United States Commodity Index Funds Trust 10-Q for FY2021 Q2

United States Commodity Index Funds Trust (USCI)

10-Q 2021-08-06 For: 2021-06-30

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on August 6, 2021, covering the quarter ended June 30, 2021 (FY2021 Q2).

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☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2021.

	or

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to .

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 July 20, 2021
United States Commodity Index Fund		5,900,000
United States Copper Index Fund		10,600,000
Total		16,500,000


	Page
Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.	1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.	35

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	76

Item 4. Controls and Procedures.	77

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	78

Item 1A. Risk Factors.	80

Items 2. Unregistered Sales of Equity Securities and Use of Proceeds.	80

Item 3. Defaults Upon Senior Securities.	80

Item 4. Mine Safety Disclosures.	80

Item 5. Other Information.	81

Item 6. Exhibits.	82


		Page
Documents

Condensed Statements of Financial Condition at June 30, 2021 (Unaudited) and December 31, 2020		2-4

Condensed Schedule of Investments (Unaudited) at June 30, 2021		5-7

Condensed Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020		8-11

Condensed Statements of Changes in Capital (Unaudited) for the three and six months ended June 30, 2021 and 2020		12-15

Condensed Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020		16-19

Notes to Condensed Financial Statements (Unaudited) for the period ended June 30, 2021		20


	June 30, 2021		December 31, 2020
Assets
Cash and cash equivalents (at cost $208,586,537 and $103,318,538, respectively) (Notes 2 and 6)	$	208,586,537	$	103,318,538
Equity in trading accounts:
Cash and cash equivalents (at cost $11,935,816 and $554,470, respectively)		11,935,816		554,470
Unrealized gain (loss) on open commodity futures contracts		10,415,372		7,293,344
Receivable for shares sold		3,975,107		—
Dividends receivable		4,075		2,379
Interest receivable		3		—
Prepaid insurance^*		23,797		5,212
Prepaid registration fees		26,575		—
ETF transaction fees receivable		350		—

Total Assets	$	234,967,632	$	111,173,943

Liabilities and Capital
Management fees payable (Note 4)	$	141,346	$	72,934
Professional fees payable		145,146		312,461
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		3,237		1,525

Total Liabilities		293,684		390,875

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		234,673,948		110,783,068
Total Capital		234,673,948		110,783,068

Total Liabilities and Capital	$	234,967,632	$	111,173,943

Shares outstanding		5,800,000		3,400,000
Net asset value per share	$	40.46	$	32.58
Market value per share	$	40.39	$	32.67


				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
CME Lean Hogs Futures LH August 2021 contracts, expiring August 2021	$	16,783,982	409	$	107,718	0.05
CME Live Cattle Futures LC August 2021 contracts, expiring August 2021		16,236,831	332		61,049	0.03
CBOT Soybean Oil Futures BO September 2021 contracts, expiring September 2021		17,115,789	469		643,365	0.27
CBOT Corn Futures C September 2021 contracts, expiring September 2021		17,255,325	615		1,171,613	0.50
COMEX Copper Futures HG September 2021 contracts, expiring September 2021		17,312,413	152		(1,014,213)	(0.43)
COMEX Silver Futures SI September 2021 contracts, expiring September 2021		17,319,190	125		(947,941)	(0.40)
CBOT Soybean Meal Futures SM October 2021 contracts, expiring October 2021		17,777,090	465		(162,890)	(0.07)
COMEX Gold 100 OZ Futures GC October 2021 contracts, expiring October 2021		16,329,880	92		(13,680)	(0.01)
NYMEX RBOB Gasoline Futures RB November 2021 contracts, expiring October 2021		15,365,003	187		804,027	0.34
CBOT Soybean Futures S November 2021 contracts, expiring November 2021		17,010,213	257		966,937	0.41
NYMEX WTI Crude Oil Futures CL December 2021 contracts, expiring November 2021		12,352,120	230		3,777,780	1.61
United Kingdom Contracts
ICE Brent Crude Oil Futures CO December 2021 contracts, expiring October 2021		12,662,450	223		3,476,060	1.48
Foreign Contracts
LME Nickel Futures LN July 2021 contracts, expiring July 2021*		16,245,219	154		577,125	0.24
LME Tin Futures LT July 2021 contracts, expiring July 2021*		15,971,320	103		961,880	0.41
LME Zinc Futures LX July 2021 contracts, expiring July 2021*		7,747,579	111		494,865	0.21
LME Nickel Futures LN August 2021 contracts, expiring August 2021*		16,180,956	147		(121,500)	(0.05)
LME Tin Futures LT August 2021 contracts, expiring August 2021*		16,475,465	102		38,335	0.02
Open Commodity Futures Contracts - Short^**
Foreign Contracts
LME Nickel Futures LN July 2021 contracts, expiring July 2021*		(16,944,684)	154		122,340	0.05
LME Tin Futures LT July 2021 contracts, expiring July 2021*		(16,937,015)	103		3,815	0.00	^†
LME Zinc Futures LX July 2021 contracts, expiring July 2021*		(7,711,131)	111		(531,313)	(0.22)
Total Open Futures Contracts*	$	224,547,995	4,541	$	10,415,372	4.44


