021. The table below compares the total returns of the SCI to the Bloomberg Copper Subindex Total Return over this time period.

| ​ ​ | ​ ​ |
| --- | ---: |
| SummerHaven Copper Index Total ReturnSM(“SCI”)(1) | 21.38% |
| Bloomberg Copper Subindex Total Return(2) | 21.50% |

(1) The inception date for the SummerHaven Copper Index Total ReturnSM is November 2010.

(2) Source: Bloomberg

The value of the SCI as of December 31, 2020 was $1,124.23. As of June 30, 2021, the value of the SCI was $1,364.57, up approximately 21.38% over the six months ended June 30, 2021.

The return of approximately 21.38% on the SCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. CPER’s per share NAV began the period at $21.72 and ended the period at $26.30 on June 30, 2021, an increase of approximately 21.09% over the period. See “*Tracking Each Trust Series’ Benchmark”* below for information about how expenses and income affect CPER’s per share NAV.

Copper futures markets have risen dramatically since March of 2020. The price of the front month copper futures contract peaked at a high of $4.7785 per pound before declining to end the second quarter of 2021 at $4.2965 per pound. Year-to-date, the front month copper futures contract rose from $3.5190 on December 31, 2020 to end the second quarter of 2021 with a gain of 22.09%. The recent pullback in copper prices is likely due to a simultaneous reversal of China policy towards the metal. Where China had been increasing inventories since the early days of the pandemic, the nation is now selling copper with an eye towards dampening runaway prices. China’s stance plus the new wave of COVID-19 cases and variants in the United States and around the world are headwinds in the short-term. Long-term, copper demand is likely to remain robust and supply is also likely to remain constrained and slow to respond to demand increases.

### Valuation of Futures Contracts and the Computation of the Per Share NAV

Each Trust Series’ NAV is calculated once each NYSE Arca trading day. The per share NAV for a particular trading day is released after 4:00 p.m. New York time. Trading during the core trading session on the NYSE Arca typically closes at 4:00 p.m. New York time. The Trust Series’ Administrator uses the closing prices on the relevant Futures Exchanges of the Applicable Benchmark Component Futures Contracts (determined at the earlier of the close of such exchange or 2:30 p.m. New York time) for the contracts held on the Futures Exchanges, but calculates or determines the value of all other investments of such Trust Series using market quotations, if available, or other information customarily used to determine the fair value of such investments.

### Results of Operations

On July 30, 2010, USCI received a notice of effectiveness from the SEC for its registration of 50,000,000 shares on Form S-1 with the SEC. On August 10, 2010, USCI listed its shares on the NYSE Arca under the ticker symbol “USCI.” USCI established its initial offering per share NAV by setting the price at $50 and issued 100,000 shares to the initial Authorized Participant, Merrill Lynch Professional Clearing Corp., in exchange for $5,000,000 in cash on August 10, 2010. USCI commenced investment operations on August 10, 2010 by purchasing Futures Contracts traded on the Futures Exchanges. In order to satisfy NYSE Arca listing standards that at least 100,000 shares be outstanding at the beginning of the trading day on the NYSE Arca, USCF purchased the initial Creation Basket from the initial Authorized Participant at the initial offering price. The $1,000 fee that would otherwise be charged to the Authorized Participant in connection with an order to create or redeem was waived in connection with the initial Creation Basket. USCF agreed not to resell the shares comprising such basket except that it may require the initial Authorized Participant to repurchase all of these shares at a per share price equal to USCI’s per share NAV within five days following written notice from USCF, subject to the conditions that: (i) on the date of repurchase, the initial Authorized Participant must immediately redeem these shares in accordance with the terms of the Authorized Participant Agreement and (ii) immediately following such redemption at least 100,000 shares of USCI remain outstanding. USCF held such initial Creation Basket until September 3, 2010, at which time the initial Authorized Participant repurchased the shares comprising such basket in accordance with the specified conditions noted above. On September 14, 2011, USCF redeemed the 20 Sponsor Shares of USCI, and on September 19, 2011, USCF purchased five shares of USCI in the open market.

Since its initial offering of 50,000,000 shares, USCI has registered 10,000,000 additional shares as of June 30, 2021. As of June 30, 2021, USCI had issued 38,550,000 shares, 5,800,000 of which were outstanding. As of June 30, 2021, there were 21,450,000 shares registered but not yet issued. More shares may have been issued by USCI than are outstanding due to the redemption of shares.

Since its initial offering of 30,000,000 shares, CPER has registered 50,000,000 additional shares as of June 30, 2021. As of June 30, 2021, CPER had issued 16,600,000 shares, 11,650,000 of which were outstanding. As of June 30, 2021, there were 63,400,000 shares registered but not yet issued. More shares may have been issued by CPER than are outstanding due to the redemption of shares.

USCF and the Trustee entered into the Fourth Amended and Restated Declaration of Trust and Trust Agreement effective as of December 15, 2017. A new series of the Trust, the USCF Crescent Crypto Index Fund (“XBET”) was formed on May 7, 2019. A registration statement that had been previously filed for XBET was withdrawn on June 25, 2020. Additional series of the Trust included: the USCF Canadian Crude Oil Index Fund (“UCCO”), which never commenced operations and was terminated as a series on May 8, 2019.

Unlike funds that are registered under the 1940 Act, shares that have been redeemed by the Trust Series cannot be resold. As a result, each Trust Series contemplates that additional offerings of its shares will be registered with the SEC in the future in anticipation of additional issuances and redemptions.

As of June 30, 2021, USCI and CPER had the following Authorized Participants: BNP Paribas Securities Corp., Citadel Securities LLC, Credit Suisse Securities USA LLC, Goldman Sachs & Company, Jefferies LLC, JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Co., RBC Capital Markets LLC and Virtu Financial BD LLC.

#### For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

### USCI

| ​ ​ ​ | ​ ​ | ​ ​ ​ Six months ended June 30, 2021 ​ | ​ ​ ​ Six months ended June 30, 2020 ​ |
| --- | --- | ---: | ---: |
| Average daily total net assets | ​ | $178,890,522 ​ | $143,149,422 ​ |
| Dividend and interest income earned on Treasuries, cash and/or cash equivalents | ​ | $20,865 ​ | $974,204 ​ |
| Annualized yield based on average daily total net assets | ​ | 0.02% | 1.37% |
| Management fee | ​ | $709,681 ​ | $569,468 ​ |
| Total fees and other expenses excluding management fees | ​ | $219,782 ​ | $224,052 ​ |
| Fees and expenses related to the registration or offering of additional shares | ​ | $13,017 ​ | $— ​ |
| Total commissions accrued to brokers | ​ | $67,660 ​ | $76,374 ​ |
| Total commissions as annualized percentage of average total net assets | ​ | 0.08% | 0.11% |
| Commissions accrued as a result of rebalancing | ​ | $60,647 ​ | $73,525 ​ |
| Percentage of commissions accrued as a result of rebalancing | ​ | 89.63% | 96.27% |
| Commissions accrued as a result of creation and redemption activity | ​ | $7,013 ​ | $2,849 ​ |
| Percentage of commissions accrued as a result of creation and redemption activity | ​ | 10.37% | 3.73% |

*Portfolio Expenses*. USCI’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that USCI pays to USCF is calculated as a percentage of the total net assets of USCI. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were lower during the six months ended June 30, 2021, compared to the six months ended June 30, 2020. As a result, the amount of income earned by USCI as a percentage of average daily total net assets was lower during the six months ended June 30, 2021, compared to the six months ended June 30, 2020. To the degree that the aggregate yield is lower, the net expense ratio, inclusive of income, will be higher.

The decrease in total fees and other expenses excluding management fees for the six months ended June 30, 2021, compared to the six months ended June 30, 2020 was due primarily to a decrease in total commissions accrued to brokers and director fees and insurance.

The decrease in total commissions accrued to brokers for the six months ended June 30, 2021, compared to the six months ended June 30, 2020, was due primarily to no half-turn commission expense offset.

#### For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

### USCI

| ​ ​ ​ ​ | ​ ​ ​ | ​ ​ ​ Three months ​ ended ​ June 30, 2021 | ​ ​ ​ Three months ended June 30, 2020 |
| --- | --- | ---: | ---: |
| Average daily total net assets | ​ | $201,142,649 ​ | $124,332,532 ​ |
| Dividend and interest income earned on Treasuries, cash and/or cash equivalents | ​ | $13,177 ​ | $329,508 ​ |
| Annualized yield based on average daily total net assets | ​ | 0.03% | 1.07% |
| Management fee | ​ | $401,183 ​ | $247,306 ​ |
| Total fees and other expenses excluding management fees | ​ | $126,388 ​ | $101,518 ​ |
| Fees and expenses related to the registration or offering of additional shares | ​ | $9,871 ​ | $— ​ |
| Total commissions accrued to brokers | ​ | $30,288 ​ | $21,219 ​ |
| Total commissions as annualized percentage of average total net assets | ​ | 0.06% | 0.07% |
| Commissions accrued as a result of rebalancing | ​ | $28,624 ​ | $20,735 ​ |
| Percentage of commissions accrued as a result of rebalancing | ​ | 94.51% | 97.72% |
| Commissions accrued as a result of creation and redemption activity | ​ | $1,664 ​ | $484 ​ |
| Percentage of commissions accrued as a result of creation and redemption activity | ​ | 5.49% | 2.28% |

*Portfolio Expenses*. USCI’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that USCI pays to USCF is calculated as a percentage of the total net assets of USCI. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were lower during the three months ended June 30, 2021, compared to the three months ended June 30, 2020. As a result, the amount of income earned by USCI as a percentage of average daily total net assets was lower during the three months ended June 30, 2021, compared to the three months ended June 30, 2020.

The increase in total fees and other expenses excluding management fees for the three months ended June 30, 2021, compared to the three months ended June 30, 2020 was due primarily to an increase in total net assets.

The increase in total commissions accrued to brokers for the three months ended June 30, 2021, compared to the three months ended June 30, 2020, was due primarily to a higher number of Commodity Futures Contracts being held and traded.

#### For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

### CPER

| ​ ​ ​ | ​ ​ | ​ ​ ​ Six months ended ​ June 30, 2021 | ​ ​ ​ Six months ended ​ June 30, 2020 ​ |
| --- | --- | ---: | ---: |
| Average daily total net assets | ​ | $208,651,751 ​ | $9,232,998 ​ |
| Dividend and interest income earned on Treasuries, cash and/or cash equivalents | ​ | $25,554 ​ | $46,767 ​ |
| Annualized yield based on average daily total net assets | ​ | 0.02% | 1.02% |
| Management fee | ​ | $672,545 ​ | $29,843 ​ |
| Total fees and other expenses excluding management fees | ​ | $257,652 ​ | $30,496 ​ |
| Total amount of the expense waiver | ​ | $63,274 ​ | $23,609 ​ |
| Expenses before the allowance of the expense waiver | ​ | $930,197 ​ | $60,339 ​ |
| Expenses after the allowance of the expense waiver | ​ | $866,923 ​ | $36,730 ​ |
| Fees and expenses related the registration or offering of additional shares | ​ | $46,239 ​ | $— ​ |
| Total commissions accrued to brokers | ​ | $22,322 ​ | $2,568 ​ |
| Total commissions as annualized percentage of average total net assets | ​ | ​ 0.02% | ​ 0.06% |
| Commissions accrued as a result of rebalancing | ​ | $10,285 ​ | $2,306 ​ |
| Percentage of commissions accrued as a result of rebalancing | ​ | ​ 46.08% | 89.79% |
| Commissions accrued as a result of creation and redemption activity | ​ | $12,037 ​ | $262 ​ |
| Percentage of commissions accrued as a result of creation and redemption activity | ​ | 53.92% | 10.21% |

*Portfolio Expenses*. CPER’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that CPER pays to USCF is calculated as a percentage of the total net assets of CPER. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were lower during the six months ended June 30, 2021, compared to the six months ended June 30, 2020. As a result, the amount of income earned by CPER as a percentage of average daily total net assets was lower during the six months ended June 30, 2021, compared to the six months ended June 30, 2020. To the degree that the aggregate yield is lower, the net expense ratio, inclusive of income, will be higher.

