United States Commodity Index Funds Trust - Quarter Report: 2012 March (Form 10-Q)

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Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

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Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

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 March 31, 2012.

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

Commission File Number: 001-34833

United States Commodity Index Funds Trust

(Exact name of registrant as specified in its charter)

Delaware

27-1537655

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

1320 Harbor Bay Parkway, Suite 145

Alameda, California 94502

(Address of principal executive offices) (Zip code)

(510) 522-9600

(Registrant’s telephone number, including area code)

N/A

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

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, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

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

UNITED STATES COMMODITY INDEX FUNDS TRUST

Table of Contents


		Page
Part I. FINANCIAL INFORMATION
Item 1. Condensed Financial Statements.		1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		38

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		76

Item 4. Controls and Procedures.		77

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		77

Item 1A. Risk Factors.		77

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		77

Item 3. Defaults Upon Senior Securities.		77

Item 4. Mine Safety Disclosures.		77

Item 5. Other Information.		77

Item 6. Exhibits.		78

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index to Condensed Financial Statements


Documents	Page
Condensed Statements of Financial Condition at March 31, 2012 (Unaudited) and December 31, 2011		2

Condensed Schedules of Investments (Unaudited) at March 31, 2012		7

Condensed Statements of Operations (Unaudited) for the three months ended March 31, 2012 and 2011		9

Condensed Statements of Changes in Capital (Unaudited) for the three months ended March 31, 2012 and Condensed Statements of Changes in Units Outstanding (Unaudited) for the three months ended March 31, 2012		14

Condensed Statements of Cash Flows (Unaudited) for the three months ended March 31, 2012 and 2011		19

Notes to Condensed Financial Statements for the period ended March 31, 2012 (Unaudited)		24

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2012 (Unaudited) and December 31, 2011


	United States Commodity Index Fund
	March 31, 2012		December 31, 2011
Assets
Cash and cash equivalents (Note 6)	$	353,511,666	$	310,491,998
Equity in Newedge trading accounts:
Cash and cash equivalents		56,119,531		63,973,570
Unrealized gain (loss) on open commodity futures contracts		1,615,884		(22,976,692	)
Receivable for units sold		12,281,474		—
Interest receivable		1,550		145
Other assets		24,547		2,558


Total assets	$	423,554,652	$	351,491,579


Liabilities and Capital
Management fees payable (Note 4)	$	331,158	$	327,496
Professional fees payable		203,690		269,136
Brokerage commissions payable		22,815		26,195
Other liabilities		10,404		19,456


Total liabilities		568,067		642,283


Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		—		—
Unitholders		422,986,585		350,849,296

Total Capital		422,986,585		350,849,296


Total liabilities and capital	$	423,554,652	$	351,491,579


Units outstanding		6,900,000		6,000,000

Net asset value per unit	$	61.30	$	58.47

Market value per unit	$	61.31	$	58.37

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2012 (Unaudited) and December 31, 2011


	United States Copper Index Fund
	March 31, 2012		December 31, 2011
Assets
Cash and cash equivalents (Note 6)	$	2,107,432	$	2,114,061
Equity in Newedge trading accounts:
Cash and cash equivalents		458,427		397,549
Unrealized gain (loss) on open commodity futures contracts		145,275		(62,013	)
Receivable from Sponsor (Note 4)		20,992		12,453
Interest receivable		17		7
Other assets		164		—


Total assets	$	2,732,307	$	2,462,057


Liabilities and Capital
Management fees payable (Note 4)	$	2,193	$	1,986
Professional fees payable		21,993		12,925
Other liabilities		70		32


Total liabilities		24,256		14,943


Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		—		—
Unitholders		2,708,051		2,447,114

Total Capital		2,708,051		2,447,114


Total liabilities and capital	$	2,732,307	$	2,462,057


Units outstanding		100,000		100,000

Net asset value per unit	$	27.08	$	24.47

Market value per unit	$	27.13	$	24.50

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2012 (Unaudited) and December 31, 2011


	United States Metals Index Fund
	March 31, 2012		December 31, 2011
Assets
Cash and cash equivalents (Note 6)	$	1,000	$	1,000


Total assets	$	1,000	$	1,000


Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor	$	1,000	$	1,000
Unitholders		—		—

Total Capital		1,000		1,000


Total capital	$	1,000	$	1,000

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2012 (Unaudited) and December 31, 2011


	United States Agriculture Index Fund
	March 31, 2012		December 31, 2011
Assets
Cash and cash equivalents (Note 6)	$	1,000	$	1,000


Total assets	$	1,000	$	1,000


Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor	$	1,000	$	1,000
Unitholders		—		—

Total Capital		1,000		1,000


Total capital	$	1,000	$	1,000

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Financial Condition

At March 31, 2012 (Unaudited) and December 31, 2011


	United States Commodity Index Funds Trust
	March 31, 2012		December 31, 2011
Assets
Cash and cash equivalents (Note 6)	$	355,621,098	$	312,608,059
Equity in Newedge trading accounts:
Cash and cash equivalents		56,577,958		64,371,119
Unrealized gain (loss) on open commodity futures contracts		1,761,159		(23,038,705	)
Receivable for units sold		12,281,474		—
Receivable from Sponsor (Note 4)		20,992		12,453
Interest receivable		1,567		152
Other assets		24,711		2,558


Total assets	$	426,288,959	$	353,955,636


Liabilities and Capital
Management fees payable (Note 4)	$	333,351	$	329,482
Professional fees payable		225,683		282,061
Brokerage commissions payable		22,815		26,195
Other liabilities		10,474		19,488


