United States Commodity Index Funds Trust [CPER] Filings

10-Q 1 usci-20230930x10q.htm 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2023.

☐Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to .

Commission file number: 001-34833

United States Commodity Index Funds Trust

(Exact name of registrant as specified in its charter)

Delaware		27-1537655
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

1850 Mt. Diablo Boulevard, Suite 640

Walnut Creek, California 94596

(Address of principal executive offices) (Zip Code)

(510) 522-9600

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Securities registered or to be registered pursuant to Section 12(b) of the Act.

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.

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large Accelerated Filer	☐	Accelerated Filer	☒
Non-Accelerated Filer	☐	Smaller Reporting Company	☐
Emerging Growth Company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided in Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes ☒ No

The number of outstanding shares of each series of the registrant as of October 30, 2023. are included in the table below:


		Number of Outstanding Shares as of October 30, 2023
United States Commodity Index Fund		3,250,000
United States Copper Index Fund		5,600,000
Total		8,850,000

Table of Contents

United States Commodity Index Funds Trust

Table of Contents


	Page

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.	1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.	31

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	70

Item 4. Controls and Procedures.	71

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	72

Item 1A. Risk Factors.	75

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.	75

Item 3. Defaults Upon Senior Securities.	75

Item 4. Mine Safety Disclosures.	76

Item 5. Other Information.	76

Item 6. Exhibits.	77

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index to Condensed Financial Statements


Documents		Page

Condensed Statements of Financial Condition at September 30, 2023 (Unaudited) and December 31, 2022		2-4

Condensed Schedule of Investments (Unaudited) at September 30, 2023		5-7

Condensed Statements of Operations (Unaudited) for the three and nine months ended September 30, 2023 and 2022		8-10

Condensed Statements of Changes in Capital (Unaudited) for the three and nine months ended September 30, 2023 and 2022		11-13

Condensed Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2023 and 2022		14-16

Notes to Condensed Financial Statements (Unaudited) for the period ended September 30, 2023		17-30

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At September 30, 2023 (Unaudited) and December 31, 2022

United States Commodity Index Fund


	September 30, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $184,875,528 and $233,130,983, respectively) (Notes 2 and 6)	$	184,875,528	$	233,130,983
Equity in trading accounts:
Cash and cash equivalents (at cost $8,084,235 and $12,926,388, respectively)		8,084,235		12,926,388
Unrealized gain (loss) on open commodity futures contracts		1,818,757		9,398,730
Dividends receivable		299,275		833,949
Interest receivable		306,639		64,059
Prepaid insurance^*		36,843		11,886

Total Assets	$	195,421,277	$	256,365,995

Liabilities and Capital
Management fees payable (Note 4)	$	128,028	$	178,702
Professional fees payable		187,370		340,128
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		4,152		5,696

Total Liabilities		323,505		528,481

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		195,097,772		255,837,514
Total Capital		195,097,772		255,837,514

Total Liabilities and Capital	$	195,421,277	$	256,365,995

Shares outstanding		3,300,000		4,550,000
Net asset value per share	$	59.12	$	56.23
Market value per share	$	59.16	$	56.28

* Certain prior year amounts have been reclassified for consistency with the current presentation.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At September 30, 2023 (Unaudited) and December 31, 2022

United States Copper Index Fund


	September 30, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $126,764,738 and $158,307,387, respectively) (Notes 2 and 6)	$	126,764,738	$	158,307,387
Equity in trading accounts:
Cash and cash equivalents (at cost $12,583,048 and $6,906,529, respectively)		12,583,048		6,906,529
Unrealized gain (loss) on open commodity futures contracts		(3,269,214)		3,972,853
Dividends receivable		139,460		549,553
Interest receivable		275,307		35,104
Prepaid professional fees		954		6,112
Prepaid insurance^*		11,697		13,045

Total Assets	$	136,505,990	$	169,790,583

Liabilities and Capital
Management fees payable (Note 4)	$	75,486	$	94,784
Professional fees payable		79,726		152,375
Directors’ fees payable^*		6,993		7,049

