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Item 7. Management’s Discussion and Analysis

2021-02-26 compared with 2020-03-13 · 169 added, 184 removed, 474 unchanged (43% of the section changed)

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

The following discussion should be read in conjunction with the financial statements and the notes thereto of the Trust included elsewhere in this annual report on Form 10-K.

The following discussion should be read in conjunction with the condensed financial statements and the notes thereto of the Trust included elsewhere in this annual report on Form 10-K.

Forward-Looking Information

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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;

significant market volatility in the commodities markets and futures markets 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.

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The Trust has based the forward-looking statements included in this annual report on Form 10-K on information available to it on the date of this annual report on Form 10-K, 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 SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

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.

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.

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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 NAV to reflect the daily changes in percentage terms of the SDCI, less USCI’s expenses.

USCF does not intend to operate USCI in a fashion such that its per share NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts (as defined below) that comprise the SDCI 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.

USCI believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts and Other Commodity-Related Investments.

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 Return SM (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 comprised of 14 Futures Contracts that are selected on a monthly basis from a list of 27 possible Futures Contracts.

The Futures Contracts that at any given time make up the SDCI are referred to herein as “Benchmark Component Futures Contracts”.

The SDCI is owned and maintained by SummerHaven Index Management, LLC (“SHIM”) and calculated and published by Bloomberg, L.P.

(“Bloomberg”).

USCI invests first in the current Benchmark Component Futures Contracts and other Futures Contracts intended to replicate the return on the current Benchmark Component Futures Contracts and, thereafter may hold Futures Contracts in a particular commodity other than one specified as the Benchmark Component Futures Contract, or may hold Other Commodity-Related Investments that are intended to replicate the return on the Benchmark Component Futures Contracts, but may fail to closely track the SDCI’s total return movements.

USCI seeks to achieve its investment objective by investing in Futures Contracts and Other Commodity-Related Investments such that daily changes in its’ per share NAV closely track the daily changes in the price of the SDCI.

USCI’s positions in Commodity Interests are rebalanced on a monthly basis in order to track the changing nature of the SDCI.

If Futures Contracts relating to a particular commodity remain in the SDCI from one month to the next, such Futures Contracts are rebalanced to the 7.14% target weight.

Specifically, on the Selection Date, it will be determined if a current Benchmark Component Futures Contract will be replaced by a new Futures Contract in either the same or different underlying commodity as a Benchmark Component Futures Contract for the following month, in which case USCI’s investments would have to be changed accordingly.

In order that USCI’s trading does not unduly cause extraordinary market movements, and to make it more difficult for third parties to profit by trading based on market movements that could be expected from changes in the Benchmark Component Futures Contracts, USCI’s investments typically are not rebalanced entirely on a single day, but rather typically rebalanced over a period of four days.

After fulfilling the margin and collateral requirements with respect to its Commodity Interests, USCF invests the remainder of USCI’s proceeds from the sale of shares in Treasuries or cash equivalents, and/or merely hold such assets in cash (generally in interest-bearing accounts).

USCI’s shares began trading on August 10, 2010.

As of December 31, 2019, USCI held 880 Futures Contracts on the NYMEX, 716 Futures Contracts on the ICE Futures, 644 Futures Contracts on the CBOT, 480 Futures Contracts on the CME, 1,903 Futures Contracts on the LME and 342 Futures Contracts on the COMEX, totaling 4,965 futures contracts.

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.”

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 December 31, 2020, USCI held 599 Futures Contracts on the NYMEX, held 792 Futures Contracts on the ICE Futures, held 915 Futures Contracts on the CBOT, did not hold any Futures Contracts on the CME, held 621 Futures Contracts on the LME and held 187 Futures Contracts on the COMEX, totaling 3,114 futures contracts.

United States Copper Index Fund

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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 SCI, less CPER’s expenses.

USCF does not intend to operate CPER in a fashion such that its per share NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts (as defined below) that comprise the SCI or the prices of any particular group of Futures Contracts.

CPER will not seek to achieve a stated investment objective over a period of time greater than one day.

USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts and Other Copper-Related Investments (as defined below).

The SCI is designed to reflect the performance of the investment returns from a portfolio of copper futures contracts.

The SCI is owned and maintained by SHIM and calculated and published by the NYSE Arca.

