UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

~~FORM 10-Q~~

x ☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended ~~September~~June 30, ~~2017.~~2020.

¨
	or

☐	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:~~ file number: 001-34704

United States Brent Oil Fund, LP

(Exact name of registrant as specified in its charter)

Delaware		27-0925904
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

~~1999 Harrison Street,~~1850 Mt. Diablo Boulevard, Suite ~~1530~~640

~~Oakland,~~ Walnut Creek, California ~~94612~~94596

(Address of principal executive offices) (Zip ~~code)~~Code)

(510) 522-9600

~~(510) 522-9600~~

(Registrant’s telephone number, including area code)

N/A

~~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 Brent Oil Fund, LP		BNO		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.x⌧ Yes ¨☐ No

Indicate by check mark whether the registrant has submitted electronically ~~and posted on its corporate Website, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ 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 ~~and post~~ such files).x⌧ 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,”~~filer”, “accelerated ~~filer,”~~filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large ~~accelerated filer~~Accelerated Filer	¨ ☐		Accelerated ~~filer~~Filer	x ⌧
Non-Accelerated Filer	☐		Smaller Reporting Company	☐
~~Non-accelerated filer~~ Emerging Growth Company	¨ ☐	~~(Do not check if a smaller reporting company)~~	~~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 pursuant to Section ~~7(a)(2)(B)~~13(a) of the ~~Securities~~Exchange Act.¨☐

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

The registrant had ~~6,050,000~~ 36,400,000 outstanding shares ~~outstanding~~ as of ~~November 2,2017~~.August 3, 2020.

Table of Contents

United States Brent Oil Fund, LP

Condensed Statements of Financial Condition

At ~~September~~June 30, ~~2017~~2020 (Unaudited) and December 31, ~~2016~~2019

September 30, 2017 December 31, 2016
Assets
Cash and cash equivalents (at cost $82,845,053 and $103,167,056, respectively)
(Notes 2 and 5) $ 82,845,053 $ 103,167,056
Equity in trading accounts:
Cash and cash equivalents (at cost $13,446,411 and $8,297,821, respectively) 13,446,411 8,297,821
Unrealized gain (loss) on open commodity futures contracts 2,406,500 2,332,880
Receivable from General Partner (Note 3) 250,328 189,745
Dividends receivable 14,378 10,378
Interest receivable 7,559 —
Directors' fees and insurance receivable 404 —
ETF transaction fees receivable 350 700

Total assets $ 98,970,983 $ 113,998,580

Liabilities and Partners' Capital
Payable for shares redeemed $ 2,278,691 $ 785,318
General Partner management fees payable (Note 3) 60,655 74,409
Professional fees payable 161,228 107,421
Brokerage commissions payable 5,316 7,176
Directors' fees and insurance payable — 1,184

Total liabilities 2,505,890 975,508

Commitments and Contingencies (Notes 3, 4 and 5)

Partners' Capital
General Partner — —
Limited Partners 96,465,093 113,023,072
Total Partners' Capital 96,465,093 113,023,072

Total liabilities and partners' capital $ 98,970,983 $ 113,998,580

Limited Partners' shares outstanding 6,350,000 7,200,000
Net asset value per share $ 15.19 $ 15.70
Market value per share $ 15.16 $ 15.68


	June 30, 2020		December 31, 2019
Assets
Cash and cash equivalents (at cost $346,275,914 and $72,725,833, respectively) (Notes 2 and 5)	$	346,275,914	$	72,725,833
Equity in trading accounts:
Cash and cash equivalents (at cost $68,025,972 and $10,877,607, respectively)		68,025,972		10,877,607
Unrealized gain (loss) on open commodity futures contracts		(1,081,430)		1,161,610
Receivable for shares sold		21		—
Receivable from General Partner (Note 3)		—		80,032
Dividends receivable		43,810		26,116
Interest receivable		—		4,902
Prepaid insurance*		7,297		2,132
Prepaid registration fees		282,978		—
Prepaid reimbursement		276,795		—

Total Assets	$	413,831,357	$	84,878,232

Liabilities and Partners’ Capital
General Partner management fees payable (Note 3)	$	265,143	$	52,399
Professional fees payable		51,168		117,559
Brokerage commissions payable		15,116		2,816
Directors’ fees payable*		4,882		3,272

Total Liabilities		336,309		176,046

Commitments and Contingencies (Notes 3, 4 & 5)

Partners’ Capital
General Partners		—		—
Limited Partners		413,495,048		84,702,186
Total Partners’ Capital		413,495,048		84,702,186

Total Liabilities and Partners’ Capital	$	413,831,357	$	84,878,232

Limited Partners’ shares outstanding		38,400,000		4,050,000
Net asset value per share	$	10.77	$	20.91
Market value per share	$	10.79	$	20.85

*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 Brent Oil Fund, LP

Condensed Schedule of Investments (Unaudited)

At ~~September~~June 30, ~~2017~~2020

Notional
Amount Number of
Contracts Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts % of
Partners'
Capital
Open Futures Contracts - Long
Foreign Contracts
ICE Brent Crude Oil Futures CO December 2017 contracts, expiring October 2017* $ 94,079,710 1,699 $ 2,406,500 2.49


				Fair Value/
				Unrealized Gain
				(Loss) on Open		% of
	Notional		Number of	Commodity		Partners’
	Amount		Contracts	Contracts		Capital
Open Commodity Futures Contracts - Long
United Kingdom Contracts
ICE Brent Crude Oil Futures CO September 2020 contracts, expiring July 2020	$	414,606,830	10,020	$	(1,081,430)	(0.26)

Principal
Amount Market
Value
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
0.90%, 10/05/2017 $ 3,000,000 $ 2,999,702 3.11
0.92%, 10/12/2017 3,000,000 2,999,161 3.11
0.91%, 10/19/2017 3,000,000 2,998,642 3.11
0.95%, 10/26/2017 2,000,000 1,998,681 2.07
0.97%, 11/02/2017 2,000,000 1,998,284 2.07
1.01%, 11/09/2017 4,000,000 3,995,645 4.14
0.98%, 11/16/2017 3,000,000 2,996,243 3.11
1.05%, 11/24/2017 3,000,000 2,995,298 3.11
1.05%, 11/30/2017 3,000,000 2,994,775 3.11
1.08%, 12/07/2017 3,000,000 2,994,026 3.10
1.09%, 12/14/2017 3,000,000 2,993,340 3.10
1.11%, 12/21/2017 3,000,000 2,992,575 3.10
1.10%, 12/28/2017 3,000,000 2,991,970 3.10
1.12%, 1/04/2018 3,000,000 2,991,173 3.10
1.11%, 1/11/2018 3,000,000 2,990,608 3.10
1.10%, 1/18/2018 2,000,000 1,993,399 2.07
1.12%, 1/25/2018 3,000,000 2,989,222 3.10
1.12%, 2/01/2018 3,000,000 2,988,571 3.10
1.13%, 2/08/2018 2,000,000 1,991,875 2.07
1.12%, 2/15/2018 2,000,000 1,991,552 2.07
1.10%, 2/22/2018 2,000,000 1,991,280 2.06
1.09%, 3/01/2018 2,000,000 1,990,898 2.06
1.14%, 3/08/2018 2,000,000 1,990,059 2.06
1.14%, 3/15/2018 2,000,000 1,989,642 2.06
1.16%, 3/22/2018 2,000,000 1,989,011 2.06
1.17%, 3/29/2018 2,000,000 1,988,464 2.06
Total Treasury Obligations 67,824,096 70.31

United States - Money Market Funds
Fidelity Investments Money Market Funds - Government Portfolio 12,000,000 12,000,000 12.44
Goldman Sachs Financial Square Funds - Government Fund - Class FS 3,000,000 3,000,000 3.11
Morgan Stanley Institutional Liquidity Funds - Government Portfolio 5,000,000 5,000,000 5.18
Total Money Market Funds 20,000,000 20.73
Total Cash Equivalents $ 87,824,096 91.04


	Principal		Market		% of Partners'
	Amount		Value		Capital
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
1.54%, 7/02/2020	$	2,000,000	$	1,999,915	0.49
1.52%, 7/09/2020		2,000,000		1,999,332	0.49
1.55%, 7/16/2020		2,000,000		1,998,725	0.49
1.53%, 7/23/2020		2,000,000		1,998,148	0.48
1.54%, 7/30/2020		2,000,000		1,997,551	0.48
1.54%, 8/06/2020		2,000,000		1,996,960	0.48
1.52%, 8/13/2020		2,000,000		1,996,400	0.48
1.53%, 8/20/2020		2,000,000		1,995,806	0.48
1.43%, 8/27/2020		2,000,000		1,995,535	0.48
0.68%, 9/03/2020		2,000,000		1,997,618	0.48
0.39%, 9/10/2020		3,000,000		2,997,740	0.73
Total United States Treasury Obligations				22,973,730	5.56

United States Money Market Funds
Fidelity Investments Money Market Funds - Government Portfolio, 0.06%^#		166,102		166,101	0.04
Goldman Sachs Financial Square Funds - Government Fund - Class FS, 0.15%^#		345,657,925		345,657,925	83.59
RBC U.S. Government Money Market Fund - Institutional Share Class, 0.10%^#		410,688		410,688	0.10
Total United States Money Market Funds				346,234,714	83.73
Total Cash Equivalents			$	369,208,444	89.29

*	Collateral amounted to $68,025,972 on open commodity futures contracts.

#	Reflects the 7-day yield at June 30, 2020.

* Collateral amounted to $13,446,411 on open futures contracts.

See accompanying notes to condensed financial statements.

Table of Contents

United States Brent Oil Fund, LP

Condensed Statements of Operations (Unaudited)

For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019

Three months ended
September 30, 2017 Three months ended
September 30, 2016 Nine months ended
September 30, 2017 Nine months ended
September 30, 2016
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed futures contracts $ 18,646,860 $ (10,888,200 ) $ (1,973,510 ) $ 12,222,290
Change in unrealized gain (loss) on open futures contracts (3,290,500 ) 9,361,660 73,620 15,895,590
Dividend income 45,263 17,861 123,918 35,181
Interest income* 197,412 77,019 437,262 213,931
ETF transaction fees 3,850 1,400 8,400 9,450

Total income (loss) 15,602,885 (1,430,260 ) (1,330,310 ) 28,376,442

Expenses
General Partner management fees (Note 3) 187,877 209,072 573,300 619,095
Professional fees 65,296 47,399 251,840 123,856
Brokerage commissions 35,755 36,202 103,523 130,670
Directors' fees and insurance 3,476 2,923 9,726 8,636

Total expenses 292,404 295,596 938,389 882,257

Expense waiver (Note 3) (66,850 ) (43,026 ) (250,328 ) (139,342 )

Net expenses 225,554 252,570 688,061 742,915

Net income (loss) $ 15,377,331 $ (1,682,830 ) $ (2,018,371 ) $ 27,633,527
Net income (loss) per limited partnership share $ 2.22 $ (0.27 ) $ (0.51 ) $ 2.37
Net income (loss) per weighted average limited partnership share $ 2.13 $ (0.21 ) $ (0.28 ) $ 3.29
Weighted average limited partnership shares outstanding 7,221,739 7,966,848 7,227,289 8,398,358


	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	125,227,920	$	(5,783,470)	$	58,538,990	$	7,447,370
Change in unrealized gain (loss) on open commodity futures contracts		10,078,540		5,475,600		(2,243,040)		11,816,880
Dividend income		113,447		173,562		183,705		321,813
Interest income^*		119,776		378,553		346,788		751,446
ETF transaction fees		17,171		2,100		31,871		4,550

Total Income (Loss)	$	135,556,854	$	246,345	$	56,858,314	$	20,342,059

Expenses
General Partner management fees (Note 3)	$	601,981	$	175,319	$	755,535	$	341,364
Professional fees		47,853		8,727		83,879		17,357
Brokerage commissions		205,173		25,440		251,852		51,724
Directors’ fees and insurance		7,143		4,288		12,290		8,587
Registration fees		81,500		—		81,500		—
Total Expenses		943,650		213,774		1,185,056		419,032
Expense waiver		(220,204)		(3,391)		(276,795)		(9,395)
Net Expenses	$	723,446	$	210,383	$	908,261	$	409,637

Net Income (Loss)	$	134,833,408	$	35,962	$	55,950,053	$	19,932,422
Net Income (Loss) per limited partner share	$	2.80	$	(0.09)	$	(10.14)	$	3.95
Net Income (Loss) per weighted average limited partner share	$	3.80	$	0.01	$	2.72	$	4.09
Weighted average limited partner shares outstanding		35,495,604		4,769,780		20,566,484		4,877,901

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

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

See accompanying notes to condensed financial statements.

Table of Contents

United States Brent Oil Fund, LP

Condensed Statement ofin Changes in ~~Partners'~~Partners’ Capital (Unaudited)

For the ~~nine~~three and six months ended ~~September~~June 30, ~~2017~~2020 and 2019

General Partner Limited Partners Total

Balances, at December 31, 2016 $ — $ 113,023,072 $ 113,023,072
Addition of 3,150,000 partnership shares — 40,082,469 40,082,469
Redemption of 4,000,000 partnership shares — (54,622,077 ) (54,622,077 )
Net income (loss) — (2,018,371 ) (2,018,371 )

Balances, at September 30, 2017 $ — $ 96,465,093 $ 96,465,093

Net Asset Value Per Share:
At December 31, 2016 $ 15.70
At September 30, 2017 $ 15.19


	Limited Partners^*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2020		June 30, 2019		June 30, 2020		June 30, 2019

Balances at beginning of period	$	124,383,003	$	94,160,437	$	84,702,186	$	73,624,628
Addition of 31,450,000, 200,000, 43,150,000 and 650,000 partnership shares, respectively		232,455,006		3,767,272		353,199,283		11,705,130
Redemption of (8,650,000), (300,000), (8,800,000) and (700,000) partnership shares, respectively		(78,176,369)		(6,127,478)		(80,356,474)		(13,425,987)
Net income (loss)		134,833,408		35,962		55,950,053		19,932,422

Balances at end of period	$	413,495,048	$	91,836,193	$	413,495,048	$	91,836,193

*	General Partners' shares outstanding and capital for the periods presented were zero.

See accompanying notes to condensed financial statements.

Table of Contents

United States Brent Oil Fund, LP

Condensed Statements of Cash Flows (Unaudited)

For the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019

Nine months ended
September 30, 2017 Nine months ended
September 30, 2016
Cash Flows from Operating Activities:
Net income (loss) $ (2,018,371 ) $ 27,633,527
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Increase) decrease in commodity futures trading account - cash and cash equivalents (5,148,590 ) 10,736,772
Unrealized (gain) loss on open futures contracts (73,620 ) (15,895,590 )
(Increase) decrease in receivable from General Partner (60,583 ) (3,628 )
(Increase) decrease in dividends receivable (4,000 ) (6,389 )
(Increase) decrease in interest receivable (7,559 ) —
(Increase) decrease in directors' fees and insurance receivable (404 ) —
(Increase) decrease in ETF transaction fees receivable 350 —
Increase (decrease) in payable due to Broker — 5,800,122
Increase (decrease) in General Partner management fees payable (13,754 ) 18,813
Increase (decrease) in professional fees payable 53,807 (55,868 )
Increase (decrease) in brokerage commissions payable (1,860 ) 1,430
Increase (decrease) in directors' fees and insurance payable (1,184 ) (542 )
Net cash provided by (used in) operating activities (7,275,768 ) 28,228,647

Cash Flows from Financing Activities:
Addition of partnership shares 40,082,469 33,014,668
Redemption of partnership shares (53,128,704 ) (24,486,264 )
Net cash provided by (used in) financing activities (13,046,235 ) 8,528,404

Net Increase (Decrease) in Cash and Cash Equivalents (20,322,003 ) 36,757,051

Cash and Cash Equivalents, beginning of period 103,167,056 67,996,295
Cash and Cash Equivalents, end of period $ 82,845,053 $ 104,753,346


	Six months ended		Six months ended
	June 30, 2020		June 30, 2019
Cash Flows from Operating Activities:
Net income (loss)	$	55,950,053	$	19,932,422
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		2,243,040		(11,816,880)
(Increase) decrease in General Partner management fees receivable		80,032		72,247
(Increase) decrease in dividends receivable		(17,694)		(28,368)
(Increase) decrease in interest receivable		4,902		(826)
(Increase) decrease in prepaid insurance*		(5,165)		(3,223)
(Increase) decrease in prepaid registration fees		(282,978)		—
(Increase) decrease in prepaid reimbursement		(276,795)		—
Increase (decrease) in payable due to Broker		—		2,500,038
Increase (decrease) in General Partner management fees payable		212,744		3,968
Increase (decrease) in professional fees payable		(66,391)		(139,217)
Increase (decrease) in brokerage commissions payable		12,300		—
Increase (decrease) in directors' fees payable*		1,610		(1,379)
Net cash provided by (used in) operating activities		57,855,658		10,518,782

Cash Flows from Financing Activities:
Addition of partnership shares		353,199,262		11,705,130
Redemption of partnership shares		(80,356,474)		(13,425,987)
Net cash provided by (used in) financing activities		272,842,788		(1,720,857)

Net Increase (Decrease) in Cash and Cash Equivalents		330,698,446		8,797,925

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		83,603,440		80,057,642
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	414,301,886	$	88,855,567

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	346,275,914	$	79,878,780
Equity in Trading Accounts:
Cash and cash equivalents		68,025,972		8,976,787
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	414,301,886	$	88,855,567

*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 Brent Oil Fund, LP

Notes to Condensed Financial Statements

For the period ended ~~September~~June 30, ~~2017~~2020 (Unaudited)

NOTE 1 — ORGANIZATION AND BUSINESS

The United States Brent Oil Fund, LP (“BNO”) was organized as a limited partnership under the laws of the state of Delaware on September 2, 2009. BNO is a commodity pool that issues limited partnership shares (“shares”) that may be purchased and sold on the NYSE Arca, Inc. (the “NYSE Arca”). BNO will continue in perpetuity, unless terminated sooner upon the occurrence of one or more events as described in its ~~Third~~Fourth Amended and Restated Agreement of Limited Partnership dated as of ~~March 1, 2013~~December 15, 2017 (the “LP Agreement”). The investment objective of BNO 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 spot price of Brent crude oil, as measured by the daily changes in the price of ~~the~~a specified short-term futures contract ~~for~~on Brent crude oil as traded on the ICE Futures Exchange (the “ICE Futures”) that is the near month contract to expire, except when the near month contract is within two weeks of expiration, in which case it will be measured by the futures contract ~~will be~~that is the next month contract to expire (the “Benchmark Futures Contract”), plus interest earned on BNO’s collateral holdings, less BNO’s expenses.

BNO seeks to achieve its investment objective by investing so that the average daily percentage change in BNO's NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10%) of the average daily percentage changes in the price of the Benchmark Futures Contract over the same period.

United States Commodity Funds LLC (“USCF”), the general partner of BNO, believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts (as defined below) and Other Crude Oil-Related Investments (as defined below). BNO accomplishes its objective through investments in futures contracts for crude oil, diesel-heating oil, gasoline, natural gas and other petroleum-based fuels that are traded on the ICE Futures, the New York Mercantile Exchange (the “NYMEX”), or other U.S. and foreign exchanges (collectively, “Futures Contracts”), and other crude oil-related investments such as cash-settled options on Futures Contracts, forward contracts for crude oil, cleared swap contracts and over-the-counter (“OTC”) transactions that are based on the price of crude oil and other petroleum-based fuels, Futures Contracts and indices based on the foregoing (collectively, “Other Crude Oil-Related Investments”). As of ~~September~~June 30, ~~2017,~~2020, BNO held ~~1,699~~10,020 Futures Contracts for Brent crude oil traded on the ICE Futures Europe and did not hold any Futures Contracts for Brent crude oil traded on the NYMEX.

