United States Commodity Index Funds Trust 10-Q for FY2024 Q3

United States Commodity Index Funds Trust (USCI)

10-Q 2024-11-08 For: 2024-09-30

Added on April 12, 2026

About this 10-Q

United States Commodity Index Funds Trust filed this 10-Q on November 8, 2024, covering the quarter ended September 30, 2024 (FY2024 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 28, 2024
United States Commodity Index Fund		2,900,000
United States Copper Index Fund		6,450,000
Total		9,350,000


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.	73

Item 4. Controls and Procedures.	74

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	75

Item 1A. Risk Factors.	78

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.	78

Item 3. Defaults Upon Senior Securities.	79

Item 4. Mine Safety Disclosures.	79

Item 5. Other Information.	79

Item 6. Exhibits.	80


Documents		Page

Condensed Statements of Financial Condition at September 30, 2024 (Unaudited) and December 31, 2023		2-4

Condensed Schedules of Investments (Unaudited) September 30, 2024 and December 31, 2023		5-10

Condensed Statements of Operations (Unaudited) for the three and nine months ended September 30, 2024 and 2023		11-13

Condensed Statements of Changes in Capital (Unaudited) for the three and nine months ended September 30, 2024 and 2023		14-16

Condensed Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2024 and 2023		17-19

Notes to Condensed Financial Statements (Unaudited) for the period ended September 30, 2024		20-33


	September 30, 2024		December 31, 2023
Assets
Cash and cash equivalents (at cost $168,639,626 and $159,067,804, respectively) (Notes 2 and 6)	$	168,639,626	$	159,067,804
Equity in trading accounts:
Cash and cash equivalents (at cost $7,322,772 and $13,041,505, respectively)		7,322,772		13,041,505
Unrealized gain (loss) on open commodity futures contracts		4,750,528		(3,305,080)
Dividends receivable		249,133		268,784
Interest receivable		261,585		333,401
Prepaid insurance		13,685		14,764

Total Assets	$	181,237,329	$	169,421,178

Liabilities and Capital
Management fees payable (Note 4)	$	115,473	$	121,486
Professional fees payable		205,955		264,875
Brokerage commissions payable		3,955		3,955
Directors’ fees payable		5,131		4,294

Total Liabilities		330,514		394,610

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		180,906,815		169,026,568
Total Capital		180,906,815		169,026,568

Total Liabilities and Capital	$	181,237,329	$	169,421,178

Shares outstanding		2,900,000		3,000,000
Net asset value per share	$	62.38	$	56.34
Market value per share	$	62.41	$	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 WTI Crude Oil Futures CL December 2024 contracts, expiring November 2024	$	12,770,780	188	$	(30,020)	(0.02)
CME Live Cattle Futures LC November 2024 contracts, expiring November 2024		13,102,038	107		112	0.00	^†
NYMEX RBOB Gasoline Futures RB December 2024 contracts, expiring November 2024		12,790,827	159		(61,223)	(0.03)
CBOT Soybean Meal Futures SM December 2024 contracts, expiring December 2024		12,189,978	491		569,148	0.32
ICE Cocoa Futures CC December 2024 contracts, expiring December 2024		11,387,010	164		1,277,070	0.71
CME Lean Hogs Futures LH December 2024 contracts, expiring December 2024		12,824,272	434		(103,732)	(0.06)
ICE Coffee Futures KC December 2024 contracts, expiring December 2024		11,081,662	129		1,991,681	1.10
COMEX Copper Futures HG December 2024 contracts, expiring December 2024		12,060,025	116		1,143,675	0.63
COMEX Silver Futures SI December 2024 contracts, expiring December 2024		12,925,005	81		(184,515)	(0.10)
ICE Sugar #11 Futures SB May 2025 contracts, expiring April 2025		12,822,764	535		(209,604)	(0.12)
United Kingdom Contracts
LME Tin Futures LT October 2024 contracts, expiring October 2024		12,765,981	78		299,405	0.17
LME Aluminum Futures LA November 2024 contracts, expiring November 2024		13,335,901	206		62,391	0.03
LME Tin Futures LT November 2024 contracts, expiring November 2024		13,273,924	81		313,417	0.17
ICE Brent Crude Futures CO January 2025 contracts, expiring November 2024		12,798,330	179		(6,990)	0.00	^†
ICE Low Sulphur Gasoil Futures QS December 2024 contracts, expiring December 2024		12,799,725	195		2,025	0.00	^†
Open Commodity Futures Contracts - Short^**
United Kingdom Contracts
LME Tin Futures LT October 2024 contracts, expiring October 2024		(12,753,074)	78		(312,312)	(0.17)
Total Open Futures Contracts^*	$	176,175,148	3,221	$	4,750,528	2.63


