What changed in this filing

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Item 7. Management’s Discussion and Analysis

2023-02-27 compared with 2022-02-25 · 182 added, 101 removed, 513 unchanged (36% of the section changed)

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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.

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.

and foreign currencies, market volatility in the commodities markets, in part attributable to the COVID-19 pandemic that began in February 2020 and Russia’s invasion of Ukraine in February 2022.

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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USCI invests in futures contracts for commodities that are traded on the Futures Exchanges and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, Other Commodity-Related Investments.

Market conditions that USCF currently anticipates could cause USCI to invest in Other Commodity Related Investments would be those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing.

Market conditions that USCF currently anticipates could cause USCI to invest in Other Commodity Related Investments include, but are not limited to, those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing.

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

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CPER invests in Futures Contracts for commodities that are traded on the COMEX and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, Other Copper-Related Investments.

Market conditions that USCF currently anticipates could cause CPER to invest in Other Copper-Related Investments would be those allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing.

Market conditions that USCF currently anticipates could cause CPER to invest in Other Copper-Related Investments include, but are not limited to, those allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing.

The investment objective of CPER is for the daily changes in percentage terms of its shares’ per share NAV to reflect the daily changes in percentage terms of the SummerHaven Copper Index Total Return SM (the “SCI”), less CPER’s expenses.

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Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts and other contracts and instruments based on the Benchmark Component Copper Futures Contracts, are collectively referred to collectively as “Other Copper-Related Investments,” and together with Benchmark Component Copper Futures Contracts and other Eligible Copper Futures Contracts, “Copper Interests.”

CPER seeks to achieve its investment objective by investing so that the average daily percentage change in CPER’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the Benchmark Component Copper Futures Contracts over the same period.

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 ten percent (10%) of the average daily percentage change in the price of the Benchmark Component Copper Futures Contracts over the same period.

USCF believes that market arbitrage opportunities will cause daily changes in CPER’s share price on the NYSE Arca on a percentage basis, to closely track the daily changes in CPER’s per share NAV on a percentage basis.

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As of December 31, 2022, CPER held 1,779 Futures Contracts on the COMEX.

Other Defined Terms

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

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

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

Regulatory Disclosure

Accountability Levels, Position Limits and Price Fluctuation Limits.

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

Below are certain key regulatory requirements that are, or may be, relevant to the Trust Series.

The various statements made in this summary are subject to modification by legislative action and changes in the rules and regulations of the SEC, Financial Industry Regulatory Authority (“FINRA”), CFTC, NFA, the futures exchanges, clearing organizations and other regulatory bodies.

Pending final resolution of all applicable regulatory requirements, some examples of how new rules and regulations could impact the Trust Series are discussed in “Item 1.

Business” in this annual report on Form 10-K.

Exchange 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.

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For the fiscal year ended December 31, 2022, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Futures Contracts and Position Limits

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.

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.

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.

Federal Position Limits

In October 2020, the CFTC adopted a rule to establish 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”).

The limits for futures contracts are currently in effect;

the limits for economically equivalent swaps will become effective in 2023.

Certain Applicable Benchmark Component Futures Contracts are subject to position limits under the Position Limits Rule, and the trading by each Trust Series does not qualify for an exemption therefrom.

Accordingly, the Position Limits Rule could negatively impact the ability of a Trust Series to meet its 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.

Margin for OTC Swaps

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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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.

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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As of December 31, 2022, the value of the SDCI was $1,933.23, up approximately 31.65% over the year ended December 31, 2022.

Of the 27 components of SummerHaven Dynamic Commodity Index (SDCI), sixteen had positive returns for first-half 2022.

Gas Oil returned 57.7% in the first-half 2022 while Copper declined by -17.4%.

The best performing sector was energy (up 57.7%).

Commodities have continued the 2021 rally as inflation grew from 1.4% in 2020 to 9.1% in 2022.

Inflation is a headwind for stocks and bonds and a tailwind for real assets such as commodities.

Historically, commodities have been a hedge against inflation and positive inflation shocks.

In 2022, as the fact of high inflation became more evident, stocks and Bonds suffered losses while commodities continued to perform well.

The age-old wisdom of stock-bond diversification has been challenged in an unprecedented way.

