United States Commodity Index Funds Trust [USCI] Filings

10-Q 1 usci-20230331x10q.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 March 31, 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 May 1, 2023 are included in the table below:


		Number of Outstanding Shares as of May 1, 2023
United States Commodity Index Fund		3,600,000
United States Copper Index Fund		5,850,000
Total		9,450,000

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.	69

Item 4. Controls and Procedures.	71

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.	72

Item 1A. Risk Factors.	74

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

Item 3. Defaults Upon Senior Securities.	75

Item 4. Mine Safety Disclosures.	75

Item 5. Other Information.	75

Item 6. Exhibits.	76

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 March 31, 2023 (Unaudited) and December 31, 2022		2-4

Condensed Schedule of Investments (Unaudited) at March 31, 2023		5-7

Condensed Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022		8-10

Condensed Statements of Changes in Capital (Unaudited) for the three months ended March 31, 2023 and 2022		11-13

Condensed Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022		14-16

Notes to Condensed Financial Statements (Unaudited) for the period ended March 31, 2023		17-30

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2023 (Unaudited) and December 31, 2022

United States Commodity Index Fund


	March 31, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $187,274,466 and $233,130,983, respectively) (Notes 2 and 6)	$	187,274,466	$	233,130,983
Equity in trading accounts:
Cash and cash equivalents (at cost $13,784,503 and $12,926,388, respectively)		13,784,503		12,926,388
Unrealized gain (loss) on open commodity futures contracts		2,068,955		9,398,730
Dividends receivable		525,188		833,949
Interest receivable		146,906		64,059
Prepaid insurance^*		65,445		11,886

Total Assets	$	203,865,463	$	256,365,995

Liabilities and Capital
Management fees payable (Note 4)	$	142,119	$	178,702
Professional fees payable		173,029		340,128
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		5,127		5,696

Total Liabilities		324,230		528,481

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		203,541,233		255,837,514
Total Capital		203,541,233		255,837,514

Total Liabilities and Capital	$	203,865,463	$	256,365,995

Shares outstanding		3,750,000		4,550,000
Net asset value per share	$	54.28	$	56.23
Market value per share	$	54.26	$	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 March 31, 2023 (Unaudited) and December 31, 2022

United States Copper Index Fund


	March 31, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $143,255,058 and $158,307,387, respectively) (Notes 2 and 6)	$	143,255,058	$	158,307,387
Equity in trading accounts:
Cash and cash equivalents (at cost $7,768,485 and $6,906,529, respectively)		7,768,485		6,906,529
Unrealized gain (loss) on open commodity futures contracts		2,461,874		3,972,853
Dividends receivable		403,260		549,553
Interest receivable		148,570		35,104
Prepaid professional fees		8,496		6,112
Prepaid insurance^*		39,374		13,045

Total Assets	$	154,085,117	$	169,790,583

Liabilities and Capital
Management fees payable (Note 4)	$	84,701	$	94,784
Professional fees payable		21,835		152,375
Directors’ fees payable^*		6,955		7,049

Total Liabilities		113,491		254,208

Commitments and Contingencies (Notes 4, 5 & 6)

Capital
Sponsor		—		—
Shareholders		153,971,626		169,536,375
Total Capital		153,971,626		169,536,375

Total Liabilities and Capital	$	154,085,117	$	169,790,583

Shares outstanding		6,150,000		7,350,000
Net asset value per share	$	25.04	$	23.07
Market value per share	$	24.94	$	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 March 31, 2023 (Unaudited) and December 31, 2022

United States Commodity Index Funds Trust


	March 31, 2023		December 31, 2022
Assets
Cash and cash equivalents (at cost $330,529,524 and $391,438,370, respectively) (Notes 2 and 6)	$	330,529,524	$	391,438,370
Equity in trading accounts:
Cash and cash equivalents (at cost $21,552,988 and $19,832,917, respectively)		21,552,988		19,832,917
Unrealized gain (loss) on open commodity futures contracts		4,530,829		13,371,583
Dividends receivable		928,448		1,383,502
Interest receivable		295,476		99,163
Prepaid professional fees		8,496		6,112
Prepaid insurance^*		104,819		24,931

Total Assets	$	357,950,580	$	426,156,578

Liabilities and Capital
Management fees payable (Note 4)	$	226,820	$	273,486
Professional fees payable		194,864		492,503
Brokerage commissions payable		3,955		3,955
Directors’ fees payable^*		12,082		12,745

Total Liabilities		437,721		782,689

Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		—		—
Shareholders		357,512,859		425,373,889
Total Capital		357,512,859		425,373,889