	Shares/Principal				% of Partners’
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
5.30%, 10/01/2024	$	2,000,000	$	2,000,000	1.11
5.25%, 10/08/2024		5,000,000		4,994,988	2.76
5.28%, 10/10/2024		2,000,000		1,997,390	1.10
5.20%, 10/15/2024		6,000,000		5,988,088	3.31
5.22%, 10/17/2024		3,000,000		2,993,207	1.65
5.21%, 10/22/2024		5,000,000		4,985,096	2.76
5.17%, 10/29/2024		3,000,000		2,988,170	1.65
4.55%, 11/05/2024		3,000,000		2,986,423	1.65
5.14%, 11/07/2024		4,000,000		3,979,116	2.20
5.11%, 11/14/2024		5,000,000		4,969,108	2.75
5.06%, 11/21/2024		11,000,000		10,922,097	6.04
5.01%, 11/29/2024		2,000,000		1,983,775	1.10
4.51%, 12/19/2024		6,000,000		5,939,960	3.28
Total United States Treasury Obligations				56,727,418	31.36

United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 4.88%^#		39,000,000		39,000,000	21.56
Fidelity Institutional Money Market Government - Institutional Shares, 4.83%^#		20,500,000		20,500,000	11.33
Total United States Money Market Funds				59,500,000	32.89
Total Cash Equivalents			$	116,227,418	64.25


	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2024		September 30, 2023		September 30, 2024		September 30, 2023
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	(9,042,254)	$	8,417,220	$	3,444,615	$	7,777,971
Change in unrealized gain (loss) on open commodity futures contracts		7,394,347		6,751,378		8,055,608		(7,579,973)
Dividend income		793,261		1,048,398		2,438,715		4,403,562
Interest income		1,519,167		1,341,553		4,354,531		2,784,259
ETF transaction fees		350		1,750		3,850		9,450
Total Income (Loss)	$	664,871	$	17,560,299	$	18,297,319	$	7,395,269

Expenses
Management fees (Note 4)	$	356,348	$	367,141	$	1,040,352	$	1,192,848
Professional fees		120,664		88,513		320,691		268,799
Brokerage commissions		37,263		42,085		98,682		124,984
Directors’ fees and insurance		13,541		19,476		45,884		54,933
Total Expenses	$	527,816	$	517,215	$	1,505,609	$	1,641,564
Net Income (Loss)	$	137,055	$	17,043,084	$	16,791,710	$	5,753,705
Net Income (Loss) per share	$	0.04	$	5.48	$	6.04	$	2.89
Net Income (Loss) per weighted average share	$	0.05	$	5.43	$	5.85	$	1.60
Weighted average shares outstanding		2,900,543		3,140,761		2,872,080		3,586,813


	Shareholders*
	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2024		September 30, 2023		September 30, 2024		September 30, 2023
Balances at beginning of period	$	183,890,139	$	166,298,582	$	169,026,568	$	255,837,514
Addition of –, 300,000, 250,000 and 450,000 shares, respectively		—		17,592,310		15,609,139		25,739,124
Redemption of (50,000), (100,000), (350,000) and (1,700,000) shares, respectively		(3,120,379)		(5,836,204)		(20,520,602)		(92,232,571)
Net income (loss)		137,055		17,043,084		16,791,710		5,753,705

Balances at end of period	$	180,906,815	$	195,097,772	$	180,906,815	$	195,097,772