The increase in total fees and other expenses excluding management fees for the six months ended June 30, 2021, compared to the six months ended June 30, 2020 was due primarily to an increase in total commissions accrued to brokers and director fees and insurance.

The increase in total commissions accrued to brokers for the six months ended June 30, 2021, compared to the six months ended June 30, 2020, was due primarily to a higher number of Commodity Futures Contracts being held and traded.

#### For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

### CPER

| ​ ​ ​ ​ | ​ ​ ​ | ​ ​ ​ Three months ​ ended ​ June 30, 2021 | ​ ​ ​ Three months ended June 30, 2020 |
| --- | --- | ---: | ---: |
| Average daily total net assets | ​ | $286,009,762 ​ | $10,369,875 ​ |
| Dividend and interest income earned on Treasuries, cash and/or cash equivalents | ​ | $18,443 ​ | $16,102 ​ |
| Annualized yield based on average daily total net assets | ​ | 0.03% | 0.62% |
| Management fee | ​ | $463,493 ​ | $16,759 ​ |
| Total fees and other expenses excluding management fees | ​ | $175,070 ​ | $23,072 ​ |
| Total amount of the expense waiver | ​ | $28,935 ​ | $19,204 ​ |
| Expenses before the allowance of the expense waiver | ​ | $638,563 ​ | $39,831 ​ |
| Expenses after the allowance of the expense waiver | ​ | $609,628 ​ | $20,627 ​ |
| Fees and expenses related the registration or offering of additional shares | ​ | $35,361 ​ | $— ​ |
| Total commissions accrued to brokers | ​ | $13,335 ​ | $1,930 ​ |
| Total commissions as annualized percentage of average total net assets | ​ | 0.02% | 0.07% |
| Commissions accrued as a result of rebalancing | ​ | $8,638 ​ | $1,766 ​ |
| Percentage of commissions accrued as a result of rebalancing | ​ | 64.78% | 91.50% |
| Commissions accrued as a result of creation and redemption activity | ​ | $4,697 ​ | $164 ​ |
| Percentage of commissions accrued as a result of creation and redemption activity | ​ | 35.22% | 8.50% |

*Portfolio Expenses*. CPER’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that CPER pays to USCF is calculated as a percentage of the total net assets of CPER. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were lower during the three months ended June 30, 2021, compared to the three months ended June 30, 2020. As a result, the amount of income earned by CPER as a percentage of average daily total net assets was lower during the three months ended June 30, 2021, compared to the three months ended June 30, 2020.

The increase in total fees and other expenses excluding management fees for the three months ended June 30, 2021, compared to the three months ended June 30, 2020 was due primarily to an increase in total commissions accrued to brokers and expenses related to the increase in total net assets.

The increase in total commissions accrued to brokers for the three months ended June 30, 2021, compared to the three months ended June 30, 2020, was due primarily to a higher number of Commodity Futures Contracts being held and traded.

### Tracking Each Trust Series’ Benchmark

USCF seeks to manage each Trust Series’ portfolio such that changes in its average daily per share NAV, on a percentage basis, closely track the daily changes in the average price of the Applicable Index, also on a percentage basis. Specifically, USCF seeks to manage the portfolio such that over any rolling period of 30-valuation days, the average daily change in a Trust Series’ per share NAV is within a range of 90% to 110% (0.9 to 1.1) of the average daily change in the price of the Applicable Index. As an example, if the average daily movement of the price of the Applicable Index for a particular 30-valuation day time period was 0.50% per day, USCF would attempt to manage the portfolio such that the average daily movement of the per share NAV during that same time period fell between 0.45% and 0.55% (i.e., between 0.9 and 1.1 of the Applicable Index’s results). Each Trust Series’ portfolio management goals do not include trying to make the nominal price of its per share NAV equal to the nominal price of the Applicable Index, the nominal price of any particular commodity Futures Contract or the spot price for any particular commodity. USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in listed Futures Contracts and Other-Related Investments.

### USCI

For the 30-valuation days ended June 30, 2021, the simple average daily change in the SDCI was (0.001)%, while the simple average daily change in the per share NAV of USCI over the same time period was (0.007)%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (10.510)%, meaning that over this time period USCI’s tracking error was not within the plus or minus 10% range established as its benchmark tracking goal.

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 to June 30, 2021, the simple average daily change in the SDCI was 0.001%, while the simple average daily change in the per share NAV of USCI over the same time period was (0.005)%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (7.238)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

The following two charts demonstrate the correlation between the changes in SDCI’s NAV and the changes in the SDCI. The first chart below shows the daily movement of USCI’s per share NAV versus the daily movement of the SDCI for the 30-valuation day period ended June 30, 2021, the last trading day in June. The second chart below shows the monthly total returns of USCI as compared to the monthly value of the SDCI for the five years ended June 30, 2021.

An alternative tracking measurement of the return performance of USCI versus the return of its SDCI can be calculated by comparing the actual return of USCI, measured by changes in its per share NAV, versus the expected changes in its per share NAV under the assumption that USCI’s returns had been exactly the same as the daily changes in its SDCI.

For the six months ended June 30, 2021, the actual total return of USCI as measured by changes in its per share NAV was 24.19%. This is based on an initial per share NAV of $32.58 as of December 31, 2020 and an ending per share NAV as of June 30, 2021 of $40.46. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $40.69 as of June 30, 2021, for a total return over the relevant time period of 24.89%. The difference between the actual per share NAV total return of USCI of 24.19% and the expected total return based on the SDCI of 24.89% was a difference over the time period of (0.70)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage. USCI incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USCI to track slightly lower or higher than daily changes in the price of the SDCI. These expenses are offset in part by the income that USCI collects on its cash and cash equivalent holdings. During the period ended June 30, 2021, USCI earned interest income of $2,090, which is equivalent to a weighted average income rate of approximately 0.09% for such period. In addition, during the period ended June 30, 2021, USCI also collected $9,100 from its Authorized Participants for creating or redeeming baskets of shares and earned $18,775 in dividend income. This income also contributed to USCI’s actual total return. However, if the total assets of USCI continue to increase, USCF believes that the impact on actual total returns of these fees from creations and redemptions will diminish as a percentage of the actual total return. During the period ended June 30, 2021, USCI incurred total expenses of $(929,463). Total expenses, net of interest, dividends and Authorized Participant collections net of expenses was $(899,498), which is equivalent to a weighted average net loss rate of approximately (37.72)% for the period ended June 30, 2021.

By comparison, for the six months ended June 30, 2020, the actual total return of USCI as measured by changes in its per share NAV was (27.75)%. This was based on an initial per share NAV of $36.87 as of December 31, 2019 and an ending per share NAV as of June 30, 2020 of $26.64. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $26.59 as of June 30, 2020, for a total return over the relevant time period of (27.88)%. The difference between the actual per share NAV total return of USCI of (27.75)% and the expected total return based on the SDCI of (27.88)% was a difference over the time period of 0.13%, which is to say that USCI’s actual total return outperformed its benchmark by that percentage. USCI incurred expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tended to cause daily changes in the per share NAV of USCI to track slightly lower or higher than daily changes in the price of the SDCI. These expenses were offset in part by the income that USCI collects on its cash and cash equivalent holdings. During the period ended June 30, 2020, USCI earned interest income of $900,602, which is equivalent to a weighted average income rate of approximately 37.37% for such period. In addition, during the period ended June 30, 2020, USCI also collected $5,600 from its Authorized Participants for creating or redeeming baskets of shares and earned $73,602 in dividend income. This income also contributed to USCI’s actual total return. However, if the total assets of USCI continue to increase, USCF believes that the impact on actual total returns of these fees from creations and redemptions will diminish as a percentage of the actual total return. During the period ended June 30, 2020, USCI incurred total expenses of ($793,520). Income from interest, dividends and Authorized Participant collections, net of expenses, was $186,284, which is equivalent to a weighted average net income rate of approximately 7.71% for the period ended June 30, 2020.

### CPER

For the 30-valuation days ended June 30, 2021, the simple average daily change in the SCI was (0.318)%, while the simple average daily change in the per share NAV of CPER over the same time period was (0.321)%. The average daily difference was (0.003)% (or (0.3) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was (1.858)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 to June 30, 2021, the simple average daily change in the SCI was 0.014%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.010%. The average daily difference was (0.004)% (or (0.4) basis points, where 1 basis point equals 1/100 of 1)%. As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was (3.233)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

The following two charts demonstrate the correlation between the changes in CPER’s NAV and the changes in the SCI. The first chart below shows the daily movement of CPER’s per share NAV versus the daily movement of the SCI for the 30-valuation day period ended June 30, 2021, the last trading day in June. The second chart below shows the monthly total returns of CPER as compared to the monthly value of the SCI for the five years ended June 30, 2021.

An alternative tracking measurement of the return performance of CPER versus the return of its SCI can be calculated by comparing the actual return of CPER, measured by changes in its per share NAV, versus the expected changes in its per share NAV under the assumption that CPER’s returns had been exactly the same as the daily changes in its SCI.

For the six months ended June 30, 2021, the actual total return of CPER as measured by changes in its per share NAV was 21.09%. This is based on an initial per share NAV of $21.72 as of December 31, 2020 and an ending per share NAV as of June 30, 2021 of $26.30. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $26.36 as of June 30, 2021, for a total return over the relevant time period of 21.36%. The difference between the actual per share NAV total return of CPER of 21.09% and the expected total return based on the SCI of 21.36% was an error over the time period of (0.27)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI. These expenses are offset in part by the income that CPER collects on its cash and cash equivalent holdings. During the period ended June 30, 2021, CPER earned interest income of $2,154, which is equivalent to a weighted average income rate of approximately 0.05% for such period. During the period ended June 30, 2021, CPER collected $23,100 in fees from its Authorized Participants for creating or redeeming baskets of shares and earned $23,400 in dividend income. During the period ended June 30, 2021, CPER incurred after reimburstment expenses of $(866,923). Total net expenses, net of interest, dividends and Authorized Participant collections net of expenses was $(818,269), which is equivalent to a weighted average net loss rate of approximately (20.55)% for the period ended June 30, 2021.

