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Item 7. Management’s Discussion and Analysis

2024-02-29 compared with 2023-02-27 · 114 added, 180 removed, 515 unchanged (36% of the section changed)

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This annual report on Form 10-K, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations.

This information may involve known and unknown risks, uncertainties and other factors that may cause the Trust’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements.

The Trust believes these factors include, but are not limited to, the following:

This information may involve known and unknown risks, uncertainties and other factors that may cause each Trust Series’ actual results,

performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements.

Each Trust Series believes these factors include, but are not limited to, the following:

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

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

These forward-looking statements are based on assumptions that may be incorrect, and the Trust cannot assure investors that the projections included in these forward-looking statements will come to pass.

The Trust’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

The Trust has based the forward-looking statements included in this annual report on Form 10-K on information available to it on the date of this annual report on Form 10-K, and the Trust assumes no obligation to update any such forward-looking statements.

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

and foreign currencies, market volatility in the commodities markets and futures markets in part attributable to the COVID-19 pandemic in February 2020, the Russia-Ukraine war and conflicts in the Middle East.

Forward-looking statements, which involve assumptions and describe each Trust Series’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology.

These forward-looking statements are based on assumptions that may be incorrect, and each Trust Series cannot assure investors that the projections included in these forward-looking statements will come to pass.

Each Trust Series’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

Each Trust Series has based the forward-looking statements included in this annual report on Form 10-K on information available to it on the date of this annual report on Form 10-K, and each Trust Series assumes no obligation to update any such forward-looking statements.

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

Each Trust Series is a commodity pool that issues shares representing fractional undivided beneficial interests in such Trust Series that may be purchased and sold on the NYSE Arca.

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

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

The SDCI is designed to reflect the performance of a diversified group of commodities.

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(“COMEX”) (the NYMEX, ICE Futures, CBOT, CME, LME and COMEX, collectively, the “Futures Exchanges”) and are collectively referred to herein as “Futures Contracts.” The Futures Contracts that at any given time make up the SDCI are referred to herein as “Benchmark Component Futures Contracts.” The relative weighting of the Benchmark Component Futures Contracts will change on a monthly basis, based on quantitative formulas relating to the prices of the Benchmark Component Futures Contracts developed by SHIM.

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

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

USCI seeks to achieve its investment objective by investing primarily in the Benchmark Component Futures Contracts.

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

When USCI has invested to the fullest extent possible in exchange-traded futures contracts, USCI may then invest in other contracts and instruments based on the Benchmark Component Futures Contracts, other Futures Contracts or the commodities included in the SDCI, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts.

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

“Other Commodity-Related Investments,” and together with Benchmark Component Futures Contracts and other Futures Contracts, “Commodity Interests.”

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

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

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This is because natural market forces called contango and backwardation have impacted the total return on an investment in USCI’s shares during the past year relative to a hypothetical direct investment in the various commodities and, in the future, it is likely that the relationship between the market price of USCI’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation.

(It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) As of December 31, 2022, USCI held 911 Futures Contracts on the NYMEX, held 2,499 Futures Contracts on the ICE Futures, held 1,419 Futures Contracts on the CBOT, did not hold any Futures Contracts on the CME, held 1,017 Futures Contracts on the LME and held 191 Futures Contracts on the COMEX, totaling 6,037 futures contracts.

(It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) As of December 31, 2023, USCI held 813 Futures Contracts on the NYMEX, held 1,308 Futures Contracts on the ICE Futures, held 918 Futures Contracts on the CBOT, held 182 Futures Contracts on the CME, held 1,360 Futures Contracts on the LME and held 185 Futures Contracts on the COMEX, totaling 4,766 futures contracts.

United States Copper Index Fund

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

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

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 prices of the Benchmark Component Copper Futures Contracts over the same period.

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

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

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

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

When CPER has invested to the fullest extent possible in exchange-traded futures contracts, CPER may then invest in other contracts and instruments based on the Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts or other items based on copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts.

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

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

CPER may also, to a lesser extent, invest in other Eligible Copper Futures Contracts beyond the Benchmark Component Copper Futures Contracts or other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts, as well as other investments based on copper, such as cash-settled options on Benchmark Component Copper Futures Contracts, forward contracts for copper, cleared swap contracts, non-cleared “over-the-counter” or “OTC” transactions that are based on the price of copper and other Benchmark Component Copper Futures Contracts and indices based on the foregoing (collectively, “Other Copper-Related Investments”).

The following factors, among others, may be considered when determining CPER’s investments in Eligible Copper Futures Contracts or in Other Copper-Related Investments:

regulatory requirements, risk mitigation measures taken by CPER, CPER’s FCMs, counterparties or other market participants, liquidity and market conditions.

