United States Commodity Index Funds Trust

Previous wording

Investors should be aware that USCI’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts or the prices of any particular group of futures contracts. USCI will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in USCI’s shares during the past year relative to a hypothetical direct investment in the various commodities and, in the future, it is likely that the relationship between the market price of USCI’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) As of June 30, 2024, USCI held 293 Futures Contracts on the NYMEX, held 997 Futures Contracts on the ICE Futures, held 619 Futures Contracts on the CBOT, held 557 Futures Contracts on the CME, held 240 Futures Contracts on the LME and held 176 Futures Contracts on the COMEX, totaling 2,882 futures contracts.

Current wording

Investors should be aware that USCI’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts or the prices of any particular group of futures contracts. USCI will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in USCI’s shares during the past year relative to a hypothetical direct investment in the various commodities and, in the future, it is likely that the relationship between the market price of USCI’s shares and changes in the spot prices of the underlying commodities will continue to be so impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) As of September 30, 2024, USCI held 347 Futures Contracts on the NYMEX, 1,202 Futures Contracts on the ICE Futures, 491 Futures Contracts on the CBOT, 541 any Futures Contracts on the CME, 443 Futures Contracts on the LME and 197 Futures Contracts on the COMEX, totaling 3,221 futures contracts.

Previous wording

Investors should be aware that CPER’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts or the prices of any particular group of futures contracts. CPER will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in CPER’s shares during the past year relative to a hypothetical direct investment in various commodities and, in the future, it is likely that the relationship between the market price of CPER’s shares and changes in the spot prices of the underlying commodities will continue to be impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) CPER’s shares began trading on November 15, 2011. As of June 30, 2024, CPER held 1,967 Futures Contracts on the COMEX.

Current wording

Investors should be aware that CPER’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts or the prices of any particular group of futures contracts. CPER will not seek to achieve its stated investment objective over a period of time greater than one day. This is because natural market forces called contango and backwardation have impacted the total return on an investment in CPER’s shares during the past year relative to a hypothetical direct investment in various commodities and, in the future, it is likely that the relationship between the market price of CPER’s shares and changes in the spot prices of the underlying commodities will continue to be impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing the commodities, which could be substantial.) CPER’s shares began trading on November 15, 2011. As of September 30, 2024, CPER held 1,555 Futures Contracts on the COMEX.

Previous wording

As of June 30, 2024, USCI held 293 Futures Contracts on the NYMEX, held 997 Futures Contracts on the ICE Futures, held 619 Futures Contracts on the CBOT, held 557 Futures Contracts on the CME, held 240 Futures Contracts on the LME and held 176 Futures Contracts on the COMEX, totaling 2,882 futures contracts. As of June 30, 2024, CPER held 1,967 Futures Contracts on the COMEX. For the six months ended June 30, 2024, no Trust Series exceeded accountability levels imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Current wording

As of September 30, 2024, USCI held 347 Futures Contracts on the NYMEX, held 1,202 Futures Contracts on the ICE Futures, held 491 Futures Contracts on the CBOT, held 541 Futures Contracts on the CME, held 443 Futures Contracts on the LME and held 197 Futures Contracts on the COMEX, totaling 3,221 futures contracts. As of September 30, 2024, CPER held 1,555 Futures Contracts on the COMEX. For the nine months ended September 30, 2024, no Trust Series exceeded accountability levels imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Previous wording

Position limits differ from accountability levels in that they represent fixed limits on the maximum number of futures contracts that any person may hold and cannot allow such limits to be exceeded without express CFTC authority to do so. In addition to accountability levels and position limits that may apply at any time, the Futures Exchanges may impose position limits on contracts held in the last few days of trading in the near month contract to expire. It is unlikely that a Trust Series will run up against such position limits. A Trust Series does not typically hold the near month contract in its Applicable Benchmark Component Futures Contracts. In addition, each Trust Series’ investment strategy is to close out its positions during each Rebalancing Period in advance of the period right before expiration and purchase new contracts. As such, none of the Trust Series anticipates that position limits that apply to the last few days prior to a contract’s expiration will impact it. For the six months ended June 30, 2024, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Current wording

Position limits differ from accountability levels in that they represent fixed limits on the maximum number of futures contracts that any person may hold and cannot allow such limits to be exceeded without express CFTC authority to do so. In addition to accountability levels and position limits that may apply at any time, the Futures Exchanges may impose position limits on contracts held in the last few days of trading in the near month contract to expire. It is unlikely that a Trust Series will run up against such position limits. A Trust Series does not typically hold the near month contract in its Applicable Benchmark Component Futures Contracts. In addition, each Trust Series’ investment strategy is to close out its positions during each Rebalancing Period in advance of the period right before expiration and purchase new contracts. As such, none of the Trust Series anticipates that position limits that apply to the last few days prior to a contract’s expiration will impact it. For the nine months ended September 30, 2024, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, LME or ICE Futures.

