Part I

Item 1. Business.

What is the Trust and the Trust Series?

The United States Commodity Index Funds Trust (the “Trust”) is a Delaware Statutory Truststatutory trust formed on December 21, 2009. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and is organized into fourthree separate series (each series, other than UCCO (defined below), a “Trust Series” and collectively, the “Trust Series”). As of December 31, 2017,2023, the Trust includes the United States Commodity Index Fund (“USCI”), a commodity pool formed on April 1, 2010 and first made available to the public on August 10, 2010, and the United States Copper Index Fund (“CPER”), a commodity pool formed on November 26, 2010 and first made available to the public on November 15, 2011, the United States Agriculture Index Fund (“USAG”), a commodity pool formed on November 26, 20102011. USCI and first made available to the public on April 13, 2012, and the USCF Canadian Crude Oil Index Fund (“UCCO”), which is currently in registration, and has not commenced operations.

The Trust and Trust Series maintain their main business offices at 1999 Harrison Street, Suite 1530, Oakland, CA 94612. USCI, CPER and USAG each issues shares (“shares”) that may be purchased and sold on the NYSE Arca, Inc. (“NYSE Arca”).

The Trust, USCI, and each Trust SeriesCPER operate pursuant to the terms of the Trust’s Fourth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), dated as of December 15, 2017 as amended from time to time, (the “Trust Agreement”), which grants full management control to their sponsor,2017. Wilmington Trust Company, a Delaware trust company, is the Delaware trustee of the Trust. The Trust, USCI and CPER are managed and controlled by United States Commodity Funds LLC (“USCF”).

USCF is a limited liability company formed in Delaware on May 10, 2005, that is registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission and is a member of the National Futures Association (“NFA”). The Trust and Trust Series maintain their main business offices at 1850 Mt. Diablo Boulevard, Suite 640, Walnut Creek, California 94596.

USCI’s Investment Objective

USCI invests in futures contracts for commodities that are currently traded on the New York Mercantile Exchange (the “NYMEX”), ICE Futures (“ICE Futures”), Chicago Board of Trade (“CBOT”), Chicago Mercantile Exchange (“CME”), London Metal Exchange (“LME”), Commodity Exchange, Inc. (“COMEX”) or on other foreign exchanges (the NYMEX, ICE Futures, CBOT, CME, LME, COMEX and other foreign exchanges, collectively, the “Futures Exchanges”) (such futures contracts, collectively, “Futures Contracts”) and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, other commodity-based contracts and instruments such as cash-settled options on Futures Contracts, forward contracts relating to commodities, cleared swap contracts and other non-exchange traded over-the-counter (“OTC”) transactions that are based on the price of commodities and Futures Contracts (collectively, “Other Commodity-Related Investments”). Market conditions that USCF currently anticipates could cause USCI to invest in Other Commodity Related Investments would be those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing. Futures Contracts and Other Commodity-Related Investments collectively are referred to as “Commodity Interests.”

The investment objective of USCI is for the daily changes in percentage terms of its shares’ per share net asset value (“NAV”) to reflect the daily changes in percentage terms of the SummerHaven Dynamic Commodity Index Total Return^SM (the “SDCI”), less USCI’s expenses. USCF does not intend to operate USCI in a fashion such that its per share NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts (as defined below) that comprise the SDCI 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. USCI believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts and Other Commodity-Related Investments.

The SDCI is designed to reflect the performance of a diversified group of commodities. The SDCI is comprisedowned and maintained by SummerHaven Index Management, LLC (“SHIM”) and is calculated and published by Bloomberg L.P. Futures contracts for the commodities comprising the SDCI are traded on the New York Mercantile Exchange (“NYMEX”), ICE Futures (“ICE Futures”), Chicago Board of 14Trade (“CBOT”), Chicago Mercantile Exchange (“CME”), London Metal Exchange (“LME”), and Commodity Exchange, Inc. (“COMEX” together with the NYMEX, ICE Futures, Contracts thatCBOT, CME, LME and COMEX, the “Futures Exchanges”) and are selected on a monthly basis from a list of 27 possible Futurescollectively referred to herein as “Futures Contracts.” The Futures Contracts that at any given time make up the SDCI are referred to herein as “Benchmark Component Futures Contracts.” The SDCI is owned and maintainedrelative weighting of the Benchmark Component Futures Contracts will change on a monthly basis, based on quantitative formulas relating to the prices of the Benchmark Component Futures Contracts developed by SummerHaven Index Management, LLC (“SHIM”) and calculated and publishedSHIM.

USCI seeks to achieve its investment objective by Bloomberg, L.P. (“Bloomberg”). USCI invests firstinvesting primarily in the currentBenchmark Component Futures Contracts. Then, if constrained by regulatory requirements, risk mitigation measures, liquidity requirements, or in view of market conditions, USCI will invest next in other Futures Contracts based on the same commodity as the futures contracts subject to such regulatory constraints or market conditions, and finally, to a lesser extent, in other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Futures Contracts if one or more other Futures Contracts is not available. When USCI has invested to the fullest extent possible in exchange-traded futures contracts, USCI may then invest in other contracts and instruments based on the Benchmark Component Futures Contracts, other Futures Contracts or the commodities included in the SDCI, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Futures Contracts and other contracts and instruments based on the Benchmark Component Futures Contracts are collectively referred to as “Other Commodity-Related Investments,” and together with Benchmark Component Futures Contracts and other Futures Contracts, intended“Commodity Interests.”

USCI seeks to replicateachieve its investment objective by investing so that the returnaverage daily percentage change in USCI’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the SDCI over the same period. USCF believes that the market arbitrage opportunities will cause the daily changes in USCI’s share price on the currentNYSE Arca on a percentage basis to closely track the daily changes in USCI’s per share NAV on a percentage basis. USCF believes that the net effect of this expected relationship and the expected relationship described above between USCI’s per share NAV and the SDCI will be that the daily changes in the price of USCI’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the SDCI on a percentage basis, less USCI’s expenses. While USCI is composed of Benchmark Component Futures

Contracts and thereafter may hold Futures Contracts inis therefore a particular commodity other than one specified asmeasure of the prices of the corresponding commodities comprising the SDCI for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the SDCI and the cash or spot prices of the commodities underlying the Benchmark Component Futures Contract,Contracts.