Total liabilities		592,323		657,226


Commitments and Contingencies (Notes 4, 5 and 6)

Capital
Sponsor		2,000		2,000
Unitholders		425,694,636		353,296,410

Total Capital		425,696,636		353,298,410


Total liabilities and capital	$	426,288,959	$	353,955,636


Units outstanding		7,000,000		6,100,000

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)*

At March 31, 2012

United States Commodity Index Fund

		$00.000.0000		$00.000.0000			$00.000.0000
	Number of Contracts		Unrealized Gain (Loss) on Open Commodity Contracts			% of Capital
Open Futures Contracts - Long
Foreign Contracts
LME Lead Futures LL May 2012 contracts, expiring May 2012		616	$	608,012			0.14
ICE-UK Gasoil Futures QS June 2012 contracts, expiring June 2012		297		1,236,700			0.29
LME Copper Futures LP June 2012 contracts, expiring June 2012		150		(2,775,800	)		(0.66	)
ICE-US Sugar #11 Futures SB July 2012 contracts, expiring June 2012		1,159		242,099			0.06
LME Nickel Futures LN September 2012 contracts, expiring September 2012		213		(4,495,620	)		(1.06	)
LME Aluminum Futures LA January 2013 contracts, expiring January 2013		480		1,251,825			0.30
LME Aluminum Futures LA March 2013 contracts, expiring March 2013		506		(2,738,538	)		(0.65	)
ICE Brent Crude Futures CO June 2013 contracts, expiring May 2013		262		(261,800	)		(0.06	)

		3,683		(6,933,122	)		(1.64	)

United States Contracts
CME Feeder Cattle Futures FC May 2012 contracts, expiring May 2012		393		(671,025	)		(0.16	)
CME Live Cattle Futures LC June 2012 contracts, expiring June 2012		624		(2,633,660	)		(0.62	)
COMEX Gold Futures GC June 2012 contracts, expiring June 2012		181		(1,610,570	)		(0.38	)
NYMEX Heating Oil Futures HO June 2012 contracts, expiring May 2012		223		859,509			0.20
CBOT Corn Futures C September 2012 contracts, expiring September 2012		1,061		101,788			0.02
CBOT Soybean Futures S November 2012 contracts, expiring November 2012		459		668,150			0.16
CBOT Soybean Meal Futures SM December 2012 contracts, expiring December 2012		854		903,720			0.21
CBOT Soybean Oil Futures BO December 2012 contracts, expiring December 2012		904		292,272			0.07
NYMEX RBOB Gasoline Futures XB December 2012 contracts, expiring November 2012		248		3,365,989			0.80
NYMEX Crude Oil Futures CL June 2013 contracts, expiring May 2013		283		(354,660	)		(0.08	)

		5,230		921,513			0.22

Open Futures Contracts - Short**
Foreign Contracts
LME Copper Futures LP June 2012 contracts, expiring June 2012		150		2,801,419			0.66
LME Nickel Futures LN September 2012 contracts, expiring September 2012		213		2,596,706			0.61
LME Aluminum Futures LA January 2013 contracts, expiring January 2013		480		1,852,991			0.44
LME Aluminum Futures LA March 2013 contracts, expiring March 2013		506		376,377			0.09

		1,349		7,627,493			1.80

Total Open Futures Contracts		10,262	$	1,615,884			0.38


	Principal Amount		Market Value
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
0.03%, 4/19/2012	$	40,000,000	$	39,999,280			9.46
0.06%, 5/03/2012		20,000,000		19,998,845			4.73
0.07%, 5/10/2012		20,000,000		19,998,483			4.73
0.04%, 5/24/2012		75,000,000		74,995,031			17.73
0.04%, 5/31/2012		26,000,000		25,998,300			6.14
0.03%, 6/07/2012		50,000,000		49,996,976			11.82
0.08%, 6/21/2012		25,000,000		24,995,500			5.91
0.06%, 6/28/2012		30,000,000		29,995,600			7.09
0.05%, 7/12/2012		20,000,000		19,997,450			4.73

Total Cash Equivalents			$	305,975,465			72.34

*	The United States Metals Index Fund and the United States Agriculture Index Fund were not operational as of March 31, 2012 and therefore have no reportable Condensed Schedule of Investments.

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

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Schedule of Investments (Unaudited)

At March 31, 2012

United States Copper Index Fund

		$00.000.0000		$00.000.0000			$00.000.0000
	Number of Contracts		Unrealized Gain (Loss) on Open Commodity Contracts			% of Capital
Open Futures Contracts - Long
United States Contracts
COMEX Copper Futures HG May 2012 contracts, expiring May 2012		7	$	40,975			1.51
COMEX Copper Futures HG July 2012 contracts, expiring July 2012		7		(7,350	)		(0.27	)
COMEX Copper Futures HG December 2012 contracts, expiring December 2012		14		111,650			4.12

Total Open Futures Contracts		28	$	145,275			5.36


	Principal Amount		Market Value
Cash Equivalents
United States Treasury Obligations
U.S. Treasury Bills:
0.06%, 5/03/2012	$	250,000	$	249,985			9.23
0.07%, 5/10/2012		250,000		249,981			9.23
0.05%, 5/24/2012		50,000		49,997			1.85
0.03%, 6/07/2012		100,000		99,994			3.69
0.08%, 6/21/2012		300,000		299,946			11.08

Total Cash Equivalents			$	949,903			35.08

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Commodity Index Fund
	Three months ended March 31, 2012			Three months ended March 31, 2011
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	(7,786,700	)	$	9,924,895
Change in unrealized gain on open positions		24,592,576			8,045,639
Realized gain on foreign currency transactions		—			186
Change in unrealized loss on foreign currency translations		(72	)		—
Interest income		37,440			55,628
Other income		3,150			36,000