Total Liabilities		162,205		254,208

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		136,343,785		169,536,375
Total Capital		136,343,785		169,536,375

Total Liabilities and Capital	$	136,505,990	$	169,790,583

Shares outstanding		5,900,000		7,350,000
Net asset value per share	$	23.11	$	23.07
Market value per share	$	23.02	$	23.09

* Certain prior year amounts have been reclassified for consistency with the current presentation.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At September 30, 2023 (Unaudited) and December 31, 2022

United States Commodity Index Funds Trust


	September 30, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $311,640,266 and $391,438,370, respectively) (Notes 2 and 6)	$	311,640,266	$	391,438,370
Equity in trading accounts:
Cash and cash equivalents (at cost $20,667,283 and $19,832,917, respectively)		20,667,283		19,832,917
Unrealized gain (loss) on open commodity futures contracts		(1,450,457)		13,371,583
Dividends receivable		438,735		1,383,502
Interest receivable		581,946		99,163
Prepaid professional fees		954		6,112
Prepaid insurance^*		48,540		24,931

Total Assets	$	331,927,267	$	426,156,578

Liabilities and Capital
Management fees payable (Note 4)	$	203,514	$	273,486
Professional fees payable		267,096		492,503
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		11,145		12,745

Total Liabilities		485,710		782,689

Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		—		—
Shareholders		331,441,557		425,373,889
Total Capital		331,441,557		425,373,889

Total Liabilities and Capital	$	331,927,267	$	426,156,578

Shares Outstanding		9,200,000		11,900,000

* Certain prior year amounts have been reclassified for consistency with the current presentation.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)

At September 30, 2023

United States Commodity Index Fund


				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 RBOB Gasoline Futures RB December 2023 contracts, expiring November 2023	$	13,936,495	137	$	(416,896)	(0.21)
ICE Cocoa Futures CC December 2023 contracts, expiring December 2023		13,861,770	402		(121,410)	(0.06)
CBOT Soybean Oil Futures BO December 2023 contracts, expiring December 2023		15,180,929	406		(1,580,741)	(0.81)
CME Lean Hogs Futures LH December 2023 contracts, expiring December 2023		14,210,669	486		(257,609)	(0.13)
ICE Coffee Futures KC December 2023 contracts, expiring December 2023		13,854,656	249		(207,900)	(0.11)
NYMEX WTI Crude Oil Futures CL January 2024 contracts, expiring December 2023		12,729,370	161		1,274,410	0.65
COMEX Copper Futures HG December 2023 contracts, expiring December 2023		14,695,413	154		(306,038)	(0.16)
COMEX Silver Futures SI December 2023 contracts, expiring December 2023		13,780,355	121		(198,105)	(0.10)
NYMEX NY Harbour ULSD Futures HO January 2024 contracts, expiring December 2023		13,038,309	111		1,253,518	0.64
CBOT Soybean Meal Futures SM January 2024 contracts, expiring January 2024		14,701,440	362		(967,160)	(0.50)
ICE Sugar #11 Futures SB May 2024 contracts, expiring April 2024		14,208,487	502		(6,305)	0.00^†
United Kingdom Contracts
ICE Low Sulphur Gasoil Futures QS December 2023 contracts, expiring December 2023		12,716,175	157		1,833,800	0.94
ICE Brent Crude Futures CO February 2024 contracts, expiring December 2023		12,983,070	157		961,670	0.49
Foreign Contracts
LME Lead Futures LL October 2023 contracts, expiring October 2023^*		14,101,951	256		(114,751)	(0.06)
LME Lead Futures LL November 2023 contracts, expiring November 2023^*		14,020,890	258		(37,290)	(0.02)
LME Zinc Futures LX January 2024 contracts, expiring January 2024^*		13,768,481	225		1,160,269	0.60
Open Commodity Futures Contracts - Short^**
Foreign Contracts
LME Lead Futures LL October 2023 contracts, expiring October 2023^*		(14,008,070)	256		20,870	0.01
LME Zinc Futures LX January 2024 contracts, expiring January 2024^*		(14,457,175)	225		(471,575)	(0.24)
Total Open Futures Contracts^*	$	193,323,215	4,625	$	1,818,757	0.93