Since the inception in 1976 of US aggregate bond index, 2022 is the only year where both US stocks and bonds have experience significant negative returns (-20.0% and -10.3% respectively).

In contrast, USCI’s NAV was up 18.47% for the nine months ended September 30, 2022.

The return of approximately 31.65% 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.

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

The war in Ukraine has raised concerns among investors that a global shortage of many commodities is possible.

Russia, Ukraine, and Belarus are major producers and exporters of many metals, grains, and energy products that are critical to global supply.

Substantial productive capacity has been halted in Ukraine, and Russia may be unable or unwilling to export what it produces.

This has put upward pressure on commodity prices globally, beyond the impact of bullish fundamentals that were already in place.

Should the war continue or escalate, or if sanctions or retaliation lead to a further reduction in production and exports from Ukraine, Russia, and Belarus, then commodity prices could rise further and prices could become more volatile.

Conversely, should concerns about commodity shortages resulting from the war in Ukraine ebb due to an expected or actual resolution of the war, then commodity prices could stabilize or decline.

Copper Markets

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The value of the SCI as of January 1, 2022 was $1,422.52.

As of December 31, 2021, the value of the SCI was $1,422.52, up approximately 26.53% over the year ended December 31, 2021.

As of December 31, 2022, the value of the SCI was $1,222.97, down approximately (14.03)% over the year ended December 31, 2022.

The return of approximately 14.03% on the SCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses.

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

CPER’s per share NAV began the year at $27.24 and ended the year at $23.07 on December 31, 2022, a decrease of approximately (15.31)% over the year.

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, 2022, the price of the front month copper futures contract traded in a range between $3.2105 per pound and $4.9290 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.

Prices decreased by 16.78% between December 31, 2021 to December 31, 2022 finishing the period at $3.8105.

Copper futures markets rose dramatically from 2020 to mid-April 2022.

Copper prices declined sharply from late spring to mid-summer due to concerns about demand from the manufacturing sector, monetary tightening and related concerns about a slowdown in global growth, and COVID-19 flare ups in China.

In the second half of 2022, Copper recovered some of it's earlier losses for the year, partially as a result of China reopening its economy.

Long-term, copper demand is likely to remain robust and supply is also likely to remain constrained and slow to respond to demand increases.

The war in Ukraine has affected many commodities in which Russia, Ukraine, and Belarus are major producers and exports, such as certain metals, grains, and energy products.

However, copper is not one of the metals that depends heavily on supply from the region.

As a result, copper prices rose only modestly from the outbreak of the war in comparison to other metals, such as Nickel.

Copper supply is more affected by events, such as protests and labor strikes, that impact mining in south American nations, including Chile and Peru.

Meanwhile, copper demand typical depends on the state of the global economy, particularly China, which drives industrial, commercial, and manufacturing use.

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

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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.

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 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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Total fees and other expenses excluding management fees

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

Fees and expenses related the registration or offering of additional shares

Total commissions accrued to brokers

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The increase in the per share NAV for the year ended December 31, 2022, compared to the year ended December 31, 2021, 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.

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, 2021, compared to the year ended December 31, 2020.

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

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were higher during the year ended December 31, 2022, compared to the year ended December 31, 2021.

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, 2022, compared to the year ended December 31, 2021.

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, 2022, compared to the year ended December 31, 2021 was due primarily to an increase in total commissions accrued to brokers and prepaid registration of additional shares.

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Expenses after the allowance of the expense waiver

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

Fees and expenses related 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, 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.

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, 2021.

The decrease in the per share NAV for the year ended December 31, 2022, compared to the year ended December 31, 2021, was due to an increase/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, 2022, compared to the year ended December 31, 2021.

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, 2022.

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, 2021, compared to the year ended December 31, 2020 was due primarily to an increase in total commissions accrued to brokers and expenses related to the increase in total net assets.

The increase 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.

The decrease in CPER’s total commissions accrued to brokers for the year ended December 31, 2022, compared to the year ended December 31, 2021, was due primarily to a lower number of Futures Contracts being held and traded.