Total income		16,846,394			18,062,348


Expenses
Management fees (Note 4)		914,080			578,228
Professional fees		109,245			123,300
Brokerage commissions		68,959			89,402
Other expenses		15,539			1,154


Total expenses		1,107,823			792,084

Expense waiver (Note 4)		—			(36,907	)


Net expenses		1,107,823			755,177


Net income	$	15,738,571		$	17,307,171

Net income per unit	$	2.83		$	6.01

Net income per weighted average unit	$	2.52		$	4.80

Weighted average units outstanding		6,253,846			3,603,353

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Copper Index Fund
	Three months ended March 31, 2012			Three months ended March 31, 2011*
Income
Gain on trading of commodity futures contracts:
Realized gain on closed positions	$	60,862		$	—
Change in unrealized gain on open positions		207,288			—
Interest income		247			—


Total income		268,397			—


Expenses
Management fees (Note 4)		6,333			—
Professional fees		21,992			—
Brokerage commissions		42			—
Other expenses		85			—


Total expenses		28,452			—

Expense waiver (Note 4)		(20,992	)		—


Net expenses		7,460			—


Net income	$	260,937		$	—

Net income per unit	$	2.61		$	—

Net income per weighted average unit	$	2.61		$	—

Weighted average units outstanding		100,000			—

*	The commencement of operations of the United States Copper Index Fund was November 15, 2011.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Metals Index Fund*
	Three months ended March 31, 2012		Three months ended March 31, 2011
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	—	$	—
Change in unrealized gain (loss) on open positions		—		—
Interest income		—		—


Total income (loss)		—		—


Expenses
Management fees (Note 4)		—		—
Professional fees		—		—
Brokerage commissions		—		—
Other expenses		—		—


Total expenses		—		—

Expense waiver (Note 4)		—		—


Net expenses		—		—


Net income (loss)	$	—	$	—

*	The United States Metals Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Agriculture Index Fund*
	Three months ended March 31, 2012		Three months ended March 31, 2011
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	—	$	—
Change in unrealized gain (loss) on open positions		—		—
Interest income		—		—


Total income (loss)		—		—


Expenses
Management fees (Note 4)		—		—
Professional fees		—		—
Brokerage commissions		—		—
Other expenses		—		—


Total expenses		—		—

Expense waiver (Note 4)		—		—


Net expenses		—		—


Net income (loss)	$	—	$	—

*	The United States Agriculture Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Operations (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Commodity Index Funds Trust
	Three months ended March 31, 2012			Three months ended March 31, 2011
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed positions	$	(7,725,838	)	$	9,924,895
Change in unrealized gain on open positions		24,799,864			8,045,639
Realized gain on foreign currency transactions		—			186
Change in unrealized loss on foreign currency translations		(72	)		—
Interest income		37,687			55,628
Other income		3,150			36,000


Total income		17,114,791			18,062,348


Expenses
Management fees (Note 4)		920,413			578,228
Professional fees		131,237			123,300
Brokerage commissions		69,001			89,402
Other expenses		15,624			1,154


Total expenses		1,136,275			792,084

Expense waiver (Note 4)		(20,992	)		(36,907	)


Net expenses		1,115,283			755,177


Net income	$	15,999,508		$	17,307,171

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statement of Changes in Capital (Unaudited)

For the three months ended March 31, 2012

		8Unitholders8.		8Unitholders8.		8Unitholders8.
	United States Commodity Index Fund
	Sponsor		Unitholders		Total
Balances, at December 31, 2011	$	—	$	350,849,296	$	350,849,296
Additions		—		56,398,718		56,398,718
Net income		—		15,738,571		15,738,571


Balances, at March 31, 2012	$	—	$	422,986,585	$	422,986,585

Condensed Statement of Changes in Units Outstanding (Unaudited)

For the three months ended March 31, 2012

		8Unitholders88		8Unitholders88		8Unitholders88
	United States Commodity Index Fund
	Sponsor		Unitholders		Total
Units Outstanding, at December 31, 2011		—		6,000,000		6,000,000
Additions		—		900,000		900,000


Units Outstanding, at March 31, 2012		—		6,900,000		6,900,000


Net Asset Value Per Unit:
At December 31, 2011					$	58.47

At March 31, 2012					$	61.30

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statement of Changes in Capital (Unaudited)

For the three months ended March 31, 2012

		8Unitholders8		8Unitholders8		8Unitholders8
	United States Copper Index Fund
	Sponsor		Unitholders		Total
Balances, at December 31, 2011	$	—	$	2,447,114	$	2,447,114
Additions		—		—		—
Redemptions		—		—		—
Net income		—		260,937		260,937


Balances, at March 31, 2012	$	—	$	2,708,051	$	2,708,051

Condensed Statement of Changes in Units Outstanding (Unaudited)

For the three months ended March 31, 2012

		8Unitholders8		8Unitholders8		8Unitholders8
	United States Copper Index Fund
	Sponsor		Unitholders		Total
Units Outstanding, at December 31, 2011		—		100,000		100,000
Additions		—		—		—
Redemptions		—		—		—


Units Outstanding, at March 31, 2012		—		100,000		100,000


Net Asset Value Per Unit:
At December 31, 2011					$	24.47

At March 31, 2012					$	27.08

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statement of Changes in Capital (Unaudited)

For the three months ended March 31, 2012


	United States Metals Index Fund*
	Sponsor		Unitholders		Total
Balances, at December 31, 2011	$	1,000	$	—	$	1,000
Additions		—		—		—
Redemptions		—		—		—
Net income (loss)		—		—		—