Table of Contents

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)

At September 30, 2023 (continued)

United States Commodity Index Fund


	Shares/Principal				% of Partners’
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
5.29%, 10/12/2023	$	8,000,000	$	7,987,216	4.09
5.32%, 10/26/2023		8,000,000		7,970,778	4.08
5.38%, 11/28/2023		7,000,000		6,940,341	3.56
5.37%, 11/30/2023		7,000,000		6,938,050	3.56
5.37%, 12/12/2023		7,000,000		6,926,150	3.55
5.39%, 12/19/2023		6,000,000		5,930,250	3.04
5.40%, 1/02/2024		7,000,000		6,904,015	3.54
5.43%, 1/23/2024		8,000,000		7,864,894	4.03
Total United States Treasury Obligations				57,461,694	29.45
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 5.30%^#		65,800,000		65,800,000	33.73
Total United States Money Market Funds				65,800,000	33.73
Total Cash Equivalents			$	123,261,694	63.18

†	Represents less than 0.005%.

#	Reflects the 7-day yield at September 30, 2023.

*	Collateral amounted to $8,084,235 on open commodity futures contracts.

**	All short contracts are offset by long positions in Commodity Futures Contracts and are acquired solely for the purpose of reducing a long position (e.g., due to a redemption or to reflect a rebalancing of the SDCI).

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)

At September 30, 2023

United States Copper Index Fund


				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
COMEX Copper Futures HG December 2023 contracts, expiring December 2023	$	48,638,474	485	$	(3,321,287)	(2.44)
COMEX Copper Futures HG March 2024 contracts, expiring March 2024		45,255,327	482		112,923	0.08
COMEX Copper Futures HG May 2024 contracts, expiring May 2024		45,533,388	481		(60,850)	(0.04)
Total Open Futures Contracts^*	$	139,427,189	1,448	$	(3,269,214)	(2.40)


	Shares/Principal				% of Partners’
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
5.29%, 10/12/2023	$	7,000,000	$	6,988,814	5.13
5.32%, 10/26/2023		7,000,000		6,974,430	5.11
5.38%, 11/28/2023		7,000,000		6,940,340	5.09
5.37%, 11/30/2023		6,000,000		5,946,900	4.36
5.37%, 12/12/2023		7,000,000		6,926,150	5.08
5.39%, 12/19/2023		6,000,000		5,930,250	4.35
Total United States Treasury Obligations				39,706,884	29.12
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 5.30%^#		24,950,000		24,950,000	18.30
Total United States Money Market Funds				24,950,000	18.30
Total Cash Equivalents			$	64,656,884	47.42

#Reflects the 7-day yield at September 30, 2023.

*Collateral amounted to $12,583,048 on open commodity futures contracts.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three and nine months ended September 30, 2023 and 2022

United States Commodity Index Fund


	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	8,417,220	$	(21,425,957)	$	7,777,971	$	65,042,600
Change in unrealized gain (loss) on open commodity futures contracts		6,751,378		714,826		(7,579,973)		(22,661,369)
Dividend income		1,048,398		1,240,337		4,403,562		1,780,665
Interest income^*		1,341,553		236,778		2,784,259		294,248
ETF transaction fees		1,750		5,250		9,450		13,300
Total Income (Loss)	$	17,560,299	$	(19,228,766)	$	7,395,269	$	44,469,444

Expenses
Management fees (Note 4)	$	367,141	$	597,385	$	1,192,848	$	1,892,714
Professional fees		88,513		203,800		268,799		402,120
Brokerage commissions		42,085		57,426		124,984		158,243
Directors’ fees and insurance		19,476		19,386		54,933		51,937
License fees		—		2,274		—		2,274
Registration fees		—		—		—		6,617
Total Expenses	$	517,215	$	880,271	$	1,641,564	$	2,513,905
Net Income (Loss)	$	17,043,084	$	(20,109,037)	$	5,753,705	$	41,955,539
Net Income (Loss) per share	$	5.48	$	(3.46)	$	2.89	$	8.02
Net Income (Loss) per weighted average share	$	5.43	$	(3.67)	$	1.60	$	7.22
Weighted average shares outstanding		3,140,761		5,484,239		3,586,813		5,811,905