By comparison, for the six months ended June 30, 2020, the actual total return of CPER as measured by changes in its per share NAV was (3.13)%. This was based on an initial per share NAV of $17.54 as of December 31, 2019 and an ending per share NAV as of June 30, 2020 of $16.99. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $17.05 as of June 30, 2020, for a total return over the relevant time period of (2.79)%. The difference between the actual per share NAV total return of CPER of (3.13)% and the expected total return based on the SCI of (2.79)% was an error over the time period of (0.34)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurred expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tended to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI. These expenses were offset in part by the income that CPER collects on its cash and cash equivalent holdings. During the period ended June 30, 2020, CPER earned interest income of $41,422, which is equivalent to a weighted average income rate of approximately 28.22% for such period. During the period ended June 30, 2020, CPER collected $3,154 in fees from its Authorized Participants for creating or redeeming baskets of shares and earned $5,345 in dividend income. During the period ended June 30, 2020, CPER incurred after reimburstment expenses of ($36,730). Income from interest and Authorized Participant collections, net of expenses was $13,191, which is equivalent to a weighted average net income rate of approximately 4.47% for the period ended June 30, 2020.

### Factors That Can Impact Ability to Track the Applicable Index

There are currently five factors that have impacted or are most likely to impact a Trust Series’ ability to accurately track its Applicable Index.

First, a Trust Series may buy or sell its holdings in the then current Applicable Benchmark Component Futures Contracts at a price other than the closing settlement price of that contract on the day during which such Trust Series executes the trade. In that case, a Trust Series may pay a price that is higher, or lower, than that of the Applicable Benchmark Component Futures Contracts, which could cause the changes in the daily per share NAV of a Trust Series to either be too high or too low relative to the daily changes in the price of the Applicable Index. USCF attempts to minimize the effect of these transactions by seeking to execute its purchase or sale of the Applicable Benchmark Component Futures Contracts at, or as close as possible to, the end of the day settlement price. However, it may not always be possible for a Trust Series to obtain the closing settlement price and there is no assurance that failure to obtain the closing settlement price in the future will not adversely impact a Trust Series’ attempt to track the Applicable Index.

Second, each Trust Series incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses tends to cause daily changes in the per share NAV of such Trust Series to track slightly lower than daily changes in the price of the Applicable Index. At the same time, each Trust Series earns dividend and interest income on its cash, cash equivalents and Treasuries. A Trust Series is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the six months ended June 30, 2021. Interest payments, and any other income, were retained within the portfolio and added to each Trust Series’ NAV. When this income exceeds the level of a Trust Series’ expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees, licensing fees and the fees and expenses of the independent directors of USCF), such Trust Series realizes a net yield that will tend to cause daily changes in the per share NAV of such Trust Series to track slightly higher than daily changes in the price of the Applicable Index. If short-term interest rates rise above the current levels, the level of deviation created by the yield would increase. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would decrease. When short-term yields drop to a level lower than the combined expenses of the management fee and the brokerage commissions, then the tracking error becomes a negative number and would tend to cause the daily returns of the per share NAV to underperform the daily returns of the Applicable Index. USCF anticipates that interest rates may continue to increase over the near future from historical lows. However, it is anticipated that fees and expenses paid by each Trust Series may continue to be higher than interest earned by each Trust Series. As such, USCF anticipates that each Trust Series could possibly underperform its benchmark so long as interest earned is less than the fees and expenses paid by each Trust Series.

Third, a Trust Series may hold Futures Contracts in a particular commodity other than the one specified as the Applicable Benchmark Component Futures Contract, or may hold Other Related Investments in its portfolio that may fail to closely track the Applicable Index’s total return movements. Taking USCI as an example, assume for a given month one of the Benchmark Component Futures Contracts is the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” for the contract month of November 2020. It is possible that USCI could hold a NYMEX WTI financially settled Futures Contract, trading under the symbol “WS,” for the contract month of November 2020. Alternatively, and using the same example, USCI could hold the ICE WTI financially settled Futures Contract, also for the contract month of November 2020. As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2020. During the six months ended June 30, 2021, no Trust Series held any Other Related Investments.

Fourth, a Trust Series could hold Other-Related Investments. In that case, the error in tracking the Applicable Index could result in daily changes in the per share NAV of a Trust Series that are either too high, or too low, relative to the daily changes in the price of the Applicable Index. During the six months ended June 30, 2021, none of the Trust Series held any Other-Related Investments, but did, at times, hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract. If any Trust Series increases in size, and due to its obligations to comply with regulatory limits, or due to other market pricing or liquidity factors, such Trust Series may invest in Futures Contract months other than the designated month specified as the Applicable Benchmark Component Futures Contract, or in Other-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

Finally, a Trust Series could hold the same Futures contracts as its benchmark but at a different weight. This is due to the fact that the benchmark can theoretically own a fractional percentage of a Futures contract but a Trust Series must own a full contract. For a Trust Series with smaller asset base, this percentage difference can have a material impact.

### SDCI

The SDCI is a commodity sector index designed to broadly represent major commodities while overweighting the components that are assessed to be in a low inventory state and underweighting the components assessed to be in a high inventory state. The SDCI is designed to reflect the performance of a fully margined or collateralized portfolio of 14 eligible commodity futures contracts with equal weights, selected each month from a universe of 27 eligible commodity futures contracts. The SDCI is rules-based and rebalanced monthly based on observable price signals. In this context, the term “rules-based” is meant to indicate that the composition of the SDCI in any given month will be determined by quantitative formulas relating to the prices of the futures contracts that relate to the commodities that are eligible to be included in the SDCI. Such formulas are not subject to adjustment based on other factors.

The overall return on the SDCI is generated by two components: (i) uncollateralized returns from the Benchmark Component Futures Contracts comprising the SDCI and (ii) a daily fixed income return reflecting the interest earned on a hypothetical 3-month U.S. Treasury Bill collateral portfolio, calculated using the weekly auction rate for the 3-Month U.S. Treasury Bills published by the U.S. Department of the Treasury. SHIM is the owner of the SDCI. Currently, the SDCI is composed of physical non-financial commodity futures contracts with active and liquid markets traded upon futures exchanges in major industrialized countries. The futures contracts are denominated in U.S. dollars and weighted equally by notional amount. The SDCI currently reflects commodities in five commodity sectors: petroleum (e.g., crude oil, heating oil, etc.), precious metals (e.g., gold, silver platinum), industrial metals (e.g., zinc, nickel, aluminum, copper, etc.), grains (e.g., wheat, corn, soybeans, etc.), and non-primary sector (e.g., sugar, cotton, coffee, cocoa, natural gas, live cattle, lean hogs, feeder cattle).

Table 1 below lists the eligible commodities, the relevant futures exchange on which the futures contract is listed and quotation details. Table 2 lists the eligible futures contracts, their sector designation and maximum allowable tenor.

### TABLE 1

|  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| **Commodity** |  | **Designated Contract** |  | **Exchange** |  | **Units** |  | **Quote** |
| Aluminum |  | High Grade Primary Aluminum |  | LME |  | 25 metric tons |  | USD/metric ton |
| Cocoa |  | Cocoa |  | ICE-US |  | 10 metric tons |  | USD/metric ton |
| Coffee |  | Coffee “C” |  | ICE-US |  | 37,500 lbs |  | U.S. cents/pound |
| Copper |  | Copper |  | COMEX |  | 25,000 lbs |  | U.S. cents/pound |
| Corn |  | Corn |  | CBOT |  | 5,000 bushels |  | U.S. cents/bushel |
| Cotton |  | Cotton |  | ICE-US |  | 50,000 lbs |  | U.S. cents/pound |
| Crude Oil (WTI) |  | Light, Sweet Crude Oil |  | NYMEX |  | 1,000 barrels |  | USD/barrel |
| Crude Oil (Brent) |  | Crude Oil |  | ICE-UK |  | 1,000 barrels |  | USD/barrel |
| Gas Oil |  | Gas Oil |  | ICE-UK |  | 100 metric tons |  | USD/metric ton |
| Gold |  | Gold |  | COMEX |  | 100 troy oz. |  | USD/troy oz. |
| Heating Oil |  | Heating Oil |  | NYMEX |  | 42,000 gallons |  | U.S. cents/gallon |
| Lead |  | Lead |  | LME |  | 25 metric tons |  | USD/metric ton |
| Lean Hogs |  | Lean Hogs |  | CME |  | 40,000 lbs. |  | U.S. cents/pound |
| Live Cattle |  | Live Cattle |  | CME |  | 40,000 lbs. |  | U.S. cents/pound |
| Feeder Cattle |  | Feeder Cattle |  | CME |  | 50,000 lbs. |  | U.S. cents/pound |
| Natural Gas |  | Henry Hub Natural Gas |  | NYMEX |  | 10,000 mmbtu |  | USD/mmbtu |
| Nickel |  | Primary Nickel |  | LME |  | 6 metric tons |  | USD/metric ton |
| Platinum |  | Platinum |  | NYMEX |  | 50 troy oz. |  | USD/troy oz. |
| Silver |  | Silver |  | COMEX |  | 5,000 troy oz. |  | U.S. cents/troy oz. |
| Soybeans |  | Soybeans |  | CBOT |  | 5,000 bushels |  | U.S. cents/bushel |
| Soybean Meal |  | Soybean Meal |  | CBOT |  | 100 tons |  | USD/ton |
| Soybean Oil |  | Soybean Oil |  | CBOT |  | 60,000 lbs. |  | U.S. cents/pound |
| Sugar |  | World Sugar No. 11 |  | ICE-US |  | 112,000 lbs. |  | U.S. cents/pound |
| Tin |  | Tin |  | LME |  | 5 metric tons |  | USD/metric ton |
| Unleaded Gasoline |  | Reformulated Blendstock for Oxygen Blending |  | NYMEX |  | 42,000 gallons |  | U.S. cents/gallon |
| Wheat |  | Wheat |  | CBOT |  | 5,000 bushels |  | U.S. cents/bushel |
| Zinc |  | Special High Grade Zinc |  | LME |  | 25 metric tons |  | USD/metric ton |