Balances, at March 31, 2012	$	1,000	$	—	$	1,000

*	The United States Metals Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statement of Changes in Capital (Unaudited)

For the three months ended March 31, 2012


	United States Agriculture Index Fund*
	Sponsor		Unitholders		Total
Balances, at December 31, 2011	$	1,000	$	—	$	1,000
Additions		—		—		—
Redemptions		—		—		—
Net income (loss)		—		—		—


Balances, at March 31, 2012	$	1,000	$	—	$	1,000

*	The United States Agriculture Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statement of Changes in Capital (Unaudited)

For the three months ended March 31, 2012


	United States Commodity Index Funds Trust
	Sponsor		Unitholders		Total
Balances, at December 31, 2011	$	2,000	$	353,296,410	$	353,298,410
Additions		—		56,398,718		56,398,718
Redemptions		—		—		—
Net income		—		15,999,508		15,999,508


Balances, at March 31, 2012	$	2,000	$	425,694,636	$	425,696,636

Condensed Statement of Changes in Units Outstanding (Unaudited)

For the three months ended March 31, 2012


	United States Commodity Index Funds Trust
	Sponsor		Unitholders		Total
Units Outstanding, at December 31, 2011		—		6,100,000		6,100,000
Additions		—		900,000		900,000
Redemptions		—		—		—


Units Outstanding, at March 31, 2012		—		7,000,000		7,000,000

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Commodity Index Fund
	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash Flows from Operating Activities:
Net income	$	15,738,571		$	17,307,171
Adjustments to reconcile net income to net cash used in operating activities:
(Increase) decrease in commodity futures trading account - cash and cash equivalents		7,854,039			(26,004,189	)
Unrealized gain on futures contracts		(24,592,576	)		(8,045,639	)
Decrease in receivable from Sponsor		—			14,490
Increase in interest receivable		(1,405	)		(686	)
Increase in other assets		(21,989	)		(16,894	)
Increase in management fees payable		3,662			233,781
Increase (decrease) in professional fees payable		(65,446	)		48,468
Increase (decrease) in brokerage commissions payable		(3,380	)		14,860
Decrease in other liabilities		(9,052	)		—

Net cash used in operating activities		(1,097,576	)		(16,448,638	)


Cash Flows from Financing Activities:
Addition of units		44,117,244			295,052,248
Redemption of units		—			(6,884,386	)


Net cash provided by financing activities		44,117,244			288,167,862


Net Increase in Cash and Cash Equivalents		43,019,668			271,719,224

Cash and Cash Equivalents, beginning of period		310,491,998			87,443,112

Cash and Cash Equivalents, end of period	$	353,511,666		$	359,162,336

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Copper Index Fund
	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash Flows from Operating Activities:
Net income	$	260,937		$	—
Adjustments to reconcile net income to net cash used in operating activities:
Increase in commodity futures trading account - cash and cash equivalents		(60,878	)		—
Unrealized gain on futures contracts		(207,288	)		—
Increase in receivable from Sponsor		(8,539	)		—
Increase in interest receivable		(10	)		—
Increase in other assets		(164	)		—
Increase in management fees payable		207			—
Increase in professional fees payable		9,068			—
Increase in other liabilities		38			—

Net cash used in operating activities		(6,629	)		—


Cash Flows from Financing Activities:
Addition of units		—			—
Redemption of units		—			—


Net cash provided by financing activities		—			—


Net Decrease in Cash and Cash Equivalents		(6,629	)		—

Cash and Cash Equivalents, beginning of period		2,114,061			1,000

Cash and Cash Equivalents, end of period	$	2,107,432		$	1,000

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Metals Index Fund*
	Three months ended March 31, 2012		Three months ended March 31, 2011
Cash Flows from Operating Activities:
Net income (loss)	$	—	$	—
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		—		—
Unrealized (gain) loss on futures contracts		—		—
(Increase) decrease in receivable from Sponsor		—		—
(Increase) decrease in interest receivable		—		—
(Increase) decrease in other assets		—		—
Increase (decrease) in management fees payable		—		—
Increase (decrease) in professional fees payable		—		—
Increase (decrease) in brokerage commissions payable		—		—
Increase (decrease) in other liabilities		—		—

Net cash provided by (used in) operating activities		—		—


Cash Flows from Financing Activities:
Addition of units		—		—
Redemption of units		—		—


Net cash provided by (used in) financing activities		—		—


Net Increase (Decrease) in Cash and Cash Equivalents		—		—

Cash and Cash Equivalents, beginning of period		1,000		1,000

Cash and Cash Equivalents, end of period	$	1,000	$	1,000

*	The United States Metals Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Agriculture Index Fund*
	Three months ended March 31, 2012		Three months ended March 31, 2011
Cash Flows from Operating Activities:
Net income (loss)	$	—	$	—
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		—		—
Unrealized (gain) loss on futures contracts		—		—
(Increase) decrease in receivable from Sponsor		—		—
(Increase) decrease in interest receivable		—		—
(Increase) decrease in other assets		—		—
Increase (decrease) in management fees payable		—		—
Increase (decrease) in professional fees payable		—		—
Increase (decrease) in brokerage commissions payable		—		—
Increase (decrease) in other liabilities		—		—

Net cash provided by (used in) operating activities		—		—


Cash Flows from Financing Activities:
Addition of units		—		—
Redemption of units		—		—


Net cash provided by (used in) financing activities		—		—


Net Increase (Decrease) in Cash and Cash Equivalents		—		—

Cash and Cash Equivalents, beginning of period		1,000		1,000

Cash and Cash Equivalents, end of period	$	1,000	$	1,000

*	The United States Agriculture Index Fund had not commenced operations as of March 31, 2012.