The SCI is comprised of either two 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 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 Return SM (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 Commodity Exchange, Inc.

exchange (“COMEX”).

The SCI is owned and maintained by SummerHaven Index Management, LLC (“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, 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 copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts.

and together with Benchmark Component Copper Futures Contracts and other Eligible Copper Futures Contracts, "Copper Interests."

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.”

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 December 31, 2020, CPER held 741 Futures Contracts on the COMEX.

Regulation of Commodity Interests

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 its investment objective.

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 December 31, 2020, USCI held 599 Futures Contracts on the NYMEX, held 792 Futures Contracts on the ICE Futures, held 915 Futures Contracts on the CBOT, did not hold any Futures Contracts on the CME, held 621 Futures Contracts on the LME and held 187 Futures Contracts on the COMEX, totaling 3,114 futures contracts.

As of December 31, 2020, CPER held 741 Futures Contracts on the COMEX.

For the fiscal year ended December 31, 2020, no Trust Series exceeded accountability levels imposed by the NYMEX, COMEX, CME, CBOT, KCBT, 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 fiscal year ended December 31, 2020, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, KCBT, LME or ICE Futures.

The regulation of commodity interest trading in the United States and other countries is an evolving area of the law.

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Risk Factors” in this annual report on Form 10-K.

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”).

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 are expected 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

In addition to the margin requirements described above, 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.

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 money market funds 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 money market fund.

An investment in a government money market fund 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 money market fund can fall below the $1.00 share price.

A Trust Series cannot rely on or expect a government money market fund’s adviser or its affiliates to enter into support agreements or take other actions to maintain the government money market fund’s $1.00 share price.

The credit quality of a government money market fund’s holdings can change rapidly in certain markets, and the default of a single holding could have an adverse impact on the government money market fund’s share price.

Due to fluctuations in interest rates, the market value of securities held by a government money market fund may vary.

A government money market fund’s share price can also be negatively affected during periods of high redemption pressures and/or illiquid markets.

Commodity Markets

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USCI’s per share NAV began the year at $36.87 and ended the year at $32.58 on December 31, 2020, a decrease of approximately (11.64)% over the year.

USCI’s per share NAV reached its high for the year on April 12, 2019 at $39.65 and reached its low for the year on August 23, 2019 at $34.73.

See "Tracking Each Trust Series' Benchmark"

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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 Return TM (“SCI”) (1)

SummerHaven Copper Index Total Return SM (“SCI”) (1)

Bloomberg Copper Subindex Total Return (2)

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CPER’s per share NAV began the year at $17.54 and ended the year at $21.72 on December 31, 2020, an increase of approximately 23.83% over the year.

CPER’s per share NAV reached its high for the year on April 17, 2019 at $18.58 and reached its low for the year on September 3, 2019 at $15.83.

See "Tracking Each Trust Series' Benchmark"

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For the Year Ended December 31, 2020 Compared to the Year Ended December 31, 2019

and for the Year Ended December 31, 2018, Compared to the Year Ended December 31, 2017

For the Year Ended

December 31, 2020

December 31, 2019

December 31, 2017

Per share net asset value, end of year

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The decrease in the per share NAV for the year ended December 31, 2020, compared to the year ended December 31, 2019, was due to decrease in values of the Futures Contracts held by USCI.

and for the year ended December 31, 2018, compared to the year ended December 31, 2017, the decrease in the per share NAV was due to decrease in the values of the Futures Contracts held by USCI.

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were lower during the year ended December 31, 2020, compared to the year ended December 31, 2019.

and were higher during the year ended December 31, 2018, compared to the year ended December 31, 2017.

As a result, the amount of income earned by USCI as a percentage of average daily total net assets was higher during the year ended December 31, 2019, compared to the year ended December 31, 2018;

and was higher during the year ended December 31, 2018 compared to the year ended December 31, 2017.

To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

As a result, the amount of income earned by USCI as a percentage of average daily total net assets was lower during the year ended December 31, 2020, compared to the year ended December 31, 2019.

To the degree that the aggregate yield is lower, the net expense ratio, inclusive of income, will be lower.

