What changed in this filing

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Item 1. Business

2023-02-27 compared with 2022-02-25 · 73 added, 95 removed, 1108 unchanged (13% of the section changed)

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(“NYSE Arca”).

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.

The Trust, USCI, and CPER operate pursuant to the Trust’s Fourth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), dated as of December 15, 2017.

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Diablo Boulevard, Suite 640, Walnut Creek, California 94596.

USCF is a wholly-owned subsidiary of Wainwright Holdings, Inc., a Delaware corporation (“Wainwright”), which is an intermediate holding company that owns USCF and another advisor of exchange traded funds.

Wainwright is a wholly owned subsidiary of Concierge Technologies, Inc.

(publicly traded under the ticker CNCG) (“Concierge”), a publicly traded holding company that owns various financial and non-financial businesses.

Nicholas Gerber (discussed below), along with certain family members and certain other shareholders, owns the majority of the shares in Concierge.

Wainwright is a holding company that currently holds both USCF, as well as USCF Advisers LLC, an investment adviser registered under the Investment Advisers Act of 1940, as amended, (“USCF Advisers”).

USCF Advisers serves as the investment adviser for the USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (“SDCI”), USCF Midstream Energy Income Fund (“UMI”) and USCF Gold Strategy Plus Income Fund (“GLDX”), each a series of the USCF ETF Trust.

USCF Advisers was also the investment adviser for each of the following funds prior to such fund’s liquidation:

(1) the USCF Commodity Strategy Fund (the “Mutual Fund”), a series of the USCF Mutual Funds Trust, until March 2019, and (2) for the USCF SummerHaven SHPEN Index Fund (“BUYN”) and the USCF SummerHaven SPEI Index Fund (“BUY”), each a series of the USCF ETF Trust, until May 2020 and October 2020, respectively.

USCF ETF Trust and USCF Mutual Funds Trust are registered under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Board of Trustees for the USCF ETF Trust and USCF Mutual Funds Trust consist of different independent trustees than those independent directors who serve on the Board of Directors of USCF.

USCF is a wholly-owned subsidiary of USCF Investments, Inc., formerly Wainwright Holdings, Inc., a Delaware corporation (“USCF Investments”), which is an intermediate holding company that owns USCF and another advisor of exchange traded funds.

USCF Investments is a wholly owned subsidiary of The Marygold Companies, Inc., formerly, Concierge Technologies, Inc.

(publicly traded under the ticker:

MGLD) (“Marygold”), a publicly traded holding company that owns various financial and non-financial businesses.

Nicholas Gerber (discussed below), along with certain family members and certain other shareholders, owns the majority of the shares in Marygold.

USCF Investments is a holding company that currently holds both USCF, as well as USCF Advisers LLC, an investment adviser registered under the Investment Advisers Act of 1940, as amended, (“USCF Advisers”).

USCF Advisers serves as the investment adviser for the USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (“SDCI”), USCF Midstream Energy Income Fund (“UMI”), USCF Dividend Income Fund (“UDI”), USCF Gold Strategy Plus Income Fund (“GLDX”) and USCF Sustainable Battery Metals Strategy Fund (“ZSB”), each a series of the USCF ETF Trust.

USCF ETF Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Board of Trustees for the USCF ETF Trust consists of different independent trustees than those independent directors who serve on the Board of Directors of USCF.

USCF is a member of the National Futures Association (the “NFA”) and registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (the “CFTC”) on December 1, 2005 and as a swaps firm on August 8, 2013.

USCF is the sponsor of the Trust and each of its series:

USCI, CPER and the USCF Crescent Crypto Index Fund (“XBET”).

USCF previously served as the sponsor for the United States Agriculture Index Fund (“USAG”), which was liquidated in 2018.

A registration statement that had been previously filed for XBET was withdrawn on June 25, 2020.

USCI and CPER.

USCF also serves as the general partner of the United States Natural Gas Fund, LP (“UNG”), the United States 12 Month Oil Fund, LP (“USL”), the United States Brent Oil Fund, LP (“BNO”), the United States Gasoline Fund, LP (“UGA”), the United States 12 Month Natural Gas Fund, LP (“UNL”) and the United States Oil Fund, LP (“USO”).

USCF previously served as the general partner for the United States Short Oil Fund, LP (“DNO”) and the United States Diesel-Heating Oil Fund, LP (“UHN”), both of which were liquidated in 2018.