### TABLE 2

| ​ Commodity Symbol | ​ ​ | ​ Commodity Name | ​ ​ | ​ ​ Sector | ​ ​ | ​ ​ Allowed Contracts | ​ ​ | ​ Max. tenor |
| --- | --- | --- | --- | --- | --- | --- | --- | ---: |
| CO |  | Brent Crude |  | Petroleum |  | All 12 Calendar Months |  | 9 |
| CL |  | Crude Oil |  | Petroleum |  | All 12 Calendar Months |  | 9 |
| QS |  | Gas Oil |  | Petroleum |  | All 12 Calendar Months |  | 4 |
| HO |  | Heating Oil |  | Petroleum |  | All 12 Calendar Months |  | 4 |
| XB |  | RBOB |  | Petroleum |  | All 12 Calendar Months |  | 4 |
| BO |  | Soybean Oil |  | Grains |  | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec |  | 1 |
| C |  | Corn |  | Grains |  | Mar, May, Jul, Sep, Dec |  | 4 |
| S |  | Soybeans |  | Grains |  | Jan, Mar, May, Jul, Aug, Nov |  | 4 |
| SM |  | Soymeal |  | Grains |  | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec |  | 3 |
| W |  | Wheat (Soft Red Winter) |  | Grains |  | Mar, May, Jul, Sep, Dec |  | 4 |
| LA |  | Aluminum |  | Industrial Metals |  | All 12 Calendar months |  | 4 |
| HG |  | Copper |  | Industrial Metals |  | Mar, May, Jul, Sep, Dec |  | 1 |
| LL |  | Lead |  | Industrial Metals |  | All 12 Calendar Months |  | 4 |
| LN |  | Nickel |  | Industrial Metals |  | All 12 Calendar Months |  | 4 |
| LT |  | Tin |  | Industrial Metals |  | All 12 Calendar Months |  | 1 |
| LX |  | Zinc |  | Industrial Metals |  | All 12 Calendar Months |  | 4 |
| GC |  | Gold |  | Precious Metals |  | Feb, Apr, Jun, Aug, Oct, Dec |  | 1 |
| PL |  | Platinum |  | Precious Metals |  | Jan, Apr, Jul, Oct |  | 1 |
| SI |  | Silver |  | Precious Metals |  | Mar, May, Jul, Sep, Dec |  | 1 |
| NG | ​ | Natural Gas | ​ | Non-Primary Sector | ​ | All 12 Calendar Months | ​ | 6 |
| FC | ​ | Feeder Cattle | ​ | Non-Primary Sector | ​ | Jan, Mar, Apr, May, Aug, Sep, Oct, Nov | ​ | 1 |
| LH | ​ | Lean Hogs | ​ | Non-Primary Sector | ​ | Feb, Apr, Jun, Jul, Aug, Oct, Dec | ​ | 1 |
| LC | ​ | Live Cattle | ​ | Non-Primary Sector | ​ | Feb, Apr, Jun, Aug, Oct, Dec | ​ | 3 |
| CC |  | Cocoa |  | Non-Primary Sector |  | Mar, May, Jul, Sep, Dec |  | 1 |
| KC |  | Coffee |  | Non-Primary Sector |  | Mar, May, Jul, Sep, Dec |  | 1 |
| CT |  | Cotton |  | Non-Primary Sector |  | Mar, May, Jul, Dec |  | 1 |
| SB |  | Sugar |  | Non-Primary Sector |  | Mar, May, Jul, Oct |  | 3 |

Prior to the end of each month, SHIM determines the composition of the SDCI and provides such information to Bloomberg. Values of the SDCI are computed by Bloomberg and disseminated approximately every fifteen (15) seconds from 8:00 a.m. to 5:00 p.m., New York City time, which also publishes a daily SDCI value at approximately 5:30 p.m., New York City time, under the index ticker symbol “SDCITR:IND.” Only settlement and last-sale prices are used in the SDCI’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying SDCI may lag its theoretical value. This tendency to lag is evident at the end of the day when the SDCI value is based on the settlement prices of the Applicable Benchmark Component Futures Contracts, and explains why the underlying SDCI often closes at or near the high or low for the day.

### Composition of the SDCI

The composition of the SDCI on any given day, as determined and published by SHIM, is determinative of the benchmark for USCI. However, it is not possible to anticipate all possible circumstances and events that may occur with respect to the SDCI and the methodology for its composition, weighting and calculation. Accordingly, a number of subjective judgments must be made in connection with the operation of the SDCI that cannot be adequately reflected in this description of the SDCI. All questions of interpretation with respect to the application of the provisions of the SDCI methodology, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by SHIM.

### Contract Expirations

Because the SDCI is comprised of actively traded contracts with scheduled expirations, it can be calculated only by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations. The contract expirations included in the SDCI for each commodity during a given year are designated by SHIM, provided that each contract must be an active contract. An active contract for this purpose is a liquid, actively- traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a Futures Exchange ceases trading in all contract expirations relating to a particular Futures Contract, SHIM may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the SDCI. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the SDCI. If that timing is not practicable, SHIM will determine the date of the replacement based on a number of factors, including the differences between the existing Futures Contract and the replacement Futures Contract with respect to contractual specifications and contract expirations.

If a contract is eliminated and there is no replacement contract, the underlying commodity will necessarily be dropped from the SDCI. The designation of a replacement contract, or the elimination of a commodity from the SDCI because of the absence of a replacement contract, could affect the value of the SDCI, either positively or negatively, depending on the price of the contract that is eliminated and the prices of the remaining contracts. It is impossible, however, to predict the effect of these changes, if they occur, on the value of the SDCI.

### Commodity Selection

Fourteen of the 27 eligible Futures Contracts are selected for inclusion in the SDCI for the next month, subject to the constraint that each of the four commodity sectors (excluding non-primary sector) is represented by at least one commodity. The methodology used to select the 14 Futures Contracts is based solely on quantitative data using observable futures prices and is not subject to human bias.

Monthly commodity selection is a two-step process based upon examination of the relevant futures prices for each commodity:

1\) The annualized percentage price difference between the closest-to-expiration Futures Contract and the next closest- to-expiration Futures Contract is calculated for each of the 27 eligible Futures Contracts on USCI’s Selection Date.

2\) The 14 commodities with the highest percentage price difference are selected.

When evaluating the data from the first step, all four primary commodity sectors must be represented (Petroleum, Grains, Industrial Metals and Precious Metals). If the selection of the 14 commodities with the highest percentage price difference fails to meet the overall diversification requirement that all four primary commodity sectors are represented in the SDCI, the commodity with the highest percentage price difference among the commodities of the omitted primary sector(s) would be substituted for the commodity with the lowest percentage price difference among the fourteen commodities.

The 14 commodities selected are included in the SDCI for the next month on an equally-weighted basis. Due to the dynamic monthly commodity selection, the sector weights will vary from approximately 7% to 43% over time, depending on the price observations each month. The Selection Date for the SDCI is the fifth business day prior to the end of that calendar month.

The following graph shows the sector weights of the commodities selected for inclusion in the SDCI as of June 30, 2021.

### Contract Selection

For each commodity selected for inclusion into the SDCI for a particular month, the SDCI selects a specific Benchmark Component Futures Contract with a tenor (i.e., contract month) among the eligible tenors (the range of contract months) based upon the relative prices of the Applicable Benchmark Component Futures Contracts within the eligible range of contract months. The previous notwithstanding, the contract expiration is not changed for such month if a contract remains in the SDCI, as long as the contract does not expire or enter its notice period in the subsequent month.

### Portfolio Construction

The portfolio rebalancing takes place during the Rebalancing Period. At the end of each of the days in the Rebalancing Period, one fourth of the prior month portfolio positions are replaced by an equally-weighted position in the commodity contracts determined on USCI’s Selection Date. At the end of the Rebalancing Period, the SDCI takes an equal-weight position of approximately 7.14% in each of the selected commodity contracts.

### SDCI Total Return Calculation

The value of the SDCI on any business day is equal to the product of (i) the value of the SDCI on the immediately preceding business day multiplied by (ii) one plus the sum of the day’s returns for another version of the SDCI known as the SummerHaven Dynamic Commodity Index Excess Return (“SDCI ER”) (explained below) and one business day’s interest from hypothetical Treasuries. The value of the SDCI is calculated and published by Bloomberg.

### SDCI Base Level

The SDCI was set to 100 on January 2, 1991.

### SDCI ER Calculation

The total return of the SDCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the SDCI changes its contract holdings during a four day period. The value of the SDCI ER at the end of a business day “*t”* is equal to the SDCI ER value on day “*t*-1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “*t*-1”.

### Rebalancing Period

During the Rebalancing Period, existing positions are replaced by new positions based on the signals used for contract selection as outlined above. At the end of Selection Date, the signals are observed and on the first day following Selection Date a new portfolio is constructed that is equally weighted in terms of notional positions in the newly selected contracts.

### Changes to the SDCI

The above discussion about the SDCI is based on the current composition of the SDCI, which was revised effective December 24, 2020. Beginning with the commodity selection process that commenced on December 24, 2020, SHIM revised the composition of the SDCI to consolidate the six commodity sectors that comprised the index into five sectors. Specifically, prior to December 24, 2020, the SDCI reflected commodities in six commodity sectors: energy (e.g., crude oil, natural gas, heating oil, etc.), precious metals (e.g., gold, silver platinum), industrial metals (e.g., zinc, nickel, aluminum, copper, etc.), grains (e.g., wheat, corn, soybeans, etc.), softs (e.g., sugar, cotton, coffee, cocoa), and livestock (e.g., live cattle, lean hogs, feeder cattle).

Table 3 below lists the previously-existing commodity sectors. This Table 3 was replaced by Table 2 above effective December 24, 2020.

| ​ Commodity Symbol | ​ ​ | ​ Commodity Name | ​ ​ | ​ ​ Sector | ​ ​ | ​ ​ Allowed Contracts | ​ ​ | ​ Max. tenor |
| --- | --- | --- | --- | --- | --- | --- | --- | ---: |
| CO | ​ | Brent Crude | ​ | Energy | ​ | All 12 Calendar Months | ​ | 12 |
| CL |  | Crude Oil |  | Energy |  | All 12 Calendar Months |  | 12 |
| QS |  | Gas Oil |  | Energy |  | All 12 Calendar Months |  | 12 |
| HO |  | Heating Oil |  | Energy |  | All 12 Calendar Months |  | 12 |
| NG |  | Natural Gas |  | Energy |  | All 12 Calendar Months |  | 12 |
| XB |  | RBOB |  | Energy |  | All 12 Calendar Months |  | 12 |
| FC |  | Feeder Cattle |  | Livestock |  | Jan, Mar, Apr, May, Aug, Sep, Oct, Nov |  | 5 |
| LH |  | Lean Hogs |  | Livestock |  | Feb, Apr, Jun, Jul, Aug, Oct, Dec |  | 5 |
| LC |  | Live Cattle |  | Livestock |  | Feb, Apr, Jun, Aug, Oct, Dec |  | 5 |
| BO |  | Soybean Oil |  | Grains |  | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec |  | 7 |
| C |  | Corn |  | Grains |  | Mar, May, Jul, Sep, Dec |  | 12 |
| S |  | Soybeans |  | Grains |  | Jan, Mar, May, Jul, Aug, Sep, Nov |  | 12 |
| SM |  | Soymeal |  | Grains |  | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec |  | 7 |
| W |  | Wheat (Soft Red Winter) |  | Grains |  | Mar, May, Jul, Sep, Dec |  | 7 |
| LA |  | Aluminum |  | Industrial Metals |  | All 12 Calendar months |  | 12 |
| HG |  | Copper |  | Industrial Metals |  | All 12 Calendar Months |  | 12 |
| LL |  | Lead |  | Industrial Metals |  | All 12 Calendar Months |  | 7 |
| LN |  | Nickel |  | Industrial Metals |  | All 12 Calendar Months |  | 7 |
| LT |  | Tin |  | Industrial Metals |  | All 12 Calendar Months |  | 7 |
| LX |  | Zinc |  | Industrial Metals |  | All 12 Calendar Months |  | 7 |
| GC |  | Gold |  | Precious Metals |  | Feb, Apr, Jun, Aug, Oct, Dec |  | 12 |
| PL |  | Platinum |  | Precious Metals |  | Jan, Apr, Jul, Oct |  | 5 |
| SI |  | Silver |  | Precious Metals |  | Mar, May, Jul, Sep, Dec |  | 5 |
| CC |  | Cocoa |  | Softs |  | Mar, May, Jul, Sep, Dec |  | 7 |
| KC |  | Coffee |  | Softs |  | Mar, May, Jul, Sep, Dec |  | 7 |
| CT |  | Cotton |  | Softs |  | Mar, May, Jul, Dec |  | 7 |
| SB |  | Sugar |  | Softs |  | Mar, May, Jul, Oct |  | 7 |

In addition, beginning on December 24, 2020, SHIM revised the commodity selection process for the SDCI.

