United States Commodity Index Funds Trust 10-Q for FY2024 Q1

United States Commodity Index Funds Trust (USCI)

10-Q 2024-05-09 For: 2024-03-31

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on May 9, 2024, covering the quarter ended March 31, 2024 (FY2024 Q1).

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Delaware		27-1537655
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

Title of each class:	Trading Symbol(s)	Name of each exchange on which registered:
Shares of United States Commodity Index Fund	USCI	NYSE Arca, Inc.
Shares of United States Copper Index Fund	CPER	NYSE Arca, Inc.

Large Accelerated Filer	☐	Accelerated Filer	☒
Non-Accelerated Filer	☐	Smaller Reporting Company	☐
Emerging Growth Company	☐


		Number of Outstanding Shares as of May 3,2024
United States Commodity Index Fund		2,900,000
United States Copper Index Fund		6,950,000
Total		9,850,000


Part I. FINANCIAL INFORMATION	Page

Item 1. Condensed Financial Statements.	1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.	34

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	70

Item 4. Controls and Procedures.	71

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	73

Item 1A. Risk Factors.	76

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.	76

Item 3. Defaults Upon Senior Securities.	77

Item 4. Mine Safety Disclosures.	77

Item 5. Other Information.	77

Item 6. Exhibits.	78


Documents		Page

Condensed Statements of Financial Condition at March 31, 2024 (Unaudited) and December 31, 2023		2-4

Condensed Schedules of Investments at March 31, 2024 (Unaudited) and December 31, 2023		5-9

Condensed Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023		11-13

Condensed Statements of Changes in Capital (Unaudited) for the three months ended March 31, 2024 and 2023		14-16

Condensed Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023		17-19

Notes to Condensed Financial Statements (Unaudited) for the period ended March 31, 2024		20-33


	March 31, 2024		December 31, 2023
Assets
Cash and cash equivalents (at cost $155,244,993 and $159,067,804, respectively) (Notes 2 and 6)	$	155,244,993	$	159,067,804
Equity in trading accounts:
Cash and cash equivalents (at cost $10,561,897 and $13,041,505, respectively)		10,561,897		13,041,505
Unrealized gain (loss) on open commodity futures contracts		1,732,364		(3,305,080)
Dividends receivable		260,646		268,784
Interest receivable		287,279		333,401
Prepaid insurance		30,378		14,764

Total Assets	$	168,117,557	$	169,421,178

Liabilities and Capital
Management fees payable (Note 4)	$	110,364	$	121,486
Professional fees payable		119,397		264,875
Brokerage commissions payable		3,955		3,955
Directors’ fees payable		4,254		4,294

Total Liabilities		237,970		394,610

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		167,879,587		169,026,568
Total Capital		167,879,587		169,026,568

Total Liabilities and Capital	$	168,117,557	$	169,421,178

Shares outstanding		2,750,000		3,000,000
Net asset value per share	$	61.05	$	56.34
Market value per share	$	60.95	$	56.28