BNO commenced investment operations on June 2, 2010 and has a fiscal year ending on December 31. USCF is responsible for the management of BNO. USCF is a member of the National Futures Association (the “NFA”) and became registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) effective December 1, 2005 and a swaps firm on August 8, 2013.

USCF is also 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”), and the United States Gasoline Fund, LP (“UGA”~~) and the United States Diesel-Heating Oil Fund, LP (“UHN”~~), which listed their limited partnership shares on the American Stock Exchange (the “AMEX”) under the ticker symbols “USO” on April 10, 2006, “UNG” on April 18, 2007, “USL” on December 6, 2007 and “UGA” on February 26, ~~2008 and “UHN” on April 9,~~ 2008, respectively. As a result of the acquisition of the AMEX by NYSE Euronext, each of USO’s, UNG’s, USL’s ~~UGA’s~~ and ~~UHN’s~~UGA’s shares commenced trading on the NYSE Arca on November 25, 2008. USCF is also the general partner of the United States ~~Short Oil Fund, LP (“DNO”) and the United States~~ 12 Month Natural Gas Fund, LP (“UNL”), which listed ~~their~~its limited partnership shares on the NYSE Arca under the ticker ~~symbols “DNO” on September 24, 2009 and~~symbol “UNL” on November 18, ~~2009, respectively.~~ 2009. USCF previously served as the general partner for the United States Short Oil Fund, LP (“DNO”) and the United States Diesel-Heating Oil Fund, LP (“UHN”), both of which were liquidated in 2018.

USCF is also the sponsor of the United States Commodity Index Fund (“USCI”), the United States Copper Index Fund (“~~CPER”), the United States Agriculture Index Fund (“USAG”~~CPER") and the USCF ~~Canadian Crude Oil~~Crescent Crypto Index Fund ~~(“UCCO”~~("XBET"), each a series of the United States Commodity Index Funds ~~Trust.~~Trust ("USCIFT"). USCF previously served as the sponsor for the United States Agricultural Index Fund (“USAG") a series of USCIFT which was liquidated in 2018. A registration statement that had been previously filed for XBET was withdrawn on June 25, 2020. USCI ~~CPER~~ and ~~USAG~~CPER listed their shares on the NYSE Arca under the ticker symbols “USCI” on August 10, 2010 and “CPER” on November 15, 2011, ~~and “USAG” on April 13, 2012,~~ respectively. ~~UCCO is currently in registration and has not commenced operations.~~

In addition, USCF iswas the sponsor of the USCF Funds Trust, a Delaware statutory trust, and each of its series, ~~the REX S&P MLP Fund and the REX S&P MLP Inverse Fund, 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~~listed their shares on the NYSE Arca on July 20, ~~2017.~~2017 under the ticker symbols "USOU" and "USOD", respectively.

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Each of USOU and USOD liquidated all of its assets and distributed cash pro rata to all remaining shareholders in December 2019.

~~All funds listed previously, other than UCCO~~USO, UNG, UGA, UNL, USL, BNO, USCI and ~~the REX Funds,~~CPER are referred to collectively herein as the “Related Public Funds.”

BNO issues shares to certain authorized purchasers (“Authorized Participants”) by offering baskets consisting of 50,000 shares (“Creation Baskets”) through ALPS Distributors, Inc., as the marketing agent (the “Marketing Agent”). The purchase price for a Creation Basket is based upon the NAV of a share calculated shortly after the close of the core trading session on the NYSE Arca on the day the order to create the basket is properly received.

~~In addition,~~ Authorized Participants pay BNO a $350 transaction fee for each order placed to create one or more Creation Baskets or to redeem one or more baskets (“Redemption Baskets”), consisting of 50,000 shares. Shares may be purchased or sold on a nationally recognized securities exchange in smaller increments than a Creation Basket or Redemption Basket. Shares purchased or sold on a nationally recognized securities exchange are not purchased or sold at the per share NAV of BNO but rather at market prices quoted on such exchange.

In May 2010, BNO initially registered 50,000,000 shares on Form S-1 with the U.S. Securities and Exchange Commission (the “SEC”). On June 2, 2010, BNO listed its shares on the NYSE Arca under the ticker symbol “BNO”. BNO established its’ initial per share NAV by setting the price at $50.00 and issued 200,000 shares in exchange for $10,000,000. BNO also commenced investment operations on June 2, 2010, by purchasing Futures Contracts traded on the ICE Futures Europe based on Brent crude oil. As of ~~September~~June 30, ~~2017,~~2020, BNO had registered a total of 250,000,000 shares. On April 20, 2020, BNO registered an additional 50,000,000 ~~shares.~~

shares and 150,000,000 shares registered on June 11, 2020

The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosure required under generally accepted accounting principles in the United States of America (“U.S. GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments, consisting only of normal recurring adjustments, which are, in the opinion of USCF, necessary for the fair presentation of the condensed financial statements for the interim period.

NOTE 2 — SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

The condensed financial statements have been prepared in conformity with U.S. GAAP as detailed in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification. BNO is an investment company and follows the accounting and reporting guidance in FASB Topic 946.

Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gains or losses on open contracts are reflected in the condensed statements of financial condition and represent the difference between the original contract amount and the market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the condensed financial statements. Changes in the unrealized gains or losses between periods are reflected in the condensed statements of operations. BNO earns income on funds held at the custodian or futures commission ~~merchant~~merchants (“~~FCM”~~FCMs”) at prevailing market rates earned on such investments.

Brokerage Commissions

Brokerage commissions on all open commodity futures contracts are accrued on a full-turn basis.

Income Taxes

BNO is not subject to federal income taxes; each partner reports his/her allocable share of income, gain, loss deductions or credits on his/her own income tax return.

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In accordance with U.S. GAAP, BNO is required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any tax related appeals or litigation processes, based on the technical merits of the position. BNO files an income tax return in the U.S. federal jurisdiction and may file income tax returns in various U.S. states. BNO is not subject to income tax return examinations by major taxing authorities for years before ~~2014.~~2016. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in BNO recording a tax liability that reduces net assets. However, BNO’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analysis of and changes to tax laws, regulations and interpretations thereof. BNO recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. NoNaN interest expense or penalties have been recognized as of and for the period ended ~~September~~June 30, ~~2017.~~

2020.

Creations and Redemptions

Authorized Participants may purchase Creation Baskets or redeem Redemption Baskets only in blocks of 50,000 shares at a price equal to the NAV of the shares calculated shortly after the close of the core trading session on the NYSE Arca on the day the order is placed.

BNO receives or pays the proceeds from shares sold or redeemed within ~~three~~two business days after the trade date of the purchase or redemption. The amounts due from Authorized Participants are reflected in BNO’s condensed statements of financial condition as receivable for shares sold and amounts payable to Authorized Participants upon redemption are reflected as payable for shares redeemed.

Authorized Participants pay BNO a $350 transaction fee ~~of $350~~ for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets.

Partnership Capital and Allocation of Partnership Income and Losses

Profit or loss shall be allocated among the partners of BNO in proportion to the number of shares each partner holds as of the close of each month. USCF may revise, alter or otherwise modify this method of allocation as described in the LP Agreement.

Calculation of Per Share NAV

BNO’s per share NAV is calculated on each NYSE Arca trading day by taking the current market value of its total assets, subtracting any liabilities and dividing that amount by the total number of shares outstanding. BNO uses the closing price for the contracts on the relevant exchange on that day to determine the value of contracts held on such exchange.

Net Income (Loss) Per Share

Net income (loss) per share is the difference between the per share NAV at the beginning of each period and at the end of each period. The weighted average number of shares outstanding was computed for purposes of disclosing net income (loss) per weighted average share. The weighted average shares are equal to the number of shares outstanding at the end of the period, adjusted proportionately for shares added and redeemed based on the amount of time the shares were outstanding during such period. There were no shares held by USCF at ~~September~~June 30, ~~2017.~~

2020.

Offering Costs

Offering costs incurred in connection with the registration of additional shares after the initial registration of shares are borne by BNO. These costs include registration fees paid to regulatory agencies and all legal, accounting, printing and other expenses associated with such offerings. These costs are accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter period if warranted.

Cash Equivalents

Cash equivalents include money market funds and overnight deposits or time deposits with original maturity dates of six months or less.

Reclassification

Certain amounts in the accompanying condensed financial statements were reclassified to conform to the current presentation.

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Use of Estimates

The preparation of condensed financial statements in conformity with U.S. GAAP requires USCF to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the condensed financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results may differ from those estimates and assumptions.

NOTE 3 — FEES PAID BY THE FUND AND RELATED PARTY TRANSACTIONS

USCF Management Fee

Under the LP Agreement, USCF is responsible for investing the assets of BNO in accordance with the objectives and policies of BNO. In addition, USCF has arranged for one or more third parties to provide administrative, custody, accounting, transfer agency and other necessary services to BNO. For these services, BNO is contractually obligated to pay USCF a fee, which is paid monthly, equal to 0.75% per annum of average daily total net assets.

Ongoing Registration Fees and Other Offering Expenses

BNO pays all costs and expenses associated with the ongoing registration of its shares subsequent to the initial offering. These costs include registration or other fees paid to regulatory agencies in connection with the offer and sale of shares, and all legal, accounting, printing and other expenses associated with such offer and sale. For the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016,~~2019, BNO ~~did not incur~~incurred $81,500 and $0, respectively, in registration fees and ~~other~~ offering expenses.

Independent Directors’ and Officers’ Expenses

BNO is responsible for paying its portion of the directors’ and officers’ liability insurance for BNO and the Related Public Funds and the fees and expenses of the independent directors who also serve as audit committee members of BNO and the Related Public Funds. BNO shares the fees and expenses on a pro rata basis with each Related Public Fund, as described above, based on the relative assets of each Related Public Fund computed on a daily basis. These fees and expenses for the year ending December 31, ~~2017~~2020 are estimated to be a total of ~~$13,500~~$55,000 for BNO and, in the aggregate for BNO and the Related Public Funds, ~~$539,350.~~

$574,000.

Investor Tax Reporting Cost

The fees and expenses associated with BNO’s audit expenses and tax accounting and reporting requirements are paid by BNO. These costs are estimated to be ~~$165,000~~$170,000 for the year ending December 31, ~~2017.~~2020. Tax reporting costs fluctuate between years due to the number of shareholders during any given year.

Other Expenses and Fees and Expense Waivers

In addition to the fees described above, BNO pays all brokerage fees and other expenses in connection with the operation of BNO, excluding costs and expenses paid by USCF as outlined inNote 4 – Contracts and Agreements below. USCF paid certain expenses on a discretionary basis typically borne by BNO, where expenses exceed 0.15% (15 basis points) of BNO’s NAV, on an annualized basis. USCF has no obligation to continue such payments into subsequent periods. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, USCF waived ~~$250,328~~$(276,795) of BNO’s expenses. This voluntary expense waiver is in addition to those amounts USCF is contractually obligated to pay as described inNote 4 – Contracts and ~~Agreements~~Agreements..

NOTE 4 — CONTRACTS AND AGREEMENTS

Marketing Agent Agreement

BNO is party to a marketing agent agreement, dated as of March 31, 2010, as amended from time to time, with the Marketing Agent and USCF, whereby the Marketing Agent provides certain marketing services for BNO as outlined in the agreement. The fee of the Marketing Agent, which is borne by USCF, is equal to 0.06% on BNO’s assets up to $3 billion and 0.04% on BNO’s assets in excess of $3 billion. In no event may the aggregate compensation paid to the Marketing Agent and any affiliate of USCF for distribution-related services exceed 10% of the gross proceeds of BNO’s offering.

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The above fee does not include website construction and development, which are also borne by USCF.

~~Brown Brothers Harriman & Co.~~Custody, Transfer Agency and Fund Administration and Accounting Services Agreements

USCF engaged The Bank of New York Mellon, a New York corporation authorized to do a banking business ("BNY Mellon"), to provide BNO and each of the Related Public Funds with certain custodial, administrative and accounting, and transfer agency services, pursuant to the following agreements with BNY Mellon dated as of March 20, 2020 (together, the "BNY Mellon Agreements"), which were effective as of April 1, 2020: (i) a Custody Agreement; (ii) a Fund Administration and Accounting Agreement; and (iii) a Transfer Agency and Service Agreement.

BNO is also party to a custodian agreement, dated February 8, 2010, as amended from time to time, with Brown Brothers Harriman & Co. (“BBH&Co.”) and USCF, whereby BBH&Co. holds investments on behalf of BNO. USCF pays the fees of the custodian, which are determined by the parties from time to time. In addition, BNO is party to an administrative agency agreement, dated February 8, 2010, as amended from time to time, with USCF and BBH&Co., whereby BBH&Co. acts as the administrative agent, transfer agent and registrar for BNO. USCF also pays the fees of BBH&Co.BNY Mellon for its services under ~~such agreement~~the BNY Mellon Agreements and such fees are determined by the parties from time to time.

~~Currently, USCF pays~~ Brown Brothers Harriman and Co. ("BBH&Co.") previously served as the Administrator, Custodian, Transfer Agent and Fund Accounting Agent for ~~its~~BNO and the Related Public Funds prior to BNY Mellon commencing such services ~~in the foregoing capacities, a minimum amount of $75,000 annually for its custody,~~on April 1, 2020. Certain fund accounting and fund administration services rendered by BBH&Co. to BNO and ~~each of~~ the Related Public Funds ~~as well as a $20,000 annual fee for its transfer agency services. In addition, USCF pays BBH&Co. an asset-based charge of (a) 0.06%~~terminated on May 31, 2020 to allow for the first $500 million of the Related Public Funds’ combined net assets, (b) 0.0465% for the Related Public Funds’ combined net assets greater than $500 million but less than $1 billion, and (c) 0.035% once the Related Public Funds’ combined net assets exceed $1 billion. The annual minimum amount will not apply if the asset-based charge for all accounts in the aggregate exceeds $75,000. USCF also pays BBH&Co. transaction fees ranging from $7transition to ~~$15 per transaction.~~

BNY Mellon.

Brokerage and Futures Commission Merchant Agreements

~~On October 8, 2013,~~ BNO entered into a brokerage agreement with RBC Capital Markets LLC (“~~RBC Capital” or “RBC”~~RBC”) to serve as BNO’s FCM effective October 10, 2013. In addition, BNO entered into a Commodity Futures Customer Agreement dated as of May 28, 2020 with RCG Division of Marex Spectron ("RCG") and a Customer Agreement with ED & F Man Capital Markets Inc. ("MCM") on June 5, 2020, pursuant to which RCG and MCM each act as an FCM for BNO. The ~~agreement~~agreements with ~~RBC requires it~~BNO's FCMs require the FCMs to provide services to BNO in connection with the purchase and sale of Futures Contracts and Other ~~Crude Oil-Related~~-Related Investments that may be purchased and sold by or through ~~RBC Capital~~the applicable FCM for BNO’s account. In accordance with the ~~agreement, RBC Capital charges~~FCM agreements, BNO pays each FCM commissions of approximately $7 to $8 per round-turn trade, including applicable exchange, clearing and NFA fees for Futures Contracts and options on Futures Contracts. Such fees include those incurred when purchasing Futures Contracts and options on Futures Contracts when BNO issues shares as a result of a Creation Basket, as well as fees incurred when selling Futures Contracts and options on Futures Contracts when BNO redeems shares as a result of a Redemption Basket. Such fees are also incurred when Futures Contracts and options on Futures Contracts are purchased or redeemed for the purpose of rebalancing the portfolio. BNO also incurs commissions to brokers for the purchase and sale of Futures Contracts, Other ~~Crude Oil-Related~~-Related Investments or short-term obligations of the United States of two years or less (“Treasuries”).

	For the nine months ended September 30, 2017			For the nine months ended September 30, 2016

							Six months			Six months
							ended			ended
							June 30, 2020			June 30, 2019
Total commissions accrued to brokers	$	103,523		$	130,670		$	251,852		$	51,724
Total commissions as an annualized percentage of average total net assets		0.14	%		0.16	%
Total commissions as annualized percentage of average total net assets								0.25	%		0.11	%
Commissions accrued as a result of rebalancing	$	99,442		$	127,245		$	217,371		$	50,744
Percentage of commissions accrued as a result of rebalancing		96.06	%		97.38	%		86.31	%		98.11	%
Commissions accrued as a result of creation and redemption activity	$	4,081		$	3,425		$	34,481		$	980
Percentage of commissions accrued as a result of creation and redemption activity		3.94	%		2.62	%		13.69	%		1.89	%

The ~~decrease~~increase in ~~the~~ total commissions accrued to brokers ~~by BNO~~ for the ~~nine~~six months ended ~~September~~June 30, ~~2017, as~~2020, compared to the ~~nine~~six months ended ~~September~~June 30, ~~2016,~~2019, was due primarily to a ~~lower~~higher number of Brent oil futures contracts being held and ~~traded as a result of the lower average daily total net assets which required BNO to hold and trade a smaller number of benchmark futures contracts.~~ traded.

NOTE 5 — FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND CONTINGENCIES

BNO may engage in the trading of futures contracts, options on futures contracts, cleared swaps and OTC swaps (collectively, “derivatives”). BNO is exposed to both market risk, which is the risk arising from changes in the market value of the contracts, and credit risk, which is the risk of failure by another party to perform according to the terms of a contract.

BNO may enter into futures contracts, options on futures contracts, cleared swaps , and OTC swaps to gain exposure to changes in the value of an underlying commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of a commodity at a specified time and place. Some futures contracts may call for physical delivery of the asset, while others are settled in cash. The contractual obligations of a buyer or seller may generally be satisfied by taking or making

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physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. Cleared swaps are agreements that are eligible to be cleared by a clearinghouse, e.g., ICE Clear Europe, and provide the efficiencies and benefits that centralized clearing on an exchange offers to traders of futures contracts, including credit risk intermediation and the ability to offset positions initiated with different counterparties.

OTC swaps are entered into between two parties in private contracts. In an OTC swap, each party bears credit risk to the other party, i.e., the risk that the other party may not be able to perform its obligations under the OTC swap.

The purchase and sale of futures contracts, options on futures contracts and cleared swaps require margin deposits with an FCM. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities.

To reduce the credit risk that arises in connection with OTC swaps, BNO will generally enter into an agreement with each counterparty based on the Master Agreement published by the International Swaps and Derivatives Association, Inc., which provides for the netting of its overall exposure to its counterparty. The Master Agreement is negotiated as between the parties and would address, among other things, the exchange of margin between the parties.

Futures contracts, options on futures contracts and cleared swaps involve, to varying degrees, elements of market risk (specifically commodity price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure BNO has in the particular classes of instruments. Additional risks associated with the use of futures contracts are an imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. Buying and selling options on futures contracts exposes investors to the risks of purchasing or selling futures contracts.

As to OTC swaps, valuing OTC derivatives is less certain than valuing actively traded financial instruments such as exchange-traded futures contracts and securities or cleared swaps, because the price and terms on which such OTC derivatives are entered into or can be terminated are individually negotiated, and those prices and terms may not reflect the best price or terms available from other sources. In addition, while market makers and dealers generally quote indicative prices or terms for entering into or terminating OTC contracts, they typically are not contractually obligated to do so, particularly if they are not a party to the transaction. As a result, it may be difficult to obtain an independent value for an outstanding OTC derivatives transaction.