The decrease in total fees and other expenses excluding management fees for the year ended December 31, 2020, compared to the year ended December 31, 2019 was due primarily to USCI's smaller size as measured by total net assets.

and the increase in total fees and other expenses excluding management fees for the year ended December 31, 2018, compared to the year ended December 31, 2017, was due primarily to USCI’s larger size as measured by total net assets.

The decrease in USCI's total commissions accrued to brokers for the year ended December 31, 2020, compared to the year ended December 31, 2019, was due primarily to a lower number of contracts traded.

and the increase in total commissions accrued to brokers for the year ended December 31, 2018, compared to the year ended December 31, 2017, was due primarily to higher number of contracts traded.

For the Year Ended

December 31, 2020

December 31, 2019

December 31, 2017

Per share net asset value, end of year

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Total amount of the expense waiver

Expenses before allowance for the expense waiver

Expenses after allowance for the expense waiver

Expenses before the allowance of the expense waiver

Expenses after the allowance of the expense waiver

Total commissions accrued to brokers

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The fee is accrued daily and paid monthly.

The increase in the per share NAV for the year ended December 31, 2019, compared to the year ended December 31, 2018, was due to decrease in values of the Futures Contracts held by CPER;

and for the year ended December 31, 2018, compared to the year ended December 31, 2017, the decrease in the per share NAV was due to decrease in the values of the Futures Contracts held by CPER.

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were higher during the year ended December 31, 2019, compared to the year ended December 31, 2018;

and were higher during the year ended December 31, 2018, compared to the year ended December 31, 2017.

As a result, the amount of income earned by CPER as a percentage of average daily total net assets was higher during the year ended December 31, 2019, compared to the year ended December 31, 2018;

and was higher during the year ended December 31, 2018 compared to the year ended December 31, 2017.

The increase in the per share NAV for the year ended December 31, 2020, compared to the year ended December 31, 2019, was due to increase in values of the Futures Contracts held by CPER.

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were lower during the year ended December 31, 2020, compared to the year ended December 31, 2019.

As a result, the amount of income earned by CPER as a percentage of average daily total net assets was lower during the year ended December 31, 2020.

To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

The increase in total fees and other expenses excluding management fees for the year ended December 31, 2019, compared to the year ended December 31, 2018 was due primarily to CPER's higher professional fees;

The increase in total fees and other expenses excluding management fees for the year ended December 31, 2020, compared to the year ended December 31, 2019 was due primarily to CPER's higher assets.

The increase in CPER's total commissions accrued to brokers for the year ended December 31, 2020, compared to the year ended December 31, 2019, was due primarily to a higher number of contracts traded.

and the decrease in total commissions accrued to brokers for the year ended December 31, 2018, compared to the year ended December 31, 2017, was due primarily to lower number of contracts traded.

For the Three Months Ended December 31, 2019 Compared to the Three Months Ended December 31, 2018;

and for the Three Months Ended December 31, 2018 Compared to the Three Months Ended December 31, 2017

For the Three

December 31, 2019

December 31, 2018

December 31, 2017

Per share net asset value, end of period

Average daily total net assets

Dividend and interest income earned on Treasuries, cash and/or cash equivalents

Annualized yield based on average daily total net assets

Management fee

Total fees and other expenses excluding management fees

Total commissions accrued to brokers

Total commissions as annualized percentage of average total net assets

Commissions accrued as a result of rebalancing

Percentage of commissions accrued as a result of rebalancing

Commissions accrued as a result of creation and redemption activity

Percentage of commissions accrued as a result of creation and redemption activity

The decrease in the per share NAV for the three months ended December 31, 2019, compared to the three months ended December 31, 2018, was due primarily to decrease in values of the Futures Contracts held by USCI;

and the decrease in the per share NAV for the three months ended December 31, 2018, compared to the three months ended December 31, 2017, was due primarily to decrease in values of the Futures Contracts held by USCI.

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were lower during the three months ended December 31, 2019, compared to the three months ended December 31, 2018;

and were higher during the three months ended December 31, 2018, compared to the three months ended December 31, 2017.

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 December 31, 2019, compared to the three months ended December 31, 2018;

and was higher during the three months ended December 31, 2018 compared to the three months ended December 31, 2017.

