United States Commodity Index Funds Trust 10-Q for FY2020 Q1

United States Commodity Index Funds Trust (USCI)

10-Q 2020-05-08 For: 2020-03-31

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on May 8, 2020, covering the quarter ended March 31, 2020 (FY2020 Q1).

Headline figures

Quarter ended March 31, 2020, as reported in this filing, compared with the same period a year earlier where the filing states it.

Revenue: -$54.66M; compared with $18.76M a year earlier
Net loss: $55.12M; compared with net income of $17.46M a year earlier

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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 March 31, 2020.

	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.)


Large accelerated filer	☐	Accelerated filer	☒

Non-accelerated filer	☐	Smaller reporting company	☐

		Emerging growth company	☐


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.


		Number of Outstanding Shares as of
		May 6, 2020
United States Commodity Index Fund		4,750,000
United States Copper Index Fund		700,000
Total		5,450,000


	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.	37

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	73

Item 4. Controls and Procedures.	74

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	75

Item 1A. Risk Factors.	75

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

Item 3. Defaults Upon Senior Securities.	76

Item 4. Mine Safety Disclosures.	77

Item 5. Other Information.	77

Item 6. Exhibits.	77


Documents		Page

Condensed Statements of Financial Condition at March 31, 2020 (Unaudited) and December 31, 2019		2-5

Condensed Schedules of Investments (Unaudited) at March 31, 2020		6-8

Condensed Statements of Operations (Unaudited) for the three months ended March 31, 2020 and 2019		9-12

Condensed Statements of Changes in Capital (Unaudited) for the three months ended March 31, 2020 and Condensed Statements of Changes in Shares Outstanding (Unaudited) for the three months ended March 31, 2020		13-16

Condensed Statements of Cash Flows (Unaudited) for the three months ended March 31, 2020 and 2019		17-20

Notes to Condensed Financial Statements for the period ended March 31, 2020 (Unaudited)		21


	March 31, 2020		December 31, 2019
Assets
Cash and cash equivalents (at cost $103,036,108 and $163,036,680, respectively) (Notes 2 and 6)	$	103,036,108	$	163,036,680
Equity in trading accounts:
Cash and cash equivalents (at cost $23,869,583 and $27,277,314, respectively)		23,869,583		27,277,314
Unrealized gain (loss) on open commodity futures contracts		(6,358,231)		2,138,868
Dividends receivable		5,485		25,510
Prepaid insurance		21,644		20,198
ETF transaction fees receivable		—		350

Total assets	$	120,574,589	$	192,498,920

Liabilities and Capital
Payable for shares redeemed	$	—	$	1,843,700
Management fees payable (Note 4)		90,707		142,699
Professional fees payable		292,086		571,822
Brokerage commissions payable		14,455		33,805
Directors' fees payable		8,374		11,412

Total liabilities		405,622		2,603,438

Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		—		—
Shareholders		120,168,967		189,895,482
Total Capital		120,168,967		189,895,482

Total liabilities and capital	$	120,574,589	$	192,498,920

Shares outstanding		4,600,000		5,150,000
Net asset value per share	$	26.12	$	36.87
Market value per share	$	25.90	$	36.90


	March 31, 2020*		December 31, 2019
Assets
Cash (at cost $1,000) (Notes 2 and 6)	$	1,000	$	1,000

Total assets	$	1,000	$	1,000

Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor	$	1,000	$	1,000
Shareholders		—		—
Total Capital		1,000		1,000

Total liabilities and capital	$	1,000	$	1,000


	March 31,2020		December 31, 2019
Assets
Cash and cash equivalents (at cost $110,328,123 and $169,737,534, respectively) (Notes 2 and 6)	$	110,328,123	$	169,737,534
Equity in trading accounts:
Cash and cash equivalents (at cost $26,314,145 and $27,676,364, respectively)		26,314,145		27,676,364
Unrealized gain (loss) on open commodity futures contracts		(7,763,469)		2,485,118
Receivable from Sponsor (Note 4)		72,033		67,629
Dividends receivable		6,220		26,873
Interest receivable		—		125
Prepaid insurance		22,567		20,451
ETF transaction fees receivable		—		350