Previous wording

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited a strong upward trend during the six months ended June 30, 2024. The table below compares the total returns of the SDCI to the three major diversified commodity indexes over this time period.

Current wording

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited a strong upward trend during the nine months ended September 30, 2024. The table below compares the total returns of the SDCI to the three major diversified commodity indexes over this time period.

Previous wording

The value of the SDCI as of December 31, 2023 was $1,964.25. As of June 30, 2024, the value of the SDCI was $2,186.40, up approximately 11.31% over the six months ended June 30, 2024.

Current wording

The value of the SDCI as of December 31, 2023 was $1,964.25. As of September 30, 2024, the value of the SDCI was $2,195.21, up approximately 11.76% over the nine months ended September 30, 2024.

Previous wording

Of the 27 components of SummerHaven Dynamic Commodity Index (SDCI), fifteen had positive returns for the second quarter of 2024. Gasoline returned 31.3% in the first-quarter while natural gas declined by -19.62%. The best performing sector was livestock (up 10.97%) followed by softs (up 9.64%). Commodities broadly rallied from early 2020 to mid-2022 as inflation grew from 1.4% in 2020 to 9.1% in 2022. Inflation is a headwind for stocks and bonds and a tailwind for real assets such as commodities. Historically, commodities have been a hedge against inflation and positive inflation shocks. As inflation has declined since mid-2022, the Bloomberg Commodity Index Total Return (BCOMTR) also declined. However, USCI’s dynamic strategy led to outperformance verus the BCOMTR, rising from mid-2022 through early 2024 while BCOMTR was essentially flat. More recently, USCI’s NAV was up 10.65% for the six months ended June 30, 2024.

Current wording

Of the 27 components of SummerHaven Dynamic Commodity Index (SDCI), thirteen had positive returns for the third quarter of 2024. The best performing sector was Softs (up 8.7%) followed by Precious Metals(up 6.0%). Commodities broadly rallied from early 2020 to mid-2022 as inflation grew from 1.4% in 2020 to 9.1% in 2022. Inflation is a headwind for stocks and bonds and a tailwind for real assets such as commodities. Historically, commodities have been a hedge against inflation and positive inflation shocks. As inflation has declined since mid-2022, the Bloomberg Commodity Index Total Return (BCOMTR) also declined. However, USCI’s dynamic strategy led to outperformance verus the BCOMTR, rising from mid-2022 through early 2024 while BCOMTR was essentially flat. More recently, USCI’s NAV was up10.88% for the nine months ended September 30, 2024.

Previous wording

The return of approximately 11.31% on the SDCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. USCI’s per share NAV began the period at $56.34 and ended the period at $62.34 on June 30, 2024, an increase of approximately 10.65% over the period. See*“Tracking Each Trust Series’ Benchmark”* below for information about how expenses and income affect USCI’s per share NAV.

Current wording

The return of approximately 11.76% on the SDCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. USCI’s per share NAV began the period at $56.34 and ended the period at $62.38 on September 30, 2024, an increase of approximately 10.72% over the period. See “Tracking Each Trust Series’ Benchmark” below for information about how expenses and income affect USCI’s per share NAV.

Previous wording

As measured by the two major copper indexes, copper futures prices exhibited an upward trend during the six months ended June 30, 2024. The table below compares the total returns of the SCI to the Bloomberg Copper Subindex Total Return over this time period.

Current wording

As measured by the two major copper indexes, copper futures prices exhibited an upward trend during the nine months ended September 30, 2024. The table below compares the total returns of the SCI to the Bloomberg Copper Subindex Total Return over this time period.

Previous wording

The value of the SCI as of December 31, 2023 was $1,294.82. As of June 30, 2024, the value of the SCI was $1,473.85, up approximately 13.83% over the six months ended June 30, 2024.

Current wording

The value of the SCI as of December 31, 2023 was $1,294.82. As of September 30, 2024, the value of the SCI was $1,536.42, up approximately 18.66% over the nine months ended September 30, 2024.

Previous wording

The return of approximately 13.83% on the SCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. CPER’s per share NAV began the period at $24.10 and ended the period at $27.29 on June 30, 2024, an increase of approximately 13.24% over the period. See*“Tracking Each Trust Series’ Benchmark”* below for information about how expenses and income affect CPER’s per share NAV.

Current wording

The return of approximately 18.66% on the SCI listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. CPER’s per share NAV began the period at $24.10 and ended the period at $28.37 on September 30, 2024, an increase of approximately 17.72% over the period. See*“Tracking Each Trust Series’ Benchmark”* below for information about how expenses and income affect CPER’s per share NAV.