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 three months ended December 31, 2019, compared to the three months ended December 31, 2018 was due primarily to USCI’s smaller size as measured by total net assets;

and the decrease in total fees and other expenses excluding management fees for the three months ended December 31, 2018, compared to the three months ended December 31, 2017, was due primarily to lower accrued taxes.

The decrease in total commissions accrued to brokers for the three months ended December 31, 2019, compared to the three months ended December 31, 2018, was due primarily to a lower number of contracts traded;

and the increase in total commissions accrued to brokers for the three months ended December 31, 2018, compared to the three months ended December 31, 2017, was due primarily to higher number of contracts traded.

For the Three

December 31, 2019

December 31, 2018

December 31, 2017

Per share net asset value, end of period

Average daily total net assets

Dividend and interest income earned on Treasuries, cash and/or cash equivalents

Annualized yield based on average daily total net assets

Management fee

Total fees and other expenses excluding management fees

Total amount of the expense waiver

Expenses before allowance for the expense waiver

Expenses after allowance for the expense waiver

Total commissions accrued to brokers

Total commissions as annualized percentage of average total net assets

Commissions accrued as a result of rebalancing

Percentage of commissions accrued as a result of rebalancing

Commissions accrued as a result of creation and redemption activity

Percentage of commissions accrued as a result of creation and redemption activity

The increase in the per share NAV for the three months ended December 31, 2019, compared to the three months ended December 31, 2018, was due primarily to increase in values of the Futures Contracts held by CPER;

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were lower during the three months ended December 31, 2019, compared to the three months ended December 31, 2018;

and were higher during the three months ended December 31, 2018, compared to the three months ended December 31, 2017.

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 December 31, 2019, compared to the three months ended December 31, 2018;

and was higher during the three months ended December 31, 2018 compared to the three months ended December 31, 2017.

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 three months ended December 31, 2019, compared to the three months ended December 31, 2018 was due primarily to CPER’s smaller size as measured by total net assets;

and the increase in total fees and other expenses excluding management fees for the three months ended December 31, 2018, compared to the three months ended December 31, 2017, was due primarily to CPER’s larger size as measured by total net assets.

The increase in total commissions accrued to brokers for the three months ended December 31, 2019, compared to the three months ended December 31, 2018, was due primarily to a higher number of contracts traded;

and the decrease in total commissions accrued to brokers for the three months ended December 31, 2018, compared to the three months ended December 31, 2017, was due primarily to lower number of contracts traded.

Portfolio Holdings for USCI

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Due to changes in the composition of the SDCI, each month the list of Benchmark Component Futures Contracts held by USCI changed (see the section “The SDCI” below).

The table below lists the Benchmark Component Futures Contracts held during the year ended December 31, 2019.Benchmark Component Futures Contracts for USCI

The table below lists the Benchmark Component Futures Contracts held during the year ended December 31, 2020.

Benchmark Component Futures Contracts for USCI

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Benchmark Component Futures Contracts for USCI

Crude Oil (WTI)

YTD Spot Price

Unleaded Gasoline

Crude Oil (WTI)

Crude Oil (Brent)

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During the year ended December 31, 2020, USCI earned interest income of $945,829, which is equivalent to a weighted average income rate of approximately 0.81% for such period.

In addition, during the year ended December 31, 2019, USCI also collected $26,950 from its Authorized Participants for creating or redeeming baskets of shares.

In addition, during the year ended December 31, 2020, USCI also collected $8,750 from its Authorized Participants for creating or redeeming baskets of shares and earned $103,927 in dividend income.

This income also contributed to USCI’s actual total return.

1 unchanged sentence

During the year ended December 31, 2020, USCI incurred total expenses of $1,424,451.

Income from interest and Authorized Participant collections net of expenses was $3,658,506, which is equivalent to a weighted average net income rate of approximately 1.05% for the year ended December 31, 2019.

Loss from interest, dividends and Authorized Participant collections net of expenses was ($365,945), which is equivalent to a weighted average net loss rate of approximately (0.28)% for the year ended December 31, 2020.

By comparison, for the year ended December 31, 2019, the actual total return of USCI as measured by changes in its per share NAV was (1.65)%.

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By comparison, for the year ended December 31, 2017, the actual total return of USCI as measured by changes in its per share NAV was 6.15%.

This was based on an initial per share NAV of $40.02 on December 31, 2016 and an ending per share NAV as of December 31, 2017 of $42.48.

