United States Commodity Index Funds Trust 10-Q for FY2021 Q3

United States Commodity Index Funds Trust (USCI)

10-Q 2021-11-05 For: 2021-09-30

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on November 5, 2021, covering the quarter ended September 30, 2021 (FY2021 Q3).

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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 October 20, 2021
United States Commodity Index Fund		5,900,000
United States Copper Index Fund		9,000,000
Total		14,900,000


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.	35

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	78

Item 4. Controls and Procedures.	79

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	80

Item 1A. Risk Factors.	82

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.	82

Item 3. Defaults Upon Senior Securities.	82

Item 4. Mine Safety Disclosures.	82

Item 5. Other Information.	83

Item 6. Exhibits.	84


Documents		Page

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

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

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

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

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

Notes to Condensed Financial Statements (Unaudited) for the period ended September 30, 2021		20-34


	September 30, 2021		December 31, 2020
Assets
Cash and cash equivalents (at cost $218,105,747 and $103,318,538, respectively) (Notes 2 and 6)	$	218,105,747	$	103,318,538
Equity in trading accounts:
Cash and cash equivalents (at cost $11,711,481 and $554,470, respectively)		11,711,481		554,470
Unrealized gain (loss) on open commodity futures contracts		5,966,412		7,293,344
Dividends receivable		4,544		2,379
Interest receivable		6		—
Prepaid insurance^*		15,535		5,212
Prepaid registration fees		16,596		—

Total Assets	$	235,820,321	$	111,173,943

Liabilities and Capital
Management fees payable (Note 4)	$	152,976	$	72,934
Professional fees payable		158,686		312,461
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		4,250		1,525

Total Liabilities		319,867		390,875

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		235,500,454		110,783,068
Total Capital		235,500,454		110,783,068

Total Liabilities and Capital	$	235,820,321	$	111,173,943

Shares outstanding		5,750,000		3,400,000
Net asset value per share	$	40.96	$	32.58
Market value per share	$	40.89	$	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
NYMEX WTI Crude Oil Futures CL December 2021 contracts, expiring November 2021	$	12,525,260	225	$	4,282,241	1.82
NYMEX RBOB Gasoline Futures RB December 2021 contracts, expiring November 2021		16,861,519	188		163,046	0.07
ICE Cotton Futures CT December 2021 contracts, expiring December 2021		15,500,853	344		2,696,747	1.14
CBOT Soybean Oil Futures BO December 2021 contracts, expiring December 2021		17,307,860	484		(264,284)	(0.11)
CME Lean Hogs Futures LH December 2021 contracts, expiring December 2021		17,286,553	517		374,167	0.16
COMEX Copper Futures HG December 2021 contracts, expiring December 2021		16,508,612	157		(459,287)	(0.20)
COMEX Silver Futures SI December 2021 contracts, expiring December 2021		16,520,501	149		(95,486)	(0.04)
NYMEX Platinum Futures PL January 2022 contracts, expiring January 2022		17,278,350	345		(676,950)	(0.29)
NYMEX NY Harbour ULSD Futures HO February 2022 contracts, expiring January 2022		15,566,889	177		1,570,712	0.67
United Kingdom Contracts
ICE Brent Crude Futures CO January 2022 contracts, expiring November 2021		16,833,699	217		(9,689)	0.00	†
ICE Low Sulphur Gasoil Futures QS February 2022 contracts, expiring February 2022		16,884,651	257		148,024	0.06
Foreign Contracts
LME Tin Futures LT October 2021 contracts, expiring October 2021^*		16,791,110	99		544,285	0.23
LME Tin Futures LT November 2021 contracts, expiring November 2021^*		16,836,735	94		(564,865)	(0.24)
LME Lead Futures LL December 2021 contracts, expiring December 2021^*		18,657,306	320		(1,889,306)	(0.80)
LME Nickel Futures LN February 2022 contracts, expiring February 2022^*		16,369,653	148		(452,697)	(0.19)
Open Commodity Futures Contracts - Short^**
Foreign Contracts
LME Tin Futures LT October 2021 contracts, expiring October 2021^*		(17,890,775)	99		555,380	0.23
LME Lead Futures LL December 2021 contracts, expiring December 2021^*		(515,974)	9		44,374	0.02
Total Open Futures Contracts*	$	229,322,802	3,829	$	5,966,412	2.53