Previous wording

During the quarter ended June 30, 2024, the price of the front month copper futures contract traded in a range between $404.85 per pound and $510.60 per pound. Prices increased by 8.45% between March 30, 2024 to June 30, 2024 finishing the period at $439.05. Copper futures have declined from their peak in late May. despite growing supply constraints and forecasts for forthcoming copper shortages. With tight markets, increased demand from China and from new technologies, and a growing drumbeat of forecasts for a supply crunch, long-term copper demand is likely to remain robust and supply is also likely to remain constrained and slow to respond to demand increases.

Current wording

During the quarter ended September 30, 2024, the price of the front month copper futures contract traded in a range between $395.20 per pound and $465.20 per pound. Prices increased by 17.03% between December 31, 2023 to September 30, 2024 finishing the period at $455.30. Copper futures markets reached an all-time high in May of 2024 before declining 22% between the May peak and August low. Prices resumed their upward trajectory in early August, due to an improving outlook for the U.S. and global economy, China stimulus, and growing supply constraints and forecasts for forthcoming copper shortages. With tight markets, increased demand from China and from new technologies, and a growing drumbeat of forecasts for a supply crunch, long-term copper demand is likely to remain robust and supply is also likely to remain constrained and slow to respond to demand increases.

Previous wording

As of June 30, 2024, USCI had 2,950,000 shares outstanding. USCI has an unlimited number of shares registered and available for issuance. More shares may have been issued by USCI than are outstanding due to the redemption of shares.

Current wording

As of September 30, 2024, USCI had 2,900,000 shares outstanding. USCI has an unlimited number of shares registered and available for issuance. More shares may have been issued by USCI than are outstanding due to the redemption of shares.

Previous wording

As of June 30, 2024, CPER had 7,950,000 shares outstanding. CPER has an unlimited number of shares registered and available for issuance. More shares may have been issued by CPER than are outstanding due to the redemption of shares.

Current wording

As of September 30, 2024, CPER had 6,250,000 shares outstanding. CPER has an unlimited number of shares registered and available for issuance. More shares may have been issued by CPER than are outstanding due to the redemption of shares.

Previous wording

As of June 30, 2024, USCI and CPER had the following Authorized Participants: ABN AMRO Clearing USA LLC, BNP Paribas Securities Corp., Citadel Securities LLC, Goldman Sachs & Company, Jefferies LLC., JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., RBC Capital Markets LLC and Virtu Americas LLC.

Current wording

As of September 30, 2024, USCI and CPER had the following Authorized Participants: ABN AMRO Clearing USA LLC, BNP Paribas Securities Corp., Citadel Securities LLC, Goldman Sachs & Company, Jefferies & CompanyInc., JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., RBC Capital Markets LLC and Virtu Americas LLC.

Previous wording

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were higher during the six months ended June 30, 2024, compared to the six months ended June 30, 2023. As a result, the amount of income earned by USCI as a percentage of average daily total net assets was higher during the six months ended June 30, 2024, compared to the six months ended June 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Current wording

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were higher during the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023. As a result, the amount of income earned by USCI as a percentage of average daily total net assets was higher during the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Previous wording

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were higher during the three months ended June 30, 2024, compared to the three months ended June 30, 2023. However, as a result of lower average daily total net assets, the dividend and interest income earned was lower for the current quarter compared to the prior year quarter even though the amount of income earned by USCI as a percentage of average daily total net assets was higher during the three months ended June 30, 2024, compared to the three months ended June 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Current wording

Average interest rates earned on short-term investments held by USCI, including cash, cash equivalents and Treasuries, were lower during the three months ended September 30, 2024, compared to the three months ended September 30, 2023. However, as a result of lower average daily total net assets, the dividend and interest income earned was lower for the current quarter compared to the prior year quarter. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Previous wording

The increase in total fees and other expenses excluding management fees for the three months ended June 30, 2024, compared to the three months ended June 30, 2023, was due primarily to an increase in reporting and professional fees.

Current wording

The increase in total fees and other expenses excluding management fees for the three months ended September 30, 2024, compared to the three months ended September 30, 2023, was due primarily to an increase in audit, reporting, and professional fees.