As discussed above, the composition of the SDCI was revised effective December 24, 2020.

### Hypothetical Performance of the SDCI

The table and chart below show the hypothetical performance of the SDCI from January 1, 2011 through June 30, 2021.

As discussed above, the composition of the SDCI was revised effective December 24, 2020. In light of these changes to the SDCI, the table and chart below reflecting the performance of the SDCI from January 1, 2020 through December 31, 2020 also reflects the hypothetical performance of the SDCI from January 1, 2020 through December 24, 2020 had the changes to the composition of the SDCI been effective during that period.

**HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT USCI WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.**

**ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING.**

**FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.**

The table below reflects how the SDCI performed from January 1, 2011 through June 30, 2021. The performance data does not reflect any reinvestment or distribution of profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the SDCI. Such fees and expenses would reduce the performance returns shown in the table below.

### \*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

### Hypothetical Performance Results\*\* for the period from

### January 1, 2011 through June 30, 2021

| ​ Year | ​ | ​ Ending Level\* | ​ | ​ ​ Annual Return |
| --- | --- | ---: | --- | ---: |
| 2011 |  | 1,703.23 |  | (8.03)% |
| 2012 |  | 1,726.55 |  | 1.37% |
| 2013 |  | 1,678.73 |  | (2.77)% |
| 2014 |  | 1,475.68 |  | (12.10)% |
| 2015 |  | 1,265.58 |  | (14.24)% |
| 2016 |  | 1,262.46 |  | (0.25)% |
| 2017 |  | 1,364.38 |  | 8.07% |
| 2018 |  | 1,221.18 |  | (10.50)% |
| 2019 |  | 1,219.05 |  | (0.17)% |
| 2020 |  | 1,089.40 |  | (10.64)% |
| 2021 (YTD) | ​ | 1,360.72 | ​ | 24.91% |

\*\* The “base level” for the SDCI was set at 100 on January 2, 1991. The “Ending Level” represents the value of the components of the SDCI on the last trading day of each year and is used to illustrate the cumulative performance of the SDCI. In addition to the actual performance of the SDCI, this chart includes the hypothetical performance of the SDCI had the changes to the composition of the SDCI, which are described above and became effective on December 24, 2020, been effective during the January 1, 2011 through December 24, 2020 period.

### SummerHaven Dynamic Commodity Index Total ReturnSM (“SDCI”) Year-Over-Year

### Hypothetical Total Returns (1/1/2011-6/30/2021 YTD)

The following table and chart compare the hypothetical total return of the SDCI in comparison with the actual total return of three major indexes for the period from December 31, 1997 to June 30, 2021.

### \*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

| ​ ​ ​ ​ ​ ​ ​ ​ ​ | ​ ​ Hypothetical and Historical Results for the period from December 31, 1997 through June 30, 2021 BCOM TR ​ ​ | ​ ​ S&P GSCI TR ​ | ​ ​ DB LCI OY TR ​ | ​ ​ SDCI TR Actual ​ | ​ ​ SDCI TR ​ Hypothetical |
| --- | ---: | ---: | ---: | ---: | ---: |
| Total return | 30.59% | (15.08)% | 237.05% | 504.71% | 858.00% |
| Average annualized return (total) | 4.02% | 4.74% | 9.67% | 10.95% | 13.04% |
| Annualized volatility | 15.99% | 23.34% | 18.88% | 15.24% | 15.47% |
| Annualized Sharpe ratio | 0.13 | 0.12 | 0.41 ​ | 0.58 ​ | 0.71 ​ |

Source: SHIM, Bloomberg

The table immediately above shows the performance of the SDCI from December 31, 1997 through June 30, 2021 in comparison with three traditional commodities indices: the S&P GSCI Commodity Index (GSCI®) Total Return, Bloomberg Commodity Index Total ReturnSM (“BCOM TR” in the chart above), and the Deutsche Bank Liquid Commodity Index-Optimum Yield Total ReturnTM (“DB LCI OY TR” in the chart above). The S&P GSCI® Commodity Index Total Return is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. The Bloomberg Commodity Index Total ReturnSM is currently composed of futures contracts on a diversified basket of commodities traded on U.S. exchanges. The Deutsche Bank Liquid Commodity Index-Optimum Yield Total ReturnTM is designed to reflect the performance of certain wheat, corn, light sweet crude oil, heating oil, gold and aluminum futures contracts plus the returns from investing in 3-month U.S. Treasury Bills. The data for the SDCI Total Return Index is derived by using the SDCI’s calculation methodology with historical prices for the futures contracts comprising the SDCI. In addition to the actual performance of the SDCI, this chart includes as “SDCI Hypothetical TR” the hypothetical performance of the SDCI had the changes to the composition of the SDCI, which are described above and became effective on December 24, 2020, been effective during the period from December 31, 1997 through June 30, 2021. The information about each of the indices comes from publicly-available material about such indices but is not designed to provide a thorough overview of the methodology of each index.

None of the indices has an investment objective identical to the SDCI. As a result, there are inherent limitations in comparing the performance of such indices against the SDCI. For more information about these indices and their methodologies, please refer to the material published by the sponsors of each such index which may be found on their websites. USCI is not responsible for any information found on such websites, and such information is not part of this quarterly report on Form 10-Q.

In the table above, “Total Return” refers to the return of the relevant index from December 31, 1997 to June 30, 2021; “Annualized Volatility” is a measure of the amount of variation or fluctuation in the returns of the relevant index. Annualized Volatility is calculated by taking the monthly standard deviation of the relevant index’s return and multiplying it by the square root of 12; and “Annualized Sharpe Ratio” is a measure of the total return of each relevant index adjusted by the risk-free interest rate (the 90-Day U.S. Treasury Bill yield) and the volatility of each index. Many investors consider volatility to be a measure of risk, and lower volatility of investment returns is considered a positive investment attribute as opposed to higher volatility. Annualized Sharpe Ratio is a standard measure for investors to compare two different investments or indexes that have different levels of volatility. If two indexes have the same total return, but one has lower Annualized Volatility, then its Annualized Sharpe Ratio will be higher. The higher the Annualized Sharpe Ratio, the better the risk-adjusted performance. Annualized Sharpe Ratio is calculated by taking the average monthly total return of the relevant index and subtracting the then current yield on the 90-Day U.S. Treasury Bill. The annualized return of this series is then divided by the Annualized Volatility of this series, and this result is the Annualized Sharpe Ratio for the relevant index. A higher Sharpe Ratio is not a guarantee that one investment or index will in the future produce better risk adjustment total returns, but USCF believes it is a useful tool for investors to consider when making investment decisions.

The following chart compares the hypothetical total return of the SDCI in comparison with the actual total return of three major indexes between June 30, 2011 and June 30, 2021.

### Ten Year Comparison of Index Returns of the BCOM TR,

### S&P GSCI TR, DB LCI OY TR, and the Hypothetical Returns of the SDCI TR

### (6/30/2011-6/30/2021)

Source: SHIM, Bloomberg

\* In addition to the actual performance of the SDCI, this chart includes as “SDCI Hypothetical TR” the hypothetical performance of the SDCI had the changes to the composition of the SDCI, which are described above and became effective on December 24, 2020, been effective during the June 30, 2011 through June 30, 2021 period.

The following chart compares the hypothetical total return of the SDCI in comparison with the actual total return of three major indexes over a five year period.

### Five Year Comparison of Index Returns of the BCOM TR,

### S&P GSCI TR, DB LCI OY TR, and the Hypothetical Returns of the SDCI TR

### (6/30/2016-6/30/2021)

Source: SHIM, Bloomberg

\* In addition to the actual performance of the SDCI, this chart includes as “SDCI Hypothetical TR” the hypothetical performance of the SDCI had the changes to the composition of the SDCI, which are described above and became effective on December 24, 2020, been effective during the June 30, 2016 through June 30, 2021 period.

### SCI

The SCI is a single-commodity index designed to be an investment benchmark for copper as an asset class. The SCI is composed of copper futures contracts on the COMEX exchange. The SCI attempts to maximize backwardation and minimize contango while utilizing contracts in liquid portions of the futures curve.

The SCI is rules-based and is rebalanced monthly based on observable price signals described below in the section “Contract Selection and Weighting.” In this context, the term “rules-based” is meant to indicate that the composition of the SCI in any given month will be determined by quantitative formulas relating to the prices of the futures contracts that are included in the SCI. Such formulas are not subject to adjustment based on other factors.

The overall return on the SCI is generated by two components: (i) uncollateralized returns from the Benchmark Component Copper Futures Contracts comprising the SCI, and (ii) a daily fixed income return reflecting the interest earned on hypothetical 3-month Treasuries, calculated using the weekly auction rate for 3-Month Treasuries published by the U.S. Department of the Treasury. SHIM is the owner of the SCI.

Table 1 below lists the Futures Exchange on which the Eligible Copper Futures Contracts are listed and quotation details. Table 2 lists the Eligible Copper Futures Contracts, their sector designation and maximum allowable tenor.

### TABLE 1

|  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| **Commodity** |  | **Designated Contract** |  | **Exchange** |  | **Units** |  | **Quote** |
| Copper |  | Copper |  | COMEX |  | 25,000 lbs |  | U.S. cents/pound |

### TABLE 2

| ​ ​ ​ Commodity Name ​ | ​ ​ Commodity Symbol ​ | ​ ​ ​ Allowed Contracts ​ | ​ Max. Tenor |
| --- | --- | --- | ---: |
| Copper | HG | All 12 calendar months | 12 |

Prior to the end of each month, SHIM determines the composition of the SCI and provides such information to the NYSE Arca. Values of the SCI are computed by the NYSE Arca and disseminated approximately every fifteen (15) seconds from 8:00 a.m. to 5:00 p.m., New York City time, which also publishes a daily SCI value at approximately 5:30 p.m., New York City time, under the index ticker symbol “SCI.” Only settlement and last-sale prices are used in the SCI’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying SCI may lag its theoretical value. This tendency to lag is evident at the end of the day when the SCI value is based on the settlement prices of the Benchmark Component Copper Futures Contracts, and explains why the underlying SCI often closes at or near the high or low for the day.

### Composition of the SCI

The composition of the SCI on any given day, as determined and published by SHIM, is determinative of the benchmark for CPER. Neither the index methodology for the SCI nor any set of procedures, however, are capable of anticipating all possible circumstances and events that may occur with respect to the SCI and the methodology for its composition, weighting and calculation. Accordingly, a number of subjective judgments must be made in connection with the operation of the SCI that cannot be adequately reflected in this description of the SCI. All questions of interpretation with respect to the application of the provisions of the index methodology for the SCI, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by SHIM.

### Contract Expirations

Because the SCI is comprised of actively traded contracts with scheduled expirations, it can be calculated only by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations. The contract expirations included in the SCI for each commodity during a given year are designated by SHIM, provided that each contract must be an active contract. An active contract for this purpose is a liquid, actively-traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a futures exchange, such as the COMEX, ceases trading in all contract expirations relating to an Eligible Copper Futures Contract, SHIM may designate a replacement contract. The replacement contract must satisfy the eligibility criteria for inclusion in the SCI. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the SCI. If that timing is not practicable, SHIM will determine the date of the replacement based on a number of factors, including the differences between the existing Benchmark Component Copper Futures Contract and the replacement contract with respect to contractual specifications and contract expirations.