*	Interest income does not exceed paid in kind of 5%.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three and nine months ended September 30, 2023 and 2022

United States Copper Index Fund


	Three months ended		Three months ended		Nine months ended		Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	(8,094,988)	$	(28,489,524)	$	4,903,025	$	(28,661,637)
Change in unrealized gain (loss) on open commodity futures contracts		5,801,599		15,086,358		(7,242,067)		(25,432,878)
Dividend income		673,815		629,713		3,129,072		935,300
Interest income^*		1,183,014		83,078		2,169,490		133,040
ETF transaction fees		4,550		3,850		13,650		13,650
Total Income (Loss)	$	(432,010)	$	(12,686,525)	$	2,973,170	$	(53,012,525)

Expenses
Management fees (Note 4)	$	232,509	$	236,591	$	712,684	$	976,774
Professional fees		113,133		185,775		320,197		401,201
Brokerage commissions		12,999		9,695		35,533		41,446
Directors’ fees and insurance		20,037		21,682		62,693		58,708
License fees		—		2,273		—		—
Other fees		—		—		—		2,273
Registration fees		—		—		—		24,092
Total Expenses	$	378,678	$	456,016	$	1,131,107	$	1,504,494
Net Income (Loss)	$	(810,688)	$	(13,142,541)	$	1,842,063	$	(54,517,019)
Net Income (Loss) per share	$	(0.05)	$	(1.87)	$	0.04	$	(6.69)
Net Income (Loss) per weighted average share	$	(0.13)	$	(1.92)	$	0.30	$	(6.88)
Weighted average shares outstanding		6,060,326		6,832,065		6,111,538		7,919,963

*	Interest income does not exceed paid in kind of 5%.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three and nine months ended September 30, 2023 and 2022

United States Commodity Index Funds Trust

Three months ended

United States Commodity Index Funds Trust [CPER] Filings
United States Commodity Index Funds Trust [USCI] Filings
10-Q	[2023-11-07]
10-Q	[2023-08-04]
10-Q	[2023-05-08]
10-K	[2023-02-27]
10-Q	[2022-11-07]
10-Q	[2022-08-05]
10-Q	[2022-05-06]
10-K	[2022-02-25]
10-Q	[2021-11-05]
10-Q	[2021-08-06]
10-Q	[2021-05-07]
10-K	[2021-02-26]
10-Q	[2020-11-06]
10-Q	[2020-08-07]
10-Q	[2020-05-08]
10-K	[2020-03-13]
S-1	[2020-03-13]
10-Q	[2019-11-08]
10-Q	[2019-08-08]
10-Q	[2019-05-09]
S-1	[2019-05-09]
10-K	[2019-02-28]
10-Q	[2018-11-08]
10-Q	[2018-08-08]
10-Q	[2018-05-10]
10-K	[2018-03-14]
10-Q	[2017-11-06]
10-Q	[2017-08-07]
10-Q	[2017-05-05]
S-1	[2017-03-20]
S-1	[2017-03-20]
10-K	[2017-03-10]
10-Q	[2016-11-07]
10-Q	[2016-08-05]
S-1	[2016-06-16]
10-Q	[2016-05-04]
10-K	[2016-03-11]
10-Q	[2015-11-06]
10-Q	[2015-08-05]
10-Q	[2015-05-07]
10-K	[2015-03-16]
10-Q	[2014-11-10]
10-Q	[2014-08-11]
10-Q	[2014-05-12]
S-1	[2014-04-03]
S-1	[2014-04-03]
S-1	[2014-04-03]
10-K	[2014-03-10]
10-Q	[2013-11-12]
10-Q	[2013-08-09]
10-Q	[2013-05-10]
10-K	[2013-03-13]
10-Q	[2012-11-09]
10-Q	[2012-08-09]
10-Q	[2012-05-10]
10-K	[2012-03-15]

United States Commodity Index Funds Trust [CPER] Filings

United States Commodity Index Funds Trust [USCI] Filings