Portfolio Holdings for USCI

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Crude Oil (WTI)

Unleaded Gasoline

Feeder Cattle

Unleaded Gasoline

• = Component

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Feeder Cattle

Crude Oil (Brent)

Crude Oil (WTI)

Unleaded Gasoline

Crude Oil (Brent)

• = Component

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Specifically, USCF seeks to manage the portfolio such that over any rolling period of 30-valuation days, the average daily change in a Trust Series’ per share NAV is within a range of 90% to 110% (0.9 to 1.1) of the average daily change in the price of the Applicable Index.

As an example, if the average daily movement of the price of the Applicable Index for a particular 30-valuation day time period was 0.50% per day, USCF would attempt to manage the portfolio such that the average daily movement of the per share NAV during that same time period fell between 0.45% and 0.55% (i.e., between 0.9 and 1.1 of the Applicable Index’s results).

As an example, if the average daily movement of the price of the Applicable Index for a particular 30-valuation daytime period was 0.50% per day, USCF would attempt to manage the portfolio such that the average daily movement of the per share NAV during that same time period fell between 0.45% and 0.55% (i.e., between 0.9 and 1.1 of the Applicable Index’s results).

Each Trust Series’ portfolio management goals do not include trying to make the nominal price of its per share NAV equal to the nominal price of the Applicable Index, the nominal price of any particular commodity Futures Contract or the spot price for any particular commodity.

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

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 $57.17 as of December 31, 2022, for a total return over the relevant time period of 31.64%.

The difference between the actual per share NAV total return of USCI of 29.47% and the expected total return based on the SDCI of 31.64% was a difference over the time period of (2.17)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage.

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By comparison, for the year ended December 31, 2021, the actual total return of USCI as measured by changes in its per share NAV was 33.30%.

This was based on an initial per share NAV of $36.87 as of December 31, 2019 and an ending per share NAV as of December 31, 2020 of $32.58.

This is based on an initial per share NAV of $32.58 as of December 31, 2020 and an ending per share NAV as of December 31, 2021 of $43.43.

During this time period, USCI made no distributions to its shareholders.

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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 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.

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.

For the 30-valuation days ended December 31, 2022, the simple average daily change in the SCI was 0.052%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.050%.

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 (0.002)% (or (0.2) 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 (4.730)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

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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 $27.48 as of December 31, 2021, for a total return over the relevant time period of 26.52%.

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 $23.42 as of December 31, 2022, for a total return over the relevant time period of (14.02)%.

The difference between the actual per share NAV total return of CPER of (15.31)% and the expected total return based on the SCI of (14.02)% was an error over the time period of (1.29)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage.

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By comparison, for the year ended December 31, 2021, the actual total return of CPER as measured by changes in its per share NAV was 25.41%.

This was based on an initial per share NAV of $17.54 as of December 31, 2019 and an ending per share NAV as of December 31, 2020 of $21.72.

This is based on an initial per share NAV of $21.72 as of December 31, 2020 and an ending per share NAV as of December 31, 2021 of $27.24.

During this time period, CPER made no distributions to its shareholders.

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The difference between the actual per share NAV total return of CPER of 25.41% and the expected total return based on the SCI of 26.52% was an error over the time period of (1.11)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage.

CPER incurred expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses.

The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tended to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses.

The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

Factors That Can Impact Ability 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 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.

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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 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.

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 outperform its benchmark so long as interest earned is higher 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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Alternatively, and using the same example, USCI could hold the ICE WTI financially settled Futures Contract, also for the contract month of November 2020.

As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2019.

As a third example, USCI could hold the NYMEX WTI physically settled

Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2020.

During the year ended December 31, 2022, no Trust Series held any Other Related Investments.

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For a Trust Series with smaller asset base, this percentage difference can have a material impact.

Hypothetical Performance of Each Applicable Index

Hypothetical Performance of the SDCI

The table and chart below show the hypothetical performance of the SDCI from January 1, 2012 through December 31, 2022.

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THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Since the SDCI was launched on December 18, 2009, there is no actual performance history available prior to that date and there is only actual performance history of the SDCI from that date to the present.

This data is available for periods prior to December 18, 2009.

However, the components of the SDCI and the weighting of the components of the SDCI are established each month based on purely quantitative data that is not subject to revision based on other external factors.

