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Item 7. Management’s Discussion and Analysis

2022-02-25 compared with 2021-02-26 · 99 added, 128 removed, 515 unchanged (31% 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 condensed 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 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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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:

changes in inflation in the United States, movements in U.S.

and foreign currencies, market volatility in the commodities markets, in part 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.

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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 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.

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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.

(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, 2021, CPER held 2,051 Futures Contracts on the COMEX.

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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.

These levels and position limits apply to the futures contracts that each Trust Series invests in to meet the investment objective of such Trust Series.

In addition to accountability levels and position limits, the NYMEX and ICE Futures also set daily price fluctuation limits on futures contracts.

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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.

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, 2021, USCI held 1,025 Futures Contracts on the NYMEX, held 1,574 Futures Contracts on the ICE Futures, held 411 Futures Contracts on the CBOT, did not hold any Futures Contracts on the CME, held 2,457 Futures Contracts on the LME and held 145 Futures Contracts on the COMEX, totaling 5,612 futures contracts.

As of December 31, 2021, CPER held 2,051 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.

For the fiscal year ended December 31, 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.

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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.

The various statements made in this summary are subject to modification by legislative action and changes in the rules and regulations of the CFTC, the NFA, the SEC, 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 annual report on Form 10-K.

For the fiscal year ended December 31, 2021, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

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.

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 for an exemption therefrom.

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 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);

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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.

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.

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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.

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.

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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).

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.

The value of Treasury Bills and Money Market securities held by a Trust Series will fluctuate in value with changes in interest rates .

Interest rate risk is generally lower for shorter term investments and higher for longer term investments.

A Trust Series may be subject to a greater risk of rising interest rates than would normally be the case due to the current period of historically low rates and the effect of potential fiscal policy initiatives and resulting market reaction to those initiatives.

When interest rates fall, a Trust Series may be required to reinvest the proceeds from the sale, redemption or early prepayment of a Treasury Bill or money market security at a lower interest rate.

A Trust Series may lose money by investing in government money market funds.

The Trust Series invest in government money market funds.

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.

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Year Ended December 31, 2021

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited a mostly downward trend during the year ended December 31, 2020.

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited a strong upward trend during the year ended December 31, 2021.

The table below compares the total returns of the SDCI to the three major diversified commodity indexes over this time period.

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The value of the SDCI as of January 1, 2021 was $1,089.40.

As of December 31, 2020, the value of the SDCI was $1,089.40, down approximately (10.64)% over the year ended December 31, 2020.

As of December 31, 2021, the value of the SDCI was $1,468.49, up approximately 34.80% over the year ended December 31, 2021.

The return of approximately 34.80% 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 year at $36.87 and ended the year at $32.58 on December 31, 2020, a decrease of approximately (11.64)% over the year.

See "Tracking Each Trust Series' Benchmark"

below for information about how expenses and income affect USCI's per share NAV.

USCI’s per share NAV began the year at $32.58 and ended the year at $43.43 on December 31, 2021, an increase of approximately 33.30% over the year.

See “Tracking Each Trust Series’ Benchmark” below for information about how expenses and income affect USCI’s per share NAV.

Copper Markets

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Year Ended December 31, 2021

As measured by the two major copper indexes, copper futures prices exhibited a downward trend during the year ended December 31, 2020.

As measured by the two major copper indexes, copper futures prices exhibited an upward trend during the year ended December 31, 2021.

The table below compares the total returns of the SCI to the Bloomberg Copper Subindex Total Return over this time period.

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CPER’s per share NAV began the year at $21.72 and ended the year at $27.24 on December 31, 2021, an increase of approximately 25.41% over the year.

See "Tracking Each Trust Series' Benchmark"

below for information about how expenses and income affect CPER's per share NAV.

See “Tracking Each Trust Series’ Benchmark” below for information about how expenses and income affect CPER’s per share NAV.

During the year ended December 31, 2021, the price of the front month copper futures contract traded in a range between $3.5190 per pound and $4.7785 per pound.

Prices increased 16.20% between December 31, 2020 to to December 31, 2021 finishing the year at $446.35.

Copper futures markets have risen dramatically since March of 2020.

Prices leveled off and remained in a tighter range since June 2021 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

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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 not registered any subsequent offerings of its shares.

Since its initial offering of 50,000,000 shares, USCI has registered 10,000,000 additional shares as of December 31, 2021.

As of December 31, 2021, USCI had issued 39,000,000 shares, 5,400,000 of which were outstanding.

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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 not registered any subsequent offerings of its shares.