Previous wording

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were higher during the six months ended June 30, 2024, compared to the six months ended June 30, 2023. However, as a result of lower average daily total net assets, the dividend and interest income earned was lower for the current quarter compared to the prior year quarter even though the amount of income earned by CPER as a percentage of average daily total net assets was higher during the six months ended June 30, 2024, compared to the six months ended June 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Current wording

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were higher during the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023. However, as a result of higher average daily total net assets, the dividend and interest income earned was higher for the current quarter compared to the prior year quarter even though the amount of income earned by CPER as a percentage of average daily total net assets was higher during the nine months ended September 30, 2024, compared to the nine months ended September 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Previous wording

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were higher during the three months ended June 30, 2024, compared to the three months ended June 30, 2023. As a result, the amount of income earned by CPER as a percentage of average daily total net assets was higher during the three months ended June 30, 2024, compared to the three months ended June 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Current wording

Average interest rates earned on short-term investments held by CPER, including cash, cash equivalents and Treasuries, were higher during the three months ended September 30, 2024, compared to the three months ended September 30, 2023. As a result, the amount of income earned by CPER as a percentage of average daily total net assets was the same during the three months ended September 30, 2024, compared to the three months ended September 30, 2023. To the degree that the aggregate yield is higher, the net expense ratio, inclusive of income, will be lower.

Previous wording

The decrease in total fees and other expenses excluding management fees for the six months ended June 30, 2024, compared to the six months ended June 30, 2023, was due primarily to a decrease in brokerage commissions paid.

Current wording

The decrease in total commissions accrued to brokers for the three months ended September 30, 2024, compared to the three months ended September 30, 2023, was due primarily to a lower number of Commodity Futures Contracts being held and traded.

Previous wording

For the 30-valuation days ended June 30, 2024, the simple average daily change in the SDCI was 0.050%, while the simple average daily change in the per share NAV of USCI over the same time period was 0.046%. The average daily difference was (0.004)% (or (0.4) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (0.974)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Current wording

For the 30-valuation days ended September 30, 2024, the simple average daily change in the SDCI was 0.148%, while the simple average daily change in the per share NAV of USCI over the same time period was 0.143%. The average daily difference was (0.005)% (or (0.5) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average difference in daily tracking by the per share NAV was (2.097)%, meaning that over this time period USCI’s tracking error was within the plus or minus ten percent (10%) range established as its benchmark tracking goal.

Previous wording

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 through June 30, 2024, the simple average daily change in the SDCI was 0.016%, while the simple average daily change in the per share NAV of USCI over the same time period was 0.010%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average error in daily tracking by the per share NAV was (6.293)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Current wording

Since the commencement of the offering of USCI’s shares to the public on August 10, 2010 through September 30, 2024, the simple average daily change in the SDCI was 0.016%, while the simple average daily change in the per share NAV of USCI over the same time period was 0.010%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SDCI, the average difference in daily tracking by the per share NAV was (6.268)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Previous wording

For the six months ended June 30, 2024, the actual total return of USCI as measured by changes in its per share NAV was 10.65%. This is based on an initial per share NAV of $56.34 as of December 31, 2023 and an ending per share NAV as of June 30, 2024 of $62.34. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $62.71 as of June 30, 2024, for a total return over the relevant time period of 11.31%. The difference between the actual per share NAV total return of USCI of 10.65% and the expected total return based on the SDCI of 11.31% was a difference over the time period of (0.66)%,

Current wording

For the nine months ended September 30, 2024, the actual total return of USCI as measured by changes in its per share NAV was 10.72%. This is based on an initial per share NAV of $56.34 as of December 31, 2023 and an ending per share NAV as of September 30, 2024 of $62.38. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $62.96 as of September 30, 2024, for a total return over the relevant time period of 11.75%. The difference between the actual per share NAV total return of USCI of 10.72% and the expected total return based on the SDCI of 11.75% was a difference over the time period of (1.03)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage. USCI incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USCI to track slightly lower or higher than daily changes in the price of the SDCI.

Previous wording

By comparison, for the six months ended June 30, 2023, the actual total return of USCI as measured by changes in its per share NAV was (4.61)%. This is based on an initial per share NAV of $56.23 as of December 31, 2022 and an ending per share NAV as of June 30, 2023 of $53.64. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $54.02 as of June 30, 2023, for a total return over the relevant time period of (3.93)%. The difference between the actual per share NAV total return of USCI of (4.61)% and the expected total return based on the SDCI of (3.93)% was a difference over the time period of (0.68)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage. USCI incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USCI to track slightly lower or higher than daily changes in the price of the SDCI.

Current wording

By comparison, for the nine months ended September 30, 2023, the actual total return of USCI as measured by changes in its per share NAV was 5.14%. This is based on an initial per share NAV of $56.23 as of December 31, 2022 and an ending per share NAV as of September 30, 2023 of $59.12. During this time period, USCI made no distributions to its shareholders. However, if USCI’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SDCI, USCI would have had an estimated per share NAV of $59.78 as of September 30, 2023, for a total return over the relevant time period of 6.31%. The difference between the actual per share NAV total return of USCI of 5.14% and the expected total return based on the SDCI of 6.31% was a difference over the time period of (1.17)%, which is to say that USCI’s actual total return underperformed its benchmark by that percentage. USCI incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USCI to track slightly lower or higher than daily changes in the price of the SDCI.