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 $43.25 as of December 31, 2017, for a total return over the relevant time period of 8.07%.

The difference between the actual per share NAV total return of USCI of 6.15% and the expected total return based on the SDCI of 8.07% was an error over the time period of (1.92)%, which is to say that USCI's actual total return underperformed the benchmark result 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, tended to cause daily changes in the per share NAV of USCI to track slightly lower 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 year ended December 31, 2017, USCI earned interest income of $4,017,753, which is equivalent to a weighted average income rate of approximately 0.78% for such period.

In addition, during the year ended December 31, 2017, USCI also collected $15,750 from its Authorized Participants for creating or redeeming baskets of shares.

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 year ended December 31, 2017, USCI incurred total expenses of $5,349,811.

Income from interest and Authorized Participant collections net of expenses was $(1,316,308), which is equivalent to a weighted average net income rate of approximately (0.26)% for the year ended December 31, 2017.

For the 30-valuation days ended December 31, 2020, the simple average daily change in the SCI was 0.305%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.309%.

18 unchanged sentences

During the year ended December 31, 2020, CPER earned interest income of $44,627, which is equivalent to a weighted average income rate of approximately 0.28% for such period.

During the year ended December 31, 2019, CPER collected $6,300 in fees from its Authorized Participants for creating or redeeming baskets of shares.

During the year ended December 31, 2020, CPER collected $13,304 in fees from its Authorized Participants for creating or redeeming baskets of shares and earned $12,573 in dividend income.

During the year ended December 31, 2020, CPER incurred net expenses of $164,657.

Income from interest and Authorized Participant collections net of expenses was $131,165, which is equivalent to a weighted average net income rate of approximately 1.24% for the year ended December 31, 2019.

Loss from interest, dividends and Authorized Participant collections net of expenses was $(94,153), which is equivalent to a weighted average net loss rate of approximately 0.46% for the year ended December 31, 2020.

By comparison, for the year ended December 31, 2019, the actual total return of CPER as measured by changes in its per share NAV was 6.69%.

10 unchanged sentences

By comparison, for the year ended December 31, 2017, the actual total return of CPER as measured by changes in its per share NAV was 28.67%.

This was based on an initial per share NAV of $16.36 on December 31, 2016 and an ending per share NAV as of December 31, 2017 of $21.05.

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 $21.43 as of December 31, 2017, for a total return over the relevant time period of 30.99%.

The difference between the actual per share NAV total return of CPER of 28.67% and the expected total return based on the SCI of 30.99% was an error over the time period of (2.32)%, which is to say that CPER's actual total return underperformed the benchmark result 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, tended to cause daily changes in the per share NAV of CPER to track slightly lower 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 year ended December 31, 2017, CPER earned interest income of $80,677, which is equivalent to a weighted average income rate of approximately 0.78% for such period.

During the year ended December 31, 2017, CPER collected $4,550 in fees from its Authorized Participants for creating or redeeming baskets of shares.

During the year ended December 31, 2017, CPER incurred net expenses of $82,799.

Income from interest and Authorized Participant collections net of expenses was $2,428, which is equivalent to a weighted average net income rate of approximately 0.02% for the year ended December 31, 2017.

Factors That Can Impact Ability to Track the Applicable Index

10 unchanged sentences

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.

If short-term interest rates rise above these 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.

18 unchanged sentences

The table and chart below show the hypothetical performance of the SDCI from January 1, 2009 through December 31, 2020.

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.

13 unchanged sentences

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical Performance Results** for the period

from January 1, 2009 through December 31, 2019

Hypothetical Performance Results* for the period from January 1, 2010 through December 31, 2020

Ending Level*

2 unchanged sentences

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, 2010 through December 24, 2020 period.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

SummerHaven Dynamic Commodity Index Total Return SM (“SDCI”) Year-Over-Year

Hypothetical Total Returns (1/1/2009–12/31/2019 YTD)

SummerHaven Index Management, Bloomberg

SummerHaven Dynamic Commodity Index Total Return SM (“SDCI”) Year-Over-Year Hypothetical Total Returns (1/1/2010–12/31/2020) YTD)*

* 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 January 1, 2010 through December 24, 2020 period.

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 December 31, 2020.