All of the futures contracts held by BNO through ~~September~~June 30, ~~2017~~2020 were exchange-traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC swaps since, in OTC swaps, a party must rely solely on the credit of its respective individual counterparties. However, in the future, if BNO were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any, on the transaction. BNO has credit risk under its futures contracts since the sole counterparty to all domestic and foreign futures contracts is the clearinghouse for the exchange on which the relevant contracts are traded. In addition, BNO bears the risk of financial failure by the clearing broker.

A novel strain of coronavirus (COVID-19) outbreak was declared a pandemic by the World Health Organization on March 11, 2020. The situation is evolving with various cities and countries around the world responding in different ways to address the outbreak. There are direct and indirect economic effects developing for various industries and individual companies throughout the world. Management will continue to monitor the impact COVID-19 has on the Fund and reflect the consequences as appropriate in the Fund's accounting and financial reporting. The recent pandemic spread of the novel coronavirus and related geopolitical events could lead to increased market volatility, disruption to U.S. and world economies and markets and may have significant adverse effects on the Fund and its investments

BNO’s cash and other property, such as Treasuries, deposited with ~~an FCM~~its FCMs are considered commingled with all other customer funds, subject to ~~the~~such FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited. The insolvency of an FCM could result in the complete loss of BNO’s assets posted with that FCM; however, the majority of BNO’s assets are held in investments in Treasuries, cash and/or cash equivalents with BNO’s custodian and would not be impacted by the insolvency of an FCM. The failure or insolvency of BNO’s custodian, however, could result in a substantial loss of BNO’s assets.

USCF invests a portion of BNO’s cash in money market funds that seek to maintain a stable per share NAV. BNO is exposed to any risk of loss associated with an investment in such money market funds. As of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, BNO held

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investments in money market funds in the amounts of ~~$20,000,000~~$346,234,714 and ~~$35,000,000,~~$23,000,000 , respectively. BNO also holds cash deposits with its custodian. Pursuant to a written agreement with BBH&Co., uninvested overnight cash balances are swept to offshore branches of U.S. regulated and domiciled banks located in Toronto, Canada; London, United Kingdom; Grand Cayman, Cayman Islands; and Nassau, Bahamas; which are subject to U.S. regulation and regulatory oversight. As of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, BNO held cash deposits and investments in Treasuries in the amounts of ~~$76,291,464~~$68,067,172 and ~~$76,464,877,~~$60,603,440, respectively, with the custodian and ~~FCM.~~FCMs. Some or all of these amounts may be subject to loss should BNO’s custodian and/or ~~FCM~~FCMs cease operations.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, BNO is exposed to market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold ~~short.~~short or that the value of the futures contract could fall below zero. As both a buyer and a seller of options, BNO pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option.

BNO’s policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting controls and procedures. In addition, BNO has a policy of requiring review of the credit standing of each broker or counterparty with which it conducts business.

The financial instruments held by BNO are reported in its condensed statements of financial condition at market or fair value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturity.

NOTE 6 — FINANCIAL HIGHLIGHTS

The following table presents per share performance data and other supplemental financial data for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019 for the shareholders. This information has been derived from information presented in the condensed financial statements.

For the nine months ended
September 30, 2017
(Unaudited) For the nine months ended
September 30, 2016
(Unaudited)
Per Share Operating Performance:
Net asset value, beginning of period $ 15.70 $ 12.22
Total income (loss) (0.41 ) 2.46
Net expenses (0.10 ) (0.09 )
Net increase (decrease) in net asset value (0.51 ) 2.37
Net asset value, end of period $ 15.19 $ 14.59

Total Return (3.25 )% 19.39 %

Ratios to Average Net Assets
Total income (loss) (1.30 )% 25.74 %
Management fees* 0.75 % 0.75 %
Total expenses excluding management fees* 0.48 % 0.32 %
Expenses waived* (0.33 )% (0.17 )%
Net expenses excluding management fees* 0.15 % 0.15 %
Net income (loss) (1.97 )% 25.06 %


	Three months ended			Three months ended			Six months ended			Six months ended
	June 30, 2020			June 30, 2019			June 30, 2020			June 30, 2019
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Per Share Operating Performance:
Net asset value, beginning of period	$	7.97		$	19.22		$	20.91		$	15.18
Total income (loss)		2.82			(0.05)			(10.10)			4.03
Total expenses		(0.02)			(0.04)			(0.04)			(0.08)
Net increase (decrease) in net asset value		2.80			(0.09)			(10.14)			3.95
Net asset value, end of period	$	10.77		$	19.13		$	10.77		$	19.13

Total Return		35.13	%		(0.47)	%		(48.49)	%		26.02	%

Ratios to Average Net Assets
Total income (loss)		41.99	%		0.26	%		28.07	%		22.16	%
Management fees^*		0.75	%		0.75	%		0.75	%		0.75	%
Total expenses excluding management fees^*		0.43	%		0.16	%		0.43	%		0.17	%
Expense waived^*		(0.27)	%		0.01	%		(0.27)	%		(0.02)	%
Net expense excluding management fees^*		0.16	%		0.17	%		0.16	%		0.15	%
Net income (loss)		41.77	%		0.04	%		(27.62)	%		21.72	%

*	Annualized.

Total returns are calculated based on the change in value during the period. An individual shareholder’s total return and ratio may vary from the above total returns and ratios based on the timing of contributions to and withdrawals from BNO.

NOTE 7 — FAIR VALUE OF FINANCIAL INSTRUMENTS

BNO values its investments in accordance with Accounting Standards Codification 820 – Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosures about fair value measurement. The changes to past practice resulting from the application of ASC 820 relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurement. ASC 820 establishes a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of BNO (observable inputs) and (2) BNO’s own assumptions about market participant assumptions

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developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the ASC 820 hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical~~identical~~assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar~~similar~~assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall within different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety.

The following table summarizes the valuation of BNO’s securities at ~~September~~June 30, ~~2017~~2020 using the fair value hierarchy:

At September 30, 2017	Total		Level I		Level II		Level III

At June 30, 2020									Total		Level I		Level II		Level III
Short-Term Investments	$	87,824,096	$	87,824,096	$	—	$	—	$	369,208,444	$	369,208,444	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		2,406,500		2,406,500		—		—
United States Contracts										(1,081,430)		(1,081,430)		—		—

~~During the nine months ended September 30, 2017, there were no transfers between Level I and Level II.~~

The following table summarizes the valuation of BNO’s securities at December 31, ~~2016~~2019 using the fair value hierarchy:

At December 31, 2016	Total		Level I		Level II		Level III

At December 31, 2019									Total		Level I		Level II		Level III
Short-Term Investments	$	96,899,767	$	96,899,767	$	—	$	—	$	78,785,251	$	78,785,251	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		2,332,880		2,332,880		—		—		1,161,610		1,161,610		—		—

During the year ended December 31, ~~2016,~~2019, there were no transfers between Level I and Level II.

Effective January 1, 2009, BNO ~~has~~ adopted the provisions of Accounting Standards Codification 815 – Derivatives and Hedging, which require presentation of qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts and gains and losses on derivatives.

Fair Value of Derivative Instruments

Condensed

Statements of

Fair Value

Financial

at June 30,

at December 31,

Derivatives not
Accounted for
as Hedging
Instruments

Condensed
Statements of
Financial
Condition Location

Fair Value
At September 30,
2017

Fair Value
At December 31,
2016

Condition Location

2020

2019

Futures - Commodity Contracts

Assets

2,406,500

2,332,880

Assets

(1,081,430)

1,161,610

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The Effect of Derivative Instruments on the Condensed Statements of Operations

For the nine months ended
September 30, 2017

For the nine months ended
September 30, 2016

Derivatives not
Accounted for
as Hedging
Instruments

Location of
Gain (Loss)
on Derivatives
Recognized in
Income

Realized
Gain (Loss)
on Derivatives
Recognized in
Income

Change in
Unrealized
Gain (Loss) on
Derivatives
Recognized in
Income

Realized
Gain (Loss)
on Derivatives
Recognized in
Income

Change in
Unrealized
Gain (Loss) on
Derivatives
Recognized in
Income

For the six months ended

June 30, 2020

June 30, 2019

Change in

Location of

Realized

Unrealized

Realized

Unrealized

Derivatives not

Gain (Loss)

gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

Accounted for

on Derivatives

Derivatives

in Derivatives

Derivatives

as Hedging

Recognized in

Instruments

Income

Futures - Commodity Contracts

Realized gain (loss) on closed futures contracts

(1,973,510

)

12,222,290

Realized gain (loss) on closed positions

58,538,990

7,447,370

Change in unrealized gain (loss) on open
contracts

73,620

15,895,590

Change in unrealized gain (loss) on open positions

(2,243,040)

11,816,880

NOTE 8 — RECENT ACCOUNTING PRONOUNCEMENTS

In August 2018, the FASB issued Accounting Standards Update ("ASU") No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Funds' policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Fund has evaluated the implications of certain provisions of the ASU and has determined that there will be no material impacts to the financial statements.

NOTE 9 — SUBSEQUENT EVENTS

BNO has performed an evaluation of subsequent events through the date the condensed financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or ~~adjustments.~~adjustments, other than the following:

USCF was named as a defendant in a putative stockholder class action on July 10, 2020 by Momo Wang, individually and on behalf of others similarly situated, against defendants United States Oil Fund, LP (“USO”), USCF, John P. Love, Stuart P. Crumbaugh, Nicholas D. Gerber, Andrew F. Ngim, Robert L. Nguyen, Peter M. Robinson, Gordon L. Ellis, Malcolm R. Fobes III, ABN Amro, BNP Paribas Securities Corp., Citadel Securities LLC, Citigroup Global Market Inc., Credit Suisse Securities USA LLC, Deutsche Bank Securities Inc., Goldman Sachs & Company, JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., Nomura Securities International Inc., RBC Capital Markets LLC, SG Americas Securities LLC, UBS Securities LLC, and Virtu Financial BD LLC.

The putative class action complaint alleged that beginning in March 2020, in connection with USO's registration and issuance of additional USO shares, defendants failed to disclose to investors certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The plaintiff alleged that defendants possessed inside knowledge about the consequences of these converging adverse events on USO and did not sufficiently acknowledge them until late April and May 2020, after USO suffered losses and was allegedly forced to abandon its investment strategy. The putative stockholder class action was pending in the U.S. District Court for the Northern District of California as Case No. 3:20-cv-4596 but was voluntarily dismissed effective August 4, 2020.

USCF was named as a defendant in a purported stockholder class action on July 31, 2020 by Moshe Ephrati, individually and on behalf of others similarly situated, against defendants USCF, USO, John P. Love and Stuart P. Crumbaugh. The stockholder class action is pending in the U.S. District Court for the Southern District of New York as Civil Action No. 1:20-cv-06010.

The putative class action complaint alleges that beginning in March 2020, in connection with USO's registration and issuance of additional USO shares, defendants failed to disclose to investors certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. Plaintiff alleges that defendants possessed inside knowledge about the consequences of these converging adverse events on USO and did not sufficiently acknowledge them until late April and May 2020, after USO suffered losses and was allegedly forced to abandon its investment strategy. The complaint seeks to certify a class and award the class compensatory damages at an amount to be determined at trial. Since this stockholder class action makes the same substantive claims made against the same defendants in the stockholder class action commenced by Robert Lucas on June 19, 2020, which is summarized above in “Part II. Other Information - Item 1. Legal

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Proceedings,” and is also pending in the U.S. District Court for the Southern District of New York as Civil Action No. 1:20-cv-04740, it is expected that these two stockholder class actions will be consolidated. The defendants intend to vigorously contest the claims and move for their dismissal.

USCF may have additional actions filed against it based on similar allegations as those that were made in the putative class actions that have been reported.

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

~~Management’s Discussion and Analysis of Financial Condition and Results of Operations.~~

The following discussion should be read in conjunction with the condensed financial statements and the notes thereto of the United States Brent Oil Fund, LP (“BNO”) included elsewhere in this quarterly report on Form 10-Q.

Forward-Looking Information

This quarterly report on Form 10-Q, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of management for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause BNO’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. BNO believes these factors include, but are not limited to, the following: changes in inflation in the United States; movements in U.S. and foreign currencies; significant market volatility in the crude oil markets and futures markets attributable to the COVID-19 pandemic, disputes among oil-producing countries over the potential limits on the production of crude oil, a corresponding collapse in demand for crude oil and a lack of on-land storage for crude oil.; uncertainties associated with the impact from the coronavirus (COVID-19) pandemic, including: its impact on the global and U.S. capital markets and the global and U.S. economy, the length and duration of the COVID-19 outbreak in the United States as well as worldwide and the magnitude of the economic impact of that outbreak, the effect of the COVID-19 pandemic on BNO’s business prospects, including its ability to achieve its objectives, and the effect of the disruptions caused by the COVID-19 pandemic on our ability to continue to effectively manage our business. Forward-looking statements, which involve assumptions and describe BNO’s future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and BNO cannot assure investors that the projections included in these forward-looking statements will come to pass. BNO’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

BNO has based the forward-looking statements included in this quarterly report on Form 10-Q on information available to it on the date of this quarterly report on Form 10-Q, and BNO assumes no obligation to update any such forward-looking statements. Although BNO undertakes no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, investors are advised to consult any additional disclosures that BNO may make directly to them or through reports that BNO files in the future ~~files~~ with the U.S. Securities and Exchange Commission (the “SEC”), including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

Introduction

BNO, a Delaware limited partnership, is a commodity pool that issues shares that may be purchased and sold on the NYSE Arca, Inc. (the “NYSE Arca”). The investment objective of BNO 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 spot price of Brent crude oil, as measured by the daily changes in the price of a ~~specific~~specified short-term futures contract on Brent crude oil as traded on the ICE Futures Exchange (the “ICE Futures”) that is the near month contract to expire, except when the near month contract is within two weeks of expiration, in which case it will be measured by the futures contract that is the next month contract to expire ~~(the~~(“the “Benchmark Futures Contract”), plus interest earned on BNO’s collateral holdings, less BNO’s expenses. “Near month contract” means the next contract traded on the ICE Futures due to expire. “Next month contract” means the first contract traded on the ICE Futures due to expire after the near month contract.

BNO seeks to achieve its investment objective by investing so that the average daily percentage change in BNO's NAV for any period of 30 successive valuation days will be within plus/minus 10 percent (10)% of the average daily percentage changes in the price of the Benchmark Futures Contract over the same period.

BNO’s investment objective isnotfor its NAV or market price of shares to equal, in dollar terms, the spot price of Brent crude oil or any particular futures contract based on Brent crude oil,nor is BNO’s investment objective for the percentage change in its NAV to reflect the percentage change of the price of any particular futures contract as measured over a time periodgreater than one ~~day~~.day. The general partner of BNO, United States Commodity Funds LLC (“USCF”), believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures Contracts (as defined below) and Other Crude Oil-Related Investments (as defined below).

BNO invests primarily in futures contracts for crude oil, diesel-heating oil, gasoline, natural gas and other petroleum-based fuels that are traded on the ICE Futures, the New York Mercantile Exchange (the “NYMEX”), or other U.S. and foreign exchanges (collectively, “Futures Contracts”) and to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, other ~~oil-related~~oil-

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related investments such as cash-settled options on Futures Contracts, forward contracts for crude oil, cleared swap contracts and over-the-counter (“OTC”) swaps that are based on the price of crude oil and other petroleum-based fuels, Futures Contracts and indices based on the foregoing (collectively, “Other Crude Oil-Related Investments”). For convenience and unless otherwise specified, Futures Contracts and Other Crude Oil-Related Investments collectively are referred to as “Crude Oil Interests” in this quarterly report on Form 10-Q.

USCF believes that market arbitrage opportunities will cause daily changes in BNO’s share price on the NYSE Arca on a percentage basis to closely track daily changes in BNO’s per share NAV on a percentage basis. USCF further believes that daily changes in prices of the Benchmark Futures Contract have historically closely tracked the daily changes in spot prices of Brent crude oil. USCF believes that the net effect of these relationships will be that the daily changes in the price of BNO’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the spot price of a barrel of Brent crude oil on a percentage basis, plus interest earned on BNO’s collateral holdings, less BNO’s expenses.

BNO seeks to achieve its investment objective by investing so that the average daily percentage change in BNO’s NAV for any period of 30 successive valuation days will be within plus/minus ten percent (10%) of the average daily percentage change in the price of the Benchmark Futures Contract over the same period.

Regulatory Disclosure

Accountability Levels, Position Limits and Price Fluctuation ~~Limits~~Limits.. 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 an investment by BNO is not) may hold, own or control. These levels and position limits apply to the futures contracts that BNO invests in to meet its investment objective. In addition to accountability levels and position limits, the NYMEX and ICE Futures 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 Benchmark Futures Contract and other Futures Contracts traded on U.S.-based futures exchanges, such as the NYMEX, are not a fixed ceiling, but rather a threshold above which the NYMEX may exercise greater scrutiny and control over an investor’s positions. The current accountability level for investments for any one-month in the Benchmark Futures Contract is 10,000 net futures contracts. In addition, the NYMEX imposes an accountability level for all months of 20,000 net futures contracts for investments in futures contracts for oil. If BNO and the Related Public Funds exceed these accountability levels for investments in the futures contracts for oil, the NYMEX and ~~the~~ ICE Futures will monitor BNO’s and the Related Public Funds’ exposure and may ask for further information on their activities, including the total size of all positions, investment and trading strategy, and the extent of liquidity resources of BNO and the Related Public Funds. If deemed necessary by the NYMEX and/or ICE Futures, BNO could be ordered to reduce its net futures contracts back to the accountability level. In contrast, the position limits for the ICE Futures maintain that when 100 lots or more are traded, the activity must be reported to the exchange on a daily basis. ICE Futures also maintains that an Expiration Limit of 6,000 lots, long or short, will apply for the five business days up to and including the expiration date. As of ~~September~~June 30, ~~2017,~~2020, BNO held ~~1,699~~10,020 Futures Contracts traded on the ICE Futures Europe and did not hold any Futures Contracts for Brent crude oil traded on the NYMEX. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, BNO did not exceed accountability levels imposed by the ICE Futures ~~and~~or the NYMEX.

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 NYMEX and ~~the~~ ICE Futures impose position limits on contracts held in the last few days of trading in the near month contract to expire. It is unlikely that BNO will run up against such position limits because BNO’s investment strategy is to close out its positions and “roll” from the near month contract to expire to the next month contract beginning two weeks from expiration of the contract. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, BNO did not exceed any position limits imposed by the ICE Futures or the NYMEX.

The regulation of commodity interest trading in the United States and other countries is an evolving area of the law. The various statements made in this summary are subject to modification by legislative action and changes in the rules and regulations of the SEC, Financial Industry Regulatory Authority (“FINRA”), CFTC, ~~the National Futures Association (the “NFA”),~~NFA, the futures exchanges, clearing organizations and other regulatory bodies.

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Futures Contracts and Position Limits

The CFTC is generally prohibited by statute from regulating trading on non-U.S. futures exchanges and markets. The CFTC, however, has adopted regulations relating to the marketing of non-U.S. futures contracts in the United States. These regulations permit certain contracts on non-U.S. exchanges to be offered and sold in the United States.

The CFTC has proposed to adopt limits on speculative positions in 25 physical commodity futures and option contracts as well as swaps that are economically equivalent to such contracts in the agriculture, energy and metals markets, which rules were recently re-proposed in January 2020 (the “Position Limit Rules”). The Position Limit Rules would, among other things: identify which contracts are subject to speculative position limits; set thresholds that restrict the size of speculative positions that a person may hold in the spot month, other individual months, and all months combined; create an exemption for positions that constitute bona fide hedging transactions; impose responsibilities on ~~designated contract markets (“DCMs”)~~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 BNO, but the effect may be substantial and adverse. By way of example, the Position Limit Rules may negatively impact the ability of BNO to meet its investment objectives through limits that may inhibit USCF’s ability to sell additional Creation Baskets of BNO.