Previous wording

For the 30-valuation days ended June 30, 2024, the simple average daily change in the SCI was (0.295)%, while the simple average daily change in the per share NAV of CPER over the same time period was (0.298)%. The average daily difference was (0.003)% (or (0.3) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was 0.651%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Current wording

For the 30-valuation days ended September 30, 2024, the simple average daily change in the SCI was 0.303%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.298%. The average daily difference was (0.005)% (or (0.5) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was 3.341%, meaning that over this time period CPER’s tracking error was within the plus or minus ten percent (10%) range established as its benchmark tracking goal.

Previous wording

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 through June 30, 2024, the simple average daily change in the SCI was 0.015%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.012%. The average daily difference was (0.003)% (or (0.3) basis points, where 1 basis point equals 1/100 of 1)%. As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was (2.837)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Current wording

Since the commencement of the offering of CPER’s shares to the public on November 15, 2011 through September 30, 2024, the simple average daily change in the SCI was 0.017%, while the simple average daily change in the per share NAV of CPER over the same time period was 0.013%. The average daily difference was (0.004)% (or (.4) basis points, where 1 basis point equals 1/100 of 1)%. As a percentage of the daily movement of the SCI, the average error in daily tracking by the per share NAV was (2.710)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

Previous wording

For the six months ended June 30, 2024, the actual total return of CPER as measured by changes in its per share NAV was 13.24%. This is based on an initial per share NAV of $24.10 as of December 31, 2023 and an ending per share NAV as of June 30, 2024 of $27.29. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $27.43 as of June 30, 2024, for a total return over the relevant time period of 13.82%. The difference between the actual per share NAV total return of CPER of 13.24% and the expected total return based on the SCI of 13.82% was a difference over the time period of (0.58)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

Current wording

For the nine months ended September 30, 2024, the actual total return of CPER as measured by changes in its per share NAV was 17.72%. This is based on an initial per share NAV of $24.10 as of December 31, 2023 and an ending per share NAV as of September 30, 2024 of $28.37. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $28.60 as of September 30, 2024, for a total return over the relevant time period of 18.67%. The difference between the actual per share NAV total return of CPER of 17.72% and the expected total return based on the SCI of 18.67% was a difference over the time period of (0.95)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

Previous wording

By comparison, for the six months ended June 30, 2023, the actual total return of CPER as measured by changes in its per share NAV was 0.39%. This is based on an initial per share NAV of $23.07 as of December 31, 2022 and an ending per share NAV as of June 30, 2023 of $23.16. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $23.31 as of June 30, 2023, for a total return over the relevant time period of 1.04%. The difference between the actual per share NAV total return of CPER of 0.39% and the expected total return based on the SCI of 1.04% was a difference over the time period of (0.65%), which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

Current wording

By comparison, for the nine months ended September 30, 2023, the actual total return of CPER as measured by changes in its per share NAV was 0.17%. This is based on an initial per share NAV of $23.07 as of December 31, 2022 and an ending per share NAV as of September 30, 2023 of $23.11. During this time period, CPER made no distributions to its shareholders. However, if CPER’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the SCI, CPER would have had an estimated per share NAV of $23.33 as of September 30, 2023, for a total return over the relevant time period of 1.13%. The difference between the actual per share NAV total return of CPER of 0.17% and the expected total return based on the SCI of 1.13% was a difference over the time period of (0.96)%, which is to say that CPER’s actual total return underperformed its benchmark by that percentage. CPER incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of CPER to track slightly lower or higher than daily changes in the price of the SCI.

Previous wording

Second, each Trust Series incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses tends to cause daily changes in the per share NAV of such Trust Series to track slightly lower than daily changes in the price of the Applicable Index. At the same time, each Trust Series earns dividend and interest income on its cash, cash equivalents and Treasuries. A Trust Series is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the six months ended June 30, 2024. Interest payments, and any other income, were retained within the portfolio and added to each Trust Series’ NAV. When this income exceeds the level of a Trust Series’ expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees, licensing fees and the fees and expenses of the independent directors of USCF), such Trust Series realizes a net yield that will tend to cause daily changes in the per share NAV of such Trust Series to track slightly higher than daily changes in the price of the Applicable Index. If short-term interest rates rise above these levels, the level of deviation created by the yield would increase. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would decrease. When short-term yields drop to a level lower than the combined expenses of the management fee and the brokerage commissions, then the tracking error becomes a negative number and would tend to cause the daily returns of the per share NAV to underperform the daily returns of the Applicable Index. USCF anticipates that interest rates may continue to increase over the near future from historical lows. It is anticipated that fees and expenses paid by each Trust Series may continue to be lower than interest earned by each Trust Series. As such, USCF anticipates that each Trust Series could possibly outperform its benchmark so long as interest earned is higher than the fees and expenses paid by each Trust Series.