In addition, USCF is the sponsor of the USCF Funds Trust, a Delaware statutory trust, and each of its series, the United States 3x Oil Fund (“USOU”) and the United States 3x Short Oil Fund (“USOD”), which listed their shares on the NYSE Arca on July 20, 2017 under the ticker symbols “USOU” and “USOD”, respectively.

Each of USOU and USOD liquidated all of its assets and distributed cash pro rata to all remaining shareholders in December 2019.

USO, UNG, UGA, UNL, USL and BNO are referred to collectively herein as the “Related Public Funds.”

The Related Public Funds are subject to reporting requirements under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).

For more information about each of the Related Public Funds, investors in the Trust Series may call 1.800.920.0259 or visit www.uscfinvestments.com or the website of the Securities and Exchange Commission’s (the “SEC”) at www.sec.gov.

USCI, CPER and the Related Public Funds are subject to reporting requirements under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).

For more information about USCI, CPER and each of the Related Public Funds, investors in the Trust Series may call 1.800.920.0259 or visit www.uscfinvestments.com or the website of the Securities and Exchange Commission’s (the “SEC”) at www.sec.gov.

USCF is required to evaluate the credit risk of each Trust Series to the futures commission merchant (“FCM”), oversee the purchase and sale of the Trust Series’ shares by certain authorized purchasers (“Authorized Participants”), review daily positions and margin requirements of the Trust Series and manage the Trust Series’ investments.

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CPER seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Copper Futures Contracts.

Then, if constrained by regulatory requirements or in view of market conditions, CPER will invest next in other Eligible Copper Futures Contracts based on the same copper as the futures contracts subject to such regulatory constraints or market conditions, and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts if one or more other Eligible Copper Futures Contracts is not available.

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.

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USCF further believes that the net effect of this expected relationship and the expected relationship described above between a Trust Series’ per share NAV and the Applicable Index will be that the daily changes in the price of a Trust Series’ shares on the NYSE Arca on a percentage basis will closely track the daily changes in the Applicable Index on a percentage basis, less such Trust Series’ expenses.

While the Applicable Index is composed of Applicable Benchmark Component Futures Contracts and is therefore a measure of the prices of the applicable commodities comprising the Applicable Index for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the Applicable Index and the cash or spot prices of the commodities underlying the Applicable Benchmark Component Futures Contracts.

While the Applicable

Index is composed of Applicable Benchmark Component Futures Contracts and is therefore a measure of the prices of the applicable commodities comprising the Applicable Index for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the Applicable Index and the cash or spot prices of the commodities underlying the Applicable Benchmark Component Futures Contracts.

Commodity Interests.

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As a result, in such circumstances, a Trust Series may be better able to achieve the exact amount of exposure to changes in price of the Applicable Benchmark Component Futures Contracts through the use of Other Related Investments, such as OTC contracts that have better correlation with changes in price of the Applicable Benchmark Component Futures Contracts.

Each Trust Series anticipates that, to the extent it invests in Applicable Benchmark Component Futures Contracts other than the Applicable Benchmark Component Futures Contracts and Other Related Investments that are not economically equivalent to the Applicable Benchmark Component Futures Contracts, it will enter into various non-exchange-traded derivative contracts to hedge the short-term price movements of such Applicable Benchmark Component Futures Contracts and Other Related Investments against the current Applicable Benchmark Component Futures Contracts.

Applicable Benchmark Component Futures Contracts, it will enter into various non-exchange-traded derivative contracts to hedge the short-term price movements of such Applicable Benchmark Component Futures Contracts and Other Related Investments against the current Applicable Benchmark Component Futures Contracts.

USCF does not anticipate letting its Applicable Benchmark Component Futures Contracts expire and taking delivery of any commodities.

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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.

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.

Certain Applicable Benchmark Component Futures Contracts are 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.

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SDCI Commodity Weights as of December 31, 2022

Summerhaven Index Management, Bloomberg

Contract Selection

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The following graph shows the weights of the Benchmark Component Copper Futures Contracts selected for inclusion in the SCI as of December 31, 2022.

SCI Commodity Weights as of December 31, 2021

Summerhaven Index Management, Bloomberg

Portfolio Construction

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For the period June 25, 2018 and after, USCI and CPER pay RBC Capital commissions for executing and clearing trades on their behalf.

RBC Capital’s primary address is 3 World Financial Center, 200 Vesey St., New York, NY 10281.