	Shares/Principal				% of Partners'
	Amount		Market Value		Capital
Cash Equivalents
United States Money Market Funds
Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.03%^#		143,561,263	$	143,561,263	60.96
RBC U.S. Government Money Market Fund - Institutional Shares, 0.03%^#		74,540,614		74,540,614	31.65
Total United States Money Market Funds			$	218,101,877	92.61


	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	7,864,276	$	11,808,620	$	42,739,282	$	(40,973,466)
Change in unrealized gain (loss) on open commodity futures contracts		(4,448,960)		3,723,138		(1,326,932)		3,342,751
Realized gain (loss) on short-term investments		—		—		—		2,279,102
Dividend income		14,099		22,575		32,874		96,177
Interest income^*		40		44,209		2,130		944,811
ETF transaction fees		1,400		2,450		10,500		8,050
Total Income (Loss)	$	3,430,855	$	15,600,992	$	41,457,854	$	(34,302,575)

Expenses
Management fees (Note 4)	$	475,583	$	250,265	$	1,185,264	$	819,733
Professional fees		46,921		54,226		166,478		168,185
Brokerage commissions		43,611		31,187		111,271		107,561
Directors’ fees and insurance		12,659		7,287		32,207		41,006
Registration fees		9,979		—		22,996		—
Total Expenses	$	588,753	$	342,965	$	1,518,216	$	1,136,485
Net Income (Loss)	$	2,842,102	$	15,258,027	$	39,939,638	$	(35,439,060)
Net Income (Loss) per share	$	0.50	$	3.09	$	8.38	$	(7.14)
Net Income (Loss) per weighted average share	$	0.48	$	3.56	$	7.73	$	(7.58)
Weighted average shares outstanding		5,872,283		4,288,587		5,167,399		4,674,818


	Shareholders*
	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Balances at beginning of period	$	234,673,948	$	126,548,740	$	110,783,068	$	189,895,482
Addition of 150,000, 300,000, 3,000,000 and 650,000 shares, respectively		6,003,054		8,105,031		109,014,826		18,654,333
Redemption of (200,000), (1,450,000), (650,000) and (2,200,000) shares, respectively		(8,018,650)		(42,883,678)		(24,237,078)		(66,082,635)
Net income (loss)		2,842,102		15,258,027		39,939,638		(35,439,060)

Balances at end of period	$	235,500,454	$	107,028,120	$	235,500,454	$	107,028,120


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

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


	Shareholders^*
	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Balances at beginning of period	$	541,042,025	$	141,842,712	$	175,946,772	$	196,911,859
Addition of 1,200,000, 1,500,000, 15,250,000 and 2,400,000 shares, respectively		34,899,928		29,714,464		430,325,884		48,892,034
Redemption of (3,400,000), (2,050,000), (6,400,000) and (2,850,000) shares, respectively		(91,082,282)		(53,922,052)		(174,947,060)		(77,816,761)
Net income (loss)		(11,587,373)		17,544,478		41,946,702		(32,807,530)

Balances at end of period	$	473,272,298	$	135,179,602	$	473,272,298	$	135,179,602


	Nine months ended		Nine months ended
	September 30, 2021*		September 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	$	—	$	—


At September 30, 2021	Total		Level I		Level II		Level III
Short-Term Investments	$	218,101,877	$	218,101,877	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		7,590,906		7,590,906		—		—
Foreign Contracts		(1,624,494)		(1,624,494)		—		—


	Nine months ended			Nine months ended
	September 30, 2021			September 30, 2020
Total commissions accrued to brokers	$	111,271		$	107,561
Total commissions as annualized percentage of average total net assets		0.08	%		0.10	%
Commissions accrued as a result of rebalancing	$	102,934		$	100,415
Percentage of commissions accrued as a result of rebalancing		92.51	%		93.36	%
Commissions accrued as a result of creation and redemption activity	$	8,337		$	7,146
Percentage of commissions accrued as a result of creation and redemption activity		7.49	%		6.64	%