Current wording

Second, each Trust Series incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses tends to cause daily changes in the per share NAV of such Trust Series to track slightly lower than daily changes in the price of the Applicable Index. At the same time, each Trust Series earns dividend and interest income on its cash, cash equivalents and Treasuries. A Trust Series is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the nine months ended September 30, 2024. Interest payments, and any other income, were retained within the portfolio and added to each Trust Series’ NAV. When this income exceeds the level of a Trust Series’ expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees, licensing fees and the fees and expenses of the independent directors of USCF), such Trust Series realizes a net yield that will tend to cause daily changes in the per share NAV of such Trust Series to track slightly higher than daily changes in the price of the Applicable Index. If short-term interest rates rise above these levels, the level of deviation created by the yield would increase. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would decrease. When short-term yields drop to a level lower than the combined expenses of the management fee and the brokerage commissions, then the tracking error becomes a negative number and would tend to cause the daily returns of the per share NAV to underperform the daily returns of the Applicable Index. USCF anticipates that interest rates may continue to increase over the near future from historical lows. It is anticipated that fees and expenses paid by each Trust Series may continue to be lower than interest earned by each Trust Series. As such, USCF anticipates that each Trust Series could possibly outperform its benchmark so long as interest earned is higher than the fees and expenses paid by each Trust Series.

Previous wording

Third, a Trust Series may hold Futures Contracts in a particular commodity other than the one specified as the Applicable Benchmark Component Futures Contract, or may hold Other Related Investments in its portfolio that may fail to closely track the Applicable Index’s total return movements. Taking USCI as an example, assume for a given month one of the Benchmark Component Futures Contracts is the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” for the contract month of November 2020. It is possible that USCI could hold a NYMEX WTI financially settled Futures Contract, trading under the symbol “WS,” for the contract month of November 2020. Alternatively, and using the same example, USCI could hold the ICE WTI financially settled Futures Contract, also for the contract month of November 2020. As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2020. During the six months ended June 30, 2024, no Trust Series held any Other Related Investments.

Current wording

Third, a Trust Series may hold Futures Contracts in a particular commodity other than the one specified as the Applicable Benchmark Component Futures Contract, or may hold Other Related Investments in its portfolio that may fail to closely track the Applicable Index’s total return movements. Taking USCI as an example, assume for a given month one of the Benchmark Component Futures Contracts is the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” for the contract month of November 2020. It is possible that USCI could hold a NYMEX WTI financially settled Futures Contract, trading under the symbol “WS,” for the contract month of November 2020. Alternatively, and using the same example, USCI could hold the ICE WTI financially settled Futures Contract, also for the contract month of November 2020. As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2020. During the nine months ended September 30, 2024, no Trust Series held any Other Related Investments.

Previous wording

Fourth, a Trust Series could hold Other-Related Investments. In that case, the error in tracking the Applicable Index could result in daily changes in the per share NAV of a Trust Series that are either too high, or too low, relative to the daily changes in the price of the Applicable Index. During the six months ended June 30, 2024, none of the Trust Series held any Other-Related Investments, but did, at times, temporarily hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract. If any Trust Series increases in size, and due to its obligations to comply with regulatory limits, or due to other market pricing or liquidity factors, such Trust Series may invest in Futures Contract months other than the designated month specified as the Applicable Benchmark Component Futures Contract, or in Other-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

Current wording

Fourth, a Trust Series could hold Other-Related Investments. In that case, the error in tracking the Applicable Index could result in daily changes in the per share NAV of a Trust Series that are either too high, or too low, relative to the daily changes in the price of the Applicable Index. During the nine months ended September 30, 2024, none of the Trust Series held any Other-Related Investments, but did, at times, temporarily hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract. If any Trust Series increases in size, and due to its obligations to comply with regulatory limits, or due to other market pricing or liquidity factors, such Trust Series may invest in Futures Contract months other than the designated month specified as the Applicable Benchmark Component Futures Contract, or in Other-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

Previous wording

The total return of the SDCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the SDCI changes its contract holdings during a four day period. The value of the SDCI ER at the end of a business

Current wording

The total return of the SDCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the SDCI changes its contract holdings during a four day period. The value of the SDCI ER at the end of a business day “t” is equal to the SDCI ER value on day “t-1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “t-1”.