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 (collectively, “Referenced Contracts”).~~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, BNO 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 ~~the~~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.

OTC Swaps

~~“Swap” Transactions~~In October 2015, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC, the Farm Credit Administration, and the Federal Housing Finance Agency (each an “Agency” and, collectively, the “Agencies”) jointly adopted final rules to establish minimum margin and capital requirements for registered swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants (“Swap Entities”) that are subject to the jurisdiction of one of the Agencies (such entities, “Covered Swap Entities”, and the joint final rules, the “Final Margin Rules”).

The Final Margin Rules will subject non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and Swap Entities, and between Covered Swap Entities and financial end users that have material swaps exposure (i.e., an average daily aggregate notional of $8 billion or more in non-cleared swaps calculated in accordance with the Final Margin Rules), to a mandatory two-way minimum initial margin requirement. The minimum amount of the initial margin required to be posted or collected would be either the amount calculated by the Covered Swap Entity using a standardized schedule set forth as an appendix to the Final Margin Rules, which provides the gross initial margin (as a percentage of total notional exposure) for certain asset classes, or an internal margin model of the Covered Swap Entity conforming to the requirements of the Final Margin Rules that is approved by the Agency having jurisdiction over the particular Covered Swap Entity. The Final Margin Rules specify the types of collateral that may be posted or collected as initial margin for non-cleared swaps and non-cleared security-based swaps with financial end users (generally cash, certain government, government-sponsored enterprise securities, certain liquid debt, certain equity securities, certain eligible publicly traded debt, and gold); and sets forth haircuts for certain collateral asset classes.

The Final Margin Rules require minimum variation margin to be exchanged daily for non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and Swap Entities and between Covered Swap Entities and all financial end-users (without regard to the swaps exposure of the particular financial end-user). The minimum variation margin amount is the daily mark-to-market change in the value of the swap to the Covered Swap Entity, taking into account variation margin previously posted or collected. For non-cleared swaps and security-based swaps between Covered Swap Entities and financial end-users, variation margin may be posted or

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collected in cash or non-cash collateral that is considered eligible for initial margin purposes. Variation margin is not subject to segregation with an independent, third-party custodian, and may, if permitted by contract, be rehypothecated.

The initial margin requirements of the Final Margin Rules are being phased in over time, and the variation margin requirements of the Final Margin Rules are currently in effect. The Fund is not a Covered Swap Entity under the Final Margin Rules, but it is a financial end-user. Accordingly, the Fund is currently subject to the variation margin requirements of the Final Margin Rules. However, the Fund does not have material swaps exposure and, accordingly, the Fund will not be subject to the initial margin requirements of the Final Margin Rules.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) ~~imposes regulatory requirements~~required the CFTC and the SEC to adopt their own margin rules to apply to a limited number of registered swap dealers, security-based swap dealers, major swap participants, and major security-based swap participants that are not subject to the jurisdiction of one of the Agencies. On December 16, 2015 the CFTC finalized its margin rules, which are substantially the same as the Final Margin Rules and have the same implementation timeline. The SEC adopted margin rules for security-based swap dealers and major security-based swap participants on ~~certain “swap” transactions that~~June 21, 2019. The SEC’s margin rules are generally aligned with the Final Margin Rules and the CFTC’s margin rules, but they differ in a few key respects relating to timing for compliance and the manner in which initial margin must be segregated. BNO ~~is authorized to~~does not currently engage in ~~that may ultimately impact~~security-based swap transactions and, therefore, the ~~ability~~SEC’s margin rules are not expected to apply to BNO.

Mandatory Trading and Clearing of ~~BNO to meet its investment objective. The term “swap” is broadly defined to include various types of OTC derivatives, including swaps and options.~~

Swaps

CFTC regulations require that certain swap transactions ~~ultimately falling within the definition of “swap”~~ be executed on organized exchanges or “swap execution facilities” and cleared through regulated clearing organizations (“~~CCPs”~~derivative clearing organizations” (“DCOs”)~~. “Clearing” refers~~), if the CFTC mandates the central clearing of a particular class of swap and such swap is “made available to ~~the process by which~~trade” on a ~~trade~~swap execution facility. Currently, swap dealers, major swap participants, commodity pools, certain private funds and entities predominantly engaged in activities that are financial in nature are required to execute on a swap execution facility, and clear, certain interest rate swaps and index-based credit default swaps. As a result, if BNO enters into an interest rate or index-based credit default swap that is ~~bilaterally~~subject to these requirements, such swap will be required to be executed ~~by two parties is submitted~~on a swap execution facility and centrally cleared. Mandatory clearing and “made available to ~~a CCP, via a clearing member (i.e~~.~~, an “FCM”), and replaced by two mirror~~trade” determinations with respect to additional types of swaps with the CCP becoming the counterparty to both of the initial parties to the swap. CCPs have several layers of protection against default including margin, member capital contributions and FCM guarantees of their customers’ transactions with the CCP. FCMs also pre-qualify the counterparties to all swaps that are ~~sent to the CCP from a credit perspective, setting limits for each counterparty and collecting initial and variation margin daily from each counterparty for changes~~expected in the ~~value of~~future, and, when finalized, could require BNO to electronically execute and centrally clear certain OTC instruments presently entered into and settled on a bi-lateral basis. If a swap is required to be cleared, ~~swaps. The margin collected from both parties to the swap protects against credit risk in the event a counterparty defaults. The~~ initial and variation margin requirements are set by the relevant clearing organization, subject to certain regulatory requirements and ~~held for the benefit of the CCP.~~guidelines. Additional ~~initial~~ margin may be required and held by ~~the FCM.~~BNO's FCMs.

Other Requirements for Swaps

Current rules and regulations require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

Certain index-based credit default swaps and interest rate swaps are subject to mandatory clearing. If BNO enters into index-based credit default swaps or interest rate swaps that are subject to mandatory clearing, BNO will be required to centrally clear those swaps.

~~To the extent that a swap is required to be cleared, it must also be executed on a SEF or DCM if it is designated as “made available to trade” by a SEF or DCM. “Made available to trade” refers~~In addition to the ~~regulatory process by which the SEF or DCM execution requirement is implemented by the CFTC. To date, only certain of the index-based credit default~~margin requirements described above, swaps and interest rate swaps that are required to be cleared are made available to trade on a SEF. If BNO enters into index-based credit default swaps or interest rate swaps that are subject to mandatory clearing, BNO will be required to execute those swaps on a SEF if they are designated as made available to trade. In order to execute swaps on a SEF, BNO will have to be a member of a SEF or it may access the SEF through an intermediary. Members of a SEF are subject to additional requirements under CFTC regulations and are subject to the rules and jurisdiction of the relevant SEF.

~~Swaps~~ that are not required to be cleared and executed on a SEF but that are executed bilaterally are also subject to various requirements pursuant to CFTC regulations, including, among ~~others,~~other things, reporting and recordkeeping requirements and, depending on the status of the counterparties, trading documentation requirements and dispute resolution requirements. In addition, U.S. regulators have adopted rules to impose initial and variation margin requirements that apply to swap dealers and major swap participants and their counterparties. If BNO engages in non-cleared swap transactions it will be subject to some or all of the requirements of the margin rules, which include a requirement that swap dealers and major swap participants collect variation margin daily, beginning in March 2017, and potentially initial margin, beginning in September 2020.

Derivatives Regulations in Non-U.S. Jurisdictions

In addition to U.S. laws and regulations, BNO may be subject to non-U.S. derivatives laws and regulations if it engages in futures and/or ~~swaps~~swap transactions with non-U.S. persons. For example, BNO may be impacted by European laws and regulations to the extent that it engages in futures transactions on European exchanges or derivatives transactions with European entities. Other jurisdictions impose requirements applicable to futures and derivatives that are similar to those imposed by the U.S., including position limits, margin, clearing and trade execution requirements.

Money Market ~~Reform~~

Funds

The SEC adopted amendments to Rule 2a-7 under the Investment Company Act of 1940, as amended ("1940 Act") which became effective in 2016, to reform money market funds (“MMFs”). While the ~~new~~ rule applies only to MMFs, it may indirectly affect institutional investors such as BNO. A portion of ~~BNO’s~~BNO's assets that are not used for margin or collateral in the Futures Contracts currently are invested in government MMFs. BNO does not hold any non-government MMFs and ~~particularly in light of recent changes to the rule governing the operation of MMFs,~~ does not anticipate investing in any non-government MMFs. However, if BNO invests in other types of MMFs besides government MMFs in the future, BNO could be negatively impacted by investing in an MMF that does not maintain a stable $1.00 ~~net asset value~~NAV or that has the potential to impose redemption fees and gates (temporary suspension of redemptions).

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Although such government money market funds seek to preserve the value of an investment at $1.00 per share, there is no guarantee that they will be able to do so and BNO may lose money by investing in a government money market fund. An investment in a government money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation, referred to herein as the FDIC, or any other government agency. The share price of a government money market fund can fall below the $1.00 share price. BNO cannot rely on or expect a government money market fund’s adviser or its affiliates to enter into support agreements or take other actions to maintain the government money market fund’s $1.00 share price. The credit quality of a government money market fund’s holdings can change rapidly in certain markets, and the default of a single holding could have an adverse impact on the government money market fund’s share price. Due to fluctuations in interest rates, the market value of securities held by a government money market fund may vary. A government money market fund’s share price can also be negatively affected during periods of high redemption pressures and/or illiquid markets.

Price Movements

Brent crude oil futures prices were volatile and exhibited an uneven downward trend during the ~~nine~~six months ended ~~September~~June 30, ~~2017.~~2020. The price of the Benchmark Futures Contract started the period at ~~$56.820~~$66.00 per barrel. ~~It hit a peak~~The high of the period was on ~~September 25, 2017 at a~~January 6, 2020 when the price ~~of $58.430~~reached $68.91 per barrel. The low of the period was on ~~June~~April 21, ~~2017~~2020 when the price dropped to ~~$44.993~~$22.17 per barrel. The period ended with the Benchmark Futures Contract at ~~$56.790~~$41.27 per barrel, a decrease of approximately ~~(0.05)~~(37.47)% over the period. BNO’s per share NAV began the period at ~~$15.70~~$20.91 and ended the period at ~~$15.19~~$10.77 on ~~September~~June 30, ~~2017,~~2020, a decrease of approximately ~~(3.25)~~(48.49)% over the period. ~~BNO’s per share NAV reached its high for the period on January 6, 2017 at $15.77 and reached its low for the period on June 21, 2017 at $11.98.~~ The Benchmark Futures Contract prices listed above began with the ~~February 2017 contract~~March 2020 contracts and ended with the ~~December 2017 contract.~~September 2020 contracts. The decrease of approximately ~~(0.05)~~(37.47)% on the Benchmark Futures Contract listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts. An investment in Futures Contracts would need to be rolled forward during the time period described in order to simulate such a result. Furthermore, the change in the nominal price of these differing ~~crude Oil~~ Futures Contracts, measured from the start of the period to the end of the period, does not represent the actual benchmark results that BNO seeks to track, which are more fully described below in the section titled “~~Tracking BNO’s~~“Tracking BNO's Benchmark.”

During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, the Brent crude oil ~~was primarily~~futures market experienced states of both contango and backwardation. When the market is in a state of contango, ~~meaning that the price of~~ the near month Brent crude ~~Oil Futures Contract was~~oil futures contract is lower than the price of the next month Brent crude ~~Oil Futures Contract, and~~oil futures contract, or contracts further away from expiration. ~~On days when the market is in~~During periods of backwardation, ~~the price of~~ the near month Brent crude ~~Oil Futures Contract~~oil futures contract is higher than the price of the next month Brent crude oil ~~Futures Contract~~futures contract, or contracts further away from expiration. For a discussion of the impact of backwardation and contango on total returns, see~~“Term~~ “Term Structure of Crude Oil Prices and the Impact on Total Returns” below.

Valuation of Oil Futures Contracts and the Computation of the Per Share NAV

The per share NAV of BNO’s shares is calculated once each NYSE Arca trading day. The per share NAV for a particular trading day is released after 4:00 p.m. New York time. Trading during the core trading session on the NYSE Arca typically closes at 4:00 p.m. New York time. BNO’s administrator uses the ICE Futures settlement price (a weighted average price of trades during a three minute settlement period from 2:27 p.m. to 2:30 p.m. New York time) for the contracts held on the ICE Futures, but calculates or determines the value of all other BNO investments, including NYMEX contracts or other futures contracts, as of the earlier of the close of the NYSE Arca or 4:00 p.m. New York time.

Results of Operations and the Crude Oil Market

Results of Operations. On June 2, 2010, BNO listed its shares on the NYSE Arca under the ticker symbol “BNO.” On that day, BNO established its initial offering price at $50.00 per share and issued 200,000 shares to the initial Authorized Participant in exchange for $10,000,000 in cash.

Since its initial offering of 50,000,000 shares, BNO has not registered any subsequent offerings of its shares. On August 26, 2013, BNO executed a 2-for-1 forward share split for all shareholders of record as of the close of markets on August 26, 2013. The 2-for-1 forward share split was payable after the close of markets on August 28, 2013. BNO began trading at its post-split price on August 29, 2013. As a result of the forward share split, every one presplit share of BNO was automatically exchanged for two post-split shares. Immediately prior to the forward share split, there were 450,000 shares of BNO issued and outstanding, representing a per share NAV of $89.92. After the forward share split, the number of issued and outstanding shares of BNO increased to 900,000, and the per share NAV decreased to $44.96. As of ~~September~~June 30, ~~2017,~~2020, BNO had issued ~~22,500,000~~68,650,000 shares, ~~6,350,000~~38,400,000 of which were outstanding. As of ~~September~~June 30, ~~2017,~~2020, there were ~~27,950,000~~181,800,000 shares registered but not yet issued.

More shares may have been issued by BNO than are outstanding due to the redemption of shares. Unlike funds that are registered under the ~~Investment Company~~1940 Act, ~~of 1940, as amended,~~ shares that have been redeemed by BNO cannot be resold by BNO. As a result, BNO contemplates that additional offerings of its shares will be registered with the SEC in the future in anticipation of additional issuances and redemptions.

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As of ~~September~~June 30, ~~2017,~~2020, BNO had the following Authorized Participants: Citadel Securities LLC, Credit Suisse Securities USA LLC, Deutsche Bank Securities Inc., Goldman Sachs & Company, JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., Nomura Securities International Inc., RBC Capital Markets LLC and Virtu Financial BD LLC.

For the ~~Nine~~Six Months Ended ~~September~~June 30, ~~2017~~2020 Compared to the ~~Nine~~Six Months Ended ~~September~~June 30, ~~2016~~2019

	For the nine months ended September 30, 2017			For the nine months ended September 30, 2016

							Six months ended			Six months ended
							June 30, 2020			June 30, 2019
Average daily total net assets	$	102,199,927		$	110,262,186		$	202,583,165		$	91,784,753
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	561,180		$	249,112		$	530,493		$	1,073,259
Annualized approximate yield based on average daily total net assets		0.73	%		0.30	%
Annualized yield based on average daily total net assets								0.53	%		2.36	%
Management fee	$	573,300		$	619,095		$	755,535		$	341,364
Total fees and other expenses excluding management fees	$	365,089		$	263,162		$	429,521		$	77,668
Fees and expenses related to the registration or offering of additional shares	$	—		$	—
Total amount of the expense waiver	$	250,328		$	139,342		$	276,795		$	9,395
Expenses before allowance for the expense waiver	$	938,389		$	882,257
Expenses after allowance for the expense waiver	$	688,061		$	742,915
Expenses before the allowance of the expense waiver							$	1,185,056		$	419,032
Expenses after the allowance of the expense waiver							$	908,261		$	409,637
Fees and expenses related the registration or offering of additional shares							$	81,500		$	—
Total commissions accrued to brokers	$	103,523		$	130,670		$	251,852		$	51,724
Total commissions as annualized percentage of average total net assets		0.14	%		0.16	%		0.25	%		0.11	%
Commissions accrued as a result of rebalancing	$	99,442		$	127,245		$	217,371		$	50,744
Percentage of commissions accrued as a result of rebalancing		96.06	%		97.38	%		86.31	%		98.11	%
Commissions accrued as a result of creation and redemption activity	$	4,081		$	3,425		$	34,481		$	980
Percentage of commissions accrued as a result of creation and redemption activity		3.94	%		2.62	%		13.69	%		1.89	%

Portfolio Expenses. ~~BNO’s~~BNO's expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, ~~the~~licensing fees, and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that BNO pays to USCF is calculated as a percentage of the total net assets of BNO. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by BNO, including cash, cash equivalents and Treasuries, were higher during the nine months ended September 30, 2017, compared to the nine months ended September 30, 2016. As a result, the amount of income earned by BNO as a percentage of average daily total net assets was higher during the nine months ended September 30, 2017, compared to the nine months ended September 30, 2016.

The increase in total fees and expenses excluding management fees for the nine months ended September 30, 2017, compared to the nine months ended September 30, 2016, was due to an increase in professional fees.

The decrease in the total commissions accrued to brokers by BNO for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, was due primarily to lower number of futures contracts being held and traded as a result of lower average daily total net assets.

~~For the Three Months Ended September 30, 2017 Compared to the Three Months Ended September 30, 2016~~

For the three
months ended
September 30, 2017 For the three
months ended
September 30, 2016
Average daily total net assets $ 99,384,135 $ 110,899,274
Dividend and interest income earned on Treasuries, cash and/or cash equivalents $ 242,675 $ 94,880
Annualized approximate yield based on average daily total net assets 0.97 % 0.34 %
Management fee $ 187,877 $ 209,072
Total fees and other expenses excluding management fees $ 104,527 $ 86,524
Fees and expenses related to the registration or offering of additional shares $ — $ —
Total amount of the expense waiver $ 66,850 $ 43,026
Expenses before allowance for the expense waiver $ 292,404 $ 295,596
Expenses after allowance for the expense waiver $ 225,554 $ 252,570
Total commissions accrued to brokers $ 35,755 $ 36,202
Total commissions as annualized percentage of average total net assets 0.14 % 0.13 %
Commissions accrued as a result of rebalancing $ 34,045 $ 35,944
Percentage of commissions accrued as a result of rebalancing 95.22 % 99.29 %
Commissions accrued as a result of creation and redemption activity $ 1,710 $ 258
Percentage of commissions accrued as a result of creation and redemption activity 4.78 % 0.71 %

~~Portfolio Expenses.~~ ~~BNO’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing~~registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that BNO pays to USCF is calculated as a percentage of the total net assets of BNO. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by BNO, including cash, cash equivalents and Treasuries, were ~~higher~~lower during the ~~three~~six months ended ~~September~~June 30, ~~2017,~~2020, compared to the ~~three~~six months ended ~~September~~June 30, ~~2017.~~2019. As a result, the amount of income earned by BNO as a percentage of average daily total net assets was lower during the six months ended June 30, 2020, compared to the six months ended June 30, 2019.

The increase in total fees and other expenses excluding management fees for the six months ended June 30, 2020, compared to the six months ended June 30, 2019 was due primarily to an increase in total commissions accrued to brokers and expenses related to the registration or offering of additional shares.

The increase in total commissions accrued to brokers for the six months ended June 30, 2020, compared to the six months ended June 30, 2019, was due primarily to a higher number of Brent Crude Oil Futures Contracts being held and traded.