Total assets	$	128,979,619	$	200,014,444

Liabilities and Capital
Payable due to Broker	$	—	$	429,967
Payable for shares redeemed		—		1,843,700
Management fees payable (Note 4)		95,603		147,346
Professional fees payable		317,810		636,133
Brokerage commissions payable		14,455		33,805
Directors' fees payable		8,579		11,634

Total liabilities		436,447		3,102,585

Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		1,000		1,000
Shareholders		128,542,172		196,910,859
Total Capital		128,543,172		196,911,859

Total liabilities and capital	$	128,979,619	$	200,014,444

Shares outstanding		5,200,000		5,550,000


				Value/
				Unrealized Gain
				(Loss) on Open
	Notional		Number of	Commodity		% of
	Amount		Contracts	Contracts		Capital
Open Futures Contracts – Long
Foreign Contracts
LME Zinc Futures LX April 2020 contracts, expiring April 2020	$	14,292,564	249	$	(2,479,070)	(2.06)
LME Tin Futures LT August 2020 contracts, expiring August 2020		14,006,112	164		(2,038,213)	(1.70)
		28,298,676	413		(4,517,283)	(3.76)
United States Contracts
CME Feeder Cattle Futures FC May 2020 contracts, expiring May 2020		8,514,575	139		26,975	0.02
CME Live Cattle Futures LC June 2020 contracts, expiring June 2020		10,370,090	232		(1,825,530)	(1.52)
ICE Sugar # 11 Futures SB July 2020 contracts, expiring June 2020		8,438,024	692		(300,104)	(0.25)
CBOT Wheat Futures W July 2020 contracts, expiring July 2020		8,741,613	313		61,512	0.05
ICE Coffee-C Futures KC July 2020 contracts, expiring July 2020		8,435,981	187		3,563	0.00*
COMEX Copper Futures HG July 2020 contracts, expiring July 2020		8,701,475	159		176,688	0.15
COMEX Silver Futures SI July 2020 contracts, expiring July 2020		8,503,850	118		(131,160)	(0.11)
CME Lean Hogs Futures LH August 2020 contracts, expiring August 2020		8,194,210	313		(6,130)	(0.01)
CBOT Soybean Futures BO September 2020 contracts, expiring September 2020		8,823,606	533		22,062	0.02
CBOT Soybean Futures SM September 2020 contracts, expiring September 2020		8,638,240	277		(51,240)	(0.04)
ICE Cocoa Futures CC September 2020 contracts, expiring September 2020		10,604,500	384		(1,899,220)	(1.58)
NYMEX Natural Gas Futures NG January 2021 contracts, expiring December 2020		8,766,470	323		80,500	0.07
COMEX Gold Futures GC February 2021 contracts, expiring February 2021		8,541,430	52		(228,710)	(0.19)
CBOT Soybean Futures S March 2021 contracts, expiring March 2021		8,618,900	201		(23,638)	(0.02)
		123,892,964	3,923		(4,094,432)	(3.41)
Open Futures Contracts - Short**
Foreign Contracts
LME Zinc Futures LX April 2020 contracts, expiring April 2020***		(12,733,868)	249		918,948	0.77
LME Tin Futures LT August 2020 contracts, expiring August 2020***		(13,303,375)	164		1,334,536	1.11
		(26,037,243)	413		2,253,484	1.88
Total Open Futures Contracts***	$	126,154,397	4,749	$	(6,358,231)	(5.29)