The designation of a replacement contract could affect the value of the SCI, either positively or negatively, depending on the price of the contract that is eliminated and the prices of the replacement contract. It is impossible, however, to predict the effect of these changes, if they occur, on the value of the SCI.

### Changes to the SCI

Beginning with the commodity selection process that was scheduled to occur on December 31, 2020, the rebalancing period for the SCI changed from the first four business days of each month to the 11th-14th business days of each month, based on signals used for contract selection on the 10th business day of each month, rather than the last business day of each month. In addition, commencing with the first commodity selection date occurring after the change: the SCI was revised as follows: the number of Eligible Copper Futures Contracts was reduced, and the SCI itself is now comprised of one or three Eligible Copper Futures Contracts. Previously, the SCI could have comprised of two or three Eligible Copper Futures Contracts. These revisions to the composition of the SCI are intended to ensure that the SCI components at any given time represent copper futures contracts for which there is an active and liquid trading market.

### New Contract Selection and Weighting

Weights for each of the Benchmark Component Copper Futures Contracts are determined for the next month. The methodology used to calculate the SCI weighting is based solely on quantitative data using observable futures prices and is not subject to human bias.

The monthly weighting selection is a process based upon examination of the relevant futures prices for copper:

1\) On CPER’s Selection Date (“CPER’s Selection Date”):

a) the copper futures curve is assessed to be in either backwardation or contango (as discussed below); and

b) the Three Eligible Copper Futures Contracts are identified. For each month, the Three Eligible Copper Futures Contracts are as follows

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Month |  | January |  | February |  | March |  | April |  | May |  | June |  | July |  | August |  | September |  | October |  | November |  | December |
| Closest to Expiration Futures Contract | ​ | Mar | ​ | Mar | ​ | May | ​ | May | ​ | Jul | ​ | Jul | ​ | Sep | ​ | Sep | ​ | Dec | ​ | Dec | ​ | Dec | ​ | Mar |
| Eligible Futures Contracts | ​ | Mar | ​ | May | ​ | May | ​ | Jul | ​ | Jul | ​ | Sep | ​ | Sep | ​ | Dec | ​ | Dec | ​ | Dec | ​ | Mar | ​ | Mar |
| ​ | ​ | May | ​ | July | ​ | July | ​ | Sep | ​ | Sep | ​ | Dec | ​ | Dec | ​ | Mar | ​ | Mar | ​ | Mar | ​ | May | ​ | May |
| ​ | ​ | July | ​ | Sep | ​ | Sep | ​ | Dec | ​ | Dec | ​ | Mar | ​ | Mar | ​ | May | ​ | May | ​ | May | ​ | Jul | ​ | Jul |

A futures curve in backwardation occurs when the price of the closest-to-expiration Allowed Contract is greater than or equal to the price of the next closest-to-expiration Allocated Contract. These contracts will have expirations that are approximately two or three months apart. A curve not in backwardation is defined as being in contango, which occurs when the price of the closest-to-expiration contract is less than the price of the next closest-to-expiration contract.

2a) Backwardation: If the copper futures curve is in backwardation on the Selection Date, the SCI takes positions in the first Eligible Copper Futures Contract, weighted at 100%.

A hypothetical example is included below, with the selected Eligible Copper Futures Contract shaded below:

| ​ ​ Copper Futures Contract | ​ ​ Expiration Date | ​ Contract Price |
| --- | --- | ---: |
| Nearest-to-maturity | December-10 | 374.70 |
| Next nearest-to-maturity | March-11 | 365.20 |

| ​ Eligible Copper Futures Contracts | ​ | ​ Price |
| --- | --- | ---: |
| December-10 | ​ | 374.70 |

2b) Contango: If the copper futures curve is in contango, then the SCI takes positions in first three Eligible Copper Futures Contracts, each position is weighted at 33.33%.

A hypothetical example is included below, with the three selected Eligible Copper Futures Contracts indicated below:

| ​ Copper Futures Contract | ​ | ​ Expiration Date | ​ | ​ Contract Price |
| --- | --- | --- | --- | ---: |
| Nearest-to-maturity |  | December-10 |  | 374.00 |
| ​ | ​ | ​ | ​ |  |
| Next nearest-to-maturity |  | March-11 |  | 375.70 |

| ​ Eligible Copper Futures Contracts | ​ | ​ Price |
| --- | --- | ---: |
| December-10 | ​ | 374.00 |
| March-11 |  | 375.70 |
| May-11 |  | 376.30 |
| ​ |  |  |

Due to the dynamic monthly weighting calculation, the individual weights will vary-over time, depending on the price observations each month. CPER’s Selection Date for the SCI is the 10th business day of the calendar month.

### Prior Contract Selection and Weighting

Until the most recent commodity selection process occurred after December 31, 2020, the contract selection and weighting process was as follows:

Weights for each of the Benchmark Component Copper Futures Contracts are determined for the next month. The methodology used to calculate the SCI weighting is based solely on quantitative data using observable futures prices and is not subject to human bias.

The monthly weighting selection was a process based upon examination of the relevant futures prices for copper:

1\) On CPER’s Selection Date (“CPER’s Selection Date”):

a) the copper futures curve is assessed to be in either backwardation or contango (as discussed below); and

b) the annualized percentage price difference between the Closest-to-Expiration Eligible Copper Futures Contract and each of the Next Four Eligible Copper Futures Contracts are identified. For each month, the Closest-to-Expiration Eligible Copper Futures Contract and the Next Four Eligible Copper Futures Contracts are as follows:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| Closest to Expiration Futures Contract |  | Mar |  | Mar |  | May |  | May |  | Jul |  | Jul |  | Sep |  | Sep |  | Dec |  | Dec |  | Dec |  | Mar |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| Eligible Futures Contracts |  | Mar |  | May |  | May |  | Jul |  | Jul |  | Sep |  | Sep |  | Dec |  | Dec |  | Dec |  | Mar |  | Mar |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| ​ |  | May |  | July |  | July |  | Sep |  | Sep |  | Dec |  | Dec |  | Mar |  | Mar |  | Mar |  | May |  | May |
| ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |
| ​ |  | July |  | Sep |  | Sep |  | Dec |  | Dec |  | Mar |  | Mar |  | May |  | May |  | May |  | Jul |  | Jul |

A futures curve in backwardation occurs when the price of the closest-to-expiration contract is greater than or equal to the price of the third closest-to-expiration contract. These contracts will have expirations that are approximately two or three months apart. A curve not in backwardation is defined as being in contango, which occurs when the price of the closest-to-expiration contract is less than the price of the third closest-to-expiration contract.

2a) Backwardation: If the copper futures curve is in backwardation on the Selection Date, the SCI takes positions in the two Eligible Copper Futures Contracts with the highest annualized percentage price difference, each, weighted at 50%.

A hypothetical example is included below, with the two selected Eligible Copper Futures Contracts shaded below (the selected commodities are ranked 1 and 2):

| ​ ​ ​ Copper Futures Contract ​ | ​ ​ ​ Expiration Date ​ | ​ Contract Price |
| --- | --- | ---: |
| Nearest-to-maturity | December-10 | 374.70 |
| Next nearest-to-maturity | March-11 | 365.20 |

| ​ ​ Eligible Copper Futures Contracts ​ | ​ Price |
| --- | ---: |
| December-10 | 374.70 |

2b) Contango: If the copper futures curve is in contango, then the SCI takes positions in first three Eligible Copper Futures Contracts, as follows: first, the SCI takes positions in the two Eligible Copper Futures Contracts with the highest annualized percentage price difference, each weighted at 25%; then, the SCI also takes a position in the closest-to-expiration December Eligible Futures Contract that has expiration more distant than the fourth of the Next Four Eligible Copper Futures Contracts for the applicable month, which position is weighted at 50%.

A hypothetical example is included below, with the next two selected Eligible Copper Futures Contracts shaded below (the selected commodities are ranked 1 – 2):

| ​ ​ ​ Copper Futures Contract ​ | ​ ​ ​ Expiration Date ​ | ​ Contract Price |
| --- | --- | ---: |
| Nearest-to-maturity | December-10 | 374.00 |
| Next nearest-to-maturity | March-11 | 375.70 |

| ​ ​ Eligible Copper Futures Contracts | ​ Price |
| --- | ---: |
| December-10 | 374.00 |
| March-11 | 375.70 |
| May-11 | 376.30 |

Due to the dynamic monthly weighting calculation, the individual weights will vary-over time, depending on the price observations each month. CPER’s Selection Date for the SCI is the 10th business day of the calendar month.

The following graph shows the weights of the Benchmark Component Copper Futures Contracts selected for inclusion in the SCI as of June 30, 2021.

### Portfolio Construction

The portfolio rebalancing takes place during the Rebalancing Period. At the end of each of the days in the Rebalancing Period one fourth of the prior month portfolio positions are replaced by the new weights for the Benchmark Component Copper Futures Contracts determined on CPER’s Selection Date.

### SCI Total Return Calculation

The value of the SCI on any business day is equal to the product of (i) the value of the SCI on the immediately preceding business day multiplied by (ii) one plus the sum of the day’s returns for another version of the SCI known as the SummerHaven Dynamic Copper Index Excess Return (“SCI ER”) (explained below) and one business day’s interest from the hypothetical Treasury Bill portfolio. The value of the SCI will be calculated and published by the NYSE Arca.

### SCI Base Level

The SCI was set to 100 on January 2, 1991.

### SCI ER Calculation

The total return of the SCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the SCI changes its contract holdings and weightings during a four day period. The value of the SCI ER at the end of a business day “*t”* is equal to the SCI ER value on day “*t*-1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “*t*-1”.

### Rebalancing Period

The SCI is rebalanced during the first four business days of each calendar month, when existing positions are placed by new positions and weightings based on the signals used for contract selection on last business day of the prior calendar month as outlined above.

### Hypothetical Performance of the SCI

The table and chart below show the hypothetical performance of the SCI from January 1, 2011 through June 30, 2021.

**HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT CPER WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.**

**ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.**

The table below reflects how the SCI performed from January 1, 2011 through June 30, 2021. The performance data does not reflect any reinvestment or distribution profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the SCI. Such fees and expenses would reduce the performance returns shown in the table below.

### \*\*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

### Hypothetical Performance Results\*\* for the SCI for the period

### from January 1, 2011 through June 30, 2021

| ​ Year | ​ | ​ Ending Level\* | ​ | ​ ​ Annual Return |
| --- | --- | ---: | --- | ---: |
| 2011 |  | 1,164.51 |  | (21.95)% |
| 2012 |  | 1,223.15 |  | 5.04% |
| 2013 |  | 1,114.30 |  | (8.90)% |
| 2014 |  | 937.33 |  | (15.88)% |
| 2015 |  | 704.39 |  | (24.85)% |
| 2016 |  | 815.94 |  | 15.84% |
| 2017 |  | 1,069.01 |  | 31.02% |
| 2018 |  | 842.94 |  | (21.15)% |
| 2019 | ​ | 905.32 | ​ | 7.40% |
| 2020 | ​ | 1,124.23 | ​ | 24.18% |
| 2021 (YTD) | ​ | 1,364.57 | ​ | 21.38% |

\*\*The “base level” for the SCI was set at 100 on January 2, 1991. The “Ending Level” represents the value of the components of the SCI on the last trading day of each year and is used to illustrate the cumulative performance of the SCI.