As a result, this data on the components and weightings is available for periods prior to December 18, 2009.

The table below reflects how the SDCI would have performed from January 1, 2009 through December 31, 2021 had it been in effect during the entirety of such time period.

The performance data does not reflect any reinvestment or distribution of profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the SDCI.

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SummerHaven Dynamic Commodity Index Total Return SM (“SDCI”) Year-Over-Year Hypothetical Total Returns (1/1/2012–12/31/2022)* YTD)

SummerHaven Index Management, 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, 2012 through December 24, 2020 period.

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Annualized Sharpe ratio

SHIM, Bloomberg

The table immediately above shows the performance of the SDCI from December 31, 1997 through December 31, 2022 in comparison with three traditional commodities indices:

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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

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

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

The SCI is a single-commodity index designed to be an investment benchmark for copper as an asset class.

The SCI is composed of copper futures contracts on the COMEX exchange.

The SCI attempts to maximize backwardation and minimize contango while utilizing contracts in liquid portions of the futures curve.

The SCI is rules-based and is rebalanced monthly based on observable price signals described below in the section “Contract Selection and Weighting.” In this context, the term “rules-based” is meant to indicate that the composition of the SCI in any given month will be determined by quantitative formulas relating to the prices of the futures contracts that are included in the SCI.

Such formulas are not subject to adjustment based on other factors.

The overall return on the SCI is generated by two components:

(i) uncollateralized returns from the Benchmark Component Copper Futures Contracts comprising the SCI, and (ii) a daily fixed income return reflecting the interest earned on hypothetical 3-month Treasuries, calculated using the weekly auction rate for 3-Month Treasuries published by the U.S.

Department of the Treasury.

SHIM is the owner of the SCI.

Table 1 below lists the Futures Exchange on which the Eligible Copper Futures Contracts are listed and quotation details.

Table 2 lists the Eligible Copper Futures Contracts, their sector designation and maximum allowable tenor.

Designated Contract

Commodity Name

All 12 calendar months

Prior to the end of each month, SHIM determines the composition of the SCI and provides such information to the NYSE Arca.

Values of the SCI are computed by the NYSE Arca and disseminated approximately every fifteen (15) seconds from 8:00 a.m.

to 5:00 p.m., New York City time, which also publishes a daily SCI value at approximately 5:30 p.m., New York City time, under the index ticker symbol “SCI.” Only settlement and last-sale prices are used in the SCI’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes.

Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used.

This means that the underlying SCI may lag its theoretical value.

This tendency to lag is evident at the end of the day when the SCI value is based on the settlement prices of the Benchmark Component Copper Futures Contracts, and explains why the underlying SCI often closes at or near the high or low for the day.

Composition of the SCI

The composition of the SCI on any given day, as determined and published by SHIM, is determinative of the benchmark for CPER.

Neither the index methodology for the SCI nor any set of procedures, however, are capable of anticipating all possible circumstances and events that may occur with respect to the SCI and the methodology for its composition, weighting and calculation.

Accordingly, a number of subjective judgments must be made in connection with the operation of the SCI that cannot be adequately reflected in this description of the SCI.

All questions of interpretation with respect to the application of the provisions of the index methodology for the SCI, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by SHIM.

Beginning with the commodity selection process that was scheduled to occur on December 31, 2020, the rebalancing period for the SCI changed from the first four business days of each month to the 11th-14th business days of each month, based on signals used for contract selection on the 10th business day of each month, rather than the last business day of each month.

In addition, commencing with the first commodity selection date occurring after the change, the SCI was revised as follows:

the number of Eligible Copper Futures Contracts was reduced, and the SCI itself is now comprised of one or three Eligible Copper Futures Contracts.

Previously, the SCI could have been comprised of two or three Eligible Copper Futures Contracts.

These revisions to the composition of the SCI are intended to ensure that the SCI components at any given time represent copper futures contracts for which there is an active and liquid trading market.

Contract Expirations

Because the SCI is comprised of actively traded contracts with scheduled expirations, it can be calculated only by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations.

The contract expirations included in the SCI for each commodity during a given year are designated by SHIM, provided that each contract must be an active contract.