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Condensed Statements of Cash Flows (Unaudited)

For the three months ended March 31, 2012 and 2011


	United States Commodity Index Funds Trust
	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash Flows from Operating Activities:
Net income	$	15,999,508		$	17,307,171
Adjustments to reconcile net income to net cash used in operating activities:
(Increase) decrease in commodity futures trading account - cash and cash equivalents		7,793,161			(26,004,189	)
Unrealized gain on futures contracts		(24,799,864	)		(8,045,639	)
(Increase) decrease in receivable from Sponsor		(8,539	)		14,490
Increase in interest receivable		(1,415	)		(686	)
Increase in other assets		(22,153	)		(16,894	)
Increase in management fees payable		3,869			233,781
Increase (decrease) in professional fees payable		(56,378	)		48,468
Increase (decrease) in brokerage commissions payable		(3,380	)		14,860
Decrease in other liabilities		(9,014	)		—

Net cash used in operating activities		(1,104,205	)		(16,448,638	)


Cash Flows from Financing Activities:
Addition of units		44,117,244			295,052,248
Redemption of units		—			(6,884,386	)


Net cash provided by financing activities		44,117,244			288,167,862


Net Increase in Cash and Cash Equivalents		43,013,039			271,719,224

Cash and Cash Equivalents, beginning of period		312,608,059			87,446,112

Cash and Cash Equivalents, end of period	$	355,621,098		$	359,165,336

See accompanying notes to condensed financial statements.

United States Commodity Index Funds Trust

Notes to Condensed Financial Statements

For the period ended March 31, 2012 (Unaudited)

NOTE 1 — ORGANIZATION AND BUSINESS

The United States Commodity Index Funds Trust (the “Trust”) was organized as a Delaware statutory trust on December 21, 2009. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and includes the United States Commodity Index Fund (“USCI”), a commodity pool formed on April 1, 2010 and first made available to the public on August 10, 2010, the United States Copper Index Fund (“CPER”), a commodity pool formed on November 26, 2010 and first made available to the public on November 15, 2011, and the United States Agriculture Index Fund (“USAG”), a commodity pool formed on November 26, 2010 and first made available to the public on April 13, 2012. USCI, CPER and USAG each issues units (“units”) that may be purchased and sold on the NYSE Arca, Inc. (the “NYSE Arca”). There is an additional series, the United States Metals Index Fund (“USMI”), which was formed on November 26, 2010. USMI is not listed on the NYSE Arca as of the filing of this quarterly report on Form 10-Q. USCI, CPER, USAG and USMI are collectively referred to herein as the “Trust Series”. The Trust and each Trust Series operate pursuant to the Second Amended and Restated Declaration of Trust and Trust Agreement dated as of November 10, 2010 (the “Trust Agreement”). United States Commodity Funds LLC (“USCF” or “Sponsor”) is the sponsor of the Trust, USCI, CPER and USAG and is also responsible for the management of the Trust and the Trust Series. For purposes of the financial statement presentation, unless specified otherwise, all references will be to the Trust Series.

USCF has the power and authority to establish and designate one or more series and to issue units thereof, from time to time as it deems necessary or desirable. USCF has exclusive power to fix and determine the relative rights and preferences as between the units of any series as to right of redemption, special and relative rights as to dividends and other distributions and on liquidation, conversion rights, and conditions under which the series shall have separate voting rights or no voting rights. The term for which the Trust is to exist commenced on the date of the filing of the Certificate of Trust, and the Trust and any Fund will exist in perpetuity, unless earlier terminated in accordance with the provisions of the Trust Agreement. Separate and distinct records must be maintained for each Fund and the assets associated with a Fund must be held in such separate and distinct records (directly or indirectly, including a nominee or otherwise) and accounted for in such separate and distinct records separately from the assets of any other Fund. Each Fund is separate from all other Funds created as series of the Trust in respect of the assets and liabilities allocated to that Fund and represents a separate investment portfolio of the Trust.

The sole Trustee of the Trust is Wilmington Trust Company (the “Trustee”), a Delaware banking corporation. The Trustee is unaffiliated with USCF. The Trustee’s duties and liabilities with respect to the offering of units and the management of the Trust are limited to its express obligations under the Trust Agreement.

USCF is a member of the National Futures Association (the “NFA”) and became a commodity pool operator (“CPO”) registered with the Commodity Futures Trading Commission (the “CFTC”) effective December 1, 2005. The Trust and each Trust Series have a fiscal year ending on December 31.

USCF is also the general partner of the United States Oil Fund, LP (“USOF”), the United States Natural Gas Fund, LP (“USNG”), the United States 12 Month Oil Fund, LP (“US12OF”), the United States Gasoline Fund, LP (“UGA”) and the United States Heating Oil Fund, LP (“USHO”), which listed their limited partnership units 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, “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 USOF’s, USNG’s, US12OF’s, UGA’s and USHO’s units commenced trading on the NYSE Arca on November 25, 2008. USCF is also the general partner of the United States Short Oil Fund, LP (“USSO”), the United States 12 Month Natural Gas Fund, LP (“US12NG”) and the United States Brent Oil Fund, LP (“USBO”), which listed their limited partnership units on the NYSE Arca under the ticker symbols “DNO” on September 24, 2009, “UNL” on November 18, 2009 and “BNO” on June 2, 2010, respectively. All funds listed previously are referred to collectively herein as the “Related Public Funds.” USCF has also filed registration statements to register units of the United States Sugar Fund (“USSF”), the United States Natural Gas Double Inverse Fund (“UNGD”), the United States Gasoil Fund (“USGO”) and the United States Asian Commodities Basket Fund (“USABF”), each a series of the United States Commodity Funds Trust I.