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For the Three Months Ended June 30, 2020 Compared to the Three Months Ended June 30, 2019


	Three months ended				Three months ended
	June 30, 2020				June 30, 2019
Average daily total net assets	$	322,820,858		$	93,760,147
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	233,223		$	552,115
Annualized yield based on average daily total net assets		0.29	%		2.36	%
Management fee	$	601,981		$	175,319
Total fees and other expenses excluding management fees	$	341,669		$	38,455
Total amount of the expense waiver	$	220,204		$	3,391
Expenses before the allowance of the expense waiver	$	943,650		$	213,774
Expenses after the allowance of the expense waiver	$	723,446		$	210,383
Fees and expenses related the registration or offering of additional shares	$	81,500		$	—
Total commissions accrued to brokers	$	205,173		$	25,440
Total commissions as annualized percentage of average total net assets		0.25	%		0.11	%
Commissions accrued as a result of rebalancing	$	179,543		$	25,077
Percentage of commissions accrued as a result of rebalancing		87.51	%		98.57	%
Commissions accrued as a result of creation and redemption activity	$	25,630		$	363
Percentage of commissions accrued as a result of creation and redemption activity		12.49	%		1.43	%

Portfolio Expenses. BNO’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that BNO pays to USCF is calculated as a percentage of the total net assets of BNO. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by BNO, including cash, cash equivalents and Treasuries, were lower during the three months ended ~~September~~June 30, ~~2017,~~2020, compared to the three months ended ~~September~~June 30, ~~2016.~~

2019. As a result, the amount of income earned by BNO as a percentage of average daily total net assets was lower during the three months ended June 30, 2020, compared to the three months ended June 30, 2019.

The increase in total fees and other expenses excluding management fees for the three months ended ~~September~~June 30, ~~2017,~~2020, compared to the three months ended ~~September~~June 30, ~~2016,~~2019 was due primarily to an increase in ~~professional fees.~~

~~The decrease in the~~ total commissions accrued to brokers ~~by BNO~~and expenses related to the registration or offering of additional shares.

The increase in total commissions accrued to brokers for the three months ended ~~September~~June 30, ~~2017, as~~2020, compared to the three months ended ~~September~~June 30, ~~2017,~~2019, was due primarily to ~~lower~~a higher number of ~~futures contracts~~Brent Crude Oil Futures Contracts being held and ~~traded as a result of lower average daily total net assets.~~traded.

Tracking ~~BNO’s~~BNO's Benchmark

USCF seeks to manage ~~BNO’s~~BNO's portfolio such that changes in its average daily per share NAV, on a percentage basis, closely track the daily changes in the average price of the Benchmark Futures Contract, also on a percentage basis. Specifically, USCF seeks to manage the portfolio such that over any rolling period of 30-valuation days, the average daily change in ~~BNO’s~~BNO's per share NAV is within a range of 90% to 110% (0.9 to 1.1) of the average daily change in the price of the Benchmark Futures Contract. As an example, if the average daily movement of the price of the Benchmark Futures Contract for a particular 30-valuation day time period was 0.50% per day, USCF would attempt to manage the portfolio such that the average daily movement of the per share NAV during that same time period fell between 0.45% and 0.55% (i.e., between 0.9 and 1.1 of the benchmark’s results). ~~BNO’s~~BNO's portfolio management goals do not include trying to make the nominal price of ~~BNO’s~~BNO's per share NAV equal to the nominal price of the current Benchmark Futures Contract or the spot price for Brent crude oil. USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Futures ~~Contracts.~~

Contracts and Other Crude Oil-Related Investments.

For the 30-valuation days ended ~~September~~June 30, ~~2017,~~2020, the simple average daily change in the Benchmark Futures ~~Contracts~~Contract was ~~0.4038%~~0.582%, while the simple average daily change in the per share NAV of BNO over the same time period was ~~0.4046%~~0.581%. The average daily difference was ~~0.0008% (or 0.08~~0.001% or (0.1) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Benchmark Futures Contract, the average error in daily tracking by the per share NAV was ~~(1.3544)%~~0.089%, meaning that over this time period BNO’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

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Since the commencement of the offering of BNO’s shares to the public on June 2, 2010 to ~~September~~June 30, ~~2017,~~2020, the simple average daily change in the Benchmark Futures Contract was ~~(0.0047)~~(0.006)%, while the simple average daily change in the per share NAV of BNO over the same time period was ~~(0.0085)~~(0.008)%. The average daily difference was ~~(0.0038)~~(0.002)% ~~(or (0.38)~~or (0.2) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Benchmark Futures Contract, the average error in daily tracking by the per share NAV was ~~(0.8806)~~(0.486)%, meaning that over this time period BNO’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal. The following two graphs demonstrate the correlation between the changes in BNO’s NAV and the changes in the Benchmark Futures Contract. The first graph exhibits the daily changes ~~for~~in the last 30 valuation days ended ~~September~~June 30, ~~2017.~~2020. The second graph measures monthly changes ~~from September~~since June 30, ~~2012~~2015 through ~~September~~June 30, ~~2017.~~2020.

~~$Y:\TopVin\2017\10 Oct\20 Oct\Shift II\tv477398 - United States Brent Oil Fund, LP_10-Q\Draft\03-Production$~~

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An alternative tracking measurement of the return performance of BNO versus the return of its Benchmark Futures Contract can be calculated by comparing the actual return of BNO, measured by changes in its per share NAV, versus the expected changes in its per share NAV under the assumption that BNO’s returns had been exactly the same as the daily changes in its Benchmark Futures Contract.

For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, the actual total return of BNO as measured by changes in its per share NAV was ~~(3.25)~~(48.49)%. This is based on an initial per share NAV of ~~$15.70~~$20.91 as of December 31, ~~2016~~2019 and an ending per share NAV as of ~~September~~June 30, ~~2017~~2020 of ~~$15.19.~~$10.77. During this time period, BNO made no distributions to its shareholders. However, if BNO’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the Benchmark Futures Contract, BNO would have had an estimated per share NAV of ~~$15.21~~$10.77 as of ~~September~~June 30, ~~2017,~~2020, for a total return over the relevant time period of ~~(3.12)~~(48.49)%. The difference between the actual per share NAV total return of BNO of ~~(3.25)~~(48.49)% and the expected total return based on the Benchmark Futures ~~Contracts~~Contract of ~~(3.12)~~(48.49)% was an error over the time period of ~~(0.13)%~~0%, which is to say that BNO’s actual total return ~~underperformed the benchmark result by that percentage.~~tracked to its benchmark. BNO incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of BNO to track slightly lower or higher than daily changes in the price of the Benchmark Futures Contract.

By comparison, for the ~~nine~~six months ended ~~September~~June 30, ~~2016,~~2019, the actual total return of BNO as measured by changes in its per share NAV was ~~19.39%~~26.02%. This was based on an initial per share NAV of ~~$12.22~~$15.18 as of December 31, ~~2015~~2019 and an ending per share NAV as of ~~September~~June 30, ~~2016~~2019 of ~~$14.59.~~$19.13. During this time period, BNO made no distributions to its shareholders. However, if BNO’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the Benchmark Futures Contract, BNO would have had an estimated per share NAV of ~~$14.65~~$18.99 as of ~~September~~June 30, ~~2016,~~2019, for a total return over the relevant time period of ~~19.89%~~25.10%. The difference between the actual per share NAV total return of BNO of ~~19.39%~~26.02% and the expected total return based on the Benchmark Futures ~~Contracts~~Contract of ~~19.89%~~25.10% was an error over the time period of ~~(0.30)%~~0.92%, which is to say that BNO’s actual total return ~~underperformed the~~outperformed its benchmark ~~result~~ by that percentage. BNO incurred expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tended to cause daily changes in the per share NAV of BNO to track slightly lower or higher than daily changes in the price of the Benchmark Futures Contract.

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There are currently three factors that have impacted or are most likely to impact ~~BNO’s~~BNO's ability to accurately track ~~its~~ Benchmark Futures Contract.

First, BNO may buy or sell its holdings in the then current Benchmark Futures Contract at a price other than the closing settlement price of that contract on the day during which BNO executes the trade. In that case, BNO may pay a price that is higher, or lower, than that of the Benchmark Futures Contract, which could cause the ~~daily~~ changes in the daily per share NAV of BNO to either be too high or too low relative to the daily changes in the Benchmark Futures Contract. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, USCF attempted to minimize the effect of these transactions by seeking to execute its purchase or sale of the Benchmark Futures Contract at, or as close as possible to, the end of the day settlement price. However, it may not always be possible for BNO to obtain the closing settlement price and there is no assurance that failure to obtain the closing settlement price in the future will not adversely impact ~~BNO’s~~BNO's attempt to track the Benchmark Futures ~~Contract over time.~~

Contract.

Second, BNO incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses tends to cause daily changes in the per share NAV of BNO to track slightly lower than ~~the inverse of~~ daily changes in the price of the Benchmark Futures Contract. At the same time, BNO earns dividend and interest income on its cash, cash equivalents and Treasuries. BNO is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the ~~nine~~six months ended ~~September~~June 30, ~~2017.~~2020. Interest payments, and any other income, were retained within the portfolio and added to ~~BNO’s~~BNO's NAV. When this income exceeds the level of ~~BNO’s~~BNO's expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees, licensing fees and the fees and expenses of the independent directors of USCF), BNO will realize a net yield that will tend to cause daily changes in the per share NAV of BNO to track slightly higher than daily changes in the Benchmark Futures Contract. If short-term interest rates rise above the current levels, the level of deviation created by the yield would ~~decrease.~~increase. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would ~~increase.~~decrease. When short-term yields drop to a level lower than the combined expenses of the management fee and the brokerage commissions, then the tracking error becomes a negative number and would tend to cause the daily returns of the per share NAV to underperform the daily returns of the Benchmark Futures Contract. USCF anticipates that interest rates ~~will~~may continue to ~~remain at~~stagnate over the near future historical ~~lows and, therefore, it~~lows. It is anticipated that fees and expenses paid by BNO ~~will to continue to~~may be higher than interest earned by BNO. As such, USCF anticipates that BNO ~~will continue to~~could possibly underperform its benchmark ~~until such a time when~~so long as interest earned ~~at least equals or exceeds~~is lower than the fees and expenses paid by BNO.

Third, BNO may hold Other Crude Oil-Related Investments in its portfolio that may fail to closely track the Benchmark Futures ~~Contract’s~~Contract's total return movements. In that case, the error in tracking the Benchmark Futures Contract could result in daily changes in the per share NAV of BNO that are either too high, or too low, relative to the daily changes in the Benchmark Futures Contract. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, BNO did not hold any Other Crude Oil-Related Investments. If BNO increases in size, and due to its obligations to comply with regulatory limits, BNO may invest in Other Crude Oil-Related Investments which may have the effect of increasing transaction related expenses and may result in increased tracking error.

Term Structure of Crude Oil Futures Prices and the Impact on Total Returns. Several factors determine the total return from investing in futures contracts. One factor arises from “rolling” futures contracts that will expire at the end of the current month (the “near” or “front” month contract) forward each month prior to expiration. For a strategy that entails holding the near month contract, the price relationship between that futures contract and the next month futures contract will impact returns. For example, if the price of the near month futures contract is higher than the next futures month contract (a situation referred to as “backwardation”), then absent any other change, the price of a next month futures contract tends to rise in value as it becomes the near month futures contract and approaches expiration. Conversely, if the price of a near month futures contract is lower than the next month futures contract (a situation referred to as “contango”), then absent any other change, the price of a next month futures contract tends to decline in value as it becomes the near month futures contract and approaches expiration.

As an example, assume that the price of Brent crude oil for immediate delivery, is $50 per barrel, and the value of a position in the near month futures contract is also $50. Over time, the price of Brent crude oil will fluctuate based on a number of market factors, including demand for oil relative to supply. The value of the near month futures contract will likewise fluctuate in reaction to a number of market factors. If an investor seeks to maintain a position in a near month futures contract and not take delivery of physical barrels of Brent crude oil, the investor must sell the current near month futures contract as it approaches expiration and invest in the next month futures contract. In order to continue holding a position in the current near month futures contract, this “roll” forward of the futures contract must be executed every month.

Contango and backwardation are natural market forces that have impacted the total return on an investment in BNO’s shares during the past year relative to a hypothetical direct investment in Brent crude oil. In the future, it is likely that the relationship between the market

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price of BNO’s shares and changes in the spot prices of Brent crude oil will continue to be impacted by contango and backwardation. It is important to note that this comparison ignores the potential costs associated with physically owning and storing Brent crude oil, which could be substantial.

If the futures market is in backwardation, e.g., when the price of the near month futures contract is higher than the price of the next month futures contract, the investor would buy a next month futures contract for a lower price than the current near month futures contract. Assuming the price of the next month futures contract was $49 per barrel, or 2% cheaper than the $50 near month futures contract, then, hypothetically, and assuming no other changes (e.g., to either prevailing Brent crude oil prices or the price relationship between the spot price, the near month contract and the next month contract, and, ignoring the impact of commission costs and the income earned on cash and/or cash equivalents), the value of the $49 next month futures contract would rise to $50 as it approaches expiration. In this example, the value of an investment in the next month futures contract would tend to outperform the spot price of Brent crude oil. As a result, it would be possible for the new near month futures contract to rise 12% while the spot price of Brent crude oil may have risen a lower amount, e.g., only 10%. Similarly, the spot price of Brent crude oil could have fallen 10% while the value of an investment in the futures contract might have fallen another amount, e.g., only 8%. Over time, if backwardation remained constant, this difference between the spot price and the futures contract price would continue to increase.

If the futures market is in contango, an investor would be buying a next month futures contract for a higher price than the current near month futures contract. Again, assuming the near month futures contract is $50 per barrel, the price of the next month futures contract might be $51 per barrel, or 2% more expensive than the front month futures contract. Hypothetically, and assuming no other changes, the value of the $51 next month futures contract would fall to $50 as it approaches expiration. In this example, the value of an investment in the second month would tend to underperform the spot price of Brent crude oil. As a result, it would be possible for the new near month futures contract to rise only 10% while the spot price of Brent crude oil may have risen a higher amount, e.g., 12%. Similarly, the spot price of Brent crude oil could have fallen 10% while the value of an investment in the second month futures contract might have fallen another amount, e.g., 12%. Over time, if contango remained constant, this difference between the spot price and the futures contract price would continue to increase.

The chart below compares the daily price of the near month Brent crude oil futures contract to the price of 13^th13th month Brent crude oil futures contract (i.e., a contract one year forward) over the last 10 years. When the price of the near month futures contract is higher than the price of the 13^th13th month futures contract, the market would be described as being in backwardation. When the price of the near month futures contract is lower than the 13^th13th month futures contract, the market would be described as being in contango. Although the price of the near month futures contract and the price of the 13^th13th month futures contract tend to move together, it can be seen that at times the near month futures contract prices are higher than the 13^th13th month futures contract prices (backwardation) and, at other times, the near month futures contract prices are lower than the 13^th13th month futures contract prices (contango).

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An alternative way to view the same data is to subtract the dollar price of the 13^th13th month Brent crude oil futures contract from the dollar price of the near month Brent crude oil futures contract, as shown in the chart below. When the difference is positive, the market is in backwardation. When the difference is negative, the market is in contango. The Brent crude oil market spent time in both backwardation and contango during the last ten years. The chart below shows the results from subtracting the average dollar price of the near 12-month contracts from the near month price for the ~~10 year~~10-year period between ~~September~~June 30,~~2007~~ 2010 and ~~September~~June 30, ~~2017.~~2020. Investors will note that the Brent crude oil market spent time in both backwardation and contango.

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Historically, the Brent crude oil futures markets have experienced periods of contango and backwardation, with backwardation being in place ~~roughly as~~somewhat more often asthan contango since Brent oil futures trading started in ~~1982. Following~~1988. In recent years, Brent crude oil markets were primarily in backwardation. However, as a result of the ~~global financial~~COVID-19 crisis and Saudi-Russia price war, demand has fallen sharply and supply increased simultaneously, resulting in Brent crude oil markets moving into steep contango. In March 2020, contango dramatically increased and reached historic levels during the economic crisis arising from the COVID-19 pandemic and disputes among oil producing nations regarding limits on oil production levels This contango was due to significant market volatility that has occurred and is continuing in the ~~fourth quarter of 2008,~~Brent crude oil markets as well as the oil futures markets.

In March 2020, contango dramatically increased and reached historic levels during the economic crisis arising from the COVID-19 pandemic and disputes among oil-producing countries regarding limits on oil production levels. This contango was due to significant market volatility that has occurred and is continuing in the crude oil ~~market moved~~markets as well as the oil futures markets. Crude oil prices have collapsed in the wake of the COVID-19 demand shock, which reduced global petroleum consumption, and the price war launched by Saudi Arabia at the beginning of March 2020 in response to Russia’s unwillingness to participate in extending previously agreed upon supply cuts. An estimated twenty million barrels a day of crude demand evaporated as a result of quarantines and massive drops in industrial and manufacturing activity. In addition, the United States, OPEC, Russia, and other oil producers around the world agreed to a historic 9.7 million barrel per day cut to crude supply. In the short term, this cut does not close the gap relative to the massive drop in demand. However, the duration of the agreement, lasting until 2022, should allow oil prices to slowly recover as demand re-materializes. The supply cut may also reduce at least some of the unprecedented volatility oil markets experienced in the Spring of 2020. As the crisis continues into ~~contango~~the second quarter of 2020, and ~~remained in contango for a period of several years. U.S. benchmarked WTI~~potentially beyond, demand weakness and limited storage capacity will continue to put pressure on crude oil ~~experienced a period~~in the near term.

Periods of contango or backwardation have not materially impacted BNO's investment objective of having the daily percentage changes in its per share NAV track the daily percentage changes in the price of the Benchmark Futures Contract since the impact of backwardation ~~from late-2013~~and contango tended to ~~mid-2014, while Brent~~equally impact the daily percentage changes in price of both BNO's shares and the Benchmark Futures Contract. It is impossible to predict with any degree of certainty whether backwardation or contango will occur in the future. It is likely that both conditions will occur during different periods. Contango may persist for the foreseeable future, potentially at extreme levels, as a result of the unprecedented conditions in the wake of the COVID-19 crisis described above (namely simultaneous oversupply and a collapse in demand for crude oil ~~moved into~~combined with a ~~state~~lack of ~~backwardation from 2011 until mid-2014. However, global~~on-land storage for crude ~~oil inventories grew rapidly after the Organization~~oil).

Table of the Petroleum Exporting Countries (“OPEC”) decided to defend its market share against U.S. shale-oil producers in late-2014. Record surpluses in global inventories resulted in another period of contango that has persisted through December 31, 2016. Over the last decade, Brent crude oil has exhibited less contango (more backwardation) than WTI. The average spread between the first and second month futures contracts was -19 cents for Brent crude oil versus -54 cents for WTI crude oil for the ten years ended December 31, 2016.Contents

Periods of contango or backwardation do not materially impact ~~BNO’s~~BNO's investment objective of having the daily percentage changes in its per share NAV track the daily percentage changes in the price of the Benchmark Futures Contract since the impact of backwardation and contango tend to equally impact the daily percentage changes in price of both ~~BNO’s~~BNO's shares and the Benchmark Futures Contract. It is impossible to predict with any degree of certainty whether backwardation or contango will occur in the future. It is likely that both conditions will occur during different periods.

Brent Crude Oil ~~Market.~~Market. During the six months ended June 30, 2020, Brent crude oil prices traded in a range between $68.91 to $19.33. Brent crude fell 37.65% from the end of 2019 through June 30, 2019 to finish the quarter at $41.15.