	Principal		Market		% of
	Amount		Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
1.60%, 4/16/2020	$	15,000,000	$	14,990,062	12.47
1.59%, 4/30/2020		9,000,000		8,988,581	7.48
1.55%, 5/14/2020		5,000,000		4,990,803	4.15
1.55%, 5/21/2020		15,000,000		14,968,021	12.46
1.53%, 6/04/2020		10,000,000		9,972,978	8.30
1.54%, 6/18/2020		2,000,000		1,993,370	1.66
1.51%, 7/09/2020		16,000,000		15,933,890	13.26
1.54%, 7/16/2020		15,000,000		14,932,425	12.43
1.53%, 7/23/2020		5,000,000		4,976,223	4.14
1.53%, 7/30/2020		20,000,000		19,898,667	16.56
Total Cash Equivalents			$	111,645,020	92.91


	Three months ended		Three months ended
	March 31, 2020		March 31, 2019
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	(44,966,526)	$	(3,351,005)
Change in unrealized gain (loss) on open positions		(8,497,099)		18,150,103
Realized gain (loss) on short-term investments		17,668		—
Dividend income		55,469		114,031
Interest income*		589,227		2,602,041
ETF transaction fees		4,550		4,200

Total income (loss)		(52,796,711)		17,519,370

Expenses
Management fees (Note 4)		322,162		912,419
Professional fees		41,025		164,254
Brokerage commissions		55,155		176,921
Directors’ fees and insurance		26,354		22,289

Total expenses		444,696		1,275,883

Net income (loss)	$	(53,241,407)	$	16,243,487
Net income (loss) per share	$	(10.75)	$	1.32
Net income (loss) per weighted average share	$	(10.66)	$	1.36
Weighted average shares outstanding		4,992,308		11,936,667


	Period ended
	March 31, 2020*
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	—
Change in unrealized gain (loss) on open positions		—
Realized gain (loss) on foreign currency transactions		—
Change in unrealized gain (loss) on foreign currency translations		—
Interest income		—

Total income (loss)		—

Expenses
Management fees (Note 4)		—
Professional fees		—
Brokerage commissions		—
Directors' fees and insurance		—

Total expenses		—

Expense waiver (Note 4)		—

Net expenses		—

Net income (loss)	$	—
Net income (loss) per share	$	—
Net income (loss) per weighted average share	$	—
Weighted average shares outstanding		—


	Sponsor		Shareholders		Total

Balances, at December 31, 2019	$	—	$	189,895,482	$	189,895,482
Additions		—		5,422,162		5,422,162
Redemptions		—		(21,907,270)		(21,907,270)
Net income (loss)		—		(53,241,407)		(53,241,407)

Balances, at March 31, 2020	$	—	$	120,168,967	$	120,168,967


	Principal		Market
	Amount		Value
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
1.52%, 4/02/2020	$	550,000	$	549,977	6.57
1.60%, 4/09/2020		500,000		499,824	5.97
1.60%, 4/16/2020		500,000		499,669	5.97
1.52%, 4/23/2020		400,000		399,631	4.77
1.57%, 4/30/2020		600,000		599,247	7.16
1.54%, 5/07/2020		600,000		599,080	7.15
1.55%, 5/14/2020		550,000		548,988	6.56
1.55%, 5/21/2020		500,000		498,934	5.96
1.56%, 5/28/2020		500,000		498,775	5.96
1.54%, 6/18/2020		150,000		149,504	1.78
1.51%, 7/23/2020		500,000		497,646	5.94
1.52%, 8/13/2020		500,000		497,195	5.94
1.52%, 8/20/2020		500,000		497,043	5.94
1.42%, 8/27/2020		300,000		298,261	3.56
Total Cash Equivalents			$	6,633,774	79.23