As the only two Trust Series offered as of March 31, 2012, each of USCI and CPER issued units to certain authorized purchasers (“Authorized Purchasers”) by offering baskets consisting of 100,000 units (“Creation Baskets”) through ALPS Distributors, Inc., as the marketing agent (the “Marketing Agent”); effective as of May 1, 2012, each of USCI and CPER issue units to Authorized Purchasers by offering baskets consisting of 50,000 units through the Marketing Agent. Effective as of May 1, 2012, each of USAG and USMI will issue units to Authorized Purchasers by offering baskets consisting of 50,000 units through the Marketing Agent. The purchase price for a Creation Basket is based upon the net asset value (“NAV”) of a unit 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.

From July 1, 2011 through December 31, 2011 (and continuing at least through December 31, 2012), Authorized Purchasers pay USCI $350 for each order placed to create one or more Creation Baskets or to redeem one or more baskets (“Redemption Baskets”), consisting of 50,000 units; prior to July 1, 2011, Authorized Purchasers paid $1,000 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets. Effective as of May 1, 2012 (and continuing at least through December 31, 2012), Authorized Purchasers pay each of CPER and USAG $350 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets; prior to May 1, 2012, Authorized Purchasers paid $1,000 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets. Units may be purchased or sold on a nationally recognized securities exchange in smaller increments than a Creation Basket or Redemption Basket. Units purchased or sold on a nationally recognized securities exchange are not purchased or sold at the per unit NAV of each Trust Series but rather at market prices quoted on such exchange.

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 accounting principles generally accepted in the United States of America (“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

As of the reporting date period of March 31, 2012, USCI and CPER were the only Trust Series publicly available. USAG became listed on the NYSE Arca on April 13, 2012. USMI is not listed on the NYSE Arca, or publicly offered, as of the filing of this quarterly report on Form 10-Q. Only USCI and CPER will be discussed in the Summary of Significant Accounting Policies, unless otherwise stated.

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. Each of USCI, CPER and USAG earns interest on its assets denominated in U.S. dollars on deposit with the futures commission merchant at the 90-day Treasury bill rate. In addition, each of USCI, CPER and USAG earns income on funds held at the custodian and/or futures commission merchant 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

The Trust Series are not subject to federal income taxes; each investor reports his/her allocable share of income, gain, loss deductions or credits on his/her own income tax return.

In accordance with GAAP, each Trust Series 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. Each Trust Series files an income tax return in the U.S. federal jurisdiction, and may file income tax returns in various U.S. states. Each Trust Series is not subject to income tax return examinations by major taxing authorities for years before 2010 (year of the Trust Series’ inception, but not necessarily the commencement of operations for each Trust Series). 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 each Trust Series recording a tax liability that reduces net assets. However, each Trust Series’ 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. Each Trust Series recognizes or will recognize interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the period ended March 31, 2012 for any Trust Series.

Trust Capital and Allocation of Income and Losses

Profit or loss shall be allocated among the unitholders of each Trust Series in proportion to the number of units each investor holds as of the close of each month. USCF may revise, alter or otherwise modify this method of allocation as described in the Trust Agreement.

Adoption of New Monthly Allocation Convention

Effective January 1, 2012, USCI adopted a new convention for allocating items of income, gain, loss, deduction and credits. In situations where a partner’s interest in a partnership is sold or otherwise transferred during a taxable year, the Code generally requires that partnership tax items for the year be allocated among the partners using either an interim closing of the books or a daily proration method. USCI uses an interim closing of the books method under which income, gains and losses (both realized and unrealized), deductions and credits are determined on a monthly basis. Prior to January 1, 2012, USCI allocated these tax items among the holders of the units (including those who dispose of units during a taxable year) in proportion to the number of units owned by them on the last trading day of each month. For this purpose, if an investor holds a unit as of the close of business of the last trading day of a particular month, such investor is treated as if it owned the unit throughout the month and thus is allocated all of the items of income, gain, deduction, loss or credit attributable to that unit for such month (the “same-month convention”).

Effective January 1, 2012 for USCI (and effective as of November 15, 2011 for CPER and April 13, 2012 for USAG), an allocation convention is applied pursuant to which each Trust Series’ tax items for each month will be allocated among the holders of units in proportion to the number of units owned by them as of the close of business of the last trading day of the previous month. If an investor who holds a unit as of the close of business on the last trading day of the previous month disposes of a unit during the current month, such investor will be treated for purposes of making allocations as if it owned the unit throughout the current month (the “next-month convention”). For example, an investor who buys a unit on April 10 of a year and sells it on May 20 of the same year will be allocated all of the tax items attributable to May (because he or she is deemed to hold it through the last day of May) but will not be allocated any of the tax items attributable to April. The tax items attributable to that unit for April will be allocated to the person who is the actual or deemed holder of the unit as of the close of business on the last trading day of March.

For investors in USCI, as a result of the transition from the same-month convention to the next-month convention, an investor who buys a unit in December 2011 and sells the unit in January 2012 will be allocated the tax items attributable to that unit for December 2011 as well as the tax items attributable to that unit for January 2012, even if the actual holding period is only a few days.