The simultaneous demand and supply shocks from the COVID-19 pandemic and Saudi-Russia price war precipitated unparalleled risk and volatility in crude oil markets during the first half of 2020. Global demand for crude oil plummeted by as ~~measured~~much as 30% in the spring of 2020 as workers around the world stopped driving, airlines cut flight schedules, and companies suspended operations. Meanwhile, U.S. crude oil supply reached 13 million barrels per day (mbd), capping a period of almost continuous growth since 2016. To offset the seemingly unstoppable U.S. production juggernaut, OPEC+ (a loose coalition between OPEC and non-member nations such as Russia and Mexico) had maintained an uneasy series of agreements to curtail their crude oil output in order to support crude oil prices. However, in early March of 2020, Russia refused Saudi Arabia's proposal to extend cuts in response to the COVID-19 demand shock. The kingdom retaliated with a massive production increase, launching an all-out price war in the middle of a pandemic. Although the members of OPEC+ reached a record-shattering agreement in mid-April of 2020, the implementation of new supply cuts came too late to prevent crude oil prices from plummeting to historic lows, culminating in a drop into negative territory for the May WTI crude oil futures contract on April 20, 2020.

During the second quarter of 2020, the International Energy Agency (IEA) reports that crude oil demand fell an average of 16.4 mbd while global crude oil supply declined by an average of 13.7 mbd. Demand evaporated as a result of quarantines and massive drops in industrial and manufacturing activity. Supply declined largely due to a historic agreement in April between the United States, OPEC, Russia, and other oil producers. The bulk of the supply decline came from voluntary OPEC+ cuts while 2.8 mbd resulted from market-driven cuts in the United States. As of June 30, 2020, U.S. production had dropped over 15%, rapidly falling back to 11 mbd. Oil producing rigs in the United States fell to 180 from over 670 at the start of the year, a massive decline that will likely see U.S. supply fall further. Finally, in late June storage in the U.S. spiked to 541 million barrels while global storage reached 3.351 billion barrels.

The unprecedented twin crises described above caused unparalleled effects on oil futures markets.

First, multiple record-breaking returns occurred between March and May 2020. Brent crude oil prices averaged $33 during the second quarter of 2020 compared to $51 during the first quarter of 2020 and $64 during calendar year 2019.

Second, crude oil price volatility went off-the-charts. For example, the 30-day annualized volatility of Brent crude oil prices reached 140% after averaging 30% in 2019 and 28% in the first two months of 2020.

Third, futures curves, which can exhibit conditions known as "contango" and "backwardation, moved into a condition that some market experts referred to as "super contango." Specifically, the front month Brent crude oil futures contract fell significantly relative to deferred contract months. On a percentage basis, the difference between the front and second month crude oil contracts was more than double the previous record.

More recently, as economies reopened and OPEC+ supply cuts were absorbed by the ~~Benchmark Futures Contract, finished~~market, Brent crude oil prices rose from a low of $19.33 on April 21, 2020 to end the ~~third~~ quarter ~~of 2017 approximately (0.05)% lower~~at $41.15. U.S and China manufacturing PMI's, some GDP forecasts, and other pro-cyclical indicators, while less than atrosy, have risen from substantial lows in the ~~beginning~~spring. However, unemployment in the United States and around the world remains significantly higher than it was before the COVID-19 pandemic. Looking ahead, the full impact of the ~~year. Prices firmed as lower~~world's initial response to the COVID-19 pandemic has not been determined, and an alarming spike in cases suggests that more economic pain may lie ahead. On the constructive side for oil prices, OPEC+ compliance with the oil production cuts has been high and production shut-ins in the United States are likely to continue affecting output. The U.S. Energy Information Administration expects crude oil production in the ~~U.S.~~United States to average 11.6 mbd in 2020 and ~~supply disruptions abroad improved the global supply and demand balance. Should supply resume an upward trajectory or should the global economic situation decline, there~~11 mbd in 2021. At this stage, it is ~~a meaningful possibility that~~impossible to predict whether crude oil prices ~~could~~will rise, fall, ~~while disruptions due to conflict~~or remain stable. High risk remains in oil markets until demand and supply are fully balanced and the ~~Middle East, Africa or South America would likely have the opposite effect.~~

full impact of past, current, and future COVID-19 pandemic mitigation measures is known.

Brent Crude Oil Price Movements in Comparison to Other Energy Commodities and Investment ~~Categories.~~Categories. USCF believes that investors frequently measure the degree to which prices or total returns of one investment or asset class move up or down in value in concert with another investment or asset class. Statistically, such a measure is usually done by measuring the correlation of the price

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movements of the two different investments or asset classes over some period of time. The correlation is scaled between 1 and -1, where 1 indicates that the two investment options move up or down in price or value together, known as “positive correlation,” and -1 indicates that they move in completely opposite directions, known as “negative correlation.” A correlation of 0 would mean that the movements of the two are neither positively nor negatively correlated, known as “non-correlation.” That is, the investment options sometimes move up and down together and other times move in opposite directions.

For the ten-year time period between ~~September~~June 30, ~~2007~~2010 and ~~September~~June 30, ~~2017,~~2020, the table below compares the monthly movements of Brent crude oil prices versus the monthly movements of the prices of several other energy commodities, such as natural gas, diesel-heating oil, and unleaded gasoline, as well as several major non-commodity investment asset classes, such as large cap U.S. equities, U.S. government bonds and global equities. It can be seen that over this particular time period, the movement of Brent crude oil on a monthly basis was somewhat correlated with the movements of large cap U.S. equities and global equities. However, movements in Brent crude oil were strongly correlated with movements in U.S. West Texas Intermediate (WTI) crude oil and unleaded gasoline. Movements in Brent crude oil futures exhibited a somewhat inverse correlation with U.S. government bonds and limited to little correlation with diesel-heating oil.

U.S.
Gov’t.
Bonds
Large (EFFAS Global
Cap U.S. U.S. Equities
Equities Gov’t. (FTSE Diesel-
Correlation Matrix (S&P Bond World Crude Unleaded Heating Brent
September 30, 2007 – September 30, 2017* 500) Index) Index) Oil Gasoline Oil Oil
Large Cap U.S. Equities (S&P 500) 1.000 (0.287 ) 0.965 0.464 0.446 0.436 0.458
U.S. Gov’t. Bonds (EFFAS U.S. Gov’t. Bond Index) 1.000 (0.257 ) (0.390 ) (0.349 ) (0.331 ) (0.369 )
Global Equities (FTSE World Index) 1.000 0.514 0.484 0.476 0.515
Crude Oil (WTI) 1.000 0.700 0.805 0.930
Unleaded Gasoline 1.000 0.729 0.758
Diesel-Heating Oil 1.000 0.222
Brent Oil 1.000

~~Source: Bloomberg, NYMEX~~

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Large

US

Global

Cap US

Gov’t

Equities

Equities

Bonds

(FTSE

(S&P

(BEUSG4

World

Crude Oil

Unleaded

Heating

Brent
Correlation Matrix 10 Years

500)

Index)

Index)

(WTI)

Gasoline

Oil

Oil
Large Cap US Equities (S&P 500)

1.000

(0.421)

0.966

0.459

0.538

0.360

0.531
US Gov't Bonds (BEUSG4 Index)

1.000

(0.401)

(0.353)

(0.314)

(0.370)

(0.396)
Global Equities (FTSE World Index)

1.000

0.488

0.554

0.407

0.565
Crude Oil (WTI)

1.000

0.732

0.776

0.891
Unleaded Gasoline



1.000

0.661

0.799
Heating Oil







1.000

0.076
Brent Oil











1.000

Source: Bloomberg, NYMEX

The table below covers a more recent, but much shorter, range of dates than the above table. It can be seen that over the one-year period ended ~~September~~June 30, ~~2017,~~2020, movement of Brent crude oil was somewhat correlated with the movements of ~~large cap U.S. equities and global equities.~~diesel-heating oil. However, movements in Brent crude oil were strongly correlated with movements in large cap U.S. equities, global equities, U.S. West Texas Intermediate (WTI) crude ~~oil.~~oil and unleaded gasoline. Movements in Brent crude oil futures exhibited ~~a somewhat inverse~~negative correlation ~~with~~to U.S. government ~~bonds and little to no correlation with unleaded gasoline and diesel-heating oil.~~bonds.
U.S.
Gov’t.
Bonds
Large (EFFAS Global
Cap U.S. U.S. Equities
Equities Gov’t. (FTSE Diesel-
Correlation Matrix (S&P Bond World Crude Unleaded Heating Brent
12 Months ended September 30, 2017* 500) Index) Index) Oil Gasoline Oil Oil
Large Cap U.S. Equities (S&P 500) 1.000 (0.229 ) 0.768 0.620 (0.150 ) 0.326 0.433
U.S. Gov’t. Bonds (EFFAS U.S. Gov’t. Bond Index) 1.000 0.288 (0.393 ) 0.319 (0.103 ) (0.280 )
Global Equities (FTSE World Index) 1.000 0.515 (0.124 ) 0.223 0.395
Crude Oil (WTI) 1.000 (0.212 ) 0.676 0.939
Unleaded Gasoline 1.000 0.497 (0.007 )
Diesel-Heating Oil 1.000 0.079
Brent Oil 1.000
~~Source: Bloomberg, NYMEX~~
*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS











Large

US

Global

Cap US

Gov’t

Equities

Equities

Bonds

(FTSE

(S&P

(BEUSG4

World

Crude

Unleaded

Heating

Brent
Correlation Matrix 1 Year

500)

Index)

Index)

Oil

Gasoline

Oil

Oil
Large Cap US Equities (S&P 500)

1.000

(0.595)

0.993

0.509

0.778

0.316

0.777
US Gov't Bonds (BEUSG4 Index)

1.000

(0.637)

(0.458)

(0.557)

(0.547)

(0.590)
Global Equities (FTSE World Index)

1.000

0.558

0.810

0.396

0.813
Crude Oil

1.000

0.879

0.885

0.907
Unleaded Gasoline



1.000

0.691

0.980
Heating Oil







1.000

0.122
Brent Oil











1.000

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Source: Bloomberg, NYMEX

Investors are cautioned that the historical price relationships between Brent crude oil and various other energy commodities, as well as other investment asset classes, as measured by correlation may not be reliable predictors of future price movements and correlation results. The results pictured above would have been different if a different range of dates had been selected. USCF believes that Brent crude oil has historically not demonstrated a strong correlation with equities or bonds over long periods of time. However, USCF also believes that in the future it is possible that Brent crude oil could have long-term correlation results that indicate prices of Brent crude oil more closely track the movements of equities or bonds. In addition, USCF believes that, when measured over time periods shorter than ten years, there will always be some periods where the correlation of Brent crude oil to equities and bonds will be either more strongly positively correlated or more strongly negatively correlated than the long-term historical results suggest.

The correlations between Brent crude oil, WTI ~~Crude Oil,~~crude oil, diesel-heating oil and gasoline are relevant because USCF endeavors to invest BNO’s assets in Futures Contracts and Other Crude Oil-Related Investments so that daily changes in percentage terms in BNO’s per share NAV correlate as closely as possible with daily changes in percentage terms in the price of the Benchmark Futures Contract. If certain other fuel-based commodity futures contracts do not closely correlate with the Benchmark Futures Contract, then their use could lead to greater tracking error. As noted above, USCF also believes that the changes in percentage terms in the price of the Benchmark Futures Contract will closely correlate with changes in percentage terms in the spot price of Brent crude oil.

Critical Accounting Policies

Preparation of the condensed financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. ~~BNO’s~~BNO's application of these policies involves judgments and actual results may differ from the estimates used.

USCF has evaluated the nature and types of estimates that it makes in preparing ~~BNO’s~~BNO's condensed financial statements and related disclosures and has determined that the valuation of its investments, which are not traded on a United States or internationally recognized futures exchange (such as forward contracts and OTC swaps) involves a critical accounting policy. The values which are used by BNO for its Futures Contracts are provided by its commodity broker who uses market prices when available, while OTC swaps are valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to their delivery date and valued on a daily basis. In addition, BNO estimates interest and dividend income on a daily basis using prevailing rates earned on its cash and cash equivalents. These estimates are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material.

Liquidity and Capital Resources

BNO has not made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. BNO has met, and it is anticipated that BNO will continue to meet, its liquidity needs in the normal course of business from the proceeds of the sale of its investments, or from the Treasuries, cash and/or cash equivalents that it intends to hold at all times. ~~BNO’s~~BNO's liquidity needs include: redeeming shares, providing margin deposits for its existing Futures Contracts or the purchase of additional Futures Contracts and posting collateral for its OTC swaps, if applicable, and ~~except as noted below,~~ payment of its expenses, summarized below under “~~Contractual Obligations~~.“Contractual Obligations.”

BNO currently generates cash primarily from: (i) the sale of baskets consisting of 50,000 shares (“Creation Baskets”) and (ii) income earned on Treasuries, cash and/or cash equivalents. BNO has allocated substantially all of its net assets to trading in Crude Oil Interests. BNO invests in Crude Oil Interests to the fullest extent possible without being leveraged or unable to satisfy its current or potential margin or collateral obligations with respect to its investments in Futures Contracts and Other Crude Oil-Related Investments. A significant portion of ~~BNO’s~~BNO's NAV is held in cash and cash equivalents that are used as margin and as collateral for its trading in Crude Oil Interests. The balance of the assets is held in ~~BNO’s~~BNO's account at its custodian bank and in ~~investments in~~ Treasuries at ~~the FCM.~~its FCMs. Income received from ~~BNO’s~~BNO's investments in money market funds and Treasuries is paid to BNO. During the ~~nine~~six months ended ~~September~~June 30, ~~2017, BNO’s~~2020, BNO's expenses ~~exceeded~~did exceed the income BNO earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, BNO used other assets to pay ~~expenses, which could cause a decrease in BNO’s NAV over time.~~expenses. To the extent expenses exceed income, ~~BNO’s~~BNO's NAV will be negatively impacted.

USCF endeavors to have the value of BNO's Treasuries, cash and cash equivalents, whether held by BNO or posted as margin or other collateral, at all times approximate the aggregate market value of its obligations under its Oil Interests. Commodity pools' trading positions in futures contracts or other related investments are typically required to be secured by the deposit of margin funds that

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represent only a small percentage of a futures contract's (or other commodity interest's) entire market value. While USCF has not and does not intend to leverage BNO's assets, it is not prohibited from doing so under the LP Agreement.

~~BNO’s~~Although permitted to do so under its LP Agreement, BNO has not and does not intend to leverage its assets and makes its investments accordingly. Consistent with the foregoing, BNO's investments will take into account the need for BNO to make permitted investments that also allow it to maintain adequate liquidity to meet its margin and collateral requirements and to avoid, to the extent reasonably possible, BNO becoming leveraged. If market conditions require it, these risk reduction procedures may occur on short notice if they occur other than during a roll or rebalance period.

BNO's investments in Crude Oil Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, most commodity exchanges limit the fluctuations in futures contracts prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in the contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the specified daily limit. Such market conditions could prevent BNO from promptly liquidating its positions in Futures Contracts. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, BNO did not purchase or liquidate any of its positions while daily limits were in effect; however, BNO cannot predict whether such an event may occur in the future.

Since the initial offering of shares, BNO has been responsible for expenses relating to: (i) management fees, (ii) brokerage fees and commissions, (iii) licensing fees for the use of intellectual property, (iv) ongoing registration expenses in connection with offers and sales of its shares subsequent to the initial offering, ~~(iv)~~(v) other expenses, including tax reporting costs, ~~(v)~~(vi) fees and expenses of the independent directors of USCF and ~~(vi)~~(vii) other extraordinary expenses not in the ordinary course of ~~business, while USCF~~business.

BNO may terminate at any time, regardless of whether BNO has ~~been responsible for expenses relating~~incurred losses, subject to the ~~fees~~terms of ~~BNO’s Marketing Agent, Administrator and Custodian and registration expenses relating~~the LP Agreement. In particular, unforeseen circumstances, including, but not limited to, ~~the initial offering of shares. If USCF and~~(i) market conditions, regulatory requirements, risk mitigation measures taken by BNO ~~are unsuccessful~~or third parties or otherwise that would lead BNO to determine that it could no longer foreseeably meet its business objective or that BNO's aggregate net assets in ~~raising sufficient funds~~relation to ~~cover these respective~~its operating expenses or its margin or collateral requirements make the continued operation of BNO unreasonable or imprudent, or (ii) adjudication of incompetence, bankruptcy, dissolution, withdrawal or removal of USCF as the general partner of BNO could cause BNO, to terminate unless a majority interest of the limited partners within 90 days of the event elects to continue the partnership and appoints a successor general partner, or the affirmative vote of a majority in ~~locating any other source~~interest of ~~funding,~~the limited partners subject to certain conditions. However, no level of losses will require BNO ~~will~~to terminate BNO. BNO's termination would cause the liquidation and ~~investors may lose all or part~~potential loss of ~~their~~an investor's investment. Termination could also negatively affect the overall maturity and timing of an investor's investment portfolio.

Market Risk

Trading in Futures Contracts and Other Crude Oil-Related Investments, such as forwards, involves BNO entering into contractual commitments to purchase or sell crude oil at a specified date in the future. The aggregate market value of the contracts will significantly exceed ~~BNO’s~~BNO's future cash requirements since BNO intends to close out its open positions prior to settlement. As a result, BNO is generally only subject to the risk of loss arising from the change in value of the contracts. BNO considers the “fair value” of its derivative instruments to be the unrealized gain or loss on the contracts. The market risk associated with ~~BNO’s~~BNO's commitments to purchase crude oil is limited to the aggregate market value of the contracts held. However, should BNO enter into a contractual commitment to sell crude oil, it would be required to make delivery of the crude oil at the contract price, repurchase the contract at prevailing prices or settle in cash. Since there are no limits on the future price of crude oil, the market risk to BNO could be unlimited.

~~BNO’s~~BNO's exposure to market risk depends on a number of factors, including the markets for crude oil, the volatility of interest rates and foreign exchange rates, the liquidity of the Futures Contracts and Other Crude Oil-Related Investments markets and the relationships among the contracts held by BNO. Drastic market occurrences could ultimately lead to the loss of all or substantially all of an investor’s capital.

Credit Risk

When BNO enters into Futures Contracts and Other Crude Oil-Related Investments, it is exposed to the credit risk that the counterparty will not be able to meet its obligations. The counterparty for the Futures Contracts traded on the ICE Futures and on most other futures exchanges is the clearinghouse associated with the particular exchange. In general, in addition to margin required to be posted by the clearinghouse in connection with cleared trades, clearinghouses are backed by their members who may be required to share in the

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financial burden resulting from the nonperformance of one of their members and, therefore, this additional member support should significantly reduce credit risk. BNO is not currently a member of any clearinghouse. Some foreign exchanges are not backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearinghouse, or their members or their financial backers will satisfy their obligations to BNO in such circumstances.

USCF attempts to manage the credit risk of BNO by following various trading limitations and policies. In particular, BNO generally posts margin and/or holds liquid assets that are approximately equal to the market value of its obligations to counterparties under the Futures Contracts and Other Crude Oil-Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of BNO to limit its credit exposure. An FCM, when acting on behalf of BNO in accepting orders to purchase or sell Futures Contracts on United States exchanges, is required by CFTC regulations to separately account for and segregate as belonging to BNO, all assets of BNO relating to domestic Futures Contracts trading. These FCMs are not allowed to commingle ~~BNO’s~~BNO's assets with their other assets. In addition, the CFTC requires ~~commodity brokers~~FCMs to hold in a secure account ~~BNO’s~~BNO's assets related to foreign Futures Contracts trading. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, the only foreign exchange on which BNO made investments was the ICE Futures, ~~Europe,~~ which is a London based futures exchange. Those crude oil contracts are denominated in U.S. dollars.