	Three months ended		Three months ended
	March 31, 2020		March 31, 2019
Cash Flows from Operating Activities:
Net income (loss)	$	(53,241,407)	$	16,243,487
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Unrealized (gain) loss on open futures contracts		8,497,099		(18,150,103)
(Increase) decrease in dividends receivable		20,025		(40,522)
(Increase) decrease in interest receivable		—		3,734
(Increase) decrease in prepaid insurance		(1,446)		8,165
(Increase) decrease in ETF transaction fees receivable		350		—
Increase (decrease) in payable due to Broker		—		4,319,226
Increase (decrease) in management fees payable		(51,992)		(64,671)
Increase (decrease) in professional fees payable		(279,736)		(210,925)
Increase (decrease) in brokerage commissions payable		(19,350)		—
Increase (decrease) in directors' fees payable		(3,038)		(1,598)
Net cash provided by (used in) operating activities		(45,079,495)		2,106,793

Cash Flows from Financing Activities:
Addition of shares		5,422,162		—
Redemption of shares		(23,750,970)		(40,713,896)
Net cash provided by (used in) financing activities		(18,328,808)		(40,713,896)

Net Increase (Decrease) in Cash and Cash Equivalents		(63,408,303)		(38,607,103)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		190,313,994		478,509,213
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	126,905,691	$	439,902,110

Components of Cash and Cash Equivalents:
Cash and Cash Equivalents	$	103,036,108	$	403,949,418
Equity in Trading Accounts:
Cash and Cash Equivalents		23,869,583		35,952,692
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	126,905,691	$	439,902,110


	Three months ended		Three months ended
	March 31, 2020		March 31, 2019
Cash Flows from Operating Activities:
Net income (loss)	$	(1,878,589)	$	1,219,154
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Increase) decrease in short-term investments		—		295,216
Unrealized (gain) loss on open futures contracts		1,751,488		(1,436,100)
(Increase) decrease in receivable from Sponsor		(4,404)		(21,919)
(Increase) decrease in dividends receivable		628		(2,286)
(Increase) decrease in interest receivable		125		160
(Increase) decrease in prepaid insurance		(670)		203
Increase (decrease) in payable due to Broker		(429,967)		14,739
Increase (decrease) in management fees payable		249		428
Increase (decrease) in professional fees payable		(38,587)		(13,175)
Increase (decrease) in directors' fees payable		(17)		32
Increase (decrease) in insurance payable		—		1
Net cash provided by (used in) operating activities		(599,744)		56,453

Cash Flows from Financing Activities:
Addition of shares		3,236,417		5,451,099
Redemption of shares		—		(1,651,189)
Net cash provided by (used in) financing activities		3,236,417		3,799,910

Net Increase (Decrease) in Cash and Cash Equivalents		2,636,673		3,856,363

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		7,098,904		12,116,244
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	9,735,577	$	15,972,607

Components of Cash and Cash Equivalents:
Cash and Cash Equivalents	$	7,291,015	$	15,373,384
Equity in Trading Accounts:
Cash and Cash Equivalents		2,444,562		599,223
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	9,735,577	$	15,972,607


	Three months ended		Three months ended
	March 31, 2020		March 31, 2019
Cash Flows from Operating Activities:
Net income (loss)	$	(55,119,996)	$	17,462,641
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Increase) decrease in short-term investments		—		295,216
Unrealized (gain) loss on open futures contracts		10,248,587		(19,586,203)
(Increase) decrease in receivable from Sponsor		(4,404)		(21,919)
(Increase) decrease in dividends receivable		20,653		(42,808)
(Increase) decrease in interest receivable		125		3,894
(Increase) decrease in prepaid insurance		(2,116)		8,368
(Increase) decrease in ETF transaction fees receivable		350		—
Increase (decrease) in payable due to Broker		(429,967)		4,333,965
Increase (decrease) in management fees payable		(51,743)		(64,243)
Increase (decrease) in professional fees payable		(318,323)		(224,100)
Increase (decrease) in brokerage commissions payable		(19,350)		—
Increase (decrease) in directors' fees payable		(3,055)		(1,566)
Increase (decrease) in insurance payable		—		1
Net cash provided by (used in) operating activities		(45,679,239)		2,163,246

Cash Flows from Financing Activities:
Addition of shares		8,658,579		5,451,099
Redemption of shares		(23,750,970)		(42,365,085)
Net cash provided by (used in) financing activities		(15,092,391)		(36,913,986)