Previous wording

None of the Trust Series has made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. Each Trust Series has met, and it is anticipated that each Trust Series will continue to meet, its liquidity needs in the normal course of business from the proceeds of the sale of its investments, or from the Treasuries, cash and/or cash equivalents that it intends to hold at all times. Each Trust Series’ liquidity needs include: redeeming shares, providing margin deposits for its existing Futures Contracts or the

Current wording

None of the Trust Series has made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. Each Trust Series has met, and it is anticipated that each Trust Series will continue to meet, its liquidity needs in the normal course of business from the proceeds of the sale of its investments, or from the Treasuries, cash and/or cash equivalents that it intends to hold at all times. Each Trust Series’ liquidity needs include: redeeming shares, providing margin deposits for its existing Futures Contracts or the purchase of additional Futures Contracts and posting collateral for its OTC swaps, if applicable, and payment of its expenses, summarized below under*“Contractual Obligations.”*

Previous wording

Each Trust Series currently generates cash primarily from: (i) the sale of Creation Baskets and (ii) income earned on Treasuries, cash and/or cash equivalents. Each Trust Series has allocated substantially all of its net assets to trading in Applicable Interests. Each Trust Series invests in Applicable Interests to the fullest extent possible without being leveraged or unable to satisfy its current or potential margin or collateral obligations with respect to its investments in Applicable Interests. A significant portion of each Trust Series’ NAV is held in Treasuries, cash and cash equivalents that are used as margin and as collateral for its trading in Applicable Interests. The balance of the assets is held in each Trust Series’ account at the Custodian and in Treasuries at one or more FCMs. Income received from any investments in money market funds and Treasuries by a Trust Series will be paid to such Trust Series. During the six months ended June 30, 2024, each Trust Series’ income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets did not exceeded the expenses.

Current wording

Each Trust Series currently generates cash primarily from: (i) the sale of Creation Baskets and (ii) income earned on Treasuries, cash and/or cash equivalents. Each Trust Series has allocated substantially all of its net assets to trading in Applicable Interests. Each Trust Series invests in Applicable Interests to the fullest extent possible without being leveraged or unable to satisfy its current or potential margin or collateral obligations with respect to its investments in Applicable Interests. A significant portion of each Trust Series’ NAV is held in Treasuries, cash and cash equivalents that are used as margin and as collateral for its trading in Applicable Interests. The balance of the assets is held in each Trust Series’ account at the Custodian and in Treasuries at one or more FCMs. Income received from any investments in money market funds and Treasuries by a Trust Series will be paid to such Trust Series. During the nine months ended September 30, 2024, each Trust Series’ income earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets did not exceed the expenses.

Previous wording

Each Trust Series’ investments in Applicable Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, most commodity exchanges limit the fluctuations in futures contracts prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in the contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the specified daily limit. Such market conditions could prevent a Trust Series from promptly liquidating its positions in Futures Contracts. During the six months ended June 30, 2024, none of the Trust Series purchased or liquidated any of its positions while daily limits were in effect; however, no Trust Series can predict whether such an event may occur in the future.

Current wording

Each Trust Series’ investments in Applicable Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, most commodity exchanges limit the fluctuations in futures contracts prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in the contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the specified daily limit. Such market conditions could prevent a Trust Series from promptly liquidating its positions in Futures Contracts. During the nine months ended September 30, 2024, none of the Trust Series purchased or liquidated any of its positions while daily limits were in effect; however, no Trust Series can predict whether such an event may occur in the future.

Previous wording

USCF attempts to manage the credit risk of each Trust Series by following various trading limitations and policies. In particular, each Trust Series generally posts margin and/or holds liquid assets that are approximately equal to the market value of its obligations to counterparties under the Futures Contracts and Other Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades and entering into OTC transactions only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of each Trust Series to limit its credit exposure. Each Trust Series’ commodity broker, or any other broker that may be retained by a Trust Series in the future, when acting as the Trust Series’ FCM in accepting orders to purchase or sell Futures Contracts on United States exchanges, is required by CFTC regulations to separately account for and segregate as belonging to a Trust Series, all assets of a Trust Series relating to domestic Futures Contracts trading. FCMs are not allowed to commingle a Trust Series’ assets with their other assets. In addition, the CFTC requires FCMs to hold in a secure account a Trust Series’ assets related to foreign Futures Contracts trading. During the six months ended June 30, 2024, USCI made investments on the London Metal Exchange. During the six months ended June 30, 2024, 2024, CPER made investments on the London Metal Exchange. In the future, a Trust Series may purchase OTC swaps, see “Item 7A. Quantitative and Qualitative Disclosures About Market Risk” in this quarterly report on Form 10-Q for a discussion of OTC swaps.