Since its initial offering of 30,000,000 shares, CPER has registered 50,000,000 additional shares as of December 31, 2021.

As of December 31, 2021, CPER had issued 19,550,000 shares, 8,400,000 of which were outstanding.

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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.

XBET is currently in registration and has not commenced operations.

Another 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 United States Agriculture Index Fund ("USAG"), which liquidated all of its assets on September 12, 2018 and distributed cash pro rata to all remaining shareholders on September 13, 2018 and the USCF Canadian Crude Oil Index Fund ("UCCO"), which never commenced operations and was terminated as a series on May 8, 2019.

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.

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As of December 31, 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 & Company Inc., JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Co.

LLC, RBC Capital Markets LLC and Virtu Financial BD LLC.

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 & Company Inc., RBC Capital Markets LLC and Virtu Americas LLC.

For the Year Ended December 31, 2021 Compared to the Year Ended December 31, 2020

December 31, 2020

December 31, 2019

Per share net asset value, end of year

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Total fees and other expenses excluding management fees

Fees and expenses related to the registration or offering of additional shares

Total commissions accrued to brokers

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The fee is accrued daily and paid monthly.

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.

The increase in the per share NAV for the year ended December 31, 2021, compared to the year ended December 31, 2020, was due to increase 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 year ended December 31, 2021, compared to the year ended December 31, 2020.

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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.

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.

December 31, 2020

December 31, 2019

The increase in total fees and other expenses excluding management fees for the year ended December 31, 2021, compared to the year ended December 31, 2020 was due primarily to an increase in total commissions accrued to brokers and prepaid registration of additional shares.

The increase in USCI’s total commissions accrued to brokers for the year ended December 31, 2021, compared to the year ended December 31, 2020, was due primarily to a higher number of Futures Contracts being held and traded.

Per share net asset value, end of year

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Expenses after the allowance of the expense waiver

Fees and expenses related to the registration or offering of additional shares

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

The increase in the per share NAV for the year ended December 31, 2021, compared to the year ended December 31, 2020, was due to an 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, 2021, compared to the year ended December 31, 2020.

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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, 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.

The increase CPER’s total commissions accrued to brokers for the year ended December 31, 2021, compared to the year ended December 31, 2020, was due primarily to a higher number of Futures Contracts being held and 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, 2020.

The table below lists the Benchmark Component Futures Contracts held during each month in 2021.

Benchmark Component Futures Contracts for USCI

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First, the table below includes a column showing the change in the spot price of each of the 27 commodities for the year ended December 31, 2021.

Second, while the tables above list the order of the commodities alphabetically (first by which of the six sectors a commodity falls into and then within each sector), the table below lists the commodities from the commodity that had the highest positive change in spot price to the commodity that had the lowest positive change or largest negative change in spot price.

Second, while the tables above list the order of the commodities alphabetically, the table below lists the commodities first by which of the five sectors a commodity falls into and then within each sector from the commodity that had the highest positive change in spot price to the commodity that had the lowest positive change or largest negative change in spot price.

Investors are cautioned that the change in the spot price of a given commodity does not represent the actual return that USCI might have earned on any holdings in futures contracts based on that commodity.

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Benchmark Component Futures Contracts for USCI

YTD Spot Price

Unleaded Gasoline

Crude Oil (WTI)

Crude Oil (Brent)

Feeder Cattle

Crude Oil (Brent)

Crude Oil (WTI)

Unleaded Gasoline

• = Component

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As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (1.424)%, 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 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 December 31, 2020, the last trading day in December.

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 December 31, 2020.

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 to December 31, 2020, the simple average daily change in the SDCI was (0.007)%, while the simple average daily change in the per share NAV of USCI over the same time period was (0.013)%.

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 through December 31, 2021, the simple average daily change in the SDCI was 0.004%, while the simple average daily change in the per share NAV of USCI over the same time period was (0.002)%.

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 (7.028)%, 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 December 31, 2021, the last trading day in December.

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 December 31, 2021.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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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 $43.92 as of December 31, 2021, for a total return over the relevant time period of 34.81%.

The difference between the actual per share NAV total return of USCI of (11.64)% and the expected total return based on the SDCI of (10.63)% was an error over the time period of (1.01)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage.

The difference between the actual per share NAV total return of USCI of 33.30% and the expected total return based on the SDCI of 34.81% was a difference over the time period of (1.51)%, 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 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, 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.

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, 2020, USCI incurred total expenses of $1,424,451.

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, 2020, the actual total return of USCI as measured by changes in its per share NAV was (11.64)%.