Investors should be aware that USCI’s investment objective is not for its NAV or may hold Other Commodity-Related Investments that are intendedmarket price of shares to replicateequal, in dollar terms, the return onspot prices of the Benchmark Futures Contracts, but may fail to closely track the SDCI’s total return movements. If USCI increases in size, due to its obligations to comply with regulatory limits or due to other market pricing or liquidity factors, USCI may invest in Futures Contract months other than the designated month specified ascommodities 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 Other Commodity-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

USCI’s shares began trading on August 10, 2010.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 December 31, 2017,2023, USCI held 1,794813 Futures Contracts on the NYMEX, 3,297held 1,308 Futures Contracts on the ICE Futures, 1,573held 918 Futures Contracts on the CBOT, 1,225held 182 Futures Contracts on the CME, 6,796held 1,360 Futures Contracts on the LME and 701held 185 Futures Contracts on the COMEX.

CPER’s Investment Objective

The investment objective of CPER is for the daily changes in percentage terms of its shares’ per share NAV to reflect the daily changes in percentage terms of the SummerHaven Copper Index Total Return^SM (the “SCI”), less CPER’s expenses. USCF does not intend to operate CPER in a fashion such that its per share NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts (as defined below) that comprise the SCI or the prices of any particular group of Futures Contracts. CPER will not seek to achieve a stated investment objective over a period of time greater than one day. USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts and Other Copper-Related Investments (as defined below).

The SCI is designed to reflect the performance of the investment returns from a portfolio of copper futures contracts.contracts on the Commodity Exchange, Inc. exchange (“COMEX”). The SCI is owned and maintained by SHIMSummerHaven Index Management, LLC (“SHIM”) and calculated and published by the NYSE Arca. The SCI is comprised of either twoone or three Eligible Copper Futures Contracts that are selected on a monthly basis based on quantitative formulas relating to the prices of the Eligible Copper Futures Contracts developed by SHIM. The Eligible Copper Futures Contracts that at any given time make up the SCI are referred to herein as “Benchmark Component Copper Futures Contracts.”

CPER seeks to achieve its investment objective by investing to the fullest extent possibleprimarily in the Benchmark Component Copper Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, CPER willmay also, to a lesser extent, invest next in other Eligible Copper Futures Contracts and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar tobeyond the Benchmark Component Copper Futures Contracts if one or more other Eligible Copper Futures Contracts is not available. When CPER has invested to the fullest extent possible in exchange-traded futures contracts, CPER may then invest in other contracts and instruments based on the Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts or copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts, as well as other investments based on copper, such as cash-settled options on Benchmark Component Copper Futures Contracts, forward contracts for copper, cleared swap contracts, non-cleared “over-the-counter” or “OTC” transactions that are based on the price of copper and other contractsBenchmark Component Copper Futures Contracts and instrumentsindices based on the foregoing (collectively, “Other Copper-Related Investments”). The following factors, among others, may be considered when determining CPER’s investments in Eligible Copper Futures Contracts or in Other Copper-Related Investments: regulatory requirements, risk mitigation measures taken by CPER, CPER’s FCMs, counterparties or other market participants, liquidity and market conditions. Other factors that may impact CPER’s investments in other Eligible Copper Futures Contracts, other exchange-traded futures contracts, or Other Copper-Related Investments include allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing. In addition, CPER may need to hold significant portions of its portfolio in cash beyond what it has historically held for reasons including (but not limited to) the need to address the changes in market conditions, regulatory requirements or risk mitigation measures or the need to satisfy potential margin requirements. For convenience and unless otherwise specified, Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts and Other Copper-Related Investments collectively are referred to as “Copper Interests.”

CPER seeks to achieve its investment objective by investing so that the average daily percentage change in CPER’s NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage change in the price of the Benchmark Component Copper Futures Contracts are referredover the same period. USCF believes that market arbitrage opportunities will cause daily changes in CPER’s share price on the NYSE Arca on a percentage basis, to collectively as “Other Copper-Related Investments,”closely track the daily changes in CPER’s per share NAV on a percentage basis. USCF believes that the net effect of this expected relationship and together withthe expected relationship described above between CPER’s per share NAV and the SCI will be that the daily changes in the price of CPER’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the SCI on a percentage basis, less CPER’s expenses. While CPER is composed of Benchmark Component Copper Futures Contracts and other Eligibleis therefore a measure of the prices of the corresponding commodities comprising the SCI for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the SCI and the cash or spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts, “Copper Interests.”Contracts.

Investors should be aware that CPER’s shares began trading on November 15, 2011. As of December 31, 2017, CPER held 153 Futures Contracts on the COMEX.

USAG’s Investment Objective

The investment objective is not for its NAV or market price of USAG is for the daily changes in percentage terms of its shares’ per share NAVshares to reflect the daily changes in percentage terms of the SummerHaven Dynamic Agriculture Index Total Return^SM (the “SDAI”), less USAG’s expenses. USCF does not intend to operate USAG in a fashion such that its per share NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component AgricultureCopper Futures Contracts (as defined below) that comprise the SDAI or the prices of any particular group of Futures Contracts. USAG

futures contracts. CPER will not seek to achieve its stated investment objective over a period of time greater than one day.  USCF believes thatThis 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 not practical to managelikely that the portfolio to achieve such an investment goal when investingrelationship between the market price of CPER’s shares and changes in Futures Contracts and Other Agriculture-Related Investments (as defined below). The SDAI is designed to reflect the performance of a diversified group of agricultural commodities. The SDAI is owned and maintained by SHIM and calculated and published by the NYSE Arca. Futures contracts for the agricultural commodities comprising the SDAI are traded on ICE Future US, ICE Futures Canada, the CBOT, the Kansas City Board of Trade (“KCBT”) and the CME and are collectively referred to herein as “Eligible Agriculture Futures Contracts.” The SDAI is comprised of 14 Eligible Agriculture Futures Contracts that are selected on a monthly basis based on quantitative formulas developed by SHIM. The Eligible Agriculture Futures Contracts that at any given time make up the SDAI are referred to herein as “Benchmark Component Agriculture Futures Contracts.” The relative weighting of the Benchmark Component Agriculture Futures Contracts will change on a monthly basis, based on quantitative formulas relating to thespot prices of the Benchmark Component Agriculture Futures Contracts developedunderlying commodities will continue to be so impacted by SHIM.