### SummerHaven Copper Index (“SCI”) Year-Over-Year

### Hypothetical Total Returns (1/1/2011-6/30/2021 YTD)

Source: SummerHaven Index Management, Bloomberg

The following table compares the hypothetical total return of the SCI in comparison with the actual total return a major index and spot copper prices (less storage cost) from December 31, 1997 through June 30, 2021.

### \*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

| ​ ​ ​ ​ ​ ​ ​ ​ ​ | ​ ​ Hypothetical and Historical Results for the period from December 31, 1997 through June 30, 2021 BCOM ​ HG TR | ​ ​ Spot Copper ​ (less storage) | ​ ​ SCI TR ​ Actual | ​ ​ SCI TR Hypothetical |
| --- | ---: | ---: | ---: | ---: |
| Total return | 475.53% | 177.21% | 771.37% | 538.85% |
| Average annualized return (total) | 14.27% | 10.59% | 16.53% | 14.81% |
| Annualized volatility | 25.88% | 25.08% | 25.35% | 25.66% |
| Annualized Sharpe ratio | 0.47 | 0.35 | 0.57 | 0.50 ​ |

Source: SHIM, Bloomberg

The table above shows the performance of the SCI from December 31, 1997 through June 30, 2021 in comparison with a traditional commodity index and spot copper prices: the Bloomberg Copper Subindex Total ReturnSM (“BCOM HG TR” in the chart above), and spot copper prices less warehouse storage rents. The Bloomberg Copper Subindex Total ReturnSM includes the contract in the Bloomberg Commodity Index Total Return that relates to a single commodity, copper (currently the Copper High Grade futures contract traded on the COMEX). The data for the SCI Total Return Index is derived by using the SCI’s calculation methodology with historical prices for the futures contracts comprising the SCI. The information about the index above comes from publicly-available material about such index but is not designed to provide a thorough overview of the methodology of such index. The index noted above does not have investment objectives identical to the SCI. As a result, there are inherent limitations in comparing such performance against the SCI. For more information about the index and its methodologies, please refer to the material published by the sponsor of the Bloomberg Copper Subindex Total Return which may be found on its website. In addition to the actual performance of the SCI, this chart includes as “SCI Hypothetical TR” the hypothetical performance of the SCI had the changes to the composition of the SCI, which are described above and became effective on January 1, 2021, been effective during the period from December 31, 1997 through June 30, 2021. USCF is not responsible for any information found on such website, and such information is not part of this quarterly report on Form 10-Q.

In the table above, “Total Return” refers to the return of the relevant index from December 31, 1997 to June 30, 2021; “Annualized Volatility” is a measure of the amount of variation or fluctuation in the returns of the relevant index. Annualized Volatility is calculated by taking the monthly standard deviation of the relevant index’s return and multiplying it by the square root of 12; and “Annualized Sharpe Ratio” is a measure of the total return of each relevant index adjusted by the risk-free interest rate (the 90-Day U.S. Treasury Bill yield) and the volatility of each index. Many investors consider volatility to be a measure of risk, and lower volatility of investment returns is considered a positive investment attribute as opposed to higher volatility. Annualized Sharpe Ratio is a standard measure for investors to compare two different investments or indexes that have different levels of volatility. If two indexes have the same total return, but one has lower Annualized Volatility, then its Annualized Sharpe Ratio will be higher. The higher the Annualized Sharpe Ratio, the better the risk-adjusted performance. Annualized Sharpe Ratio is calculated by taking the average monthly total return of the relevant index and subtracting the then current yield on the 90-Day U.S. Treasury Bill. The annualized return of this series is then divided by the Annualized Volatility of this series, and this result is the Annualized Sharpe Ratio for the relevant index. A higher Sharpe Ratio is not a guarantee that one investment or index will in the future produce better risk adjustment total returns, but USCF believes it is a useful tool for investors to consider when making investment decisions.

The following chart compares the hypothetical total return of the SCI in comparison with the actual return of three major indexes between June 30, 2011 and June 30, 2021.

### Ten Year Comparison of Index Returns of

### BCOM HG TR, Spot Copper price, Spot Copper Price less Storage Cost, and

### the Hypothetical Returns of the SCI (6/30/2011-6/30/2021)

Source: SHIM, Bloomberg, LME

\* In addition to the actual performance of the SCI, this chart includes as “SCI Hypothetical TR” the hypothetical performance of the SCI had the changes to the composition of the SCI, which are described above and became effective on January 1, 2021, been effective during the June 30, 2011 through June 30, 2021 period.

The following chart compares the hypothetical total return of the SCI in comparison with the actual total return of two major indices and spot copper prices (less storage cost) over a five year period.

### Five Year Comparison of Index Returns of

### BCOM HG TR, Spot Copper price, Spot Copper Price less Storage

### Cost, and the Hypothetical Returns of the SCI TR (6/30/2016-6/30/2021)

Source: SHIM, Bloomberg, LME

\* In addition to the actual performance of the SCI, this chart includes as “SCI Hypothetical TR” the hypothetical performance of the SCI had the changes to the composition of the SCI, which are described above and became effective on January 1, 2021, been effective during the June 30, 2016 through June 30, 2021 period.

### Critical Accounting Policies

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

USCF has evaluated the nature and types of estimates that it makes in preparing the Trust’s condensed financial statements and related disclosures and has determined that the valuation of Applicable Interests, which are not traded on a United States or internationally recognized futures exchange (such as forward contracts and OTC swaps) involves a critical accounting policy. The values which are used by each Trust Series for its Futures Contracts are provided by its commodity broker who uses market prices when available, while OTC swaps are valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to their delivery date and valued on a daily basis. In addition, each Trust Series estimates interest income on a daily basis using prevailing rates earned on its cash and cash equivalents. These estimates are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material.

### Liquidity and Capital Resources

None of the Trust Series has made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. Each Trust Series has met, and it is anticipated that each Trust Series will continue to meet, its liquidity needs in the normal course of business from the proceeds of the sale of its investments, or from the Treasuries, cash and/or cash equivalents that it intends to hold at all times. Each Trust Series’ liquidity needs include: redeeming shares, providing margin deposits for its existing Futures Contracts or the purchase of additional Futures Contracts and posting collateral for its OTC swaps, if applicable, and payment of its expenses, summarized below under “*Contractual Obligations.”*

Each Trust Series currently generates cash primarily from: (i) the sale of Creation Baskets and (ii) income earned on Treasuries, cash and/or cash equivalents. Each Trust Series has allocated substantially all of its net assets to trading in Applicable Interests. Each Trust Series invests in Applicable Interests to the fullest extent possible without being leveraged or unable to satisfy its current or potential margin or collateral obligations with respect to its investments in Applicable Interests. A significant portion of each Trust Series’ NAV is held in Treasuries, cash and cash equivalents that are used as margin and as collateral for its trading in Applicable Interests. The balance of the assets is held in each Trust Series’ account at the Custodian and in Treasuries at one or more FCMs. Income received from any investments in money market funds and Treasuries by a Trust Series will be paid to such Trust Series. During the six months ended June 30, 2021, the Trust Series’ expenses exceeded the income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets.

Each Trust Series’ investments in Applicable Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, most commodity exchanges limit the fluctuations in futures contracts 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 has increased or decreased by an amount equal to the daily limit, positions in the contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the specified daily limit. Such market conditions could prevent a Trust Series from promptly liquidating its positions in Futures Contracts. During the six months ended June 30, 2021, none of the Trust Series purchased or liquidated any of its positions while daily limits were in effect; however, no Trust Series can predict whether such an event may occur in the future.

Prior to the initial offering of each Trust Series, all payments with respect to each Trust Series’ expenses are paid by USCF. None of the Trust Series has an obligation or intention to refund such payments made by USCF. USCF is under no obligation to pay any Trust Series’ future expenses. Since the initial offering of shares, each Trust Series has been responsible for expenses relating to: (i) management fees, (ii) brokerage fees and commissions, (iii) ongoing registration expenses in connection with offers and sales of its shares subsequent to the initial offering, (iv) other expenses, including tax reporting costs, (v) the fees of the Trustee in connection with its services as Delaware trustee of the Trust, (vi) fees and expenses of the independent directors of USCF and (vii) other extraordinary expenses not in the ordinary course of business, while USCF has been responsible for expenses relating to the fees of the Trust Series’ Marketing Agent, Administrator and Custodian, the trading advisory and licensing fees of SummerHaven and offering expenses relating to the initial offering of shares of each Trust Series. If USCF and each Trust Series are unsuccessful in raising sufficient funds to cover these respective expenses or in locating any other source of funding, one or more of the Trust Series could terminate and investors may lose all or part of their investment.

### Market Risk

Trading in Applicable Interests, such as Futures Contracts, involves each Trust Series entering into contractual commitments to purchase or sell specified amounts of commodities at a specified date in the future. The aggregate market value of the contracts will significantly exceed each Trust Series’ future cash requirements since each Trust Series intends to close out its open positions prior to settlement. As a result, each Trust Series is generally only subject to the risk of loss arising from the change in value of the contracts. Each Trust Series considers the “fair value” of its derivative instruments to be the unrealized gain or loss on the contracts. The market risk associated with each Trust Series’ commitments to purchase a specific commodity will be limited to the aggregate market value of the contracts held.

Each Trust Series’ exposure to market risk depends on a number of factors, including the markets for commodities, the volatility of interest rates and foreign exchange rates, the liquidity of the Applicable Interest markets and the relationships among the contracts held by each such Trust Series. The limited experience that each Trust Series has had in utilizing its model to trade in Applicable Interests in a manner intended to track the changes in the Applicable Index, as well as drastic market occurrences, could ultimately lead to the loss of all or substantially all of an investor’s capital.

### Credit Risk

When a Trust Series enters into Futures Contracts and Other Related Investments, it is exposed to the credit risk that the counterparty will not be able to meet its obligations. The counterparty for the Futures Contracts traded on the Futures Exchanges is the clearinghouse associated with the particular exchange. In general, in addition to margin required to be posted by the clearinghouse in connection with cleared trades, clearinghouses are backed by their members who may be required to share in the financial burden resulting from the nonperformance of one of their members and, therefore, this additional member support should significantly reduce credit risk. The Trust Series are not currently a member of any clearinghouse. Some foreign exchanges are not backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearinghouse, or their members or their financial backers will satisfy their obligations to a Trust Series in such circumstances.