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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 $32.95 as of December 31, 2020, for a total return over the relevant time period of (10.63)%.

The difference between the actual per share NAV total return of USCI of (1.65)% and the expected total return based on the SDCI of (0.19)% was an error over the time period of (1.46)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage.

The difference between the actual per share NAV total return of USCI of (11.64)% and the expected total return based on the SDCI of (10.63)% was a difference over the time period of (1.01)%, which is to say that USCI’s actual total return underperformed 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 are offset in part by the income that USCI collects on its cash and cash equivalent holdings.

During the year ended December 31, 2019, USCI earned interest income of $7,449,252, which is equivalent to a weighted average income rate of approximately 2.14% 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.

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

During the year ended December 31, 2019, USCI incurred total expenses of $3,817,696.

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.

For the 30-valuation days ended December 31, 2021, the simple average daily change in the SCI was 0.157%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.153%.

The average daily difference was 0.004% (or 0.4 basis points, where 1 basis point equals 1/100 of 1%).

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 (6.742)%, 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 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 December 31, 2020, the last trading day in December.

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 December 31, 2020.

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 to December 31, 2020, the simple average daily change in the SCI was 0.005%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.002%.

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 through December 31, 2021, the simple average daily change in the SCI was 0.0152%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.012%.

The average daily difference was (0.0035)% (or (0.35) 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 (3.142)%, 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 December 31, 2021, the last trading day in September.

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 December 31, 2021.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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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 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, 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.

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, 2020, the actual total return of CPER as measured by changes in its per share NAV was 23.83%.

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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 are offset in part by the income that CPER collects on its cash and cash equivalent holdings.

During the year ended December 31, 2019, CPER earned interest income of $209,278, which is equivalent to a weighted average income rate of approximately 1.98% 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, 2019, CPER incurred net expenses of $84,413.

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.

Factors That Can Impact Ability to Track the Applicable Index

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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.

During the year ended December 31, 2020, USCF attempted 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.

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.

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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 these levels, the level of deviation created by the yield would increase.

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.

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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 lower than interest earned by each Trust Series.

As such, USCF anticipates that each Trust Series could possibly outperform its benchmark so long as interest earned at least equals or exceeds the fees and expenses paid by each Trust Series.

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.

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The table and chart below show the hypothetical performance of the SDCI from January 1, 2009 through December 31, 2021.

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

The composition of the SDCI 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).

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, 2021 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.

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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.

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 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 (1/1/2011–12/31/2021)* 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.

* 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 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, 2021.

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The table immediately above shows the performance of the SDCI from December 31, 1997 through December 31, 2021 in comparison with three traditional commodities indices:

the S&P GSCI Commodity Index (GSCI ® ) Total Return, Bloomberg Commodity Index Total Return SM , and the Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return TM .

the S&P GSCI Commodity Index (GSCI®) Total Return, Bloomberg Commodity Index Total Return SM (“BCOM TR”), and the Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return TM (“DB LCI OYTR”).

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 Return SM is currently composed of futures contracts on a diversified basket of commodities traded on U.S.

The Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return TM 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.

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.

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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.

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 became effective on December 24, 2020, been effective during the period from December 31, 1997 through December 24, 2020.

None of the indices has an investment objective identical to the SDCI.

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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 became effective on December 24, 2020, been effective during the January 1, 2010 through December 24, 2020 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.

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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 became effective on December 24, 2020, been effective during the January 1, 2010 through December 24, 2020 period.

The table and chart below show the hypothetical performance of the SCI from December 31, 2009 through December 31, 2021.

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SummerHaven Copper Index (“SCI”) Year-Over-Year Hypothetical Total Returns (1/1/2011– 12/31/2021)

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 December 31, 2021.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical and Historical Results for the period from December 31, 1997 through December 31, 2021

Hypothetical and Historical Results for the period

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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 became effective on January 1, 2021, been effective during the period from December 31, 1997 through December 31, 2020.

USCF is not responsible for any information found on such website, and such information is not part of this annual report on Form 10-K.

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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 December 31, 2011 through December 31, 2020 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.

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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 December 31, 2011 through December 31, 2020 period.

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

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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.

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.

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.

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.

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.

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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 March 31, 2011.

As of March 31, 2011, the expense waiver was no longer in effect for USCI.

USCF has 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 can terminate this agreement at any time in its sole discretion.

If this Agreement were terminated, the Annual Fund Operating Expenses could increase, which would negatively impact your total return from an investment in CPER.

This voluntary expense waiver is in addition to those amounts USCF is contractually obligated to pay as described in Note 5 to the financial statements of the Trust.

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 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.

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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