				Fair
				Value/Unrealized
				Gain (Loss) on
				Open
			Number of	Commodity		% of Partners’
	Notional Amount		Contracts	Contracts		Capital
Open Commodity Futures Contracts - Long
United States Contracts
NYMEX NY Harbour ULSD Futures HO June 2024 contracts, expiring May 2024	$	11,875,021	108	$	7,938	0.01
COMEX Gold 100 OZ Futures GC June 2024 contracts, expiring June 2024		11,944,140	54		143,220	0.09
CME Live Cattle Futures LC June 2024 contracts, expiring June 2024		11,860,350	165		36,150	0.02
ICE Sugar #11 Futures SB July 2024 contracts, expiring June 2024		12,105,061	493		125,283	0.07
ICE Cotton Futures CT July 2024 contracts, expiring July 2024		11,972,751	259		(62,636)	(0.04)
ICE Cocoa Futures CC July 2024 contracts, expiring July 2024		12,191,220	132		92,700	0.06
ICE Coffee Futures KC July 2024 contracts, expiring July 2024		12,165,881	173		33,863	0.02
COMEX Copper Futures HG July 2024 contracts, expiring July 2024		11,914,500	118		550	0.00^†
CBOT Soybean Futures S August 2024 contracts, expiring August 2024		11,849,288	196		(52,537)	(0.03)
NYMEX RBOB Gasoline Futures RB September 2024 contracts, expiring August 2024		11,882,530	113		87,831	0.05
NYMEX WTI Crude Oil Futures CL October 2024 contracts, expiring September 2024		11,376,832	152		675,248	0.40
United Kingdom Contracts
ICE Low Sulphur Gasoil Futures QS May 2024 contracts, expiring May 2024		11,806,100	146		(9,300)	(0.01)
ICE Brent Crude Futures CO November 2024 contracts, expiring September 2024		11,446,700	145		604,250	0.36
Foreign Contracts
LME Lead Futures LL April 2024 contracts, expiring April 2024^*		11,224,892	215		(303,322)	(0.18)
LME Tin Futures LT April 2024 contracts, expiring April 2024^*		11,461,005	87		524,550	0.31
LME Tin Futures LT May 2024 contracts, expiring May 2024^*		11,879,680	86		8,100	0.01
Open Commodity Futures Contracts - Short^**
Foreign Contracts
LME Lead Futures LL April 2024 contracts, expiring April 2024^*		(10,748,987)	215		(172,584)	(0.10)
LME Tin Futures LT April 2024 contracts, expiring April 2024^*		(11,978,615)	87		(6,940)	(0.01)
Total Open Futures Contracts^*	$	166,228,349	2,944	$	1,732,364	1.03


	Shares/Principal				% of Partners’
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
5.29%, 4/04/2024	$	7,000,000	$	6,996,949	4.17
5.28%, 4/11/2024		6,000,000		5,991,300	3.57
5.27%, 4/18/2024		3,000,000		2,992,620	1.78
5.28%, 5/02/2024		5,000,000		4,977,525	2.96
5.35%, 5/07/2024		6,000,000		5,968,470	3.56
5.36%, 5/14/2024		6,000,000		5,962,303	3.55
5.35%, 5/21/2024		6,000,000		5,956,208	3.55
5.27%, 6/27/2024		3,000,000		2,962,228	1.76
Total United States Treasury Obligations				41,807,603	24.90
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 5.27%^#		50,200,000		50,200,000	29.90
RBC U.S. Government Money Market Fund - Institutional Shares, 5.26%^#		18,600,000		18,600,000	11.08
Total United States Money Market Funds				68,800,000	40.98
Total Cash Equivalents			$	110,607,603	65.88


	Three months ended		Three months ended
	March 31, 2024		March 31, 2023
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	6,415,387	$	(3,511,508)
Change in unrealized gain (loss) on open commodity futures contracts		5,037,444		(7,329,775)
Dividend income		744,800		2,082,717
Interest income		1,381,304		443,656
ETF transaction fees		1,750		4,550
Total Income (Loss)	$	13,580,685	$	(8,310,360)

Expenses
Management fees (Note 4)	$	322,987	$	457,636
Professional fees		100,014		96,198
Brokerage commissions		36,102		54,445
Directors’ fees and insurance		19,052		18,198
Total Expenses	$	478,155	$	626,477
Net Income (Loss)	$	13,102,530	$	(8,936,837)
Net Income (Loss) per share	$	4.71	$	(1.95)
Net Income (Loss) per weighted average share	$	4.68	$	(2.11)
Weighted average shares outstanding		2,800,000		4,235,556


	Shareholders^*
	Three months ended		Three months ended
	March 31, 2024		March 31, 2023
Balances at beginning of period	$	169,026,568	$	255,837,514
Addition of – and 150,000 shares, respectively		—		8,146,814
Redemption of (250,000) and (950,000) shares, respectively		(14,249,511)		(51,506,258)
Net income (loss)		13,102,530		(8,936,837)