Creations and Redemptions

Effective as of May 1, 2012, Authorized Purchasers may purchase Creation Baskets or redeem Redemption Baskets only in blocks of 50,000 units at a price equal to the NAV of the units calculated shortly after the close of the core trading session on the NYSE Arca on the day the order is placed. Prior to May 1, 2012, Authorized Purchasers could only purchase Creation Baskets or redeem Redemption Baskets in blocks of 100,000 units.

Each Trust Series receives or pays, or will receive or pay, the proceeds from units sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected or will be reflected in each Trust Series’ condensed statements of financial condition as receivable for units sold, and amounts payable to Authorized Purchasers upon redemption are or will be reflected as payable for units redeemed.

Calculation of Per Unit Net Asset Value

Each Trust Series’ per unit NAV is or will be calculated on each NYSE Arca trading day by taking the current market value of its total assets, subtracting any liabilities and dividing the amount by the total number of units outstanding. Each Trust Series uses or will use the closing prices on the relevant Futures Exchanges (as defined in Note 3 below) of the Applicable Benchmark Component Futures Contracts (as defined in Note 3 below) that at any given time make up the Applicable Index (as defined in Note 3 below) (determined at the earlier of the close of such exchange or 2:30 p.m. New York time) for the contracts traded on the Futures Exchanges, but calculates or determines the value of all other investments of each Trust Series using market quotations, if available, or other information customarily used to determine the fair value of such investments.

Net Income (Loss) Per Unit

Net income (loss) per unit is the difference between the per unit NAV at the beginning of each period and the per unit NAV at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units added and redeemed based on the amount of time the units were outstanding during such period.

Offering Costs

Offering costs incurred in connection with the registration of units prior to the commencement of the offering are borne by USCF. Offering costs incurred in connection with the registration of additional units after the commencement of the offering are borne by each Trust Series. These costs include registration fees paid to regulatory agencies and all legal, accounting, printing and other expenses associated with such offerings. Costs borne by the Trust Series after the commencement of an offering are or will be 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.

Use of Estimates

The preparation of condensed financial statements in conformity with 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 — TRUST SERIES

In connection with the execution of the First Trust Agreement on April 1, 2010, USCI was designated as the first series of the Trust. USCF contributed $1,000 to the Trust upon its formation on December 21, 2009, representing an initial contribution of capital to the Trust. Following the designation of USCI as the first series of the Trust, the initial capital contribution of $1,000 was transferred from the Trust to USCI and deemed an initial contribution to USCI. In connection with the commencement of USCI’s initial offering of units, USCF received 20 Sponsor Units of USCI in exchange for the previously received capital contribution, representing a beneficial ownership interest in USCI.

On July 30, 2010, USCI received a notice of effectiveness from the SEC for its registration of 50,000,000 units on Form S-1 with the SEC. On August 10, 2010, USCI listed its units on the NYSE Arca under the ticker symbol “USCI”. USCI established its initial per unit NAV by setting the price at $50.00 and issued 100,000 units in exchange for $5,000,000 on August 10, 2010. USCI also commenced investment operations on August 10, 2010 by purchasing Futures Contracts traded on the Futures Exchanges. In order to satisfy NYSE Arca listing standards that at least 100,000 units be outstanding at the beginning of the trading day on the NYSE Arca, USCF purchased the initial Creation Basket from the initial Authorized Purchaser at the initial offering price. The $1,000 fee that would otherwise be charged to the Authorized Purchaser in connection with an order to create or redeem was waived in connection with the initial Creation Basket. USCF held such initial Creation Basket until September 3, 2010, at which time the initial Authorized Purchaser repurchased the units comprising such basket in accordance with the specified conditions noted above. On September 14, 2011, USCF redeemed the 20 Sponsor Units of USCI and, on September 19, 2011, USCF purchased five units of USCI in the open market.

In connection with the Second Amended and Restated Trust Agreement dated November 10, 2010, USMI, USAG and CPER were designated as three additional series of the Trust. Following the designation of the additional series, an initial capital contribution of $3,000 was transferred from USCF to the Trust. On November 10, 2010, the Trust transferred $1,000 to each of USMI, USAG and CPER, which was deemed a capital contribution to each series. On November 14, 2011, USCF received 40 Sponsor Units of CPER in exchange for the previously received capital contribution, representing a beneficial interest in CPER. On December 7, 2011, USCF redeemed the 40 Sponsor Units of CPER and purchased 40 units of CPER in the open market. On April 13, 2012, USCF received 40 Sponsor Units of USAG in exchange for the previously received capital contribution, representing a beneficial interest in USAG. Upon commencement of USMI’s initial offering of units, USCF will receive Sponsor Units in USMI in exchange for the previously received capital contribution.

USAG and USMI (along with CPER) received notice of effectiveness from the SEC for its registration of 20,000,000 USMI units, 20,000,000 USAG units and 30,000,000 CPER units on September 6, 2011. The order to permit listing CPER, USAG and USMI on the NYSE Arca was received on October 20, 2011. On November 15, 2011, CPER listed its units on the NYSE Arca under the ticker symbol “CPER.” CPER established its initial offering per unit NAV by setting the price at $25.00 and issued 100,000 units to the initial authorized purchaser, Merrill Lynch Professional Clearing Corp., in exchange for $2,500,000 in cash on November 15, 2011. CPER also commenced investment operations on November 15, 2011 by purchasing Futures Contracts traded on the COMEX. The $1,000 fee that would otherwise be charged to the Authorized Purchaser in connection with an order to create or redeem was waived in connection with the initial Creation Basket. The Authorized Purchaser has agreed not to resell the units comprising such basket until immediately following such redemption at least 100,000 units of CPER remain outstanding in order to satisfy NYSE Arca listing requirements.