2 unchanged sentences

from December 31, 1997 through December 31, 2020

Average annual return (total)

Average annualized return (total)

Annualized volatility

30 unchanged sentences

S&P GSCI TR, DB LCI OY TR, and the Hypothetical Returns of the SDCI TR (12/31/2010– 12/31/2020)*

(12/31/2009–12/31/2019)

SHIM, Bloomberg

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.

2 unchanged sentences

S&P GSCI TR, DB LCI OY TR, and the Hypothetical Returns of the SDCI TR (12/31/2015– 12/31/2020)*

(12/31/2014–12/31/2019)

SHIM, Bloomberg

The table and chart below show the hypothetical performance of the SCI from December 31, 2009 through December 31, 2020.

13 unchanged sentences

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical Performance Results** for the SCI for the period

from January 1, 2009 through December 31, 2019

Hypothetical Performance Results* for the SCI for the period from January 1, 2010 through December 31, 2020

Ending Level*

3 unchanged sentences

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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

Hypothetical Total Returns (1/1/2009–12/31/2019)

SummerHaven Index Management, Bloomberg

SummerHaven Copper Index (“SCI”) Year-Over-Year Hypothetical Total Returns (1/1/2010– 12/31/2020)

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 December 31, 2020.

3 unchanged sentences

(less storage)

Average annual return (total)

Average annualized return (total)

Annualized volatility

26 unchanged sentences

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 TR (12/31/2009–12/31/2019)

BCOM HG TR, Spot Copper Price, Spot Copper Price less Storage Cost, and the Hypothetical Returns of the SCI TR (12/31/2010– 12/31/2020)*

SHIM, Bloomberg, LME

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.

1 unchanged sentence

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 (12/31/2014–12/31/2019)

BCOM HG TR, Spot Copper Price, Spot Copper Price less Storage Cost, and the Hypothetical Returns of the SCI (12/31/2015- 12/31/2020)

SHIM, Bloomberg, LME

For the Year Ended December 31, 2019 Compared to the Year Ended December 31, 2018

The comparison of the fiscal years ended December 31, 2019 and 2018 can be found in the Trust’s annual report on Form 10-K for the fiscal year ended December 31, 2019 located within Part II, Item 7.

Management's Discussion and Analysis of Financial Condition and Results of Operations, which is incorporated by reference herein.

Critical Accounting Policies

Preparation of the 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.

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 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.

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.

13 unchanged sentences

Income received from any investments in money market funds and Treasuries by a Trust Series will be paid to such Trust Series.

During the year ended December 31, 2019, the Trust Series' expenses did not exceed the income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets.

During the year ended December 31, 2018, each Trust Series' expenses did not exceed the income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets.

During the year ended December 31, 2020, each 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.

29 unchanged sentences

In addition, the CFTC requires FCMs to hold in a secure account a Trust Series' assets related to foreign Futures Contracts trading.

During the year ended December 31, 2019, USCI did not make investments on any foreign exchanges.

During the year ended December 31, 2020, CPER did not make investments on any foreign exchanges.

2 unchanged sentences

As of December 31, 2020, each of USCI and CPER held cash deposits and investments in Treasuries and money market funds in the amount of $103,873,008 and $62,333,565, 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.

Some or all of these amounts held by a custodian or an FCM, as applicable, may be subject to loss should the Trust Series' custodian or FCMs, as applicable, cease operations.

Off Balance Sheet Financing

1 unchanged sentence

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.

European Sovereign Debt

None of the Trust Series had direct exposure to European sovereign debt as of December 31, 2019 or had direct exposure to European sovereign debt as of the filing of this annual report on Form 10-K.

Redemption Basket Obligation

31 unchanged sentences

Either party may terminate these agreements earlier for certain reasons described in the agreements.

As of December 31, 2019, USCI's portfolio consisted of 4,965 Futures Contracts traded on the Futures Exchanges and CPER's portfolio consisted of 100 Futures Contracts traded on the COMEX.

As of December 31, 2020, USCI's portfolio consisted of 3,114 Futures Contracts traded on the Futures Exchanges and CPER's portfolio consisted of held 741 Contracts traded on the COMEX.

For a list of each of USCI's and CPER's current holdings, please see www.uscfinvestments.com.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 7. Management’s Discussion and Analysis