An active contract for this purpose is a liquid, actively-traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a futures exchange, such as the COMEX, ceases trading in all contract expirations relating to an Eligible Copper Futures Contract, SHIM may designate a replacement contract.

The replacement contract must satisfy the eligibility criteria for inclusion in the SCI.

To the extent practicable, the replacement will be effected during the next monthly review of the composition of the SCI.

If that timing is not practicable, SHIM will determine the date of the replacement based on a number of factors, including the differences between the existing Benchmark Component Copper Futures Contract and the replacement contract with respect to contractual specifications and contract expirations.

The designation of a replacement contract could affect the value of the SCI, either positively or negatively, depending on the price of the contract that is eliminated and the prices of the replacement contract.

It is impossible, however, to predict the effect of these changes, if they occur, on the value of the SCI.

Contract Selection and Weighting

Weights for each of the Benchmark Component Copper Futures Contracts are determined for the next month.

The methodology used to calculate the SCI weighting is based solely on quantitative data using observable futures prices and is not subject to human bias.

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

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

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

the Three Eligible Copper Futures Contracts are identified.

For each month, the Three Eligible Copper Futures Contracts are as follows

Closest to Expiration Futures Contract

Eligible Futures Contracts

A futures curve in backwardation occurs when the price of the closest-to-expiration Eligible Copper Futures Contract is greater than or equal to the price of the next closest-to-expiration Eligible Copper Futures Contract.

These contracts will have expirations that are approximately two or three months apart.

A curve not in backwardation is defined as being in contango, which occurs when the price of the closest-to-expiration contract is less than the price of the next closest-to-expiration contract.

2a) Backwardation:

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

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

Copper Futures Contract

Nearest-to-maturity

Next nearest-to-maturity

Eligible Copper Futures Contracts

2b) Contango:

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

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

Copper Futures Contract

Expiration Date

Contract Price

Nearest-to-maturity

Next nearest-to-maturity

Eligible Copper Futures Contracts

Due to the dynamic monthly weighting calculation, the individual weights will vary-over time, depending on the price observations each month.

CPER’s Selection Date for the SCI is the 10th business day of the calendar month.

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

Insert SCI Chart – Contracts Weights

Portfolio Construction

The portfolio rebalancing takes place during the Rebalancing Period.

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

SCI Total Return Calculation

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

The value of the SCI will be calculated and published by the NYSE Arca.

SCI Base Level

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

SCI ER Calculation

The total return of the SCI ER reflects the percentage change of the market values of the underlying commodity futures.

During the Rebalancing Period, the SCI changes its contract holdings and weightings during a four day period.

The value of the SCI ER at the end of a business day “ t ” is equal to the SCI ER value on day “ t -1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “ t -1”.

Rebalancing Period

The SCI is rebalanced during the 11th-14th business days of each month, based on signals used for contract selection on the 10th business day of each month, when existing positions are placed by new positions and weightings based on the signals used for contract selection on the prior calendar month as outlined above.

Hypothetical Performance of the SCI

The table and chart below show the hypothetical performance of the SCI from January 1, 2012 through December 31, 2022.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

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Since the SCI was launched on November 4, 2010, there is no actual performance history of the SCI prior to that date and the actual performance history is available from the date to the present.

However, the components of the SCI and the weighting of the components of the SCI are established each month based on purely quantitative data that is not subject to revisions based on other external factors.

As a result, this data on the components and weighting is available for periods prior to November 4, 2010.

The table below reflects how the SCI would have performed from January 1, 2009 through December 31, 2021 had it been in effect during the entirety of such time period.

The performance data does not reflect any reinvestment or distribution profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the SCI.

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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

SummerHaven Copper Index (“SCI”) Year-Over-Year Hypothetical Total Returns (1/1/2012– 12/31/2022 YTD)

SummerHaven Index Management, Bloomberg

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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, 2021, each Trust Series’ expenses exceeded 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, 2022, each Trust Series’ income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets exceeded the expenses.

Each Trust Series’ investments in Applicable Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons.

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

As of December 31, 2021, USCI’s portfolio consisted of 5,612 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of held 2,051 Contracts traded on the COMEX.

As of December 31, 2022, USCI’s portfolio consisted of 6,037 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of 1,779 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