~~If, in~~In the future, BNO ~~purchases~~may purchase OTC swaps, see~~“Item~~ “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this quarterly report on Form 10-Q for a discussion of OTC swaps.

As of ~~September~~June 30, ~~2017,~~2020, BNO held cash deposits and investments in Treasuries and money market funds in the amount of ~~$96,291,464~~$414,301,886 with the custodian and ~~FCM.~~FCMs. Some or all of these amounts held by a custodian or an FCM, as applicable, may be subject to loss should ~~BNO’s~~BNO's custodian or ~~FCM,~~FCMs, as applicable, cease operations.

Off Balance Sheet Financing

As of ~~September~~June 30, ~~2017,~~2020, BNO had no loan guarantee, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks that service providers undertake in performing services which are in the best interests of BNO. While ~~BNO’s~~BNO's exposure under these indemnification provisions cannot be estimated, they are not expected to have a material impact on ~~BNO’s~~BNO's financial position.

~~European Sovereign Debt~~

~~BNO had no direct exposure to European sovereign debt as of September 30, 2017 and has no direct exposure to European sovereign debt as of the filing of this quarterly report on Form 10-Q.~~

Redemption Basket Obligation

In order to meet its investment objective and pay its contractual obligations described below, BNO requires liquidity to redeem shares, which redemptions must be in blocks of 50,000 shares called “Redemption Baskets.” BNO has to date satisfied this obligation by paying from the cash or cash equivalents it holds or through the sale of its Treasuries in an amount proportionate to the number of shares being redeemed.

Contractual Obligations

~~BNO’s~~BNO's primary contractual obligations are with USCF. In return for its services, USCF is entitled to a management fee calculated daily and paid monthly as a fixed percentage of ~~BNO’s~~BNO's NAV, currently 0.75% of NAV on its average daily total net assets.

USCF agreed to pay the start-up costs associated with the formation of BNO, primarily its legal, accounting and other costs in connection with USCF’s registration with the CFTC as a CPO and the registration and listing of BNO and its shares with the SEC, FINRA and NYSE Arca (formerly, AMEX), respectively. However, since BNO’s initial offering of shares, offering costs incurred in connection with registering and listing additional shares of BNO have been directly borne on an ongoing basis by BNO, and not by USCF.

USCF pays the fees of the Marketing Agent as well as BNY Mellon’s fees for performing administrative, custodial, and transfer agency services. BNY Mellon’s fees for performing administrative services include those in connection with the preparation of BNO's condensed financial statements and it’s SEC, NFA and CFTC reports. BNO also pays the fees ~~of BBH&Co., as well as~~and expenses associated with its tax accounting and reporting requirements.

USCF paid BBH&Co.’s fees for performing administrative services, including those in connection with the preparation of ~~BNO’s~~BNO's condensed financial statements and its SEC, NFA and CFTC reports. BNO pays the fees and expenses associated with its tax accounting and reporting requirements. USCF has paid certain expenses normally borne by BNO on a discretionary basis where such expenses exceeded 0.15% (15 basis points)reports through May 31, 2020.

Table of BNO’s NAV, on an annualized basis. USCF has no obligation to continue such payments into subsequent periods. This discretionary expense waiver is in addition to those amounts USCF is contractually obligated to pay as described in~~Note 4~~in~~Item 1of this quarterly report on Form 10-Q.~~Contents

In addition to USCF’s management fee, BNO pays its brokerage fees (including fees to ~~an FCM)~~FCMs), OTC dealer spreads, any licensing fees for the use of intellectual property, and, subsequent to the initial offering, registration and other fees paid to the SEC, FINRA, or other regulatory agencies in connection with the offer and sale of shares, as well as legal, printing, accounting and other expenses associated therewith, and extraordinary expenses. The latter are expenses not incurred in the ordinary course of BNO’s business, including expenses relating to the indemnification of any person against liabilities and obligations to the extent permitted by law and under the LP Agreement, the bringing or defending of actions in law or in equity or otherwise conducting litigation and incurring legal expenses and the settlement of claims and litigation. Commission payments to ~~an FCM~~FCMs are on a contract-by-contract, or round turn, basis. BNO also pays a portion of the fees and expenses of the independent directors of USCF. SeeNote 3 to theNotes to Condensed Financial Statements (Unaudited) inItem 1 of this quarterly report on Form 10-Q.

The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods, as ~~BNO’s~~BNO's per share NAVs and trading levels to meet its investment objective will not be known until a future date. These agreements are effective for a specific term agreed upon by the parties with an option to renew, or, in some cases, are in effect for the duration of ~~BNO’s~~BNO's existence. Either party may terminate these agreements earlier for certain reasons described in the agreements.

As of ~~September~~June 30, ~~2017, BNO’s~~2020, BNO's portfolio consisted of ~~1,699.00~~10,020 Brent Crude Oil Futures CO ~~contracts~~Contracts traded on the ICE ~~Futures Europe.~~Futures. As of ~~September~~June 30, ~~2017,~~2020, BNO did not hold any Futures Contracts ~~for Brent crude oil~~ traded on the NYMEX. For a list of ~~BNO’s~~BNO's current holdings, please see ~~BNO’s~~BNO's website at www.uscfinvestments.com.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.
~~Quantitative and Qualitative Disclosures About Market Risk.~~
Commodity Price Risk.
BNO is exposed to commodity price risk. In particular, BNO is exposed to Brent crude oil price risk through its holdings of Futures Contracts together with any other derivatives in which it may invest, which are discussed below. As a result, fluctuations in the value of the Futures Contracts that BNO holds in its portfolio, as described in~~“Contractual Obligations”~~ “Contractual Obligations" under~~“Item~~ “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations”~~Operations" above, are expected to directly affect the value of ~~BNO’s~~BNO's shares.
32
OTC Contract Risk
~~Currently, OTC transactions are subject to changing regulation.~~
BNO may purchase OTC ~~Brent~~Crude Oil ~~interests~~Interests, such as forward contracts or swap or spot contracts. Unlike most exchange-traded futures contracts or exchange-traded options on such futures, each party to an OTC swap bears the credit risk that the other party may not be able to perform its obligations under its contract.
BNO may enter into certain transactions where an OTC component is exchanged for a corresponding futures contract (“Exchange for Related ~~Positions”~~Position” or “EFRP” transactions). In the most common type of EFRP transaction entered into by BNO, the OTC component is the purchase or sale of one or more baskets of BNO shares. These EFRP transactions may expose BNO to counterparty risk during the interim period between the execution of the OTC component and the exchange for a corresponding futures contract. Generally, the counterparty risk from the EFRP transaction will exist only on the day of execution.
Swap transactions, like other financial transactions, involve a variety of significant risks. The specific risks presented by a particular swap transaction necessarily depend upon the terms and circumstances of the transaction. In general, however, all swap transactions involve some combination of market risk, credit risk, counterparty credit risk, funding risk, liquidity risk and operational risk.
Highly customized swap transactions in particular may increase liquidity risk, which may result in a suspension of redemptions. Highly leveraged transactions may experience substantial gains or losses in value as a result of relatively small changes in the value or level of an underlying or related market factor.
In evaluating the risks and contractual obligations associated with a particular swap transaction, it is important to consider that a swap transaction may be modified or terminated only by mutual consent of the original parties and subject to agreement on individually negotiated terms. Therefore, it may not be possible for USCF to modify, terminate or offset ~~BNO’s~~BNO's obligations or its exposure to the risks associated with a transaction prior to its scheduled termination date.
To reduce the credit risk that arises in connection with such contracts, BNO will generally enter into an agreement with each counterparty based on the Master Agreement published by the International Swaps and Derivatives Association that provides for the netting of its

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overall exposure to its counterparty, if the counterparty is unable to meet its obligations to BNO due to the occurrence of a specified event, such as the insolvency of the counterparty.

USCF assesses or reviews, as appropriate, the creditworthiness of each potential or existing counterparty to an OTC swap pursuant to guidelines approved by USCF’s board of directors (the ~~“Board”~~"Board"). Furthermore, USCF on behalf of BNO only enters into OTC swaps with counterparties who are, or are affiliates of, (a) banks regulated by a United States federal bank regulator, (b) broker-dealers regulated by the SEC, (c) insurance companies domiciled in the United States, or (d) producers, users or traders of energy, whether or not regulated by the CFTC. Any entity acting as a counterparty shall be regulated in either the United States or the United Kingdom unless otherwise approved by the Board after consultation with its legal counsel. Existing counterparties are also reviewed periodically by USCF. BNO will also require that the counterparty be highly rated and/or provide collateral or other credit support. Even if collateral is used to reduce counterparty credit risk, sudden changes in the value of OTC ~~swaps~~transactions may leave a party open to financial risk due to a counterparty default since the collateral held may not cover a party’s exposure on the transaction in such situations.

In general, valuing OTC derivatives is less certain than valuing actively traded financial instruments such as exchange-traded futures contracts and securities or cleared swaps because the price and terms on which such OTC derivatives are entered into or can be terminated are individually negotiated, and those prices and terms may not reflect the best price or terms available from other sources. In addition, while market makers and dealers generally quote indicative prices or terms for entering into or terminating OTC swaps, they typically are not contractually obligated to do so, particularly if they are not a party to the transaction. As a result, it may be difficult to obtain an independent value for an outstanding OTC derivatives transaction.

During ~~the nine months~~six month reporting period ended ~~September~~June 30, ~~2017,~~2020, BNO ~~limited~~did not limit its OTC activities to EFRP transactions.

BNO anticipates that the use of Other Crude Oil-Related Investments together with its investments in Futures Contracts will produce price and total return results that closely track the investment goals of BNO. However, there can be no assurance of this. OTC swaps may result in higher transaction-related expenses than the brokerage commissions paid in connection with the purchase of Futures Contracts, which may impact ~~BNO’s~~BNO's ability to successfully track the Benchmark Futures Contract.

Item 4. Controls and Procedures.
~~Controls and Procedures.~~
Disclosure Controls and Procedures
BNO maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in BNO’s periodic reports filed or submitted under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time period specified in the SEC’s rules and forms.
The duly appointed officers of USCF, including its chief executive officer and chief financial officer, who perform functions equivalent to those of a principal executive officer and principal financial officer of BNO if BNO had any officers, have evaluated the effectiveness of BNO’s disclosure controls and procedures and have concluded that the disclosure controls and procedures of BNO have been effective as of the end of the period covered by this quarterly report on Form 10-Q.
Change in Internal Control Over Financial Reporting
There were no changes in BNO’s internal control over financial reporting during BNO’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, BNO’s internal control over financial reporting.

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Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
USCF, as the general partner of BNO and the Related Public Funds may, from time to time, be involved in litigation arising out of its operations in the normal course of business or otherwise. Except as described herein, it is not currently party to any material legal proceedings.
USCF was named as a defendant in a purported stockholder class action on June 19, 2020 by Robert Lucas, individually and on behalf of others similarly situated, against defendants USCF, United States Oil Fund, LP (“USO”), John P. Love and Stuart P. Crumbaugh. The stockholder class action is pending in the U.S. District Court for the Southern District of New York as Civil Action No. 1:20-cv-04740.
The putative class action complaint alleges that beginning in March 2020, in connection with USO's registration and issuance of additional USO shares, defendants failed to disclose to investors certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. Plaintiff alleges that defendants possessed inside knowledge about the consequences of these converging adverse events on USO and did not sufficiently acknowledge them until late April and May 2020, after USO suffered losses and was allegedly forced to abandon its investment strategy. The complaint seeks to certify a class and award the class compensatory damages at an amount to be determined at trial. The defendants intend to vigorously contest such claims and move for their dismissal.

~~Item 1.~~ ~~Legal Proceedings.~~
~~Not applicable.~~
Item 1A. Risk Factors.
~~Risk Factors.~~
~~There~~Other than the risk factors set forth below, there have been no material changes to the risk factors previously disclosed in BNO’s Annual Report on Form 10-K for the fiscal year ended December 31, ~~2016,~~2019, filed on March ~~10, 2017.~~13, 2020.
Investment Risk
Economic conditions impacting Brent crude oil.
The demand for Brent crude oil correlates closely with general economic growth rates. The occurrence of recessions or other periods of low or negative economic growth will typically have a direct adverse impact on crude oil prices. Other factors that affect general economic conditions in the world or in a major region, such as changes in population growth rates, periods of civil unrest, pandemics (e.g. COVID-19) government austerity programs, or currency exchange rate fluctuations, can also impact the demand for Brent crude oil. Sovereign debt downgrades, defaults, inability to access debt markets due to credit or legal constraints, liquidity crises, the breakup or restructuring of fiscal, monetary, or political systems such as the European Union, and other events or conditions (e.g. pandemics, such as COVID-19) that impair the functioning of financial markets and institutions also may adversely impact the demand for Brent crude oil.
An investment in BNO may provide little or no diversification benefits. Thus, in a declining market, BNO may have no gains to offset losses from other investments, and an investor may suffer losses on an investment in BNO while incurring losses with respect to other asset classes.
Historically, Futures Contracts and Other Crude Oil-Related Investments have generally been non-correlated to the performance of other asset classes such as stocks and bonds. Non-correlation means that there is a low statistically valid relationship between the performance of futures and other commodity interest transactions, on the one hand, and stocks or bonds, on the other hand.
However, there can be no assurance that such non-correlation will continue during future periods. If, contrary to historic patterns, BNO's performance were to move in the same general direction as the financial markets, investors will obtain little or no diversification benefits from an investment in BNO's shares. In such a case, BNO may have no gains to offset losses from other investments, and investors may suffer losses on their investment in BNO at the same time they incur losses with respect to other investments.
Variables such as drought, floods, weather, pandemics, embargoes, tariffs and other political events may have a larger impact on crude oil prices and crude oil-linked instruments, including Futures Contracts and Other Crude Oil-Related Investments, than on traditional securities. These additional variables may create additional investment risks that subject BNO's investments to greater volatility than investments in traditional securities.

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Non-correlation should not be confused with negative correlation, where the performance of two asset classes would be opposite of each other. There is no historical evidence that the spot price of crude oil and prices of other financial assets, such as stocks and bonds, are negatively correlated. In the absence of negative correlation, BNO cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice versa.

COVID-19 Risk

An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. In March 2020, the World Health Organization declared the COVID-19 outbreak a pandemic. Subsequently, COVID-19 has resulted in numerous deaths, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines and the imposition of both local and more widespread “work from home” measures, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The ongoing spread of COVID-19 has had, and is expected to continue to have, a material adverse impact on local economies in the affected jurisdictions and also on the global economy, as cross border commercial activity and market sentiment are increasingly impacted by the outbreak and government and other measures seeking to contain its spread. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, actions taken by government and quasi-governmental authorities and regulators throughout the world in response to the COVID-19 outbreak, including significant fiscal and monetary policy changes, may affect the value, volatility, pricing and liquidity of some investments or other assets, including those held by or invested in by the BNO. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its ultimate impact on BNO and, on the global economy, cannot be determined with certainty. The COVID-19 pandemic and its effects may last for an extended period of time, and could result in significant and continued market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could impair BNO's ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of BNO's service providers, adversely affect the value and liquidity of BNO's investments, and negatively impact BNO's performance and your investment in BNO. The extent to which COVID-19 will affect BNO and BNO's service providers and portfolio investments will depend on future developments, which are highly uncertain and cannot be predicted, including new information that may emerge concerning the severity of COVID-19 and the actions taken to contain COVID-19. Given the significant economic and financial market disruptions associated with the COVID-19 pandemic, the valuation and performance of BNO's investments could be impacted adversely.

Correlation Risk

An investment in BNO is not a proxy for investing in the crude oil markets, and the daily percentage changes in the price of the Benchmark Futures Contract, or the NAV of BNO, may not correlate with daily percentage changes in the spot price of Brent crude oil.

An investment in BNO is not a proxy for investing in the crude oil markets. To the extent that investors use BNO as a means of indirectly investing in crude oil, there is the risk that the daily changes in the price of BNO's shares on the NYSE Arca, on a percentage basis, will not closely track the daily changes in the spot price of Brent crude oil on a percentage basis. This could happen if the price of shares traded on the NYSE Arca does not correlate closely with the value of BNO's NAV; the changes in BNO's NAV do not correlate closely with the changes in the price of the Benchmark Futures Contract; or the changes in the price of the Benchmark Futures Contract do not closely correlate with the changes in the cash or spot price of Brent crude oil. This is a risk because if these correlations do not exist, then investors may not be able to use BNO as a cost-effective way to indirectly invest in Brent crude oil or as a hedge against the risk of loss in Brent crude oil-related transactions. The degree of correlation among BNO's share price, the price of the Benchmark Futures Contract and the spot price of Brent crude oil depends upon circumstances such as variations in the speculative oil market, supply of and demand for Futures Contracts (including the Benchmark Futures Contract) and Other Crude Oil-Related Investments, and technical influences on trading oil futures contracts. Investors who are not experienced in investing in oil futures contracts or the factors that influence that market or speculative trading in the crude oil markets and may not have the background or ready access to the types of information that investors familiar with these markets may have and, as a result, may be at greater risk of incurring losses from trading in BNO shares than such other investors with such experience and resources.

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Natural forces in the oil futures market known as "backwardation" and "contango" may increase BNO's tracking error and/or negatively impact total return.

The design of BNO's Benchmark Futures Contract is such that every month it begins by using the near month contract to expire until the near month contract is within two weeks of expiration, when, over a four day period, it transitions to the next month contract to expire as its benchmark contract and keeps that contract as its benchmark until it becomes the near month contract and close to expiration. In the event of a Brent crude oil futures market where near month contracts trade at a higher price than next month to expire contracts, a situation described as "backwardation" in the futures market, then absent the impact of the overall movement in Brent crude oil prices the value of the benchmark contract would tend to rise as it approaches expiration. Conversely, in the event of a Brent crude oil futures market where near month contracts trade at a lower price than next month contracts, a situation described as "contango" in the futures market, then absent the impact of the overall movement in Brent crude oil prices the value of the benchmark contract would tend to decline as it approaches expiration.

While contango and backwardation are consistently present in trading in the futures markets, such conditions can be exacerbated by market forces. For example, extraordinary market conditions in the crude oil markets, including "super contango" (a higher level of contango arising from the overabundance of oil being produced and the limited availability of storage for such excess supply), occurred, and may continue to occur for an unknown duration, in the crude oil futures markets due to over-supply of crude oil in the face of weak demand during the COVID-19 pandemic when dispute among oil-producing countries regarding limitations on the production of oil also were occurring.

When compared to total return of other price indices, such as the spot price of Brent crude oil, the impact of backwardation and contango may cause the total return of BNO's per share NAV to vary significantly. Moreover, absent the impact of rising or falling oil prices, a prolonged period of contango could have a significant negative impact on BNO's per share NAV and total return and investors could lose part or all of their investment.

Other Risks

BNO could become leveraged if it had insufficient assets to completely meet its margin or collateral requirements relating to its investments.

Although BNO does not and will not borrow money or use debt to satisfy its margin or collateral obligations in respect of its investments, it could become leveraged if BNO were to hold insufficient assets that would allow it to meet not only the current, but also future, margin or collateral obligations required for such investments. Such a circumstance could occur if BNO were to hold assets that have a value of less than zero.

USCF endeavors to have the value of BNO's Treasuries, cash and cash equivalents, whether held by BNO or posted as margin or other collateral, at all times approximate the aggregate market value of its obligations under its Futures Contracts and Other Crude Oil-Related Investments. Although permitted to do so under its Limited Partnership Agreement, BNO has not and does not intend to leverage its assets by making investments beyond its potential ability to meet the potential margin and collateral obligations relating to such investments. Consistent with this, BNO's investments will take into account the need for BNO to make permitted investments that also allow it to maintain adequate liquidity to meet its margin and collateral requirements and to avoid, to the extent reasonably possible, BNO becoming leveraged, including by its holding of assets that have a high probability of having a value of less than zero. If market conditions require it, these risk reduction procedures may occur on short notice.