Other factors that may impact CPER’s investments in other Eligible Copper Futures Contracts, other exchange-traded futures contracts, or Other Copper-Related Investments include allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing.

In addition, CPER may need to hold significant portions of its portfolio in cash beyond what it has historically held for reasons including (but not limited to) the need to address the changes in market conditions, regulatory requirements or risk mitigation measures or the need to satisfy

potential margin requirements.

For convenience and unless otherwise specified, Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts and Other Copper-Related Investments collectively are referred to as “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 ten percent (10%) of the average daily percentage change in the prices 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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Investors should be aware that CPER’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts or the prices of any particular group of futures contracts.

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

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

This is because natural market forces called contango and backwardation have impacted the total return on an investment in CPER’s shares during the past year relative to a hypothetical direct investment in various commodities and, in the future, it is likely that the relationship between the market price of CPER’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation.

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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.

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

The daily price fluctuation limit establishes the maximum amount that the price of a futures contract may vary either up or down from the previous day’s settlement price.

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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, 2022, USCI held 911 Futures Contracts on the NYMEX, held 2,499 Futures Contracts on the ICE Futures, held 1,419 Futures Contracts on the CBOT, did not hold any Futures Contracts on the CME, held 1,017 Futures Contracts on the LME and held 191 Futures Contracts on the COMEX, totaling 6,037 futures contracts.

As of December 31, 2023, USCI held 813 Futures Contracts on the NYMEX, held 1,308 Futures Contracts on the ICE Futures, held 918 Futures Contracts on the CBOT, held 182 Futures Contracts on the CME, held 1,360 Futures Contracts on the LME and held 185 Futures Contracts on the COMEX, totaling 4,766 futures contracts.

As of December 31, 2023, CPER held 1,342 Futures Contracts on the COMEX.

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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.

Part 150 of the CFTC’s regulations (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 that all market participants must comply with, with certain exemptions.

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.

Accordingly, the Position Limits Rule could inhibit the Trust Series’ ability to invest in the Applicable Benchmark Component Futures Contracts and thereby could negatively impact the ability of the Trust Series to meet its investment objective.

Margin for OTC Swaps

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Currently, swap dealers, major swap participants, commodity pools, certain private funds and entities predominantly engaged in activities that are financial in nature are required to execute on a swap execution facility, and clear, certain interest rate swaps and index-based credit default swaps.

As a result, if a Trust Series enters into an interest rate or index-based credit default swap that is subject to these requirements, such swap will be required to be executed on a swap execution facility and centrally cleared.

if a Trust Series enters into an interest rate or index-based credit default swap that is subject to these requirements, such swap will be required to be executed on a swap execution facility and centrally cleared.

Mandatory clearing and “made available to trade” determinations with respect to additional types of swaps may be issued in the future, and, when finalized, could require each Trust Series to electronically execute and centrally clear certain OTC instruments presently entered into and settled on a bi-lateral basis.

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exchanges to be offered and sold in the United States.

Infectious disease outbreaks like COVID-19 could negatively affect the valuation and performance of a Trust Series’ investments.

An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and spread globally.

In March 2020, the World Health Organization declared the COVID-19 outbreak a pandemic.

COVID-19 resulted in numerous deaths, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines and the imposition of both local and more widespread “work from home” measures, cancellations, loss of employment, supply chain disruptions, and lower consumer and institutional demand for goods and services, as well as general concern and uncertainty.

The spread of COVID-19 had a material adverse impact on local economies in the affected jurisdictions and also on the global economy, as cross border commercial activity and market sentiment were impacted by the outbreak and government and other measures seeking to contain its spread.

Infectious disease outbreaks like COVID-19 may arise in the future and could adversely affect individual issuers and capital markets in ways that cannot necessarily be foreseen.

In addition, actions taken by government and quasi-governmental authorities and regulators throughout the world in response to such an outbreak, including the potential for significant fiscal and monetary policy changes, may affect the value, volatility, pricing and liquidity of some investments or other assets, including those held by or invested in by each Trust Series.

Public health crises caused by infectious disease outbreaks may exacerbate other pre-existing political, social and economic risks in certain countries or globally and their duration cannot be determined with certainty.

In a rising rate environment, the Trust Series may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss.

When interest rates rise, the value of fixed income securities typically falls.

In a rising interest rate environment, a Trust Series may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss.

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

The risk to the Trust Series of rising interest rates may be greater in the future due to the end of a long period of historically low rates, the effect of potential monetary policy initiatives, including actions taken by the U.S.