Net Increase (Decrease) in Cash and Cash Equivalents		(60,770,630)		(34,750,740)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		197,413,898		490,625,457
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	136,642,268	$	455,874,717

Components of Cash and Cash Equivalents:
Cash and Cash Equivalents	$	110,328,123	$	419,322,802
Equity in Trading Accounts:
Cash and Cash Equivalents		26,314,145		36,551,915
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	136,642,268	$	455,874,717


	For the three months			For the three months
	ended			ended
	March 31, 2020			March 31, 2019
Total commissions accrued to brokers	$	55,155		$	176,921
Total commissions as annualized percentage of average total net assets		0.14	%		0.16	%
Commissions accrued as a result of rebalancing	$	52,790		$	173,345
Percentage of commissions accrued as a result of rebalancing		95.71	%		97.98	%
Commissions accrued as a result of creation and redemption activity	$	2,365		$	3,576
Percentage of commissions accrued as a result of creation and redemption activity		4.29	%		2.02	%


	For the three months ended			For the three months ended
	March 31, 2020			March 31, 2019
	(Unaudited)			(Unaudited)
Per Share Operating Performance:
Net asset value, beginning of period	$	36.87		$	37.49
Total income (loss)		(10.66)			1.43
Total expenses		(0.09)			(0.11)
Net increase (decrease) in net asset value		(10.75)			1.32
Net asset value, end of period	$	26.12		$	38.81

Total Return		(29.16)	%		3.52	%

Ratios to Average Net Assets
Total income (loss)		(32.60)	%		3.79	%
Management fees*		0.80	%**		0.80	%**
Total expenses excluding management fees*		0.30	%		0.32	%
Expenses waived*		—	%**		—	%**
Net expenses excluding management fees*		0.30	%		0.32	%
Net income (loss)		(32.87)	%		3.51	%


At March 31, 2020	Total		Level I		Level II		Level III
Short-Term Investments	$	111,645,020	$	111,645,020	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		(2,263,799)		(2,263,799)		—		—
United States Contracts		(4,094,432)		(4,094,432)		—		—


At December 31, 2019	Total		Level I		Level II		Level III
Short-Term Investments	$	188,989,355	$	188,989,355	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		(2,381,779)		(2,381,779)		—		—
United States Contracts		4,520,647		4,520,647		—		—


Derivatives not	Condensed
Accounted for	Statements of	Fair Value		Fair Value
as Hedging	Financial	At March 31,		At December 31,
Instruments	Condition Location	2020		2019
Futures - Commodity Contracts	Assets	$	(6,358,231)	$	2,138,868


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)⁽¹⁾	(29.28)	%
S&P GSCI Commodity Index (GSCI^®) Total Return⁽²⁾	(42.34)	%
Bloomberg Commodity Index Total Return⁽²⁾	(23.29)	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	(29.25)	%


SummerHaven Copper Index Total Return^TM(“SCI”)⁽¹⁾	(20.11)	%
Bloomberg Copper Subindex Total Return⁽²⁾	(20.34)	%


	For the three			For the three
	months ended			months ended
	March 31, 2020			March 31, 2019
Average daily total net assets	$	161,966,313		$	462,545,573
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	644,696		$	2,716,072
Annualized yield based on average daily total net assets		1.60	%		2.38	%
Management fee	$	322,162		$	912,419
Total fees and other expenses excluding management fees	$	122,534		$	363,464
Total commissions accrued to brokers	$	55,155		$	176,921
Total commissions as annualized percentage of average total net assets		0.14	%		0.16	%
Commissions accrued as a result of rebalancing	$	52,790		$	173,345
Percentage of commissions accrued as a result of rebalancing		95.71	%		97.98	%
Commissions accrued as a result of creation and redemption activity	$	2,365		$	3,576
Percentage of commissions accrued as a result of creation and redemption activity		4.29	%		2.02	%