Total Liabilities and Capital	$	357,950,580	$	426,156,578

Shares Outstanding		9,900,000		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 March 31, 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 NY Harbour ULSD Futures HO June 2023 contracts, expiring May 2023	$	14,290,794	134	$	156,282	0.08
CME Live Cattle Futures LC June 2023 contracts, expiring June 2023		14,630,200	227		90,750	0.04
ICE Sugar #11 Futures SB July 2023 contracts, expiring June 2023		14,726,186	619		408,117	0.20
ICE Cocoa Futures CC July 2023 contracts, expiring July 2023		14,461,470	503		95,350	0.05
ICE Coffee Futures KC July 2023 contracts, expiring July 2023		14,163,695	222		(36,170)	(0.02)
NYMEX Platinum Futures PL July 2023 contracts, expiring July 2023		14,004,075	297		891,960	0.44
CBOT Soybean Oil Futures S August 2023 contracts, expiring August 2023		14,478,163	206		165,862	0.08
NYMEX RBOB Gasoline Futures RB September 2023 contracts, expiring August 2023		14,404,854	141		172,741	0.08
CBOT Corn Futures C September 2023 contracts, expiring September 2023		14,374,650	497		(29,988)	(0.01)
CBOT Soybean Meal Futures SM September 2023 contracts, expiring September 2023		14,479,871	335		116,080	0.06
United Kingdom Contracts
ICE Low Sulphur Gasoil Futures QS May 2023 contracts, expiring May 2023		14,233,625	189		(25,550)	(0.01)
ICE Brent Crude Futures CO September 2023 contracts, expiring July 2023		14,476,160	186		238,300	0.12
Foreign Contracts
LME Lead Futures LL April 2023 contracts, expiring April 2023^*		15,721,216	302		211,171	0.10
LME Lead Futures LL May 2023 contracts, expiring May 2023^*		14,373,900	270		(163,463)	(0.08)
LME Zinc Futures LX July 2023 contracts, expiring July 2023^*		15,692,481	210		(359,856)	(0.18)
Open Commodity Futures Contracts - Short^**
Foreign Contracts
LME Lead Futures LL April 2023 contracts, expiring April 2023^*		(16,083,693)	302		151,305	0.07
LME Zinc Futures LX July 2023 contracts, expiring July 2023^*		(935,226)	13		(13,936)	(0.01)
Total Open Futures Contracts^*	$	201,492,421	4,653	$	2,068,955	1.01

Table of Contents

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)

At March 31, 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:
4.70%, 5/18/2023	$	10,000,000	$	9,939,357	4.88
4.86%, 6/20/2023		10,000,000		9,893,778	4.86
4.90%, 6/27/2023		10,000,000		9,883,638	4.86
5.08%, 7/05/2023		10,000,000		9,868,319	4.85
Total United States Treasury Obligations				39,585,092	19.45
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 4.79%^#		122,800,000		122,800,000	60.33
Total United States Money Market Funds				122,800,000	60.33
Total Cash Equivalents			$	162,385,092	79.78

# Reflects the 7-day yield at March 31, 2023.

* Collateral amounted to $13,784,503 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 March 31, 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, May 2023 contracts, expiring May 2023	$	48,401,488	501	$	2,882,125	1.87
COMEX Copper Futures HG July 2023 contracts, expiring July 2023		51,510,725	500		(229,475)	(0.15)
COMEX Copper Futures HG September 2023 contracts, expiring September 2023		51,419,363	499		(190,776)	(0.12)
Total Open Futures Contracts^*	$	151,331,576	1,500	$	2,461,874	1.60


	Shares/Principal				% of Partners'
	Amount		Market Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
4.70%, 5/18/2023	$	5,000,000	$	4,969,678	3.23
4.86%, 6/20/2023		5,000,000		4,946,889	3.21
4.90%, 6/27/2023		5,000,000		4,941,819	3.21
5.08%, 7/05/2023		5,000,000		4,934,160	3.20
Total United States Treasury Obligations				19,792,546	12.85
United States Money Market Funds
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 4.79%^#		97,950,000		97,950,000	63.62
Total United States Money Market Funds				97,950,000	63.62
Total Cash Equivalents			$	117,742,546	76.47

# Reflects the 7-day yield at March 31, 2023.

* Collateral amounted to $7,768,485 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 months ended March 31, 2023 and 2022

United States Commodity Index Fund


	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	(3,511,508)	$	56,808,970
Change in unrealized gain (loss) on open commodity futures contracts		(7,329,775)		9,065,852
Dividend income		2,082,717		40,288
Interest income^*		443,656		164
ETF transaction fees		4,550		5,250
Total Income (Loss)	$	(8,310,360)	$	65,920,524

Expenses
Management fees (Note 4)	$	457,636	$	565,816
Professional fees		96,198		49,199
Brokerage commissions		54,445		51,836
Directors’ fees and insurance		18,198		13,451
Registration fees		—		6,617
Total Expenses	$	626,477	$	686,919
Net Income (Loss)	$	(8,936,837)	$	65,233,605
Net Income (Loss) per share	$	(1.95)	$	11.76
Net Income (Loss) per weighted average share	$	(2.11)	$	11.43
Weighted average shares outstanding		4,235,556		5,708,889