	Nine months ended			Nine months ended
	September 30, 2021			September 30, 2020
Total commissions accrued to brokers	$	49,032		$	4,240
Total commissions as annualized percentage of average total net assets		0.03	%		0.04	%
Commissions accrued as a result of rebalancing	$	34,287		$	2,814
Percentage of commissions accrued as a result of rebalancing		69.93	%		66.37	%
Commissions accrued as a result of creation and redemption activity	$	14,745		$	1,426
Percentage of commissions accrued as a result of creation and redemption activity		30.07	%		33.63	%


	Three months ended			Three months ended			Nine months ended			Nine months ended
	September 30, 2021			September 30, 2020			September 30, 2021			September 30, 2020
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Per Share Operating Performance:
Net asset value, beginning of period	$	26.30		$	16.99		$	21.72		$	17.54
Total income (loss)		(1.21)			1.82			3.48			1.33
Total expenses		(0.06)			(0.04)			(0.17)			(0.10)
Net increase (decrease) in net asset value		(1.27)			1.78			3.31			1.23
Net asset value, end of period	$	25.03		$	18.77		$	25.03		$	18.77

Total Return		(4.83)	%		10.48	%		15.24	%		7.01	%

Ratios to Average Net Assets
Total income (loss)		(4.85)	%		9.26	%		1.49	%		18.61	%
Management fees^#		0.65	%		0.65	%		0.65	%		0.65	%
Total expenses excluding management fees^#		0.22	%		0.40	%		0.24	%		0.51	%
Expense waived^#†		—	%		(0.25)	%		(0.04)	%		(0.36)	%
Net expense excluding management fees^#†		0.22	%		0.15	%		0.20	%		0.15	%
Net income (loss)		(5.07)	%		9.06	%		0.86	%		18.01	%


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	September 30, 2021		2020
Futures - Commodity Contracts	Assets	$	5,966,412	$	7,293,344


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)(1)	26.74	%
S&P GSCI Commodity Index (GSCI®) Total Return(2)	38.27	%
Bloomberg Commodity Index Total Return(2)	29.13	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	38.47	%


SummerHaven Copper Index Total Return^SM(“SCI”)(1)	16.02	%
Bloomberg Copper Subindex Total Return(2)	16.08	%


	Three months			Three months
	ended			ended
	September 30, 2021			September 30, 2020
Average daily total net assets	$	235,853,112		$	124,452,296
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	14,139		$	66,784
Annualized yield based on average daily total net assets		0.02	%		0.21	%
Management fee	$	475,583		$	250,265
Total fees and other expenses excluding management fees	$	113,170		$	92,700
Fees and expenses related to the registration or offering of additional shares	$	9,979		$	—
Total commissions accrued to brokers	$	43,611		$	31,187
Total commissions as annualized percentage of average total net assets		0.07	%		0.10	%
Commissions accrued as a result of rebalancing	$	42,287		$	26,890
Percentage of commissions accrued as a result of rebalancing		96.96	%		86.22	%
Commissions accrued as a result of creation and redemption activity	$	1,324		$	4,297
Percentage of commissions accrued as a result of creation and redemption activity		3.04	%		13.78	%


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)	1,380.74	26.74	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through September 30, 2021
	BCOM TR		S&P GSCI		DB LCI OY		SDCI TR		SDCI TR
			TR		TR		Actual		Hypothetical
Total return	39.20	%	(10.65)	%	256.06	%	513.61	%	871.81	%
Average annualized return (total)	3.76	%	3.97	%	8.75	%	10.16	%	12.26	%
Annualized volatility	15.94	%	23.25	%	18.82	%	15.17	%	15.40	%
Annualized Sharpe ratio	0.12		0.09		0.36		0.53		0.66


	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 September 30, 2021
	BCOM		Spot Copper		SCI TR		SCI TR
	HG TR		(less storage)		Actual		Hypothetical
Total return	449.85	%	163.77	%	732.89	%	510.63	%
Average annualized return (total)	13.20	%	9.59	%	15.48	%	13.75	%
Annualized volatility	25.81	%	25.00	%	25.29	%	25.93	%
Annualized Sharpe ratio	0.43		0.31		0.53		0.46


	Total
	Number of
	Shares		Average Price Per
Period	Redeemed		Share
7/1/21 to 7/31/21	—	$	—
8/1/21 to 8/31/21	100,000	$	40.39
9/1/21 to 9/30/21	100,000	$	39.80
Total	200,000

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)