USCF attempts to manage the credit risk of each Trust Series by following various trading limitations and policies. In particular, each Trust Series generally posts margin and/or holds liquid assets that are approximately equal to the market value of its obligations to counterparties under the Futures Contracts and Other Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades and entering into OTC transactions only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of each Trust Series to limit its credit exposure. Each Trust Series’ commodity broker, or any other broker that may be retained by a Trust Series in the future, when acting as the Trust Series’ FCM in accepting orders to purchase or sell Futures Contracts on United States exchanges, is required by CFTC regulations to separately account for and segregate as belonging to a Trust Series, all assets of a Trust Series relating to domestic Futures Contracts trading. FCMs are not allowed to commingle a Trust Series’ assets with their other assets. In addition, the CFTC requires FCMs to hold in a secure account a Trust Series’ assets related to foreign Futures Contracts trading. During the six months ended June 30, 2021, USCI did not make investments on any foreign exchanges. During the six months ended June 30, 2021, CPER did not make investments on any foreign exchanges.

In the future, a Trust Series may purchase OTC swaps, see “*Item 3. Quantitative and Qualitative Disclosures About Market Risk”* in this quarterly report on Form 10-Q for a discussion of OTC swaps.

As of June 30, 2021, each of USCI and CPER held cash deposits and investments in Treasuries and money market funds in the amount of $220,522,353 and $313,211,180, respectively, with the custodian and FCMs. Some or all of these amounts held by a custodian or an FCMs, as applicable, may be subject to loss should the Trust Series’ custodian or FCMs, as applicable, cease operations.

### Off Balance Sheet Financing

As of June 30, 2021, neither the Trust nor any Trust Series had any loan guarantee, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks that service providers undertake in performing services which are in the best interests of any Trust Series. While each Trust Series’ exposure under these indemnification provisions cannot be estimated, they are not expected to have a material impact on any Trust Series’ financial position.

### Redemption Basket Obligation

In order to meet its investment objective and pay its contractual obligations described below, each Trust Series requires liquidity to redeem shares, which redemptions must be in blocks of 50,000 shares called “Redemption Baskets.” Each Trust Series has to date satisfied this obligation by paying from the cash or cash equivalents it holds or through the sale of its Treasuries in an amount proportionate to the number of shares being redeemed.

### Contractual Obligations

The Trust’s (and each series thereunder) primary contractual obligations are with USCF and certain other service providers. In return for its services, USCF is paid a management fee calculated as a fixed percentage of a Trust Series’ NAV. The management fee paid to USCF is 0.80% (80 basis points) per annum of average daily total net assets for USCI and 0.65% (65 basis points) per annum of average daily total net assets for CPER. Ongoing fees, costs and expenses of its operation for which a Trust Series is responsible include:

- brokerage and other fees and commissions incurred in connection with the trading activities of each Trust Series;
- expenses incurred in connection with registering additional shares of each Trust Series or offering shares of each Trust Series after the time any shares of each Trust Series have begun trading on the NYSE Arca;
- the routine expenses associated with distribution, including printing and mailing, of any monthly, annual and other reports to shareholders required by applicable U.S. federal and state regulatory authorities;
- payment for routine services of the Trustee, legal counsel and independent accountants;
- payment for fees associated with tax accounting and reporting, routine accounting, bookkeeping, whether performed by an outside service provider or by affiliates of USCF;
- postage and insurance, including directors’ and officers’ liability insurance;
- costs and expenses associated with investor relations and services;
- the payment of any distributions related to redemption of shares;
- payment of all federal, state, local or foreign taxes payable on the income, assets or operations of each Trust Series and the preparation of all tax returns related thereto; and
- extraordinary expenses (including, but not limited to, indemnification of any person against liabilities and obligations to the extent permitted by law and required under the Trust Agreement and the bringing and defending of actions at law or in equity and otherwise engaging in the conduct of litigation and the incurring of legal expense and the settlement of claims and litigation).

While USCF has agreed to pay registration fees to the SEC, FINRA, NYSE Arca or any other regulatory agency or exchange in connection with the initial offer and sale of the shares and the legal, printing, accounting and other expenses associated with such registration, each Trust Series is responsible for any registration fees and related expenses incurred in connection with any subsequent offer and sale of its shares after the initial offering of shares. In addition, any Trust Series, in its Registration Statement, may provide for different allocation of expenses among the Sponsor and such Trust Series, in each case solely with respect to such Trust Series.

Each Trust Series pays its own brokerage and other transaction costs. Each Trust Series pays fees to FCMs in connection with its transactions in Futures Contracts. For the six months ended June 30, 2021, FCM fees were approximately 0.08% of average daily total net assets for USCI, and approximately 0.02% of average daily total net assets for CPER. In general, transaction costs on OTC Applicable Interests and on Treasuries and other short-term securities are embedded in the purchase or sale price of the instrument being purchased or sold, and may not readily be estimated. USCF had voluntarily agreed to pay certain expenses normally borne by USCI to the extent that such expenses exceeded 0.15% (15 basis points) of USCI’s NAV, on an annualized basis, through June 30, 2011 when such expense waiver was terminated. USCF voluntarily agreed to pay certain expenses typically borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis. USCF terminated such expense waiver as of April 30, 2021. As a result, the Annual Fund Operating Expenses increased, which would negatively impact your total return from an investment in CPER. This voluntary expense waiver was in addition to those amounts USCF is contractually obligated to pay as described in Note 5 to the condensed financial statements of the Trust and terminated on April 30, 2021.

The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods, as each Trust Series’ NAVs and trading levels to meet its investment objective will not be known until a future date. These agreements are effective for a specific term agreed upon by the parties with an option to renew, or, in some cases, are in effect for the duration of a Trust Series’ existence. Either party may terminate these agreements earlier for certain reasons described in the agreements.

As of June 30, 2021, USCI’s portfolio consisted of 4,541 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of 2,861 Futures Contracts traded on the COMEX. For a list of each of USCI’s and CPER’s current holdings, please see www.uscfinvestments.com.

## Market risk

As filed, 6,017 characters.

### Commodity Price Risk.

USCI and CPER are exposed to commodity price risk. In particular, each Trust Series is exposed to commodity risk of the commodities that comprise the Applicable Index for such Trust Series through its holdings of Futures Contracts together with any other derivatives in which it may invest, which are discussed below. As a result, fluctuations in the value of the Futures Contracts that each Trust Series holds in its portfolio, as described in “*Contractual Obligations”* under “*Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations”* above, are expected to directly affect the value of the Trust Series.

### OTC Contract Risk

USCI and CPER may purchase OTC Commodity-Related Interests and Copper-Related Interests, such as forward contracts or swap or spot contracts. Unlike most exchange-traded futures contracts or exchange-traded options on such futures, each party to an OTC swap bears the credit risk that the other party may not be able to perform its obligations under its contract.

The Trust, on behalf of each Trust Series, may enter into certain transactions where an OTC component is exchanged for a corresponding futures contract (“Exchange for Related Position” or “EFRP” transactions). In the most common type of EFRP transaction entered into by the Trust, the OTC component is the purchase or sale of one or more baskets of a Trust Series shares. These EFRP transactions may expose a Trust Series to counterparty risk during the interim period between the execution of the OTC component and the exchange for a corresponding futures contract. Generally, the counterparty risk from the EFRP transaction will exist only on the day of execution.

Swap transactions, like other financial transactions, involve a variety of significant risks. The specific risks presented by a particular swap transaction necessarily depend upon the terms and circumstances of the transaction. In general, however, all swap transactions involve some combination of market risk, credit risk, counterparty credit risk, funding risk, liquidity risk and operational risk.

Highly customized swap transactions in particular may increase liquidity risk, which may result in a suspension of redemptions. Highly leveraged transactions may experience substantial gains or losses in value as a result of relatively small changes in the value or level of an underlying or related market factor.

In evaluating the risks and contractual obligations associated with a particular swap transaction, it is important to consider that a swap transaction may be modified or terminated only by mutual consent of the original parties and subject to agreement on individually negotiated terms. Therefore, it may not be possible for USCF to modify, terminate or offset a Trust Series’ obligations or its exposure to the risks associated with a transaction prior to its scheduled termination date.

To reduce the credit risk that arises in connection with such contracts, a Trust Series will generally enter into an agreement with each counterparty based on the Master Agreement published by the International Swaps and Derivatives Association that provides for the netting of its overall exposure to its counterparty, if the counterparty is unable to meet its obligations to the Trust Series due to the occurrence of a specified event, such as the insolvency of the counterparty.

A Trust Series assesses or reviews, as appropriate, the creditworthiness of each potential or existing counterparty to an OTC contract pursuant to guidelines approved by USCF’s board of directors (the “Board”). Furthermore, USCF on behalf of a Trust Series only enters into OTC swaps with counterparties who are, or are affiliates of, (a) banks regulated by a United States federal bank regulator, (b) broker-dealers regulated by the SEC, (c) insurance companies domiciled in the United States, or (d) producers, users or traders of energy, whether or not regulated by the CFTC. Any entity acting as a counterparty shall be regulated in either the United States or the United Kingdom unless otherwise approved by the Board after consultation with its legal counsel. Existing counterparties are also reviewed periodically by USCF. A Trust Series will also require that the counterparty be highly rated and/or provide collateral or other credit support. Even if collateral is used to reduce counterparty credit risk, sudden changes in the value of OTC transactions may leave a party open to financial risk due to a counterparty default since the collateral held may not cover a party’s exposure on the transaction in such situations.

In general, valuing OTC derivatives is less certain than valuing actively traded financial instruments such as exchange-traded futures contracts and securities or cleared swaps because the price and terms on which such OTC derivatives are entered into or can be terminated are individually negotiated, and those prices and terms may not reflect the best price or terms available from other sources. In addition, while market makers and dealers generally quote indicative prices or terms for entering into or terminating OTC swaps, they typically are not contractually obligated to do so, particularly if they are not a party to the transaction. As a result, it may be difficult to obtain an independent value for an outstanding OTC derivatives transaction.

During the six month reporting period ended June 30, 2021, no Trust Series had any OTC activities.

Each Trust Series anticipates that the use of Other Related Investments together with its investments in Futures Contracts will produce price and total return results that closely track the investment goals of such Trust Series. However, there can be no assurance of this. OTC swaps may result in higher transaction-related expenses than the brokerage commissions paid in connection with the purchase of Futures Contracts, which may impact a Trust Series’ ability to successfully track its Applicable Index.

## Controls and procedures

As filed, 1,335 characters.

### Disclosure Controls and Procedures

The Trust and each Trust Series maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in the Trust’s periodic reports filed or submitted under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time period specified in the Securities and Exchange Commission’s (“SEC”) rules and forms.

The duly appointed officers of USCF, including its chief executive officer and chief financial officer, who perform functions equivalent to those of a principal executive officer and principal financial officer of the Trust if the Trust had any officers, have evaluated the effectiveness of the Trust’s and each Trust Series’ disclosure controls and procedures and have concluded that the disclosure controls and procedures of the Trust and each Trust Series have been effective as of the end of the period covered by this quarterly report on Form 10-Q.

### Change in Internal Control Over Financial Reporting

There were no changes in the Trust’s or any Trust Series’ internal control over financial reporting during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Trust’s or any Trust Series’ internal control over financial reporting.

## Risk factors

As filed, 245 characters.

There have been no material changes to the risk factors previously disclosed in the Trust’s Annual Report on Form 10-K for the fiscal year ended December 31, 2020, filed on February 26, 2021, as amended by the Form 10-K/A filed on March 8, 2021.

Filed Aug 6, 2021.
Source: SEC EDGAR, the filing index for accession 0001104659-21-101306. Last ingested by Listed: Oct 30, 2026, 11:29 ET. No prices; not investment advice.