*	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 months ended March 31, 2023 and 2022

United States Copper Index Fund


	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	14,036,387	$	10,114,375
Change in unrealized gain (loss) on open commodity futures contracts		(1,510,979)		3,840,106
Dividend income		1,464,907		30,055
Interest income^*		296,190		56
ETF transaction fees		7,000		5,250
Total Income (Loss)	$	14,293,505	$	13,989,842

Expenses
Management fees (Note 4)	$	256,037	$	370,162
Professional fees		101,467		67,522
Brokerage commissions		16,912		11,366
Directors’ fees and insurance		21,210		15,580
Registration fees		—		24,092
Total Expenses	$	395,626		488,722
Net Income (Loss)	$	13,897,879	$	13,501,120
Net Income (Loss) per share	$	1.97	$	1.66
Net Income (Loss) per weighted average share	$	2.15	$	1.62
Weighted average shares outstanding		6,451,111		8,344,444

*	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 months ended March 31, 2023 and 2022

United States Commodity Index Funds Trust


	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Income
Realized gain (loss) on closed commodity futures contracts	$	10,524,879	$	66,923,345
Change in unrealized gain (loss) on open commodity futures contracts		(8,840,754)		12,905,958
Dividend income		3,547,624		70,343
Interest income^*		739,846		220
ETF transaction fees		11,550		10,500
Total Income (Loss)	$	5,983,145	$	79,910,366

Expenses
Management fees (Note 4)	$	713,673	$	935,978
Professional fees		197,665		116,721
Brokerage commissions		71,357		63,202
Directors’ fees and insurance		39,408		29,031
Registration fees		—		30,709
Total Expenses		1,022,103		1,175,641
Expense waiver (Note 4)		—		—
Net Income (Loss)	$	4,961,042	$	78,734,725

*	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 Changes in Capital (Unaudited)

For the three months ended March 31, 2023 and 2022

United States Commodity Index Fund


	Shareholders^*
	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Balances at beginning of period	$	255,837,514	$	234,520,505
Addition of 150,000 and 1,250,000 shares, respectively		8,146,814		66,425,839
Redemption of (950,000) and (300,000) shares, respectively		(51,506,258)		(15,720,266)
Net income (loss)		(8,936,837)		65,233,605

Balances at end of period	$	203,541,233	$	350,459,683

*	Sponsor’s shares outstanding and capital for the periods presented were zero.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Changes in Capital (Unaudited)

For the three months ended March 31, 2023 and 2022

United States Copper Index Fund


	Shareholders^*
	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Balances at beginning of period	$	169,536,375	$	228,783,408
Addition of 1,300,000 and 1,800,000 shares, respectively		32,717,196		51,201,330
Redemption of (2,500,000) and (650,000) shares, respectively		(62,179,824)		(17,501,848)
Net income (loss)		13,897,879		13,501,120

Balances at end of period	$	153,971,626	$	275,984,010

* Sponsor’s shares outstanding and capital for the periods presented were zero.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Changes in Capital (Unaudited)

For the three months ended March 31, 2023 and 2022

United States Commodity Index Funds Trust


	Shareholders
	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Balances at beginning of period	$	425,373,889	$	463,303,913
Addition of 1,450,000 and 3,050,000 shares, respectively		40,864,010		117,627,169
Redemption of (3,450,000) and (950,000) shares, respectively		(113,686,082)		(33,222,114)
Net income (loss)		4,961,042		78,734,725

Balances at end of period	$	357,512,859	$	626,443,693

* Sponsor’s shares outstanding and capital for the periods presented were zero.

See accompanying notes to condensed financial statements.

Table of Contents

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2023 and 2022

United States Commodity Index Fund


	Three months ended		Three months ended
	March 31, 2023		March 31, 2022
Cash Flows from Operating Activities:
Net income (loss)	$	(8,936,837)	$	65,233,605
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		7,329,775		(9,065,852)
(Increase) decrease in dividends receivable		308,761		(26,026)
(Increase) decrease in interest receivable		(82,847)		20
(Increase) decrease in prepaid insurance^*		(53,559)		(44,767)
(Increase) decrease in prepaid registration fees		—		6,616
Increase (decrease) payable due to custody		—		—
Increase (decrease) in Management fees payable		(36,583)		76,915
Increase (decrease) in professional fees payable		(167,099)		(117,342)
Increase (decrease) in directors’ fees payable^*		(569)		364
Net cash provided by (used in) operating activities		(1,638,958)		56,063,533

Cash Flows from Financing Activities:
Addition of shares		8,146,814		66,425,839
Redemption of shares		(51,506,258)

United States Commodity Index Funds Trust [USCI] Filings
United States Commodity Index Funds Trust [CPER] Filings
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 [USCI] Filings

United States Commodity Index Funds Trust [CPER] Filings