United States Commodity Index Funds Trust 10-Q for FY2021 Q1

United States Commodity Index Funds Trust (USCI)

10-Q 2021-05-07 For: 2021-03-31

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on May 7, 2021, covering the quarter ended March 31, 2021 (FY2021 Q1).

Headline figures

Quarter ended March 31, 2021, as reported in this filing, compared with the same period a year earlier where the filing states it.

Net income: $23.45M; compared with a net loss of $55.12M 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, 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
		April 26, 2021
United States Commodity Index Fund		4,900,000
United States Copper Index Fund		8,600,000
Total		13,500,000

	Page
Part I. FINANCIAL INFORMATION

Item I. 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.	75

Item 4. Controls and Procedures.	76

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	77

Item 1A. Risk Factors.	79

Items 2. Unregistered Sales of Equity Securities and Use of Proceeds.	79

Item 3. Defaults Upon Senior Securities.	79

Item 4. Mine Safety Disclosures.	79

Item 5. Other Information.	80

Item 6. Exhibits.	81


Documents		Page

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

Condensed Schedule of Investments (Unaudited) at March 31, 2021		5-6

Condensed Statements of Operations (Unaudited) for the three months ended March 31, 2021 and 2020		8-11

Condensed Statements of Changes in Capital (Unaudited) for the three months ended March 31, 2021 and 2020		12-15

Condensed Statements of Cash Flows (Unaudited) for the three months ended March 31, 2021 and 2020		16-19

Notes to (Unaudited) Condensed Financial Statements for the period ended March 31, 2021		20


	March 31, 2021		December 31, 2020
Assets
Cash and cash equivalents (at cost $162,754,688 and $103,318,538, respectively) (Notes 2 and 6)	$	162,754,688	$	103,318,538
Equity in trading accounts:
Cash and cash equivalents (at cost $7,881,318 and $554,470, respectively)		7,881,318		554,470
Unrealized gain (loss) on open commodity futures contracts		7,306,480		7,293,344
Dividends receivable		3,275		2,379
Interest receivable		25		—
Prepaid insurance^*		31,969		5,212
Prepaid registration fees		36,446		—
ETF transaction fees receivable		350		—

Total Assets	$	178,014,551	$	111,173,943

Liabilities and Capital
Payable for shares redeemed	$	3,507,298	$	—
Management fees payable (Note 4)		120,120		72,934
Professional fees payable		140,909		312,461
Brokerage commissions payable		3,955		3,955
Directors' fees payable^*		2,257		1,525

Total Liabilities		3,774,539		390,875

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		174,240,012		110,783,068
Total Capital		174,240,012		110,783,068

Total Liabilities and Capital	$	178,014,551	$	111,173,943

Shares outstanding		4,900,000		3,400,000
Net asset value per share	$	35.56	$	32.58
Market value per share	$	35.65	$	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
CBOT Soybean Meal Futures SM May 2021 contracts, expiring May 2021	$	414,287	10	$	8,913	0.01
CME Lean Hogs Futures LH June 2021 contracts, expiring June 2021		12,495,026	296		(27,506)	(0.02)
COMEX Gold 100 OZ Futures GC June 2021 contracts, expiring June 2021		12,764,940	72		(412,620)	(0.24)
ICE Sugar # 11 Futures SB July 2021 contracts, expiring June 2021		12,373,618	743		(82,614)	(0.05)
CBOT Soybean Oil Futures BO July 2021 contracts, expiring July 2021		9,916,784	418		2,813,824	1.62
CBOT Corn Futures C July 2021 contracts, expiring July 2021		12,617,363	467		166,762	0.10
CBOT Wheat Futures W July 2021 contracts, expiring July 2021		12,492,863	410		130,012	0.07
COMEX Copper Futures HG July 2021 contracts, expiring July 2021		10,139,275	123		2,162,262	1.24
NYMEX Platinum Futures PL July 2021 contracts, expiring July 2021		13,012,845	212		(382,945)	(0.22)
COMEX Silver Futures SI July 2021 contracts, expiring July 2021		12,220,146	99		(57,006)	(0.03)
CBOT Soybean Futures S August 2021 contracts, expiring August 2021		9,340,150	140		356,600	0.20
NYMEX RBOB Gasoline Futures RB September 2021 contracts, expiring August 2021		12,545,580	157		(119,847)	(0.07)
NYMEX WTI Crude Oil Futures CL December 2021 contracts, expiring November 2021		10,969,570	214		1,196,330	0.69
United Kingdom Contracts
ICE Brent Crude Oil Futures CO December 2021 contracts, expiring October 2021		11,043,000	203		1,181,660	0.68
Foreign Contracts
LME Tin Futures LT April 2021 contracts, expiring April 2021*		13,063,275	96		154,965	0.09
LME Tin Futures LT May 2021 contracts, expiring May 2021*		12,417,115	93		(7,195)	(0.01)
LME Tin Futures LT June 2021 contracts, expiring June 2021*		7,499,520	84		3,415,440	1.96
LME Zinc Futures LX July 2021 contracts, expiring July 2021*		7,747,579	111		82,778	0.05
Open Commodity Futures Contracts – Short^**
Foreign Contracts
LME Tin Futures LT April 2021 contracts, expiring April 2021*		(13,145,400)	96		(72,840)	(0.04)
LME Tin Futures LT June 2021 contracts, expiring June 2021*		(7,833,693)	84		(3,081,268)	(1.77)
LME Zinc Futures LX July 2021 contracts, expiring July 2021*		(7,711,131)	111		(119,225)	(0.07)
Total Open Futures Contracts^*	$	164,382,712	4,239	$	7,306,480	4.19