USAG seekscontango and backwardation. (It is important to achieve its investment objective by investing tonote that the fullest extent possible indisclosure above ignores the Benchmark Component Agriculture Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, USAG will invest next in other Eligible Agriculture Futures Contracts based onpotential costs associated with physically owning and storing the same agricultural commodity as the futures contracts subject to such regulatory constraints or market conditions, and finally, to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Agriculture Futures Contracts if one or more other Eligible Agriculture Futures Contracts is not available. When USAG has invested to the fullest extent possible in exchange-traded futures contracts, USAG may then invest in other contracts and instruments based on the Benchmark Component Agriculture Futures Contracts, other Eligible Agriculture Futures Contracts or the agricultural commodities, included in the SDAI, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Agriculture Futures Contracts and other contracts and instruments based on the Benchmark Component Agriculture Futures Contracts, as well as metals included in the SDAI, are collectively referred to as “Other Agriculture-Related Investments,” and together with Benchmark Component Agriculture Futures Contracts and other Eligible Agriculture Futures Contracts, “Agriculture Interests.”

USAG’s shares began trading on April 13, 2012.which could be substantial.) As of December 31, 2017, USAG2023, CPER held 341,342 Futures Contracts on the ICE Futures, 24 Futures Contracts on the CBOT, 10 Futures Contracts on the CME and 2 Futures Contract on the KCBT.

COMEX.

Other Defined Terms – Trust Series

The SDCI the SCI and the SDAISCI are referred to throughout this annual report on Form 10-K collectively as the “Applicable Index” or “Indices.”

Benchmark Component Futures Contracts, Benchmark Component Copper Futures Contracts and Benchmark Component AgricultureCopper Futures Contracts are referred to throughout this annual report on Form 10-K collectively as “Applicable Benchmark Component Futures Contracts.”

Other Commodity-Related Investments and Other Copper-Related Investments and Other Agriculture-Related Interests are referred to throughout this annual report on Form 10-K collectively as “Other Related Investments.” Commodity Interests Copper Interests and AgricultureCopper Interests are collectively referred to herein as “Applicable Interests” throughout this annual report on Form 10-K.

Who is USCF?

USCF is a single member limited liability company that was formed in the state of Delaware on May 10, 2005. USCF maintains its main business office at 1999 Harrison Street,1850 Mt. Diablo Boulevard, Suite 1530, Oakland, CA 94612.640, Walnut Creek, California 94596. USCF is a wholly-owned subsidiary of Wainwright Holdings, Inc.,USCF Investments, a Delaware corporation, (“Wainwright”) which is an intermediate holding company that owns USCF and another advisor of exchange traded funds. USCF Investments is a wholly owned subsidiary of Concierge Technologies, Inc.Marygold (publicly traded under the ticker CNCG) (“Concierge”).MGLD), a publicly traded holding company that owns various financial and non-financial businesses. Mr. Nicholas Gerber (discussed below), along with certain other family members and certain other shareholders, owns the majority of the shares of Concierge. Wainwrightin Marygold. USCF Investments is a holding company that currently holds both USCF, as well as USCF Advisers LLC, an investment adviser registered under the Investment Advisers Act of 1940, as amended.amended, (“USCF Advisers”). USCF Advisers LLC serves as the investment adviser for the USCF SummerHaven SHPEN IndexDynamic Commodity Strategy No K-1 Fund (“BUYN”SDCI”), the USCF SummerHaven SHPEI IndexMidstream Energy Income Fund (“BUY”UMI”), the USCF Gold Strategy Plus Income Fund (“GLDX”); the USCF Dividend Income Fund (“UDI”), the USCF Sustainable Battery Metals Strategy Fund (“ZSB”), USCF Energy Commodity Strategy Absolute Return Fund (“USE”), USCF Sustainable Commodity Strategy Fund (“ZSC”), and USCF Aluminum Strategy Fund (“ALUM”), each of which is a series of the USCF ETF Trust, as well as the USCF Commodity Strategy Fund, a series of the USCF Mutual Funds Trust. USCF ETF Trust and USCF Mutual Funds Trust are registered under the Investment Company Act of 1940, as amended (the “1940 Act”). USCF Advisers LLCIt was also the investment adviser for the Stock Split Index Fund (“TOFR”) and the USCF Restaurant Leaders Fund (“MENU”), each atwo series of the USCF ETF Trust until October 2017 when both fundsthat liquidated all of their assets and distributed cash pro rata to all remaining shareholders.shareholders: the USCF SummerHaven SHPEI Index Fund (“BUY”), until October 2020, and the USCF SummerHaven SHPEN Index Fund (“BUYN”), until May 2020. The USCF ETF Trust is registered under the 1940 Act. The Board of Trustees for the USCF ETF Trust and USCF Mutual Funds Trust consistconsists of different independent trustees than those independent directors who serve on the Board of Directors of USCF. USCF is a member of the National Futures Association (the “NFA”)NFA and registered as a commodity pool operator (“CPO”)CPO with the Commodity Futures Trading Commission (the “CFTC”)CFTC on December 1, 2005 and as a swaps firm on August 8, 2013.

USCF is the sponsor of the Trust and each of its series: USCI and CPER. USCF also serves as the general partner of the United States Oil Fund, LP (“USO”), the United States Natural Gas Fund, LP (“UNG”), the United States 12 Month Oil Fund, LP (“USL”), the United States GasolineBrent Oil Fund, LP (“UGA”BNO”), the United States Diesel-Heating OilGasoline Fund, LP (“UHN”), the United States Short Oil Fund, LP (“DNO”UGA”), the United States 12 Month Natural Gas Fund, LP (“UNL”) and the United States Brent Oil Fund, LP (“BNO”USO”).

USO, UNG, USL, UGA, UHN, DNO, UNL, USL and BNO are actively operating funds and all are listed on the NYSE Arca.

In addition, USCF is the sponsor of the USCF Funds Trust, a Delaware Statutory Trust, and each of its series, the REX S&P MLP Fund (“RMLP”), and the REX S&P MLP Inverse Fund (“MLPD”), which are currently in registration and have not commenced operations (together, the “REX Funds”), and the United States 3x Oil Fund (“USOU”) and the United States 3x Short Oil Fund (“USOD”), which commenced operations on July 20, 2017.