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	Energy	All 12 Calendar Months	12
CL	Crude Oil	Energy	All 12 Calendar Months	12
QS	Gas Oil	Energy	All 12 Calendar Months	12
HO	Heating Oil	Energy	All 12 Calendar Months	12
NG	Natural Gas	Energy	All 12 Calendar Months	12
XB	RBOB	Energy	All 12 Calendar Months	12
FC	Feeder Cattle	Livestock	Jan, Mar, Apr, May, Aug, Sep, Oct, Nov	5
LH	Lean Hogs	Livestock	Feb, Apr, Jun, Jul, Aug, Oct, Dec	5
LC	Live Cattle	Livestock	Feb, Apr, Jun, Aug, Oct, Dec	5
BO	Soybean Oil	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	7
C	Corn	Grains	Mar, May, Jul, Sep, Dec	12
S	Soybeans	Grains	Jan, Mar, May, Jul, Aug, Sep, Nov	12
SM	Soymeal	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	7
W	Wheat (Soft Red Winter)	Grains	Mar, May, Jul, Sep, Dec	7
LA	Aluminum	Industrial Metals	All 12 Calendar months	12
HG	Copper	Industrial Metals	All 12 Calendar Months	12
LL	Lead	Industrial Metals	All 12 Calendar Months	7
LN	Nickel	Industrial Metals	All 12 Calendar Months	7
LT	Tin	Industrial Metals	All 12 Calendar Months	7
LX	Zinc	Industrial Metals	All 12 Calendar Months	7
GC	Gold	Precious Metals	Feb, Apr, Jun, Aug, Oct, Dec	12
PL	Platinum	Precious Metals	Jan, Apr, Jul, Oct	5
SI	Silver	Precious Metals	Mar, May, Jul, Sep, Dec	5
CC	Cocoa	Softs	Mar, May, Jul, Sep, Dec	7
KC	Coffee	Softs	Mar, May, Jul, Sep, Dec	7
CT	Cotton	Softs	Mar, May, Jul, Dec	7
SB	Sugar	Softs	Mar, May, Jul, Oct	7


Year	Ending Level*	Annual Return
2010	1,852.04	20.82	%
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 (YTD)	862.12	(29.28)	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through March 31, 2020
					DB LCI
	BCOM TR		S&P GSCI TR		OY TR		SDCI
Total return	(14.65)	%	(51.15)	%	103.09	%	283.13	%
Average annualized return (total)	(0.55)	%	(1.05)	%	3.81	%	6.19	%
Annualized volatility	16.05	%	23.17	%	18.76	%	15.16	%
Annualized Sharpe ratio	(0.16)		(0.13)		0.09		0.27


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


		Contract
Copper Futures Contract	Expiration Date	Price
Nearest-to-maturity	November-10	374.70

Third nearest-to-maturity	January-11	365.20


		Annualized
		Percentage
		Price
Eligible Copper Futures Contracts	Price	Difference		Ranking
January-11	365.20	10.47	%	1

February-11	363.00	10.15	%	4

March-11	359.70	10.36	%	3

April-11	356.70	10.41	%	2


	Hypothetical and Historical Results for the period
	from December 31, 1997 through March 31, 2020
	BCOM		Spot Copper
	HG TR		(less storage)		SCI TR
Total return	205.98	%	51.55	%	361.86	%
Average annualized return (total)	9.21	%	5.64	%	11.57	%
Annualized volatility	25.95	%	25.03	%	25.41	%
Annualized Sharpe ratio	0.28		0.15		0.37


	Total
	Number of
	Shares	Average Price Per
Period	Redeemed	Share
1/1/20 to 1/31/20	150,000	$	35.74
2/1/20 to 2/28/20	250,000	$	33.09
3/1/20 to 3/31/20	300,000	$	27.58
Total	700,000


Exhibit Number		Description of Document
31.1*		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*		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*		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. - The instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL 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.


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)