Federal Reserve and other foreign equivalents to curb inflation, and resulting market reactions 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 potentially 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 (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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(1) The inception date for the SummerHaven Dynamic Commodity Index Total Return SM is December 2009.

The value of the SDCI as of January 1, 2022 was $1,468.49.

The value of the SDCI as of December 31, 2022 was $1,933.23.

As of December 31, 2023, the value of the SDCI was $ 1,964.25, up approximately 1.60% over the year ended December 31, 2023.

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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.

The Russia-Ukraine war and the emerging conflict in the Middle East due to Hamas’ attack on Israel have 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.

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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.

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

Likewise, the situation in the Middle East has impacted energy prices, with WTI and Brent crude oil rising approximately 10% in the first two weeks after the Hamas attack.

Crude, along with gasoline, heating oil, and gasoil would experience even stronger gains if production or transportation of crude oil is disrupted.

If the situation remains contained primarily to Israel, and or, should hostilities end, then prices for crude oil and its derivatives could stabilize or decline.

Copper Markets

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

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

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 value of the SCI as of December 31, 2022 was $1,222.97.

As of December 31, 2023, the value of the SCI was $ 1,294.82, up approximately 5.88% over the year ended December 31, 2023.

The return of approximately 5.88% 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 $27.24 and ended the year at $23.07 on December 31, 2022, a decrease of approximately (15.31)% over the year.

CPER’s per share NAV began the year at $23.07 and ended the year at $24.10 on December 31, 2023, an increase of approximately 4.46% over the year.

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

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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.

The Russia-Ukraine war 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.

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As of December 31, 2023, USCI had issued 41,600,000 shares, 3,000,000 of which were outstanding.

As of December 31, 2022, there were 18,850,000 shares registered but not yet issued.

As of December 31, 2023, USCI had registered an unlimited number of shares available for issuance.

More shares may have been issued by USCI than are outstanding due to the redemption of shares.

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As of December 31, 2023, CPER had issued 26,700,000 shares, 5,450,000 of which were outstanding.

As of December 31, 2022, there were 56,100,000 shares registered but not yet issued.

As of December 31, 2023, CPER had registered an unlimited number of shares available for issuance.

More shares may have been issued by CPER than are outstanding due to the redemption of shares.

USCF and the Trustee entered into the Fourth Amended and Restated Declaration of Trust and Trust Agreement effective as of December 15, 2017.

Unlike funds that are registered under the 1940 Act, shares that have been redeemed by the Trust Series cannot be resold.

As a result, each Trust Series contemplates that additional offerings of its shares will be registered with the SEC in the future in anticipation of additional issuances and redemptions.

As of December 31, 2023, USCI and CPER had the following Authorized Participants:

BNP Paribas Securities Corp., Citadel Securities LLC, Credit Suisse Securities (USA) LLC, Goldman Sachs & Company, Jefferies LLC., JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., RBC Capital Markets LLC and Virtu Americas LLC.

ABN AMRO Clearing USA LLC, BNP Paribas Securities Corp., Citadel Securities 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, 2023 Compared to the Year Ended December 31, 2022

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Total fees and other expenses excluding management fees

Fees and expenses related the registration or offering of additional shares

Total commissions accrued to brokers

Total commissions as annualized percentage of average total net assets

Commissions accrued as a result of rebalancing

Percentage of commissions accrued as a result of rebalancing

Commissions accrued as a result of creation and redemption activity

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

Portfolio Expenses.

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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, 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.

The increase in USCI’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 higher number of Futures Contracts being held and traded.

The decrease in total fees and other expenses excluding management fees for the year ended December 31, 2023, compared to the year ended December 31, 2022 was due primarily to a decrease in total commissions accrued to brokers and professional fees.

The decrease in USCI’s total commissions accrued to brokers for the year ended December 31, 2023, compared to the year ended December 31, 2022, was due primarily to a lower number of Futures Contracts being held and traded.

Per share net asset value, end of year

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Total fees and other expenses excluding management fees

Total amount of the expense waiver

Expenses before the allowance of the expense waiver

Expenses after the allowance of the expense waiver

Fees and expenses related the registration or offering of additional shares

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Total commissions as annualized percentage of average total net assets

Commissions accrued as a result of rebalancing

Percentage of commissions accrued as a result of rebalancing

Commissions accrued as a result of creation and redemption activity

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

Portfolio Expenses.

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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, 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.

The increase in the per share NAV for the year ended December 31, 2023, compared to the year ended December 31, 2022, 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, 2023, compared to the year ended December 31, 2022.

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

The decrease in CPER’s total commissions accrued to brokers for the year ended December 31, 2023, compared to the year ended December 31, 2022, was due primarily to a lower number of Futures Contracts being held and traded.