All funds listed previously, other than UCCO and the REX Funds, are referred to collectively herein as the “Related Public Funds.”

TheUSCI, CPER and the Related Public Funds are subject to reporting requirements under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). For more information about USCI, CPER and each of the Related Public Funds, investors in the Trust Series may call 1.800.920.0259 or visit www.uscfinvestments.com or the website of the Securities and Exchange Commission’s (the “SEC”) website at www.sec.gov.

USCF is required to evaluate the credit risk of each Trust Series to the futures commission merchant (“FCM”), oversee the purchase and sale of eachthe Trust Series’ shares by certain authorized purchasers (“Authorized Participants”), review daily positions and margin requirements of eachthe Trust Series and manage eachthe Trust Series’ investments. USCF also pays the fees of ALPS Distributors, Inc., which serves as the marketing agent for eachthe Trust Series (the “Marketing Agent” or “ALPS Distributors”), Brown Brothers Harriman & Co.and The Bank of New York Mellon (“BBH&Co.”BNY Mellon”), which

serves as the administrator (the “Administrator”) and the custodian (the “Custodian”) for eachthe Trust Series and SummerHaven Investment Management, LLC (“SummerHaven”), which serves as the commodity trading advisorprovides accounting and transfer agent services for, USCI, CPER and USAG.

There are no executive officers or employees of the Trust or any series thereof. Pursuant to the Trust Agreement, the affairs of the Trust and each series thereof are managed by USCF.

Series since April 1, 2020.

The business and affairs of USCF are managed by a board of directors (the “Board”), which is comprised of four management directors (the “Management Directors”), each of whom are also executive officers or employees of USCF, and three independent directors who meet the independent director requirements established by the NYSE Arca Equities Rules and the Sarbanes-Oxley Act of 2002. The Management Directors have the authority to manage USCF pursuant to the terms of the Sixth Amended and Restated Limited Liability Company Agreement of USCF, dated as of July 22, 2011 (as amended from time to time, the “LLC Agreement”). Through its Management Directors, USCF manages the day-to-day operations of each Trust Series. The Board has an audit committee which is made up of the three independent directors (Gordon L. Ellis, Malcolm R. Fobes III and Peter M. Robinson). For additional information relating to the audit committee, please see“Item 10. Directors, Executive Officers and Corporate Governance – Audit Committee” in this annual report on Form 10-K.

There are no executive officers or employees of the Trust or any series thereof. Pursuant to the Trust Agreement, the affairs of the Trust and each series thereof are managed by USCF.

How Does Each Trust Series Operate?

An investment in the shares provides a means for diversifying an investor’s portfolio or hedging exposure to changes in commodities prices. An investment in the shares allows both retail and institutional investors to easily gain this exposure to the commodities market in a transparent, cost-effective manner.

The investment objective of each Trust Series is for the daily changes in percentage terms of its per share NAV to reflect the daily changes in percentage terms of the Applicable Index, less each Trust Series expenses. USCF does not intend to operate any Trust Series in a fashion such that its per share NAV will equal, in dollar terms, the price of the Applicable Index or the price of any particular Applicable Benchmark Component Futures Contract. USCF believes that it is not practical to manage each Trust Series’ portfolio to achieve such an investment goal when investing in the Applicable Benchmark Component Futures Contracts and Other Related Investments.

How USCI Seeks to Achieve Its Investment Objective.USCI seeks to achieve its investment objective by investing in a mix of Commodity Interests such that the daily changes in its’ per share NAV will closely track the daily changesprimarily in the SDCI. USCI’s positionsBenchmark Component Futures Contracts. Then, if constrained by regulatory requirements, risk mitigation measures, liquidity requirements, or in Commodity Interestsview of market conditions, USCI will invest next in other Futures Contracts based on the same commodity as the futures contracts subject to such regulatory constraints or market conditions, and finally, to a lesser extent, in other exchange-traded futures contracts that are rebalanced on a monthly basis in ordereconomically identical or substantially similar to track the changing nature of the SDCI. The portfolio rebalancing takes place during the last four business days of the month (“Rebalancing Period”). At the end of each of the days in the Rebalancing Period, one fourth of the prior month portfolio positions are replaced by equally-weighted positions reflecting the particular Benchmark Component Futures Contracts determinedif one or more other Futures Contracts is not available. When USCI has invested to the fullest extent possible in exchange-traded futures contracts, USCI may then invest in other contracts and instruments based on the Selection Date, which is the fifth business day before the end of the month (“USCI’s Selection Date”). At the end of the Rebalancing Period, the SDCI will have an equal-weight position of approximately 7.14% in each of the selected Benchmark Component Futures Contracts, which will be reflectedother Futures Contracts or the commodities included in the rebalanced portfolio. After fulfillingSDCI, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the collateral requirementsBenchmark Component Futures Contracts and other contracts and instruments based on the Benchmark Component Futures Contracts are collectively referred to as “Other Commodity-Related Investments,” and together with respectBenchmark Component Futures Contracts and other Futures Contracts, “Commodity Interests.”

Market conditions that USCF currently anticipates could cause USCI to its Commodity Interests,invest in Other Commodity-Related Investments include those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing. USCI invests substantially the remainderentire amount of its proceeds fromassets in Futures Contracts while supporting such investments by holding the saleamounts of creation basketsits margin, collateral and other requirements relating to these obligations in short-term obligations of the United States of two years or less (“Treasuries”) or, cash equivalents, and/or merely holds such assets inand cash (generally in interest-bearing accounts).

equivalents. The daily holdings of USCI are available on USCI’s website at www.uscfinvestments.com.