Current wording

USCF attempts to manage the credit risk of each Trust Series by following various trading limitations and policies. In particular, each Trust Series generally posts margin and/or holds liquid assets that are approximately equal to the market value of its obligations to counterparties under the Futures Contracts and Other Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades and entering into OTC transactions only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of each Trust Series to limit its credit exposure. Each Trust Series’ commodity broker, or any other broker that may be retained by a Trust Series in the future, when acting as the Trust Series’ FCM in accepting orders to purchase or sell Futures Contracts on United States exchanges, is required by CFTC regulations to separately account for and segregate as belonging to a Trust Series, all assets of a Trust Series relating to domestic Futures Contracts trading. FCMs are not allowed to commingle a Trust Series’ assets with their other assets. In addition, the CFTC requires FCMs to hold in a secure account a Trust Series’ assets related to foreign Futures Contracts trading. During the nine months ended September 30, 2024, USCI made investments on the London Metal Exchange. During the nine months ended September 30, 2024, CPER made investments on the London Metal Exchange. In the future, a Trust Series may purchase OTC swaps, see “Item 7A. Quantitative and Qualitative Disclosures About Market Risk” in this quarterly report on Form 10-Q for a discussion of OTC swaps.

Previous wording

As of June 30, 2024, each of USCI and CPER held cash deposits and investments in Treasuries and money market funds in the amount of $186,264,777 and $219,655,883, respectively, with the custodian and FCMs. Some or all of these amounts held by a custodian or an FCM, as applicable, may be subject to loss should the Trust Series’ custodian or FCMs, as applicable, cease operations.

Current wording

As of September 30, 2024, each of USCI and CPER held cash deposits and investments in Treasuries and money market funds in the amount of $175,962,398 and $169,766,257, respectively, with the custodian and FCMs. Some or all of these amounts held by a custodian or an FCM, as applicable, may be subject to loss should the Trust Series’ custodian or FCMs, as applicable, cease operations.

Previous wording

Each Trust Series pays its own brokerage and other transaction costs. Each Trust Series pays fees to FCMs in connection with its transactions in Futures Contracts. For the six months ended June 30, 2024, FCM fees were approximately 0.07% of average daily total net assets for USCI, and approximately 0.03% of average daily total net assets for CPER. In general, transaction costs on OTC Applicable Interests and on Treasuries and other short-term securities are embedded in the purchase or sale price of the instrument being purchased or sold, and may not readily be estimated. USCF had voluntarily agreed to pay certain expenses normally borne by USCI to the extent that such expenses exceeded 0.15% (15 basis points) of USCI’s NAV, on an annualized basis, through June 30, 2011 when such expense waiver was terminated. USCF voluntarily agreed to pay certain expenses typically borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis. USCF terminated such expense waiver as of April 30, 2021. As a result, the Annual Fund Operating Expenses increased, which would negatively impact your total return from an investment in CPER. This voluntary expense waiver was in addition to those amounts USCF is contractually obligated to pay as described in Note 5 to the condensed financial statements of the Trust and terminated on April 30, 2021.

Current wording

Each Trust Series pays its own brokerage and other transaction costs. Each Trust Series pays fees to FCMs in connection with its transactions in Futures Contracts. For the nine months ended September 30, 2024, FCM fees were approximately 0.08% of average daily total net assets for USCI, and approximately 0.03% of average daily total net assets for CPER. In general, transaction costs on OTC Applicable Interests and on Treasuries and other short-term securities are embedded in the purchase or sale price of the instrument being purchased or sold, and may not readily be estimated. USCF had voluntarily agreed to pay certain expenses normally borne by USCI to the extent that such expenses exceeded 0.15% (15 basis points) of USCI’s NAV, on an annualized basis, through June 30, 2011 when such expense waiver was terminated. USCF voluntarily agreed to pay certain expenses typically borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis. USCF terminated such expense waiver as of April 30, 2021. As a result, the Annual Fund Operating Expenses increased, which would negatively impact your total return from an investment in CPER. This voluntary expense waiver was in addition to those amounts USCF is contractually obligated to pay as described in Note 5 to the condensed financial statements of the Trust and terminated on April 30, 2021.

Previous wording

As of June 30, 2024, USCI’s portfolio consisted of 2,882 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of 1,967 Futures Contracts traded on the COMEX. For a list of each of USCI’s and CPER’s current holdings, please see www.uscfinvestments.com.

Current wording

As of September 30, 2024, USCI’s portfolio consisted of 3,221 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of 1,555 Futures Contracts traded on the COMEX. For a list of each of USCI’s and CPER’s current holdings, please see www.uscfinvestments.com.