Tracking Each Trust Series’ Benchmark

USCF seeks to manage each Trust Series’ portfolio such that changes in its average daily per share NAV, on a percentage basis, closely track the daily changes in the average price of the Applicable Index, also on a percentage basis.

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

As an example, if the average daily movement of the price of the Applicable Index for a particular 30-valuation 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.

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

Portfolio Holdings for USCI

During the year ended December 31, 2023, USCI’s portfolio held at all times Futures Contracts based on at least fourteen different commodities.

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).

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 each month in 2023.

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Unleaded Gasoline

• = Component

The table below reflects the same listing of monthly Benchmark Component Futures Contracts as the tables above with two changes.

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Benchmark Component Futures Contracts for USCI

Price Performance

Feeder Cattle

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Crude Oil (Brent)

• = Component

Tracking Each Trust Series’ Benchmark

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

* From 12/31/22 to 12/31/2023 Source:

For the 30-valuation days ended December 31, 2023, the simple average daily change in the SDCI was (0.137)%, while the simple average daily change in the per share NAV of USCI over the same time period was (0.140)%.

The average daily difference was 0.003% (or 0.3 basis points, where 1 basis point equals 1/100 of 1%).

As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (7.234)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

As a percentage of the daily movement of the SDCI, the average difference in daily tracking by the per share NAV was (1.728)%, meaning that over this time period USCI’s tracking difference was within the plus or minus 10% range established as its benchmark tracking goal.

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 through December 31, 2023, the simple average daily change in the SDCI was 0.013%, while the simple average daily change in the per share NAV of USCI over the same time period was 0.007%.

The average daily difference was 0.006% (or 0.6 basis points, where 1 basis point equals 1/100 of 1%).

As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (6.806)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

As a percentage of the daily movement of the SDCI, the average difference in daily tracking by the per share NAV was (6.416)%, meaning that over this time period USCI’s tracking difference 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.

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

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 $57.13 as of December 31, 2023, for a total return over the relevant time period of 1.60%.

The difference between the actual per share NAV total return of USCI of 0.20% and the expected total return based on the SDCI of 1.60% was a difference over the time period of (1.40)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage.

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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 (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.

As a percentage of the daily movement of the SCI, the average difference in daily tracking by the per share NAV was (3.436)%, meaning that over this time period CPER’s tracking difference was within the plus or minus 10% range established as its benchmark tracking goal.

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 through December 31, 2023, the simple average daily change in the SCI was 0.012%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.008%.

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

As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was (3.020)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

As a percentage of the daily movement of the SCI, the average difference in daily tracking by the per share NAV was (2.917)%, meaning that over this time period CPER’s tracking difference 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, 2022, the last trading day in September.

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 29, 2023, 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, 2023.

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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 $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.

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 $24.40 as of December 31, 2023, for a total return over the relevant time period of 5.77%.

The difference between the actual per share NAV total return of CPER of 4.46% and the expected total return based on the SCI of 5.77% was a difference over the time period of (1.31)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage.

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

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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 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.

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 a difference over the time period of (1.29)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage.

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

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At the same time, each Trust Series earns dividend and interest income on its cash, cash equivalents and Treasuries.

A Trust Series is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the year ended December 31, 2022.

A Trust Series is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the during the year ended December 31, 2023.

Interest payments, and any other income, were retained within the portfolio and added to each Trust Series’ NAV.

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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.

total return movements.

Taking USCI as an example, assume for a given month one of the Benchmark Component Futures Contracts is the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” for the contract month of November 2020.

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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 2020.

As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2020.

During the year ended December 31, 2023, no Trust Series held any Other Related Investments.

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In that case, the error in tracking the Applicable Index could result in daily changes in the per share NAV of a Trust Series that are either too high, or too low, relative to the daily changes in the price of the Applicable Index.

During the year ended December 31, 2022, none of the Trust Series held any Other-Related Investments, but did, at times, hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract.

During the year ended December 31, 2023, none of the Trust Series held any Other-Related Investments, but did, at times, temporarily hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract.

If any Trust Series increases in size, and due to its obligations to comply with regulatory limits, or due to other market pricing or liquidity factors, such Trust Series may invest in Futures Contract months other than the designated month specified as the Applicable Benchmark Component Futures Contract, or in Other-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

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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.

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

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* PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical Performance Results* for the period from January 1, 2012 through December 31, 2022

Hypothetical Performance Results* for the period from Year Ending 2013 through December 31, 2023

Ending Level*

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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

SummerHaven Dynamic Commodity Index Total Return SM (“SDCI”) Year-Over-Year Hypothetical Total Returns (Year Ending 2013 through 12/31/2023)* YTD)

SummerHaven Index Management, Bloomberg

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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 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.