How CPER Seeks to Achieve Its Investment Objective. CPER seeks to achieve its investment objective by investing to the fullest extent possibleprimarily in the Benchmark Component Copper Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, CPER willmay also, to a lesser extent, invest next in other Eligible Copper Futures Contracts and finally to a lesser extent, inbeyond the Benchmark Component Copper Futures Contracts or other exchange tradedexchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts, if oneas well as other investments based on copper, such as cash-settled options on Benchmark Component Copper Futures Contracts, forward contracts for copper, cleared swap contracts, non-cleared “over-the-counter” or more“OTC” transactions that are based on the price of copper and other Benchmark Component Copper Futures Contracts and indices based on the foregoing (collectively, “Other Copper-Related Investments”). The following factors, among others, may be considered when determining CPER’s investments in Eligible Copper Futures Contracts or in Other Copper-Related Investments: regulatory requirements, risk mitigation measures taken by CPER, CPER’s FCMs, counterparties or other market participants, liquidity and market conditions. Other factors that may impact CPER’s investments in other Eligible Copper Futures Contracts, is not available. When CPER has invested to the fullest extent possible inother exchange-traded futures contracts, it may then invest inor Other Copper-Related Investments. After fulfilling the collateral requirementsInvestments include allowing CPER to obtain greater liquidity or to execute transactions with respectmore favorable pricing. In addition, CPER may need to its Copper Interests, CPER invests the remainderhold significant portions of its proceeds from the sale of creation baskets in Treasuries or cash equivalents, and/or merely holds such assetsportfolio in cash (generallybeyond what it has historically held for reasons including (but not limited to) the need to address the changes in interest-bearing accounts).

How USAG Seeks to Achieve Its Investment Objective. USAG seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Agriculture Futures Contracts. Then, if constrained bymarket conditions, regulatory requirements or in viewrisk mitigation measures or the need to satisfy potential margin requirements. For convenience and unless

otherwise specified, Benchmark Component Copper Futures Contracts, other Eligible AgricultureCopper Futures Contracts and finallyOther Copper-Related Investments collectively are referred to a lesser extent,as “Copper Interests.”

CPER currently invests substantially the entire amount of its assets in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component AgricultureEligible Copper Futures Contracts if one or more other Eligible Agriculture Futures Contracts is not available. When USAG has invested towhile supporting such investments by holding the fullest extent possible in exchange-traded futures contracts, it may then invest in Other Agriculture-Related Investments. After fulfilling the collateral requirements with respect to its Agriculture Interests, USAG will invest the remainderamounts of its proceeds from the sale of creation basketsmargin, collateral and other requirements relating to these obligations in Treasuries, or cash equivalents, and/or merely hold such assets inand cash (generally in interest-bearing accounts).

equivalents. The anticipated datesdaily holdings of CPER are available on which USCI, USAG and CPER’s positions in Applicable Interests will be rebalanced on a monthly basis are posted on such Trust Series’ website www.uscfinvestments.com, and are subject to change without notice.

at www.uscfinvestments.com.

USCF employs a “neutral” investment strategy in order to track changes in the Applicable Index regardless of whether the Applicable Index goes up or goes down. A Trust Series’ “neutral” investment strategy is designed to permit investors generally to purchase and sell a Trust Series’ shares for the purpose of investing indirectly in the applicable commodities market in a cost-effective manner, and/or to permit participants in the applicable commodities or other industries to hedge the risk of losses in their applicable commodity-related transactions. Accordingly, depending on the investment objective of an individual investor, the risks generally associated with investing in the commodities market and/or the risks involved in hedging may exist. In addition, an investment in a Trust Series involves the risks that the daily changes in the price of the Trust Series’ shares, in percentage terms, will not accurately track the daily changes in the Applicable Index, in percentage terms, and that daily changes in the Applicable Index, in percentage terms, will not closely correlate with daily changes in the spot prices of the applicable commodities underlying the Applicable Benchmark Component Copper Futures Contracts, in percentage terms.

Each Trust Series’ investment objective is for the daily changes in percentage terms of its per share NAV to reflect the daily changes in percentage terms of the Applicable Index,not to have the market price of its shares match, in dollar terms, changes in the price of the Applicable Index or the applicable commodities underlying the Applicable Benchmark Component Futures Contracts that make up the Applicable Index. Contango and backwardation may impact the total return on investment in shares of a Trust Series relative to a hypothetical direct investment in the commodities underlying the Applicable Benchmark Component Futures Contracts that make up the Applicable Index and, in the future, it is likely that the relationship between the market prices of a Trust Series’ shares and changes in the spot prices of the commodities underlying the Applicable Benchmark Component Futures Contracts that make up the Applicable Index could be impacted by contango and backwardation. It is important to note that this comparison ignores the potential costs associated with physically owning and storing commodities, which could be substantial. For a more in-depth discussion of the impact of contango and backwardation, see “Item 1A. Risk Factors” in this annual report on Form 10-K.

Furthermore, each Trust Series also purchases Treasuries and holds cash and/or cash equivalents to meet its current or potential margin or collateral requirements with respect to its investments in Applicable Interests and to hold cash not required to be used as margin or collateral. There is not expected to be any meaningful correlation between the performance of a Trust Series’ investments in Treasuries, cash or cash equivalents and the changes in the prices of commodities or Applicable Interests. While the level of interest earned on or the market price of these investments may in some respect correlate to changes in the prices of commodities, this correlation is not anticipated as part of the Trust Series’ efforts to meet its objective.

A Trust Series’ total portfolio composition is disclosed on the applicable Trust Series’ website on each business day that the NYSE Arca is open for trading. For a list of each of USCI’s, CPER’s and USAG’s current holdings, please see www.uscfinvestments.com. The website disclosure of portfolio holdings for each Trust Series is made daily and includes, as applicable, the name and value of each Applicable Benchmark Component Futures Contract, the specific types and values of Other Related Investments and characteristics of such Other Related Investments, the name and value of each Treasury and cash equivalent, and the amount of cash held in each Trust Series, as applicable. Each Trust Series’ website is publicly accessible at no charge. Each Trust Series’ assets used for margin and collateral are held in segregated accounts pursuant to the Commodity Exchange Act (the “CEA”) and CFTC regulations.

The shares issued by a Trust Series may only be purchased by Authorized Participants and only in blocks of 50,000 shares called “Creation Baskets” through the Marketing Agent. The amount of the purchase payment for a Creation Basket is equal to the aggregate NAV of the shares in the Creation Basket. Similarly, only Authorized Participants may redeem shares and only in blocks of 50,000 shares called “Redemption Baskets”. The amount of the redemption proceeds for a Redemption Basket is equal to the aggregate NAV of shares in the Redemption Basket. The purchase price for Creation Baskets and the redemption price for Redemption Baskets are the actual per share NAV calculated at the end of the business day when a request for a purchase or redemption is received by the applicable Trust Series. The NYSE Arca publishes an approximate per share NAV intra-day based on the prior day’s per share NAV and the current price of the Applicable Benchmark Component Futures Contracts, but the price of Creation Baskets and Redemption Baskets is determined based on the actual per share NAV calculated at the end of each trading day.