	Shares/Principal				% of Partners'
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
0.04%, 5/06/2021	$	20,000,000	$	19,999,231	11.48
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.01%^#		915,000		915,000	0.53
Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.04%^#		135,326,263		135,326,263	77.66
RBC U.S. Government Money Market Fund - Institutional Shares, 0.03%^#		6,510,614		6,510,614	3.74
Total United States Money Market Funds				142,751,877	81.93
Total Cash Equivalents			$	162,751,108	93.41


	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	12,790,220	$	(44,966,526)
Change in unrealized gain (loss) on open commodity futures contracts		13,136		(8,497,099)
Realized gain (loss) on short-term investments		—		17,668
Dividend income		6,390		55,469
Interest income^*		1,298		589,227
ETF transaction fees		5,600		4,550
Total Income (Loss)	$	12,816,644	$	(52,796,711)

Expenses
Management fees (Note 4)	$	308,498	$	322,162
Professional fees		44,874		41,025
Brokerage commissions		37,372		55,155
Directors’ fees and insurance		8,002		26,354
Registration fees		3,146		—
Total Expenses	$	401,892	$	444,696
Net Income (Loss)	$	12,414,752	$	(53,241,407)
Net Income (Loss) per share	$	2.98	$	(10.75)
Net Income (Loss) per weighted average share	$	2.77	$	(10.66)
Weighted average shares outstanding		4,476,111		4,992,308


	Three months ended		Three months ended
	March 31, 2021†		March 31, 2020†
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	—	$	—
Change in unrealized gain (loss) on open commodity futures contracts		—		—
Dividend income		—		—
Interest income^*		—		—
ETF transaction fees		—		—
Total Income (Loss)	$	—	$	—

Expenses
Management fees (Note 4)	$	—	$	—
Professional fees		—		—
Brokerage commissions		—		—
Directors’ fees and insurance		—		—
Total Expenses		—		—
Net Income (Loss)	$	—	$	—
Net Income (Loss) per share	$	—	$	—
Net Income (Loss) per weighted average share	$	—	$	—
Weighted average shares outstanding		—		—


	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Income
Realized gain (loss) on closed commodity futures contracts	$	23,358,545	$	(45,109,589)
Change in unrealized gain (loss) on open commodity futures contracts		719,297		(10,248,587)
Realized gain (loss) on short-term investments		—		17,668
Dividend income		12,167		58,027
Interest income^*		2,632		617,334
ETF transaction fees		17,500		5,950
Total Income (Loss)	$	24,110,141	$	(54,659,197)

Expenses
Management fees (Note 4)	$	517,550	$	335,246
Professional fees		99,772		47,257
Brokerage commissions		46,359		55,793
Directors' fees and insurance		15,821		26,908
Registration fees		14,024		—
Total Expenses		693,526		465,204
Expense waiver (Note 4)		(34,339)		(4,405)
Net Expenses	$	659,187	$	460,799
Net Income (Loss)	$	23,450,954	$	(55,119,996)