Balances at end of period	$	167,879,587	$	203,541,233


	Shareholders*
	Three months ended		Three months ended
	March 31, 2024		March 31, 2023
Balances at beginning of period	$	300,379,910	$	425,373,889
Addition of 1,400,000 and 1,450,000 shares, respectively		34,673,548		40,864,010
Redemption of (850,000) and (3,450,000) shares, respectively		(28,408,446)		(113,686,082)
Net income (loss)		17,876,056		4,961,042

Balances at end of period	$	324,521,068	$	357,512,859


	Three months ended		Three months ended
	March 31,2024		March 31, 2023
Cash Flows from Operating Activities:
Net income (loss)	$	17,876,056	$	4,961,042
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Change in unrealized (gain) loss on open commodity futures contracts		(7,612,772)		8,840,754
(Increase) decrease in dividends receivable		(8,027)		455,054
(Increase) decrease in interest receivable		87,272		(196,313)
(Increase) decrease in prepaid professional fees		2,275		(2,384)
(Increase) decrease in prepaid insurance		(33,191)		(79,888)
Increase (decrease) in Management fees payable		(6,495)		(46,666)
Increase (decrease) in professional fees payable		(255,922)		(297,639)
Increase (decrease) in directors’ fees payable		(100)		(663)
Net cash provided by (used in) operating activities		10,049,096		13,633,297

Cash Flows from Financing Activities:
Addition of shares		34,673,548		40,864,010
Redemption of shares		(28,408,446)		(113,686,082)
Net cash provided by (used in) financing activities		6,265,102		(72,822,072)

Net Increase (Decrease) in Cash and Cash Equivalents		16,314,198		(59,188,775)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		299,210,503		411,271,287
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	315,524,701	$	352,082,512

Components of Cash and Cash Equivalents, and Equity in Trading Account:
Cash and cash equivalents	$	304,181,963	$	330,529,524
Equity in Trading Accounts:
Cash and cash equivalents		11,342,738		21,552,988
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	315,524,701	$	352,082,512


At March 31, 2024	Total		Level I		Level II		Level III
Short-Term Investments	$	110,607,603	$	110,607,603	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		1,087,610		1,087,610		—		—
Foreign Contracts		644,754		644,754		—		—


At December 31, 2023	Total		Level I		Level II		Level III
Short-Term Investments	$	98,508,636	$	98,508,636	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		(3,158,862)		(3,158,862)		—		—
Foreign Contracts	$	(146,218)	$	(146,218)	$	—	$	—


	Condensed
	Statements of
	Financial
	Condition	Fair Value at		Fair Value at
Derivatives not Accounted for as Hedging Instruments	Location	March 31, 2024		December 31, 2023
Futures - Commodity Contracts	Unrealized gain (loss) on open commodity futures contracts	$	1,732,364	$	(3,305,080)


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)(1)	8.66	%
S&P GSCI Commodity Index (GSCI^®) Total Return(2)	10.36	%
Bloomberg Commodity Index Total Return(2)	2.19	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	4.50	%


SummerHaven Copper Index Total Return^SM(“SCI”)(1)	4.26	%
Bloomberg Copper Subindex Total Return(2)	3.74	%


	Three months			Three months
	ended			ended
	March 31, 2024			March 31, 2023
Average daily total net assets	$	162,417,496		$	231,996,221
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	2,126,104		$	2,526,373
Annualized yield based on average daily total net assets		5.26	%		4.42	%
Management fee	$	322,987		$	457,636
Total fees and other expenses excluding management fees	$	155,168		$	168,841
Total commissions accrued to brokers	$	36,102		$	54,445
Total commissions as annualized percentage of average total net assets		0.09	%		0.10	%