RBC Capital’s primary address is 200 Vesey St., New York, NY 10281.

As of June 25, 2019, RBC Capital became the primary futures clearing broker for USCI and CPER.

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On October 1, 2019, the CFTC issued an order filing and settling charges against RBC Capital for the above activity, as well as related charges.

The order required that RBC Capital cease and desist from violating the applicable regulations, pay a $5 million civil monetary penalty, and comply with various conditions, including conditions regarding public statements and future cooperation with the CFTC.

On June 18, 2015, in connection with the Municipalities Continuing Disclosure Cooperation initiative of the SEC, the SEC commenced and settled an administrative proceeding against RBC Capital for willful violations of Sections 17(a)(2) of the Securities Act of 1933, as amended (“1933 Act”) after the firm self-reported instances in which it conducted inadequate due diligence in certain municipal securities offerings and as a result, failed to form a reasonable basis for believing the truthfulness of certain material representations in official statements issued in connection with those offerings.

RBC Capital paid a fine of $500,000.

RBC Capital and certain affiliates were named as defendants in a lawsuit relating to their role in transactions involving investments made by a number of Wisconsin school districts in certain collateralized debt obligations.

These transactions were also the subject of a regulatory investigation, which was resolved in 2011.

RBC Capital reached a final settlement with all parties in the civil litigation, and the civil action against RBC Capital was dismissed with prejudice on December 6, 2016.

Beginning in 2015, putative class actions were brought against RBC Capital and/or Royal Bank of Canada in the U.S., Canada and Israel.

These actions were each brought against multiple foreign exchange dealers and allege, among other things, collusive behavior in foreign exchange trading.

Various regulators are also conducting inquiries regarding potential violations of law by a number of banks and other entities, including RBC Capital, regarding foreign exchange trading.

Various regulators are conducting inquiries regarding potential violations of antitrust law by a number of banks and other entities, including RBC Capital, regarding foreign exchange trading.

Beginning in 2015, putative class actions were brought against RBC Capital and/or Royal Bank of Canada, RBC Capital’s indirect parent, in the U.S.

These actions were each brought against multiple foreign exchange dealers and allege, among other things, collusive behavior in global foreign exchange trading.

In August 2018, the U.S.

District Court entered a final order approving RBC Capital’s pending settlement with class plaintiffs.

Certain institutional plaintiffs opted out of participating in the settlement and have brought their own claims.

The Canadian class actions, and one other U.S.

action that is purportedly brought on behalf of different classes of plaintiffs, and an action filed in Israel, remain pending.

Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these investigations or proceedings or the timing of their resolution.

On July 31, 2015, RBC Capital was added as a new defendant in a pending putative class action initially filed in November 2013 in the United States District Court for the Southern District of New York.

The action is brought against multiple foreign exchange dealers and alleges collusive behavior, among other allegations, in foreign exchange trading.

Based on the facts currently known, the ultimate resolution of these collective matters is not expected to have a material adverse effect on RBC.

District Court entered a final order approving RBC Capital’s settlement with class plaintiffs.

In November 2018, certain institutional plaintiffs who had previously opted-out of participating in the settlement filed their own lawsuit in U.S.

District Court.

In May 2020, the U.S.

District Court dismissed RBC Capital from the opt-out action, but granted the plaintiffs’ motion to amend the complaint.

The Canadian class actions remain pending and RBC Capital has reached a settlement for an immaterial amount with respect to an action brought by a class of indirect purchasers.

RBC Capital is awaiting the court’s final approval of the settlement.

In October 2020, RBC Capital and Royal Bank of Canada moved to dismiss the amended complaint.

On July 28, 2021, the court dismissed Royal Bank of Canada from the case but denied the motion as to RBC.

Based on the facts currently known, it is not possible at this time for management to predict the ultimate outcome of these collective matters or the timing of their ultimate resolution.

On April 13, 2015, RBC Capital’s affiliate, Royal Bank of Canada Trust Company (Bahamas) Limited (“RBC Bahamas”), was charged in France with complicity in tax fraud.

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The trial of this matter has concluded and a verdict was delivered on January 12, 2017, acquitting the company and the other defendants and on June 29, 2018, the French appellate court affirmed the acquittals.

The acquittals are being appealed.

Various regulators and competition and enforcement authorities around the world, including in Canada, the United Kingdom, and the U.S., are conducting investigations related to certain past submissions made by panel banks in connection with the setting of the U.S.

dollar London interbank offered rate (“LIBOR”).