BNO and USCF may have conflicts of interest, which may permit them to favor their own interests to the detriment of shareholders.

BNO is subject to actual and potential inherent conflicts involving USCF, various commodity futures brokers and Authorized Participants. USCF's officers, directors and employees do not devote their time exclusively to BNO and also are directors, officers or employees of other entities that may compete with BNO for their services. They could have a conflict between their responsibilities to BNO and to those other entities. As a result of these and other relationships, parties involved with BNO have a financial incentive to act in a manner other than in the best interests of BNO and the shareholders. USCF has not established any formal procedure to resolve conflicts of interest. Consequently, investors are dependent on the good faith of the respective parties subject to such conflicts of interest to resolve them equitably. Although USCF attempts to monitor these conflicts, it is extremely difficult, if not impossible, for USCF to ensure that these conflicts do not, in fact, result in adverse consequences to the shareholders.

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USCF serves as the general partner or sponsor of BNO and the Related Public Funds. USCF may have a conflict to the extent that its trading decisions for BNO may be influenced by the effect they would have on the other funds it manages. By way of example, if, as a result of reaching position limits imposed by the ICE Futures Exchange, BNO purchased Futures Contracts, this decision could impact BNO's ability to purchase additional Futures Contracts if the number of contracts held by funds managed by USCF reached the maximum allowed by the ICE Futures Exchange. Similar situations could adversely affect the ability of other Related Public Funds to track the Benchmark Futures Contract, to the extent such fund has a Benchmark Futures Contract.

BNO may also be subject to certain conflicts of interest with respect to its FCMs, including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, or purchasing opposite or competing positions on behalf of third-party accounts traded through the FCMs. In addition, USCF's principals, officers, directors or employees may trade futures and related contracts for their own account. A conflict of interest may exist if their trades are in the same markets and at the same time as BNO trades using the clearing broker to be used by BNO. A potential conflict also may occur if USCF's principals, officers, directors or employees trade their accounts more aggressively or take positions in their accounts which are opposite, or ahead of, the positions taken by BNO.

BNO could terminate at any time and cause the liquidation and potential loss of an investor's investment and could upset the overall maturity and timing of an investor's investment portfolio.

BNO may terminate at any time, regardless of whether BNO has incurred losses, subject to the terms of the LP Agreement. In particular, unforeseen circumstances, including but not limited to, (i) market conditions, regulatory requirements, risk mitigation measures taken by BNO or third parties or otherwise that would lead BNO to determine that it could no longer foreseeably meet its investment objective or that BNO's aggregate net assets in relation to its operating expenses or its margin or collateral requirements make the continued operation of BNO unreasonable or imprudent, or (ii) adjudication of incompetence, bankruptcy, dissolution, or removal of USCF as the general partner of BNO, could cause BNO to terminate unless a majority interest of the limited partners within 90 days of the event elects to continue the partnership and appoints a successor general partner, or the affirmative vote of a majority in interest of the limited partners subject to certain conditions. However, no level of losses will require USCF to terminate BNO. BNO's termination would cause the liquidation and potential loss of an investor's investment. Termination could also negatively affect the overall maturity and timing of an investor's investment portfolio.

An unanticipated number of creation requests during a short period of time could result in a shortage of shares.

While USCF makes every effort to predict and maintain an adequate amount of shares outstanding, if a substantial number of requests for Creation Baskets are received by BNO during a relatively short period of time that substantially differ from past creation volumes, due to market volatility or otherwise, including, for example, the occurrence of a pandemic like COVID-19, BNO may not have sufficient shares outstanding to satisfy demand and Authorized Participants may, therefore, be unable to purchase additional Creation Baskets.

In the event that there was a suspension in the ability of Authorized Participants to purchase additional Creation Baskets, Authorized Participants and other groups that make a market in shares of BNO would likely still continue to actively trade the shares. However, in such a situation, Authorized Participants and other market makers may seek to adjust the market they make in the shares. Specifically, such market participants may increase the spread between the prices that they quote for offers to buy and sell shares to allow them to adjust to the potential uncertainty as to when they might be able to purchase additional Creation Baskets of shares. In addition, Authorized Participants may be less willing to offer to quote offers to buy or sell shares in large numbers. The potential impact of either wider spreads between bid and offer prices, or reduced number of shares on which quotes may be available, could increase the trading costs to investors in BNO compared to the quotes and the number of shares on which bids and offers are made if the Authorized Participants still were able to freely create new baskets of shares. In addition, there could be a significant variation between the market price at which shares are traded and the shares' net asset value, which is also the price shares can be redeemed with BNO by Authorized Participants in Redemption Baskets. The foregoing could also create significant deviations from BNO's investment objective. Any potential impact to the market in shares of BNO that could occur from the Authorized Participants inability to create new baskets would likely not extend beyond the time when additional shares would be registered and available for distribution.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
~~Unregistered Sales of Equity Securities and Use of Proceeds.~~
(a)
None.
(b)
Not applicable.

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(c)

BNO does not purchase shares directly from its shareholders. In connection with its redemption of baskets held by Authorized Participants, BNO redeemed 5186 baskets (comprising ~~2,550,000~~8,650,000 shares) during the ~~third~~second quarter of the year ~~ended~~ending December 31, ~~2017.~~2020. The following table summarizes the redemptions by Authorized Participants during the three months ended ~~September~~June 30, ~~2017:~~2020:

Issuer Purchases of Equity Securities

Period Total
Number of
Shares
Redeemed Average Price Per
Share
7/1/17 to 7/31/17 1,550,000 $ 12.88
8/1/17 to 8/31/17 400,000 $ 13.64
9/1/17 to 9/30/17 600,000 $ 14.83
Total 2,550,000

Total

Number of

Shares

Average Price
Period

Redeemed

Per Share
4/1/20 to 4/30/20

2,000,000

$
6.98
5/1/20 to 5/31/20

3,000,000

$
9.88
6/1/20 to 6/30/20

3,650,000

$
10.77
Total

8,650,000



Item 3. Defaults Upon Senior Securities.
~~Defaults Upon Senior Securities.~~
Not applicable.

Item 4. Mine Safety Disclosures.
~~Mine Safety Disclosures.~~
Not applicable.

Item 5. Other Information.
Monthly Account Statements
Pursuant to the requirement under Rule 4.22 under the Commodity Exchange Act, each month BNO publishes an account statement for its shareholders, which includes a Statement of Income (Loss) and a Statement of Changes in Net Asset Value. The account statement is furnished to the SEC on a current report on Form 8-K pursuant to Section 13 or 15(d) of the Exchange Act and posted each month on BNO’s website at www.uscfinvestments.com.

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~~Item 5.~~
~~Other Information.~~
~~Not applicable.~~
Item 6. Exhibits.
~~Exhibits.~~
Listed below are the exhibits, which are filed as part of this quarterly report on Form 10-Q (according to the number assigned to them in Item 601 of Regulation S-K):

Exhibit Number
Description of Document
31.1(1)

Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2(1)

Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1(1)

Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2(1)

Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS

XBRL Instance Document.
101.SCH

XBRL Taxonomy Extension Schema.
101.CAL

XBRL Taxonomy Extension Calculation Linkbase.
101.DEF

XBRL Taxonomy Extension Definition Linkbase.
101.LAB

XBRL Taxonomy Extension Label Linkbase.
101.PRE

XBRL Taxonomy Extension Presentation Linkbase.
104

Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
(1)
Filed herewith.

~~(1)~~ ~~Filed herewith.~~

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

United States Brent Oil Fund, LP (Registrant)

By: United States Commodity Funds LLC, its general partner

~~By:~~
By:	/s/ John P. Love
	John P. Love
	President and Chief Executive Officer
	(Principal executive officer)

Date: August 7, 2020


By:
~~Date: November 6, 2017~~

~~By:~~	/s/ Stuart P. Crumbaugh
	Stuart P. Crumbaugh
	Chief Financial Officer
	(Principal financial and accounting officer)

Date: ~~November 6, 2017~~August 7, 2020

	Page

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.	1 3

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations.~~Operations.	15 19

Item 3. Quantitative and Qualitative Disclosures About Market Risk.	32 37

Item 4. Controls and Procedures.	34 38

Part II. OTHER INFORMATION	34

Item 1. Legal Proceedings.	34 39

Item 1A. Risk Factors.	34 39

~~Item~~Items 2. Unregistered Sales of Equity Securities and Use of Proceeds.	34 42

Item 3. Defaults Upon Senior Securities.	35 43

Item 4. Mine Safety Disclosures.	35 43

Item 5. Other Information.	35 43
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Item 6. Exhibits.	35 44

Documents		Page

Condensed Statements of Financial Condition at ~~September~~June 30, ~~2017~~2020 (Unaudited) and December 31, ~~2016~~2019		2 4

Condensed Schedule of Investments (Unaudited) at ~~September~~June 30, ~~2017~~2020		3 5

Condensed Statements of Operations (Unaudited) for thethree and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		4 6

Condensed ~~Statement~~Statements of Changes in Partners’ Capital (Unaudited) for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017~~2020 and 2019		5 7

Condensed Statements of Cash Flows (Unaudited) for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		6 8

Notes to (Unaudited) Condensed Financial Statements for the period ended ~~September~~June 30, ~~2017 (Unaudited)~~2020		7 9

	September 30, 2017		December 31, 2016
Assets
Cash and cash equivalents (at cost $82,845,053 and $103,167,056, respectively) (Notes 2 and 5)	$	82,845,053	$	103,167,056
Equity in trading accounts:
Cash and cash equivalents (at cost $13,446,411 and $8,297,821, respectively)		13,446,411		8,297,821
Unrealized gain (loss) on open commodity futures contracts		2,406,500		2,332,880
Receivable from General Partner (Note 3)		250,328		189,745
Dividends receivable		14,378		10,378
Interest receivable		7,559		—
Directors' fees and insurance receivable		404		—
ETF transaction fees receivable		350		700

Total assets	$	98,970,983	$	113,998,580

Liabilities and Partners' Capital
Payable for shares redeemed	$	2,278,691	$	785,318
General Partner management fees payable (Note 3)		60,655		74,409
Professional fees payable		161,228		107,421
Brokerage commissions payable		5,316		7,176
Directors' fees and insurance payable		—		1,184

Total liabilities		2,505,890		975,508

Commitments and Contingencies (Notes 3, 4 and 5)

Partners' Capital
General Partner		—		—
Limited Partners		96,465,093		113,023,072
Total Partners' Capital		96,465,093		113,023,072

Total liabilities and partners' capital	$	98,970,983	$	113,998,580

Limited Partners' shares outstanding		6,350,000		7,200,000
Net asset value per share	$	15.19	$	15.70
Market value per share	$	15.16	$	15.68

	Notional Amount		Number of Contracts		Value/ Unrealized Gain (Loss) on Open Commodity Contracts		% of Partners' Capital
Open Futures Contracts - Long
Foreign Contracts
ICE Brent Crude Oil Futures CO December 2017 contracts, expiring October 2017*	$	94,079,710		1,699	$	2,406,500		2.49

	Principal Amount		Market Value
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
0.90%, 10/05/2017	$	3,000,000	$	2,999,702	3.11
0.92%, 10/12/2017		3,000,000		2,999,161	3.11
0.91%, 10/19/2017		3,000,000		2,998,642	3.11
0.95%, 10/26/2017		2,000,000		1,998,681	2.07
0.97%, 11/02/2017		2,000,000		1,998,284	2.07
1.01%, 11/09/2017		4,000,000		3,995,645	4.14
0.98%, 11/16/2017		3,000,000		2,996,243	3.11
1.05%, 11/24/2017		3,000,000		2,995,298	3.11
1.05%, 11/30/2017		3,000,000		2,994,775	3.11
1.08%, 12/07/2017		3,000,000		2,994,026	3.10
1.09%, 12/14/2017		3,000,000		2,993,340	3.10
1.11%, 12/21/2017		3,000,000		2,992,575	3.10
1.10%, 12/28/2017		3,000,000		2,991,970	3.10
1.12%, 1/04/2018		3,000,000		2,991,173	3.10
1.11%, 1/11/2018		3,000,000		2,990,608	3.10
1.10%, 1/18/2018		2,000,000		1,993,399	2.07
1.12%, 1/25/2018		3,000,000		2,989,222	3.10
1.12%, 2/01/2018		3,000,000		2,988,571	3.10
1.13%, 2/08/2018		2,000,000		1,991,875	2.07
1.12%, 2/15/2018		2,000,000		1,991,552	2.07
1.10%, 2/22/2018		2,000,000		1,991,280	2.06
1.09%, 3/01/2018		2,000,000		1,990,898	2.06
1.14%, 3/08/2018		2,000,000		1,990,059	2.06
1.14%, 3/15/2018		2,000,000		1,989,642	2.06
1.16%, 3/22/2018		2,000,000		1,989,011	2.06
1.17%, 3/29/2018		2,000,000		1,988,464	2.06
Total Treasury Obligations				67,824,096	70.31

United States - Money Market Funds
Fidelity Investments Money Market Funds - Government Portfolio		12,000,000		12,000,000	12.44
Goldman Sachs Financial Square Funds - Government Fund - Class FS		3,000,000		3,000,000	3.11
Morgan Stanley Institutional Liquidity Funds - Government Portfolio		5,000,000		5,000,000	5.18
Total Money Market Funds				20,000,000	20.73
Total Cash Equivalents			$	87,824,096	91.04

	Three months ended September 30, 2017			Three months ended September 30, 2016			Nine months ended September 30, 2017			Nine months ended September 30, 2016
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed futures contracts	$	18,646,860		$	(10,888,200	)	$	(1,973,510	)	$	12,222,290
Change in unrealized gain (loss) on open futures contracts		(3,290,500	)		9,361,660			73,620			15,895,590
Dividend income		45,263			17,861			123,918			35,181
Interest income*		197,412			77,019			437,262			213,931
ETF transaction fees		3,850			1,400			8,400			9,450

Total income (loss)		15,602,885			(1,430,260	)		(1,330,310	)		28,376,442

Expenses
General Partner management fees (Note 3)		187,877			209,072			573,300			619,095
Professional fees		65,296			47,399			251,840			123,856
Brokerage commissions		35,755			36,202			103,523			130,670
Directors' fees and insurance		3,476			2,923			9,726			8,636

Total expenses		292,404			295,596			938,389			882,257

Expense waiver (Note 3)		(66,850	)		(43,026	)		(250,328	)		(139,342	)

Net expenses		225,554			252,570			688,061			742,915

Net income (loss)	$	15,377,331		$	(1,682,830	)	$	(2,018,371	)	$	27,633,527
Net income (loss) per limited partnership share	$	2.22		$	(0.27	)	$	(0.51	)	$	2.37
Net income (loss) per weighted average limited partnership share	$	2.13		$	(0.21	)	$	(0.28	)	$	3.29
Weighted average limited partnership shares outstanding		7,221,739			7,966,848			7,227,289			8,398,358

	Nine months ended September 30, 2017			Nine months ended September 30, 2016
Cash Flows from Operating Activities:
Net income (loss)	$	(2,018,371	)	$	27,633,527
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Increase) decrease in commodity futures trading account - cash and cash equivalents		(5,148,590	)		10,736,772
Unrealized (gain) loss on open futures contracts		(73,620	)		(15,895,590	)
(Increase) decrease in receivable from General Partner		(60,583	)		(3,628	)
(Increase) decrease in dividends receivable		(4,000	)		(6,389	)
(Increase) decrease in interest receivable		(7,559	)		—
(Increase) decrease in directors' fees and insurance receivable		(404	)		—
(Increase) decrease in ETF transaction fees receivable		350			—
Increase (decrease) in payable due to Broker		—			5,800,122
Increase (decrease) in General Partner management fees payable		(13,754	)		18,813
Increase (decrease) in professional fees payable		53,807			(55,868	)
Increase (decrease) in brokerage commissions payable		(1,860	)		1,430
Increase (decrease) in directors' fees and insurance payable		(1,184	)		(542	)
Net cash provided by (used in) operating activities		(7,275,768	)		28,228,647

Cash Flows from Financing Activities:
Addition of partnership shares		40,082,469			33,014,668
Redemption of partnership shares		(53,128,704	)		(24,486,264	)
Net cash provided by (used in) financing activities		(13,046,235	)		8,528,404

Net Increase (Decrease) in Cash and Cash Equivalents		(20,322,003	)		36,757,051

Cash and Cash Equivalents, beginning of period		103,167,056			67,996,295
Cash and Cash Equivalents, end of period	$	82,845,053		$	104,753,346

	For the nine months ended September 30, 2017 (Unaudited)			For the nine months ended September 30, 2016 (Unaudited)
Per Share Operating Performance:
Net asset value, beginning of period	$	15.70		$	12.22
Total income (loss)		(0.41	)		2.46
Net expenses		(0.10	)		(0.09	)
Net increase (decrease) in net asset value		(0.51	)		2.37
Net asset value, end of period	$	15.19		$	14.59

Total Return		(3.25	)%		19.39	%

Ratios to Average Net Assets
Total income (loss)		(1.30	)%		25.74	%
Management fees*		0.75	%		0.75	%
Total expenses excluding management fees*		0.48	%		0.32	%
Expenses waived*		(0.33	)%		(0.17	)%
Net expenses excluding management fees*		0.15	%		0.15	%
Net income (loss)		(1.97	)%		25.06	%

			U.S.
			Gov’t.
			Bonds
	Large		(EFFAS			Global
	Cap U.S.		U.S.			Equities
	Equities		Gov’t.			(FTSE									Diesel-
Correlation Matrix	(S&P		Bond			World			Crude			Unleaded			Heating			Brent
September 30, 2007 – September 30, 2017*	500)		Index)			Index)			Oil			Gasoline			Oil			Oil
Large Cap U.S. Equities (S&P 500)		1.000		(0.287	)		0.965			0.464			0.446			0.436			0.458
U.S. Gov’t. Bonds (EFFAS U.S. Gov’t. Bond Index)				1.000			(0.257	)		(0.390	)		(0.349	)		(0.331	)		(0.369	)
Global Equities (FTSE World Index)							1.000			0.514			0.484			0.476			0.515
Crude Oil (WTI)										1.000			0.700			0.805			0.930
Unleaded Gasoline													1.000			0.729			0.758
Diesel-Heating Oil																1.000			0.222
Brent Oil																			1.000

Period	Total Number of Shares Redeemed		Average Price Per Share
7/1/17 to 7/31/17		1,550,000	$	12.88
8/1/17 to 8/31/17		400,000	$	13.64
9/1/17 to 9/30/17		600,000	$	14.83
Total		2,550,000


	Total
	Number of
	Shares	Average Price
Period	Redeemed	Per Share
4/1/20 to 4/30/20	2,000,000	$	6.98
5/1/20 to 5/31/20	3,000,000	$	9.88
6/1/20 to 6/30/20	3,650,000	$	10.77
Total	8,650,000

Exhibit Number		Description of Document
31.1(1)		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2(1)		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1(1)		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2(1)		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS		XBRL Instance Document.
101.SCH		XBRL Taxonomy Extension Schema.
101.CAL		XBRL Taxonomy Extension Calculation Linkbase.
101.DEF		XBRL Taxonomy Extension Definition Linkbase.
101.LAB		XBRL Taxonomy Extension Label Linkbase.
101.PRE		XBRL Taxonomy Extension Presentation Linkbase.
104		Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)