Commodity	Designated Contract	Exchange	Units	Quote
Aluminum	High Grade Primary Aluminum	LME	25 metric tons	USD/metric ton
Cocoa	Cocoa	ICE-US	10 metric tons	USD/metric ton
Coffee	Coffee “C”	ICE-US	37,500 lbs	U.S. cents/pound
Copper	Copper	COMEX	25,000 lbs	U.S. cents/pound
Corn	Corn	CBOT	5,000 bushels	U.S. cents/bushel
Cotton	Cotton	ICE-US	50,000 lbs	U.S. cents/pound
Crude Oil (WTI)	Light, Sweet Crude Oil	NYMEX	1,000 barrels	USD/barrel
Crude Oil (Brent)	Crude Oil	ICE-UK	1,000 barrels	USD/barrel
Gas Oil	Gas Oil	ICE-UK	100 metric tons	USD/metric ton
Gold	Gold	COMEX	100 troy oz.	USD/troy oz.
Heating Oil	Heating Oil	NYMEX	42,000 gallons	U.S. cents/gallon
Lead	Lead	LME	25 metric tons	USD/metric ton
Lean Hogs	Lean Hogs	CME	40,000 lbs.	U.S. cents/pound
Live Cattle	Live Cattle	CME	40,000 lbs.	U.S. cents/pound
Feeder Cattle	Feeder Cattle	CME	50,000 lbs.	U.S. cents/pound
Natural Gas	Henry Hub Natural Gas	NYMEX	10,000 mmbtu	USD/mmbtu
Nickel	Primary Nickel	LME	6 metric tons	USD/metric ton
Platinum	Platinum	NYMEX	50 troy oz.	USD/troy oz.
Silver	Silver	COMEX	5,000 troy oz.	U.S. cents/troy oz.
Soybeans	Soybeans	CBOT	5,000 bushels	U.S. cents/bushel
Soybean Meal	Soybean Meal	CBOT	100 tons	USD/ton
Soybean Oil	Soybean Oil	CBOT	60,000 lbs.	U.S. cents/pound
Sugar	World Sugar No. 11	ICE-US	112,000 lbs.	U.S. cents/pound
Tin	Tin	LME	5 metric tons	USD/metric ton
Unleaded Gasoline	Reformulated Blendstock for Oxygen Blending	NYMEX	42,000 gallons	U.S. cents/gallon
Wheat	Wheat	CBOT	5,000 bushels	U.S. cents/bushel
Zinc	Special High Grade Zinc	LME	25 metric tons	USD/metric ton


Commodity	Commodity			Max.
Symbol	Name	Sector	Allowed Contracts	tenor
CO	Brent Crude	Petroleum	All 12 Calendar Months	9
CL	Crude Oil	Petroleum	All 12 Calendar Months	9
QS	Gas Oil	Petroleum	All 12 Calendar Months	4
HO	Heating Oil	Petroleum	All 12 Calendar Months	4
XB	RBOB	Petroleum	All 12 Calendar Months	4
BO	Soybean Oil	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	1
C	Corn	Grains	Mar, May, Jul, Sep, Dec	4
S	Soybeans	Grains	Jan, Mar, May, Jul, Aug, Nov	4
SM	Soymeal	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	3
W	Wheat (Soft Red Winter)	Grains	Mar, May, Jul, Sep, Dec	4
LA	Aluminum	Industrial Metals	All 12 Calendar months	4
HG	Copper	Industrial Metals	Mar, May, Jul, Sep, Dec	1
LL	Lead	Industrial Metals	All 12 Calendar Months	4
LN	Nickel	Industrial Metals	All 12 Calendar Months	4
LT	Tin	Industrial Metals	All 12 Calendar Months	1
LX	Zinc	Industrial Metals	All 12 Calendar Months	4
GC	Gold	Precious Metals	Feb, Apr, Jun, Aug, Oct, Dec	1
PL	Platinum	Precious Metals	Jan, Apr, Jul, Oct	1
SI	Silver	Precious Metals	Mar, May, Jul, Sep, Dec	1
NG	Natural Gas	Non-Primary Sector	All 12 Calendar Months	6
FC	Feeder Cattle	Non-Primary Sector	Jan, Mar, Apr, May, Aug, Sep, Oct, Nov	1
LH	Lean Hogs	Non-Primary Sector	Feb, Apr, Jun, Jul, Aug, Oct, Dec	1
LC	Live Cattle	Non-Primary Sector	Feb, Apr, Jun, Aug, Oct, Dec	3
CC	Cocoa	Non-Primary Sector	Mar, May, Jul, Sep, Dec	1
KC	Coffee	Non-Primary Sector	Mar, May, Jul, Sep, Dec	1
CT	Cotton	Non-Primary Sector	Mar, May, Jul, Dec	1
SB	Sugar	Non-Primary Sector	Mar, May, Jul, Oct	3