	Shareholders^*
	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2024		September 30, 2023		September 30, 2024		September 30, 2023
Balances at beginning of period	$	400,878,300	$	297,136,016	$	300,379,910	$	425,373,889
Addition of 300,000, 1,250,000, 4,000,000 and 2,800,000 shares, respectively		8,433,602		40,152,663		117,952,723		83,393,074
Redemption of (2,050,000), (800,000), (3,300,000) and (5,500,000) shares, respectively		(55,644,606)		(22,079,518)		(96,845,715)		(184,921,174)
Net income (loss)		4,568,477		16,232,396		36,748,855		7,595,768

Balances at end of period	$	358,235,773	$	331,441,557	$	358,235,773	$	331,441,557


	Nine months ended		Nine months ended
	September 30,2024		September 30, 2023
Cash Flows from Operating Activities:
Net income (loss)	$	36,748,855	$	7,595,768
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		(10,044,112)		14,822,040
(Increase) decrease in dividends receivable		(30,698)		944,767
(Increase) decrease in interest receivable		130,705		(482,783)
(Increase) decrease in prepaid professional fees		9,610		5,158
(Increase) decrease in prepaid insurance		(4,354)		(23,609)
(Increase) decrease in ETF transaction fees receivable		(350)		—
Increase (decrease) in Management fees payable		9,598		(69,972)
Increase (decrease) in professional fees payable		11,451		(225,407)
Increase (decrease) in directors’ fees payable		(925)		(1,600)
Net cash provided by (used in) operating activities		26,829,780		22,564,362

Cash Flows from Financing Activities:
Addition of shares		116,534,087		83,393,074
Redemption of shares		(96,845,715)		(184,921,174)
Net cash provided by (used in) financing activities		19,688,372		(101,528,100)

Net Increase (Decrease) in Cash and Cash Equivalents		46,518,152		(78,963,738)

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	$	345,728,655	$	332,307,549

Components of Cash and Cash Equivalents, and Equity in Trading Account:
Cash and cash equivalents	$	336,122,847	$	311,640,266
Equity in Trading Accounts:
Cash and cash equivalents		9,605,808		20,667,283
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	345,728,655	$	332,307,549


At September 30, 2024	Total		Level I		Level II		Level III
Short-Term Investments	$	116,227,418	$	116,227,418	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		4,392,592		4,392,592		—		—
Foreign Contracts		357,936		357,936		—		—


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	September 30, 2024		December 31, 2023
Futures - Commodity Contracts	Unrealized gain (loss) on open commodity futures contracts	$	4,750,528	$	(3,305,080)


SummerHaven Dynamic Commodity Index Total Return^SM (“SDCI”)(1)	11.76	%
S&P GSCI Commodity Index (GSCI^®) Total Return(2)	5.23	%
Bloomberg Commodity Index Total Return(2)	5.86	%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM(2)	1.63	%


SummerHaven Copper Index Total Return^SM(“SCI”)(1)	18.66	%
Bloomberg Copper Subindex Total Return(2)	19.37	%


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
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)	2,195.21	11.76	%


	Hypothetical and Historical Results for the period
	from December 31, 1997 through September 30, 2024
			S&P GSCI		DB LCI OY		SDCI TR
	BCOM TR		TR		TR		Actual
Total return	54.02	%	21.52	%	329.83	%	871.65	%
Average annualized return (total)	3.40	%	4.38	%	8.00	%	10.74	%
Annualized volatility	15.81	%	22.77	%	18.57	%	15.22	%
Annualized Sharpe ratio	0.08		0.09		0.31		0.55


	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, 2024
	BCOM		Spot Copper		SCI TR
	HG TR		(less storage)		Actual
Total return	550.31	%	171.04	%	881.11	%
Average annualized return (total)	12.58	%	8.77	%	14.57	%
Annualized volatility	25.20	%	24.32	%	24.71	%
Annualized Sharpe ratio	0.41		0.27		0.50


	Total
	Number of
	Shares	Average Price Per
Period	Redeemed	Share
7/1/24 to 7/31/24	50,000	$	62.41
8/1/24 to 8/31/24	—	$	—
9/1/24 to 9/30/24	—	$	—
Total	50,000

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: November 8, 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