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.

Treasury Bills.

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A higher Sharpe Ratio is not a guarantee that one investment or index will in the future produce better risk adjustment total returns, but USCF believes it is a useful tool for investors to consider when making investment decisions.

The following chart compares the hypothetical total return of the SDCI in comparison with the actual total return of three major indexes between December 31, 2012 and December 31, 2022.

The following chart compares the hypothetical total return of the SDCI in comparison with the actual total return of three major indexes between December 31, 2013 and December 31, 2023, where the SDCI TR includes the initial composition of the index until December 24, 2020 when changes to the index composition became effective.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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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 December 31, 2012 through December 31, 2022.

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.

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, where the SDCI TR includes the initial composition of the index until December 24, 2020 when changes to the index composition became effective.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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SHIM, Bloomberg

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

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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

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical Performance Results* for the SCI for the period from January 1, 2012 through December 31, 2022

Hypothetical Performance Results* for the SCI for the period from Year Ending December 31, 2013 through December 31, 2023

Ending Level*

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The “Ending Level” represents the value of the components of the SCI on the last trading day of each year and is used to illustrate the cumulative performance of the SCI.

The following table compares the total return of the SCI in comparison with the total return a major index and spot copper prices (less storage cost) from December 31, 1997 through December 31, 2023.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

SummerHaven Copper Index (“SCI”) Year-Over-Year Hypothetical Total Returns (1/1/2013– 12/31/2023 YTD)

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, 2022.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Hypothetical and Historical Results for the period from December 31, 1997 through December 31, 2022

Hypothetical and Historical Results for the period

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The following chart compares the hypothetical total return of the SCI in comparison with the actual return of three major indexes between December 31, 2012 and December 31, 2022.

The following chart compares the hypothetical total return of the SCI in comparison with the actual return of three major indexes between December 31, 2013 and December 31, 2023, where the SCI includes the original composition of the index until the changes described above and became effective on January 1, 2021, from which point then the revised composition of the index is included.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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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, 2012 through December 31, 2022 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.

changes described above and became effective on January 1, 2021, from which point then the revised composition of the index is included.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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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, 2017 through December 31, 2022 period.

For the Year Ended December 31, 2022 Compared to the Year Ended December 31, 2021

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The values which are used by each Trust Series for its Futures Contracts are provided by its commodity broker who uses market prices when available, while OTC swaps are valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to their delivery date and valued on a daily basis.

In addition, each Trust Series estimates interest income on a daily basis using prevailing rates earned on its cash and cash equivalents.

In addition, each Trust Series estimates interest

income on a daily basis using prevailing rates earned on its cash and cash equivalents.

These estimates are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material.

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Each Trust Series’ exposure to market risk depends on a number of factors, including the markets for commodities, the volatility of interest rates and foreign exchange rates, the liquidity of the Applicable Interest markets and the relationships among the contracts held by each such Trust Series.

The limited experience that each Trust Series has had in utilizing its model to trade in Applicable Interests in a manner intended to track the changes in the Applicable Index, as well as drastic market occurrences, could ultimately lead to the loss of all or substantially all of an investor’s capital.

The limited experience that each Trust Series has had in utilizing its model to trade in Applicable Interests in

a manner intended to track the changes in the Applicable Index, as well as drastic market occurrences, could ultimately lead to the loss of all or substantially all of an investor’s capital.

When a Trust Series enters into Futures Contracts and Other Related Investments, it is exposed to the credit risk that the counterparty will not be able to meet its obligations.

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

During the year ended December 31, 2022, CPER did not make investments on any foreign exchanges.

During the year ended December 31, 2023, USCI made investments on the London Metal Exchange.

During the year ended December 31, 2023, CPER made investments on the London Metal Exchange.

In the future, a Trust Series may purchase OTC swaps, see “Item 7A.

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In return for its services, USCF is entitled to a management fee calculated as a fixed percentage of a Trust Series’ NAV.

Effective January 1, 2016, USCF permanently lowered the management fee to 0.80% (80 basis points) per annum of average daily total net assets for USCI and 0.65% (65 basis points) per annum of average daily total net assets for CPER.

The management fee payable to USCF is 0.80% (80 basis points) per annum of average daily total net assets for USCI and 0.65% (65 basis points) per annum of average daily total net assets for CPER.

Ongoing fees, costs and expenses of its operation for which a Trust Series is responsible include:

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

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.

As of December 31, 2023, USCI’s portfolio consisted of 4,766 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of held 1,342 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