Year	Ending Level*	Annual Return
2013	1,678.73	(2.77)	%
2014	1,475.68	(12.10)	%
2015	1,265.58	(14.24)	%
2016	1,262.46	(0.25)	%
2017	1,364.38	8.07	%
2018	1,221.18	(10.50)	%
2019	1,219.05	(0.17)	%
2020	1,089.40	(10.64)	%
2021	1,468.49	34.80	%
2022	1,933.23	31.65	%
2023	1,964.25	1.60	%
2024 (YTD)	2,134.33	8.66	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through March 31, 2024
			S&P GSCI		DB LCI OY		SDCI TR
	BCOM TR		TR		TR		Actual
Total return	49.70	%	20.73	%	327.99	%	848.50	%
Average annualized return (total)	3.48	%	5.61	%	8.51	%	11.64	%
Annualized volatility	15.94	%	22.98	%	18.73	%	15.36	%
Annualized Sharpe ratio	0.08		0.08		0.38		0.56


	Commodity		Max.
Commodity Name	Symbol	Allowed Contracts	Tenor
Copper	HG	All 12 calendar months	12


Copper Futures Contract	Expiration Date	Contract Price
Nearest-to-maturity	December-10	374.70
Next nearest-to-maturity	March-11	365.20


Eligible Copper Futures Contracts		Price
December-10		374.70


	Hypothetical and Historical Results for the period
	from December 31, 1997 through March 31, 2024
	BCOM		Spot Copper		SCI TR
	HG TR		(less storage)		Actual
Total return	465.20	%	144.05	%	762.10	%
Average annualized return (total)	12.18	%	8.56	%	14.30	%
Annualized volatility	25.23	%	24.38	%	24.75	%
Annualized Sharpe ratio	0.39		0.26		0.48


	Total
	Number of
	Shares	Average Price Per
Period	Redeemed	Share
1/1/24 to 1/31/24	200,000	$	56.74
2/1/24 to 2/29/24	50,000	$	58.03
3/1/24 to 3/31/24	—	$	—
Total	250,000

Exhibit Number		Description of Document
31.1(1)		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2(1)		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1(1)		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2(1)		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS		XBRL Instance Document.
101.SCH		XBRL Taxonomy Extension Schema.
101.CAL		XBRL Taxonomy Extension Calculation Linkbase.
101.DEF		XBRL Taxonomy Extension Definition Linkbase.
101.LAB		XBRL Taxonomy Extension Label Linkbase.
101.PRE		XBRL Taxonomy Extension Presentation Linkbase.
104		Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

By:	/s/ John P. Love
	John P. Love
	President and Chief Executive Officer
	(Principal executive officer)

By:	/s/ Stuart P. Crumbaugh
	Stuart P. Crumbaugh
	Chief Financial Officer
	(Principal financial and accounting officer)


Date: May 9, 2024	By	/s/ John P. Love
	Name:	John P. Love
	Title:	President and Chief Executive Officer
		United States Commodity Funds LLC
		Sponsor of United States Commodity Index Funds Trust