	Shares/Principal				% of Partners’
	Amount		Market Value		Capital
Cash Equivalents
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.01%^#		915,000	$	915,000	0.39
Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.03%^#		165,566,263		165,566,263	70.55
RBC U.S. Government Money Market Fund - Institutional Shares, 0.03%^#		42,100,614		42,100,614	17.94
Total United States Money Market Funds			$	208,581,877	88.88


	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	22,084,786	$	(7,815,560)	$	34,875,006	$	(52,782,086)
Change in unrealized gain (loss) on open commodity futures contracts		3,108,892		8,116,712		3,122,028		(380,387)
Realized gain (loss) on short-term investments		—		2,261,434		—		2,279,102
Dividend income		12,385		18,133		18,775		73,602
Interest income^*		792		311,375		2,090		900,602
ETF transaction fees		3,500		1,050		9,100		5,600
Total Income (Loss)	$	25,210,355	$	2,893,144	$	38,026,999	$	(49,903,567)

Expenses
Management fees (Note 4)	$	401,183	$	247,306	$	709,681	$	569,468
Professional fees		74,683		72,934		119,557		113,959
Brokerage commissions		30,288		21,219		67,660		76,374
Directors’ fees and insurance		11,546		7,365		19,548		33,719
Registration fees		9,871		—		13,017		—
Total Expenses	$	527,571	$	348,824	$	929,463	$	793,520
Net Income (Loss)	$	24,682,784	$	2,544,320	$	37,097,536	$	(50,697,087)
Net Income (Loss) per share	$	4.90	$	0.52	$	7.88	$	(10.23)
Net Income (Loss) per weighted average share	$	4.80	$	0.54	$	7.71	$	(10.41)
Weighted average shares outstanding		5,141,111		4,747,802		4,809,116		4,870,055


	Shareholders*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Balances at beginning of period	$	174,240,012	$	120,168,967	$	110,783,068	$	189,895,482
Addition of 900,000, 200,000, 2,850,000 and 350,000 shares, respectively		35,751,152		5,127,140		103,011,772		10,549,302
Redemption of (–), (50,000), (450,000) and (750,000) shares, respectively		—		(1,291,687)		(16,218,428)		(23,198,957)
Net income (loss)		24,682,784		2,544,320		37,097,536		(50,697,087)

Balances at end of period	$	234,673,948	$	126,548,740	$	234,673,948	$	126,548,740


	Sponsor^*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021**		June 30, 2020**		June 30, 2021**		June 30, 2020**
Balances at beginning of period	$	—	$	1,000	$	—	$	1,000
Addition of –, –, – and – shares, respectively		—		—		—		—
Redemption of –, –, – and – shares, respectively		—		(1,000)		—		(1,000)
Net income (loss)		—		—		—		—

Balances at end of period	$	—	$	—	$	—	$	—


	Shareholders^*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Balances at beginning of period	$	363,942,464	$	128,543,172	$	175,946,772	$	196,911,859
Addition of 6,600,000, 550,000, 14,050,000 and 900,000 shares, respectively		195,025,407		10,518,991		395,425,956		19,177,570
Redemption of (1,750,000), (100,000), (3,000,000) and (800,000) shares, respectively		(48,008,967)		(1,987,439)		(83,864,778)		(23,894,709)
Net income (loss)		30,083,121		4,767,988		53,534,075		(50,352,008)

Balances at end of period	$	541,042,025	$	141,842,712	$	541,042,025	$	141,842,712


	Six months ended		Six months ended
	June 30, 2021*		June 30, 2020*
Cash Flows from Financing Activities:
Addition of shares	$	—	$	—
Redemption of shares		—		(1,000)
Net cash provided by (used in) financing activities		—		(1,000)

Net Increase (Decrease) in Cash and Cash Equivalents		—		(1,000)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		—		1,000
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	—	$	—

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	—	$	—
Equity in Trading Accounts:
Cash and cash equivalents		—		—
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	—	$	—