While each Trust Series only issues shares in Creation Baskets, shares are listed on the NYSE Arca and investors may purchase and sell shares at market prices like any security.

What is the Investment Strategy for each Trust Series?

In managing a Trust Series’ assets, USCF does not use a technical trading system that automatically issues buy and sell orders, other than to address monthly changes in the Applicable Benchmark Component Futures Contracts, on a percentage basis. Instead, each time one or more baskets are purchased or redeemed, USCF will purchase or sell Applicable Interests with an aggregate market value that approximates the amount of Treasuries and/or cash received or paid upon the purchase or redemption of the basket(s).

Each Trust Series endeavors to place trades in Applicable Interests and otherwise manage its investments so that “A” will be within plus/minus ten percent (10%) of “B”, where:

USCF believes that market arbitrage opportunities will cause the daily changes in each Trust Series’ share price on the NYSE Arca on a percentage basis to closely track the daily changes in such Trust Series’ per share NAV on a percentage basis. USCF further believes that the net effect of this expected relationship and the expected relationship described above between a Trust Series’ per share NAV and the Applicable Index will be that the daily changes in the price of a Trust Series’ shares on the NYSE Arca on a percentage basis will closely track the daily changes in the Applicable Index on a percentage basis, less such Trust Series’ expenses. While the Applicable Index is composed of Applicable Benchmark Component Futures Contracts and is therefore a measure of the prices of the applicable commodities comprising the Applicable Index for future delivery, there is nonetheless expected to be a reasonable degree of correlation between the Applicable Index and the cash or spot prices of the commodities underlying the Applicable Benchmark Component Futures Contracts.

Commodity Interests. The specific Commodity Interests purchased depend on various factors, including a judgment by USCF as to the appropriate diversification of USCI’s investments. While USCF has made significant investments in Benchmark Component Futures Contracts on the Futures Exchanges, for various reasons, including the ability to enter into the precise amount of exposure to the commodities market and position limits on Futures Contracts, it may also invest in economically equivalent Futures Contracts other than those that compose the Benchmark Component Futures Contracts and Other Commodity-Related Investments. To the extent that USCI invests in Other Related Investments, it would prioritize investments in contracts and instruments that are economically equivalent to the Benchmark Component Futures Contracts, including cleared swaps that satisfy such criteria, and then to a lesser extent, it would invest in other types of cleared swaps and other contracts, instruments and non-cleared swaps, such as swaps in over-the-counter market (or commonly referred to as the OTC market.“market”). If USCI is required by law or regulation, or by one of its regulators, including a Futures Exchange, to reduce its position in one or more Benchmark Component Futures Contracts to the applicable position limit or to a specified accountability level, a substantial portion of USCI’s assets could be invested in Other Commodity-Related Investments that are intended to replicate the return on the SDCI or particular Benchmark Component Futures Contracts. As USCI’s assets reach higher levels, USCI is more likely to exceed position limits, accountability levels or other regulatory limits and, as a result, it is more likely that it will invest in Other Commodity-Related Investments at such higher levels. In addition, market conditions that USCF currently anticipates could cause USCI to invest in Other Commodity-Related Investments include those allowing USCI to obtain greater liquidity or to execute transactions with more favorable pricing. See“Item 1. Business – Commodities Regulation” in this annual report on Form 10-K for a discussion of the potential impact of regulation on USCI’s ability to invest in OTC transactions and cleared swaps.

Copper Interests. The specific Copper Interests purchased will depend on various factors, including a judgment by USCF as to the appropriate diversification of CPER’s investments. USCF anticipates, particularly while CPER has lesser amounts of assets, that it will make significant investments in Benchmark Component Copper Futures Contracts on the COMEX. In addition, for various reasons, including the ability to enter into the precise amount of exposure to the copper market or due to market conditions regarding liquidity or pricing of differing futures contracts, it may invest in other exchange-traded futures contracts that are economically identical or substantially similar to, the Benchmark Component Copper Futures Contracts. USCF further anticipates that as CPER grows larger, due to position limits on futures contracts or other regulatory requirements limiting CPER’s holdings, and market conditions, it may also invest in Other Copper-Related Investments. To the extent that CPER invests in Other Copper-Related Investments, it would prioritize investments in contracts and instruments that are economically equivalent to the Benchmark Component Copper Futures Contracts. In considering the use of Other Copper-Related Investments, USCF anticipates that it would first make use of swaps that clear through derivatives clearing organizations that satisfy CPER’s criteria if such swaps are available with respect to the Benchmark Component Copper Futures Contracts or the copper futures contracts included in the SCI. Then, and to a lesser extent, it would invest in other types of contracts, instruments and swaps, including uncleared swaps in the OTC market. If CPER is required by law or regulation, or by one of its regulators, including the COMEX, to reduce its position in one or more Benchmark Component Copper Futures Contracts to the applicable position limit or to a specified accountability level or if market conditions dictate it would be more appropriate to invest in Other Copper-Related Investments, a substantial portion of CPER’s assets could be invested in accordance with such priority in Other Copper-Related Investments that are intended to replicate the return on the SCI or particular Benchmark Component Copper Futures Contracts. As CPER’s assets reach higher levels, CPER is more likely to exceed position limits, accountability levels or other regulatory limits and, as a result, it is more likely that it will invest in accordance with such priority in Other Copper-Related Investments at such higher levels. In addition, market conditions that USCF currently anticipates could cause CPER to invest in Other Copper-Related Investments include those allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing. See“Item 1. Business – Commodities Regulation” in this annual report on Form 10-K for a discussion of the potential impact of regulation on CPER’s ability to invest in OTC transactions and cleared swaps.

