FAIR VALUE OF FINANCIAL INSTRUMENTS

12 Months Ended

Dec. 31, 2019

FAIR VALUE OF FINANCIAL INSTRUMENTS

FAIR VALUE OF FINANCIAL INSTRUMENTS

NOTE 9 — FAIR VALUE OF FINANCIAL INSTRUMENTS

The Trust and each Trust Series value their 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 the Trust and each Trust Series (observable inputs) and (2) the

Trust’s and each Trust Series’ own assumptions about market participant assumptions 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 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 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 USCI’s securities at December 31, 2019 using the fair value hierarchy:

At December 31, 2019	Total		Level I		Level II		Level III
Short-Term Investments	$	188,989,355	$	188,989,355	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		(2,381,779)		(2,381,779)		—		—
United States Contracts		4,520,647		4,520,647		—		—

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

The following table summarizes the valuation of USCI’s securities at December 31, 2018 using the fair value hierarchy:

At December 31, 2018	Total		Level I		Level II		Level III
Short-Term Investments	$	436,426,995	$	436,426,995	$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		(1,866,820)		(1,866,820)		—		—
United States Contracts		(12,621,164)		(12,621,164)		—		—

During the year ended December 31, 2018, there were no transfers between Level I and Level II.

The following table summarizes the valuation of CPER's securities at December 31, 2019 using the fair value hierarchy:

At December 31, 2019	Total		Level I		Level II		Level III
Short-Term Investments	$	7,096,018	$	7,096,018	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		346,250		346,250		—		—

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

The following table summarizes the valuation of CPER's securities at December 31, 2018 using the fair value hierarchy:

At December 31, 2018	Total		Level I		Level II		Level III
Short-Term Investments	$	9,657,426	$	9,657,426	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		(903,475)		(903,475)		—		—

During the year ended December 31, 2018, there were no transfers between Level I and Level II.

The Trust and each Trust Series have 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 Held by USCI

Derivatives not
Accounted for		Fair Value		Fair Value
as Hedging	Statements of Financial	At December 31,		At December 31,
Instruments	Condition Location	2019		2018
Futures - Commodity Contracts	Assets	$	2,138,868	$	(14,487,984)

Fair Value of Derivative Instruments Held by CPER

Derivatives not
Accounted for		Fair Value		Fair Value
as Hedging	Statements of Financial	At December 31,		At December 31,
Instruments	Condition Location	2019		2018
Futures - Commodity Contracts	Assets	$	346,250	$	(903,475)

The Effect of Derivative Instruments on the Statements of Operations of USCI

For the year ended

For the year ended

For the year ended

December 31, 2019

December 31, 2018

December 31, 2017

Change in

Change in

Change in

Derivatives

Location of

Realized

Unrealized

Realized

Unrealized

Realized

Unrealized

not Accounted

Gain (Loss)

Gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

for as

on Derivatives

on Derivatives

Derivatives

on Derivatives

Derivatives

on Derivatives

Derivatives

Hedging

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Instruments

Income

Income

Income

Income

Income

Income

Income

Futures - Commodity Contracts

Realized gain (loss) on closed positions

$

(29,144,478)

$

(54,710,680)

$

22,989,718

Change in unrealized gain (loss) on open positions

$

16,626,852

$

(21,360,954)

$

4,817,510

The Effect of Derivative Instruments on the Statements of Operations of CPER

For the year ended

For the year ended

For the year ended

December 31, 2019

December 31, 2018

December 31, 2017

Change in

Change in

Change in

Derivatives

Location of

Realized

Unrealized

Realized

Unrealized

Realized

Unrealized

not Accounted

Gain (Loss)

Gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

for as

on Derivatives

on Derivatives

Derivatives

on Derivatives

Derivatives

on Derivatives

Derivatives

Hedging

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in

Instruments

Income

Income

Income

Income

Income

Income

Income

Futures - Commodity Contracts

Realized gain (loss) on closed positions

$

(1,134,850)

$

(1,318,188)

$

1,468,825

Change in unrealized gain (loss) on open positions

$

1,249,725

$

(1,785,413)

$

793,363