	Six months ended			Six months ended
	June 30, 2021			June 30, 2020
Total commissions accrued to brokers	$	67,660		$	76,374
Total commissions as annualized percentage of average total net assets		0.08	%		0.11	%
Commissions accrued as a result of rebalancing	$	60,647		$	73,525
Percentage of commissions accrued as a result of rebalancing		89.63	%		96.27	%
Commissions accrued as a result of creation and redemption activity	$	7,013		$	2,849
Percentage of commissions accrued as a result of creation and redemption activity		10.37	%		3.73	%


	Six months ended			Six months ended
	June 30, 2021			June 30, 2020
Total commissions accrued to brokers	$	22,322		$	2,568
Total commissions as annualized percentage of average total net assets		0.02	%		0.06	%
Commissions accrued as a result of rebalancing	$	10,285		$	2,306
Percentage of commissions accrued as a result of rebalancing		46.08	%		89.79	%
Commissions accrued as a result of creation and redemption activity	$	12,037		$	262
Percentage of commissions accrued as a result of creation and redemption activity		53.92	%		10.21	%


At June 30, 2021	Total		Level I		Level II		Level III
Short-Term Investments	$	208,581,877	$	208,581,877	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		5,393,765		5,393,765		—		—
Foreign Contracts		5,021,607		5,021,607		—		—


At December 31, 2020	Total		Level I		Level II		Level III
Short-Term Investments	$	103,316,877	$	103,316,877	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		7,053,064		7,053,064		—		—
Foreign Contracts		240,280		240,280		—		—


	Condensed
	Statements of
	Financial			Fair Value at
	Condition	Fair Value at		December 31,
Derivatives not Accounted for as Hedging Instruments	Location	June 30, 2021		2020
Futures - Commodity Contracts	Assets	$	10,415,372	$	7,293,344


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)(1)	24.91	%
S&P GSCI Commodity Index (GSCI®) Total Return(2)	31.40	%
Bloomberg Commodity Index Total Return(2)	21.15	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	31.75	%


SummerHaven Copper Index Total Return^SM(“SCI”)(1)	21.38	%
Bloomberg Copper Subindex Total Return(2)	21.50	%


	Three months			Three months
	ended			ended
	June 30, 2021			June 30, 2020
Average daily total net assets	$	201,142,649		$	124,332,532
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	13,177		$	329,508
Annualized yield based on average daily total net assets		0.03	%		1.07	%
Management fee	$	401,183		$	247,306
Total fees and other expenses excluding management fees	$	126,388		$	101,518
Fees and expenses related to the registration or offering of additional shares	$	9,871		$	—
Total commissions accrued to brokers	$	30,288		$	21,219
Total commissions as annualized percentage of average total net assets		0.06	%		0.07	%
Commissions accrued as a result of rebalancing	$	28,624		$	20,735
Percentage of commissions accrued as a result of rebalancing		94.51	%		97.72	%
Commissions accrued as a result of creation and redemption activity	$	1,664		$	484
Percentage of commissions accrued as a result of creation and redemption activity		5.49	%		2.28	%


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
2011	1,703.23	(8.03)	%
2012	1,726.55	1.37	%
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 (YTD)	1,360.72	24.91	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through June 30, 2021
	BCOM TR		S&P GSCI		DB LCI OY		SDCI TR		SDCI TR
			TR		TR		Actual		Hypothetical
Total return	30.59	%	(15.08)	%	237.05	%	504.71	%	858.00	%
Average annualized return (total)	4.02	%	4.74	%	9.67	%	10.95	%	13.04	%
Annualized volatility	15.99	%	23.34	%	18.88	%	15.24	%	15.47	%
Annualized Sharpe ratio	0.13		0.12		0.41		0.58		0.71


	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


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


	Hypothetical and Historical Results for the period
	from December 31, 1997 through June 30, 2021
	BCOM		Spot Copper		SCI TR		SCI TR
	HG TR		(less storage)		Actual		Hypothetical
Total return	475.53	%	177.21	%	771.37	%	538.85	%
Average annualized return (total)	14.27	%	10.59	%	16.53	%	14.81	%
Annualized volatility	25.88	%	25.08	%	25.35	%	25.66	%
Annualized Sharpe ratio	0.47		0.35		0.57		0.50


	Total
	Number of
	Shares	Average Price Per
Period	Redeemed	Share
4/1/21 to 4/30/21	—	$	—
5/1/21 to 5/31/21	—	$	—
6/1/21 to 6/30/21	—	$	—
Total	0		0

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)