These investigations focus on allegations of collusion between the banks that were on the panel to make submissions for certain LIBOR rates.

Royal Bank of Canada, RBC Capital’s indirect parent, is a member of certain LIBOR panels, including the U.S.

dollar LIBOR panel, and has in the past been the subject of regulatory requests for information.

In addition, Royal Bank of Canada and other U.S.

dollar panel banks have been named as defendants in private lawsuits filed in the U.S.

with respect to the setting of LIBOR including a number of class action lawsuits which have been consolidated before the U.S.

On January 6, 2021, the French Supreme Court issued a judgment reversing the decision of the French Court of Appeal dated June 29, 2018 and sent the case back to the French Court of Appeal for rehearing and therefore the proceeding is currently awaiting a new trial with the French Court of Appeal.

Royal Bank of Canada and other panel banks for the setting of the U.S.

dollar London interbank offered rate (“LIBOR”) have been named as defendants in private lawsuits filed in the U.S.

with respect to the setting of U.S.

dollar LIBOR including a number of class action lawsuits which have been consolidated before the U.S.

District Court for the Southern District of New York.

The complaints in those private lawsuits assert claims against us and other panel banks under various U.S.

RBC Capital has also been named as a defendant in one of those lawsuits.

The complaints in those private lawsuits assert claims under various U.S.

laws, including U.S.

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Commodity Exchange Act, and state law.

On February 28, 2018, the motion by the plaintiffs in the class action lawsuits to have the class certified was denied in relation to Royal Bank of Canada.

As such, unless that ruling is reversed on appeal, Royal Bank of Canada is no longer a defendant in any pending class action.

Royal Bank of Canada is still a party to the various individual LIBOR actions.

Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these investigations or proceedings or the timing of their resolution.

Thornburg Mortgage Inc.

(“TMST”) and RBC Capital were parties to a master repurchase agreement executed in September 2003 whereby TMST financed its purchase of residential mortgage-backed securities.

Upon TMST’s default during the financial crisis, RBC Capital valued TMST’s collateral at allegedly deflated prices.

After TMST’s bankruptcy filing, TMST’s trustee brought suit against RBC Capital in 2011 for breach of contract.

In 2015, TMST was awarded more than $45 million in damages.

RBC Capital has appealed.

The appeals court set a briefing schedule and simultaneously ordered the parties to participate in a mediation.

The parties subsequently reached an agreement to settle the matter;

a motion to approve the settlement was filed with the bankruptcy court on January 10, 2016 and granted on February 27, 2017.

On October 14, 2014, the Delaware Court of Chancery (the “Court of Chancery”) in a class action brought by former shareholders of Rural/Metro Corporation, held RBC Capital liable for aiding and abetting a breach of fiduciary duty by three Rural/Metro directors, but did not make an additional award for attorney’s fees.

A final judgment was entered on February 19, 2015 in the amount of US $93 million plus post judgment interest.

RBC Capital appealed the Court of Chancery’s determination of liability and quantum of damages, and the plaintiffs cross-appealed the ruling on additional attorneys’ fees.

On November 30, 2015, the Delaware Supreme Court affirmed the Court of Chancery with respect to both the appeal and cross-appeal.

RBC Capital is cooperating with an investigation by the SEC relating to this matter.

In particular, the SEC contended that RBC Capital caused materially false and misleading information to be included in the proxy statement that Rural filed to solicit shareholder approval for the sale in violation of section 14(A) of the Exchange Act and Rule 14A-9 thereunder.

On August 31, 2016, RBC Capital was ordered by the SEC to cease and desist and paid $500,000 in disgorgement, plus interest of $77,759 and a civil penalty of $2 million.

In addition to the LIBOR actions, in January 2019, a number of financial institutions, including RBC Capital, were named in a purported class action in New York alleging violations of the U.S.

antitrust laws and common law principles of unjust enrichment in the setting of LIBOR after the Intercontinental Exchange took over administration of the benchmark interest rate from the British Bankers’ Association in 2014 (the “ICE LIBOR action”).

On March 26, 2020, the defendants’ motion to dismiss the ICE LIBOR action was granted.

The plaintiffs filed a notice of appeal of that ruling to the United States Court of Appeals for the Second Circuit on April 24, 2020 and, thereafter, sought to substitute named plaintiffs.