Agriculture Interests.The specific Agriculture Interests purchased will depend on various factors, including a judgment by USCF as to the appropriate diversification of USAG’s investments. USCF anticipates, particularly while USAG has lesser amounts of assets, that it will make significant investments in Benchmark Component Agriculture Futures Contracts on ICE Futures US, ICE Futures Canada, CBOT, KCBT and the CME. In addition, for various reasons, including the ability to enter into the precise amount of exposure to the agricultural commodities market or due to market conditions regarding liquidity or pricing of differing futures contracts, it may invest in other exchange-traded futures contracts that are economically identical or substantially similar to, the Benchmark Component Agriculture Futures Contracts. USCF further anticipates that as USAG grows larger, due to position limits on futures contracts or other regulatory requirements limiting USAG’s holdings, and market conditions, it may also invest in Other Agriculture-Related Investments. To the extent that USAG invests in Other Agriculture-Related Investments, it would prioritize investments in contracts and instruments that are economically equivalent to the Benchmark Component Agriculture Futures Contracts. In considering the use of Other Agriculture-Related Investments, USCF anticipates that it would first make use of swaps that clear through derivatives clearing organizations that satisfy USAG’s criteria if such swaps are available with respect to the Benchmark Component Agriculture Futures Contracts or the agricultural commodity futures contracts included in the SDAI. Then, and to a lesser extent, it would invest in other types of contracts, instruments and swaps, including uncleared swaps in the OTC market. If USAG is required by law or regulation, or by one of its regulators, including ICE Futures US, ICE Futures Canada, CBOT, KCBT or the CME, to reduce its position in one or more Benchmark Component Agriculture Futures Contracts to the applicable position limit or to a specified accountability level or if market conditions dictate it would be more appropriate to invest in Other Agriculture-Related Investments, a substantial portion of the USAG’s assets could be invested in accordance with such priority in Other Agriculture-Related Investments that are intended to replicate the return on the SDAI or particular Benchmark Component Agriculture Futures Contracts. As the USAG’s assets reach higher levels, USAG is more likely to exceed position limits, accountability levels or other regulatory limits and, as a result, it is more likely that it will invest in accordance with such priority in Other Agriculture-Related Investments at such higher levels. In addition, market conditions that USCF currently anticipates could cause USAG to invest in Other Agriculture-Related Investments include those allowing USAG to obtain greater liquidity or to execute transactions with more favorable pricing. See“Item 1. Business - Commodities Regulation” in this annual report on Form 10-K for a discussion of the potential impact of regulation on USAG’s ability to invest in OTC transactions and cleared swaps.

USCF may not be able to fully invest a Trust Series’ assets in Applicable Benchmark Component Futures Contracts having an aggregate notional amount exactly equal to that Trust Series’ NAV. For example, as standardized contracts, the Applicable Benchmark Component Futures Contracts included in an Applicable Index are for a specified amount of a particular commodity, and the applicable Trust Series’ NAV and the proceeds from the sale of a Creation Basket in a particular Trust Series is unlikely to be an exact multiple of the amounts of those contracts. As a result, in such circumstances, a Trust Series may be better able to achieve the exact amount of exposure to changes in price of the Applicable Benchmark Component Futures Contracts through the use of Other Related Investments, such as OTC contracts that have better correlation with changes in price of the Applicable Benchmark Component Futures Contracts.

Each Trust Series anticipates that, to the extent it invests in Applicable Benchmark Component Futures Contracts other than the Applicable Benchmark Component Futures Contracts and Other Related Investments that are not economically equivalent to the Applicable Benchmark Component Futures Contracts, it will enter into various non-exchange-traded derivative contracts to hedge the short-term price movements of such Applicable Benchmark Component Futures Contracts and Other Related Investments against the current Applicable Benchmark Component Futures Contracts.

USCF does not anticipate letting its Applicable Benchmark Component Futures Contracts expire and taking delivery of any commodities. Instead, USCF closes existing positions,e.g., in response to ongoing changes in the Applicable Index or if it otherwise determines it would be appropriate to do so and reinvests the proceeds in new Applicable Interests. Positions may also be closed out to meet orders for Redemption Baskets, in which case the proceeds from closing the positions will not be reinvested.

The Trust Agreement contains no restrictions on the ability of USCF to change the investment objective of any Trust Series. Notwithstanding this, USCF has no intention of changing the investment objective of any Trust Series or the manner in which it intends to achieve its investment objective. Should USCF seek to change the investment objective of a Trust Series, such change would be reflected in an amended prospectus and would provide advance notice to investors.

What are Futures Contracts?

Futures contracts are agreements between two parties. One party agrees to buy a commodity such as natural gas or copper from the other party at a later date at a price and quantity agreed-upon when the contract is made. Generally, futures contracts traded on the NYMEX and the COMEX are priced by floor brokers and other exchange members both through an “open outcry” of offers to purchase or sell the contracts and through an electronic, screen-based system that determines the price by matching electronically offers to purchase and sell. Futures contracts may also be based on commodity indices, in that they call for a cash payment based on the change in the value of the specified index during a specified period. Additional risks of investing in futures contracts are included in“Item 1A. Risk Factors” in this annual report on Form 10-K.

Accountability Levels, Position Limits and Price Fluctuation LimitsLimits. . Designated contract markets (“DCMs”), such as the NYMEX and ICE Futures, have established accountability levels and position limits on the maximum net long or net short futures contracts in commodity interests that any person or group of persons under common trading control (other than as a hedge, which is not applicable to the Trust Series’ investments) may hold, own or control. These levels and position limits apply to the futures contracts that the Trust invests in to meet its investment objective. In addition to accountability levels and position limits, the NYMEX and ICE Futures may also set daily price fluctuation limits on futures contracts. The daily price fluctuation limit establishes the maximum amount that the price of a futures contract may vary either up or down from the previous day’s settlement price. Once the daily price fluctuation limit has been reached in a particular futures contract, no trades may be made at a price beyond that limit.

The accountability levels for the commodities comprising an Applicable Index and other futures contracts traded on U.S.-based futures exchanges are not a fixed ceiling, but rather a threshold above which such exchanges may exercise greater scrutiny and control over an investor’s positions. As of December 31, 2017,2023, USCI held 1,794813 Futures Contracts on the NYMEX, 3,297held 1,308 Futures Contracts on the ICE Futures, 1,573held 918 Futures Contracts on the CBOT, 1,225held 182 Futures Contracts on the CME, 6,796held 1,360 Futures Contracts on the LME and 701held 185 Futures Contracts on the COMEX. As of December 31, 2023, CPER held 1531,342 Futures Contracts on the COMEX. USAG held 34 Futures Contracts on the ICE Futures, 24 Futures Contracts on the CBOT, 10 Futures Contracts on the CME and 2 Futures Contract on the KCBT. No Trust Series exceeded accountability levels imposed by the NYMEX, COMEX, CME, CBOT, KCBTLME or ICE Futures.