	Shareholders^*
	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Balances at beginning of period	$	110,783,068	$	189,895,482
Addition of 1,950,000 and 150,000 shares, respectively		67,260,620		5,422,162
Redemption of (450,000) and (700,000) shares, respectively		(16,218,428)		(21,907,270)
Net income (loss)		12,414,752		(53,241,407)

Balances at end of period	$	174,240,012	$	120,168,967


	Sponsor^*
	Three months ended		Three months ended
	March 31, 2021**		March 31, 2020**
Balances at beginning of period	$	—	$	1,000
Addition of – and – shares, respectively		—		—
Redemption of – and – shares, respectively		—		—
Net income (loss)		—		—


Balances at end of period	$	—	$	1,000


	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Cash Flows from Operating Activities:
Net income (loss)	$	12,414,752	$	(53,241,407)
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		(13,136)		8,497,099
(Increase) decrease in dividends receivable		(896)		20,025
(Increase) decrease in interest receivable		(25)		—
(Increase) decrease in prepaid insurance^*		(26,757)		(1,446)
(Increase) decrease in prepaid registration fees		(36,446)		—
(Increase) decrease in ETF transaction fees receivable		(350)		350
Increase (decrease) in Management fees payable		47,186		(51,992)
Increase (decrease) in professional fees payable		(171,552)		(279,736)
Increase (decrease) in brokerage commissions payable		—		(19,350)
Increase (decrease) in directors’ fees payable^*		732		(3,038)
Net cash provided by (used in) operating activities		12,213,508		(45,079,495)

Cash Flows from Financing Activities:
Addition of shares		67,260,620		5,422,162
Redemption of shares		(12,711,130)		(23,750,970)
Net cash provided by (used in) financing activities		54,549,490		(18,328,808)

Net Increase (Decrease) in Cash and Cash Equivalents		66,762,998		(63,408,303)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		103,873,008		190,313,994
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	170,636,006	$	126,905,691

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	162,754,688	$	103,036,108
Equity in Trading Accounts:
Cash and cash equivalents		7,881,318		23,869,583
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	170,636,006	$	126,905,691


	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Cash Flows from Operating Activities:
Net income (loss)	$	11,036,202	$	(1,878,589)
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		(706,161)		1,751,488
(Increase) decrease in receivable from Sponsor		23,863		(4,404)
(Increase) decrease in dividends receivable		(2,445)		628
(Increase) decrease in interest receivable		(51)		125
(Increase) decrease in prepaid professional fees		(4)		—
(Increase) decrease in prepaid insurance^*		(32,370)		(670)
(Increase) decrease in prepaid registration fees		(130,951)		—
Increase (decrease) in payable due to Broker		(1,428,240)		(429,967)
Increase (decrease) in Management fees payable		76,057		249
Increase (decrease) in professional fees payable		(7,881)		(38,587)
Increase (decrease) in directors' fees payable^*		1,715		(17)
Net cash provided by (used in) operating activities		8,829,734		(599,744)

Cash Flows from Financing Activities:
Addition of shares		133,139,929		3,236,417
Redemption of shares		(19,637,383)		—
Net cash provided by (used in) financing activities		113,502,546		3,236,417

Net Increase (Decrease) in Cash and Cash Equivalents		122,332,280		2,636,673

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		62,333,565		7,098,904
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	184,665,845	$	9,735,577

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	177,231,747	$	7,291,015
Equity in Trading Accounts:
Cash and cash equivalents		7,434,098		2,444,562
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	184,665,845	$	9,735,577


	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Cash Flows from Operating Activities:
Net income (loss)	$	23,450,954	$	(55,119,996)
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		(719,297)		10,248,587
(Increase) decrease in receivable from sponsor		23,863		(4,404)
(Increase) decrease in dividends receivable		(3,341)		20,653
(Increase) decrease in interest receivable		(76)		125
(Increase) decrease in prepaid professional fees		(4)		—
(Increase) decrease in prepaid insurance^*		(59,127)		(2,116)
(Increase) decrease in prepaid registration fees		(167,397)		—
(Increase) decrease in ETF transaction fees receivable		(350)		350
Increase (decrease) in payable due to Broker		(1,428,240)		(429,967)
Increase (decrease) in Management fees payable		123,243		(51,743)
Increase (decrease) in professional fees payable		(179,433)		(318,323)
Increase (decrease) in brokerage commissions payable		—		(19,350)
Increase (decrease) in directors’ fees payable^*		2,447		(3,055)
Net cash provided by (used in) operating activities		21,043,242		(45,679,239)