The Second Circuit permitted substitution, but has not yet ruled on the merits of the appeal.

In August 2020, Royal Bank of Canada and other financial institutions were named as defendants in a separate, individual (i.e., non-class) action filed in California alleging that the usage and setting of LIBOR constitutes per se collusive conduct.

In November 2020 and May 2021, plaintiffs sought a preliminary injunction with respect to the setting of ICE LIBOR;

defendants opposed these motions and sought to transfer the matter to New York.

On June 3, 2021, the court denied defendants’ motion to transfer.

Defendants then moved to dismiss.

Plaintiffs’ motions for a preliminary injunction and defendants’ motion to dismiss remain pending.

Based on the facts currently known, it is not possible at this time to predict the ultimate outcome of these proceedings or the timing of their resolution.

Please see RBC Capital’s Form BD, which is available on the FINRA BrokerCheck program, for more details.

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SummerHaven is a commodity trading advisor and commodity pool operator registered with the NFA.

Other than as indicated below, there have been no material, civil, administrative, or criminal proceedings pending, on appeal, or concluded against SummerHaven or its principals in the past five (5) years.

On May 18, 2021, without admitting or denying the CFTC’s findings or conclusions, SummerHaven settled a CFTC administrative action arising out of certain trades executed in or around July of 2018 for the commodity futures portfolio of a third-party.

Such trades were intended to move positions from one FCM to another.

The CFTC alleged that the trades constituted “wash” trades, which are prohibited under the Commodity Exchange Act and CFTC regulations promulgated thereunder.

The CFTC also alleged that the trades were non-competitive transactions and, therefore, violated CFTC regulation 1.38, and that their entry evidenced a supervisory failure.

In connection with the settlement, SummerHaven has agreed to pay a civil monetary penalty of $500,000 and to cease and desist from further violations of the Commodity Exchange Act and CFTC regulations, as charged.

USCF has also entered into a licensing agreement with SummerHaven.

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ALPS Distributors - Marketing Agent

Each Trust Series pays 0.06% on assets up to $3 billion and 0.04% on assets in excess of $3 billion.

0.06% on total net assets up to $3 billion and 0.04% on total net assets in excess of $3 billion for each Trust Series through September 30, 2022, and commencing October 1, 2022, USCI pays 0.10% on total net assets and CPER pays 0.025% on total net assets.

FCM and Clearing Broker

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USCI shares the fees and expenses on a pro rata basis with the other Trust Series and each Related Public Fund, as described above, based on the relative assets of each fund computed on a daily basis.

These fees and expenses for the year ended December 31, 2021 were $1,082,000 for the Trust Series and the Related Public Funds.

These fees and expenses for the year ended December 31, 2022 were approximately $1,258,000 for the Trust Series and the Related Public Funds.

USCI’s portion of such fees and expenses was $71,043.

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CPER shares the fees and expenses on a pro rata basis with the other Trust Series and with each Related Public Fund, as described above, based on the relative assets of each fund on a daily basis.

These fees and expenses for the year ended December 31, 2021 were $1,082,000 for the Trust Series and the Related Public Funds.

These fees and expenses for the year ended December 31, 2022 were approximately $1,258,000 for the Trust Series and the Related Public Funds.

CPER’s portion of such fees and expenses was $80,390.

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Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest.

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.

Rules put in place by U.S.

federal banking regulators, the CFTC and the SEC require the daily exchange of variation margin and initial margin for swaps between swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants (“Swap Entities”) and swaps between Swap Entities and their counterparties that are “financial end-users” (such rules, the “Margin Rules”).

The Margin Rules require Swap Entities to exchange variation margin with all of their counterparties who are financial end-users.

The minimum variation margin amount is the daily mark-to-market change in the value of the swap, taking into account the amount of variation margin previously posted or collected.

Swap Entities are required to exchange initial margin with their financial end-users who 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 Margin Rules).

The Margin Rules specify the types of collateral that may be posted or collected as initial margin or variation margin (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.

No Trust Series is a Swap Entity under the Margin Rules, but each is a financial end-user.

Accordingly, each Trust Series will be subject to the variation margin requirements of the Margin Rules for any swaps that it enters into.

However, no Trust Series has material swaps exposure and, accordingly, no Trust Series will be subject to the initial margin requirements of the Margin Rules.

Mandatory Trading and Clearing of Swaps

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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 1. Business