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 year ended December 31, 2017,2023, no Trust Series exceeded position limits imposed by the NYMEX, COMEX, CME, CBOT, KCBTLME or ICE Futures.

The CFTC has proposed to adoptPart 150 of the CFTC’s regulations (“Position Limits Rule”) establishes federal position limits on speculative positions infor 25 physical commoditycore referenced futures contracts (comprised of agricultural, energy and metals futures contracts), futures and optionoptions linked to the core referenced futures contracts, as well asand swaps that are economically equivalent to suchthe core referenced futures contracts in the agriculture, energy and metals markets (the “Position Limit Rules”). The Position Limit Rules would, among other things: identify which contractsthat all market participants must comply with, with certain exemptions.

Certain Applicable Benchmark Component Futures Contracts are subject to speculative position limits; set thresholds that restrictlimits under the size of speculative positions that a person may holdPosition Limits Rule, and the Trust Series’ trading does not qualify for an exemption therefrom. Accordingly, the Position Limits Rule could inhibit the Trust Series’ ability to invest in the spot month, other individual months,Applicable Benchmark Component Futures Contracts and all months combined; create an exemption for positions that constitute bona fide hedging transactions; impose responsibilities on designated contract markets (“DCMs”) and swap execution facilities (“SEFs”) to establish position limits or, in some cases, position accountability rules; and apply to both futures and swaps across four relevant venues: OTC, DCMs, SEFs as well as certain non-U.S. located platforms. The CFTC’s first attempt at finalizing the Position Limit Rules, in 2011, was successfully challenged by market participants in 2012 and, since then, the CFTC has re-proposed them and solicited comments from market participants multiple times. At this time, it is unclear how the Position Limit Rules may affect the Trust Series, but the effect may be substantial and adverse. By way of example, the Position Limit Rules maythereby could negatively impact the ability of athe Trust Series to meet its investment objectives through limits that may inhibit USCF’s ability to sell additional Creation Baskets of a Trust Series. See “The Commodity Interest Markets – Commodities Regulation” in this annual report on Form 10-K for additional information.objective.

Until such time as the Position Limit Rules are adopted, the regulatory architecture in effect prior to the adoption of the Position Limit Rules will govern transactions in commodities and related derivatives. Under that system, the CFTC enforces federal limits on speculation in nine agricultural products (e.g., corn, wheat and soy), while futures exchanges establish and enforce position limits and accountability levels for other agricultural products and certain energy products (e.g., oil and natural gas). As a result, a Trust Series may be limited with respect to the size of its investments in any commodities subject to these limits.

Under existing and recently adopted CFTC regulations, for the purpose of position limits, a market participant is generally required, subject to certain narrow exceptions, to aggregate all positions for which that participant controls the trading decisions with all positions for which that participant has a 10 percent or greater ownership interest in an account or position, as well as the positions of two or more persons acting pursuant to an express or implied agreement or understanding with that participant (the “Aggregation Rules”). The Aggregation Rules will also apply with respect to the Position Limit Rules if and when such Position Limit Rules are adopted.

Price VolatilityVolatility.. The price volatility of futures contracts generally has been historically greater than that for traditional securities such as stocks and bonds. Price volatility often is greater day-to-day as opposed to intra-day. Because each Trust Series invests a significant portion of its assets in futures contracts, the assets of each Trust Series, and therefore the price of each Trust Series’ shares, may be subject to greater volatility than traditional securities.

Marking-to-Market Futures PositionsPositions.. Futures contracts are marked to market at the end of each trading day and the margin required with respect to such contracts is adjusted accordingly. This process of marking-to-market is designed to prevent losses from accumulating in any futures account. Therefore, if a Trust Series’ futures positions have declined in value, such Trust Series may be required to post variation margin to cover this decline. Alternatively, if a Trust Series’ futures positions have increased in value, this increase will be credited to such Trust Series’ account.

What is the SDCI?

The SDCI was developed based upon academic research by Yale University professors Gary B. Gortonis a commodity sector index designed to broadly represent major commodities while overweighting the components that are assessed to be in a low inventory state and K. Geert Rouwenhorst, and Hitotsubashi University professor Fumio Hayashi.underweighting the components assessed to be in a high inventory state. The SDCI is designed to reflect the performance of a fully margined or collateralized portfolio of 14 eligible commodity futures contracts with equal weights, selected each month from a universe of 27 eligible commodity futures contracts. The SDCI is rules-based and rebalanced monthly based on observable price signals. In this context, the term “rules-based” is meant to indicate that the composition of the SDCI in any given month will be determined by quantitative formulas relating to the prices of the futures contracts that relate to the commodities that are eligible to be included in the SDCI. Such formulas are not subject to adjustment based on other factors. The overall return on the SDCI is generated by two components: (i) uncollateralized returns from the Applicable Benchmark Component Futures Contracts comprising the SDCI and (ii) a daily fixed income return reflecting the interest earned on a hypothetical 3-month U.S. Treasury Bill collateral portfolio, calculated using the weekly auction rate for the 3-Month U.S. Treasury Bills published by the U.S. Department of the Treasury. SHIM is the owner of the SDCI.

TheCurrently, the SDCI is composed of physical non-financial commodity futures contracts with active and liquid markets traded upon futures exchanges in major industrialized countries. The futures contracts are denominated in U.S. dollars and weighted equally by notional amount. The SDCI currently reflects commodities in sixfive commodity sectors: energy (e.g.petroleum (e.g., crude oil, natural gas, heating oil, etc.), precious metals (e.g.(e.g., gold, silver platinum), industrial metals (e.g.(e.g., zinc, nickel, aluminum, copper, etc.), grains (e.g.(e.g., wheat, corn, soybeans, etc.), softs (e.g.and non-primary sector (e.g., sugar, cotton, coffee, cocoa), and livestock (e.g.,cocoa, natural gas, live cattle, lean hogs, feeder cattle).

Table 1 below lists the eligible commodities, the relevant futures exchange on which the futures contract is listed and quotation details. Table 2 lists the eligible futures contracts, their sector designation and maximum allowable tenor.

TABLE 1

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