Cash Flows from Financing Activities:
Addition of shares		200,400,549		8,658,579
Redemption of shares		(32,348,513)		(23,750,970)
Net cash provided by (used in) financing activities		168,052,036		(15,092,391)

Net Increase (Decrease) in Cash and Cash Equivalents		189,095,278		(60,771,630)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		166,206,573		197,413,898
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	355,301,851	$	136,642,268

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	339,986,435	$	110,328,123
Equity in Trading Accounts:
Cash and cash equivalents		15,315,416		26,314,145
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	355,301,851	$	136,642,268


	Three months ended			Three months ended
	March 31, 2021			March 31, 2020
Total commissions accrued to brokers	$	37,372		$	55,155
Total commissions as annualized percentage of average total net assets		0.10	%		0.14	%
Commissions accrued as a result of rebalancing	$	32,023		$	52,790
Percentage of commissions accrued as a result of rebalancing		85.69	%		95.71	%
Commissions accrued as a result of creation and redemption activity	$	5,349		$	2,365
Percentage of commissions accrued as a result of creation and redemption activity		14.31	%		4.29	%


	Shareholders*
	Three months ended		Three months ended
	March 31, 2021		March 31, 2020
Balances at beginning of period	$	175,946,772	$	196,911,859
Addition of 7,450,000 and 350,000 shares, respectively		200,400,549		8,658,579
Redemption of (1,250,000) and (700,000) shares, respectively		(35,855,811)		(21,907,270)
Net income (loss)		23,450,954		(55,119,996)

Balances at end of period	$	363,942,464	$	128,543,172


	Three months ended		Three months ended
	March 31, 2021*		March 31, 2020*
Cash Flows from Financing Activities:
Addition of shares		—		—
Redemption of shares		—		—
Net cash provided by (used in) financing activities		—		—

Net Increase (Decrease) in Cash and Cash Equivalents		—		—

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	$	—	$	1,000

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	—	$	1,000
Equity in Trading Accounts:
Cash and cash equivalents		—		—
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	—	$	1,000


At March 31, 2021	Total		Level I		Level II		Level III
Short-Term Investments	$	162,751,108	$	162,751,108	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		5,752,165		5,752,165		—		—
Foreign Contracts		1,554,315		1,554,315		—		—


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	March 31, 2021		2020
Futures - Commodity Contracts	Assets	$	7,306,480	$	7,293,344


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)(1)	9.44	%
S&P GSCI Commodity Index (GSCI®) Total Return(2)	13.55	%
Bloomberg Commodity Index Total Return(2)	6.92	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	13.17	%


SummerHaven Copper Index Total Return^SM(“SCI”)(1)	13.48	%
Bloomberg Copper Subindex Total Return(2)	13.53	%


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)	1,192.24	9.44	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through March 31, 2021
	BCOM TR		S&P GSCI		DB LCI OY		SDCI TR		SDCI TR
			TR		TR		Actual		Hypothetical
Total return	15.26	%	(26.62)	%	184.88	%	429.84	%	497.00	%
Average annualized return (total)	3.35	%	4.48	%	9.15	%	10.42	%	15.58	%
Annualized volatility	15.97	%	23.38	%	18.86	%	15.17	%	25.61	%
Annualized Sharpe ratio	0.01		(0.01)		0.23		0.45		0.53


	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 March 31, 2021
	BCOM		Spot Copper		SCI TR		SCI TR
	HG TR		(less storage)		Actual		Hypothetical
Total return	437.75	%	161.10	%	714.67	%	497.00	%
Average annualized return (total)	15.04	%	11.32	%	17.31	%	15.58	%
Annualized volatility	25.84	%	25.02	%	25.30	%	25.61	%
Annualized Sharpe ratio	0.51		0.38		0.60		0.53


	Total
	Number of
	Shares	Average Price Per
Period	Redeemed	Share
1/1/21 to 1/31/21	100,000	$	33.60
2/1/21 to 2/28/21	250,000	$	37.40
3/1/21 to 3/31/21	100,000	$	35.07
Total	450,000


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)