On April 13, 2012, USAG listed its units on the NYSE Arca under the ticker symbol “USAG.” USAG established its initial offering per unit NAV by setting the price at $25.00. In accordance with applicable requirements of Regulation M under the Securities Exchange Act of 1934, no Creation Baskets were offered to Authorized Purchasers nor were the units listed on the NYSE Arca until five business days had elapsed from the date of USCF’s purchase of the initial Creation Basket on April 4, 2012. The fee that would have otherwise been charged in connection with an order to create or redeem was waived in connection with the initial Creation Basket. USCF has agreed not to resell the units comprising such basket until immediately following such redemption at least 100,000 units of USAG remain outstanding in order to satisfy NYSE Arca listing requirements.

USMI has not commenced operations as of the filing of this quarterly report on Form 10-Q.

USCI’s Investment Objective

The investment objective of USCI is for the daily changes in percentage terms of its units’ per unit NAV to reflect the daily changes in percentage terms of the SummerHaven Dynamic Commodity Index Total Return^SM (the “Commodity Index”), less USCI’s expenses. USCF does not intend to operate USCI in a fashion such that its per unit NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts that comprise the Commodity Index or the prices of any particular group of Futures Contracts.

USCI accomplishes its objective through investments in futures contracts for commodities that are traded on the New York Mercantile Exchange (the “NYMEX”), ICE Futures (“ICE Futures”), Chicago Board of Trade (“CBOT”), Chicago Mercantile Exchange (“CME”), London Metal Exchange (“LME”), Commodity Exchange, Inc. (“COMEX”) or on other foreign exchanges (such exchanges, collectively, the “Futures Exchanges”) (such futures contracts, collectively, “Futures Contracts”) and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, other commodity-based contracts and instruments such as cash-settled options on Futures Contracts, forward contracts relating to commodities, cleared swap contracts and other over-the-counter transactions that are based on the price of commodities and Futures Contracts (collectively, “Other Commodity-Related Investments”). The Commodity Index is owned and maintained by SummerHaven Index Management LLC (“SummerHaven Indexing”) and calculated and published by the NYSE Arca. As of March 31, 2012, USCI held 10,262 Futures Contracts.

CPER’s Investment Objective

The investment objective of CPER is for the daily changes in percentage terms of its units’ per unit NAV to reflect the daily changes in percentage terms of the SummerHaven Copper Index Total Return^SM (the “Copper Index”), less CPER’s expenses. USCF does not intend to operate CPER in a fashion such that its per unit NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts that comprise the Copper Index or the prices of any particular group of Futures Contracts. The Copper Index is designed to reflect the performance of the investment returns from a portfolio of copper futures contracts. The Copper Index is owned and maintained by SummerHaven Indexing and calculated and published by the NYSE Arca. The Copper Index is comprised of either two or three Eligible Copper Futures Contracts that are selected on a monthly basis based on quantitative formulas relating to the prices of the Eligible Copper Futures Contracts developed by SummerHaven Indexing. The Eligible Copper Futures Contracts that at any given time make up the Copper Index are referred to herein as “Benchmark Component Copper Futures Contracts.”

CPER seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Copper Futures Contracts. Then if constrained by regulatory requirements or in view of market conditions, CPER will invest next in other Eligible Copper Futures Contracts, and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts if one or more other Eligible Copper Futures Contracts is not available. When CPER has invested to the fullest extent possible in exchange-traded futures contracts, CPER may then invest in other contracts and instruments based on the Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts or copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts and other contracts and instruments based on the Benchmark Component Copper Futures Contracts, are collectively referred to as “Other Copper-Related Investments,” and together with Benchmark Component Copper Futures Contracts and other Eligible Copper Futures Contracts, “Copper Interests.” As of March 31, 2012, CPER held 28 Futures Contracts.

USAG’s Investment Objective

The investment objective of USAG is for the daily changes in percentage terms of its units’ per unit NAV to reflect the daily changes in percentage terms of the SummerHaven Dynamic Agriculture Index Total Return^SM (the “Agriculture Index”), less USAG’s expenses. The Agriculture Index is designed to reflect the performance of a diversified group of agricultural commodities. The Agriculture Index is owned and maintained by SummerHaven Indexing and calculated and published by the NYSE Arca. Futures contracts for the agricultural commodities comprising the Agriculture Index are traded on ICE Futures US, ICE Futures Canada, the CBOT, the Kansas City Board of Trade (“KCBT”) and the CME and are collectively referred to herein as “Eligible Agriculture Futures Contracts.” The Agriculture Index is comprised of 14 Eligible Agriculture Futures Contracts that are selected on a monthly basis based on quantitative formulas developed by SummerHaven Indexing. The Eligible Agriculture Futures Contracts that at any given time make up the Agriculture Index are referred to herein as “Benchmark Component Agriculture Futures Contracts.” The relative weighting of the Benchmark Component Agriculture Futures Contracts will change on a monthly basis, based on quantitative formulas relating to the prices of the Benchmark Component Agriculture Futures Contracts developed by SummerHaven Indexing.

USAG will seek to achieve its investment objective by investing to the fullest extent possible in Benchmark Component Agriculture Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, USAG will invest next in other Eligible Agriculture Futures Contracts based on the same agricultural commodity as the futures contracts subject to such regulatory constraints or market conditions, and finally, to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Agriculture Futures Contracts, if one or more Eligible Agriculture Futures Contracts is not available. When USAG has invested to the fullest extent possible in exchange-traded futures contracts, USAG may then invest in other contracts and instruments based on the Benchmark Component Agriculture Futures Contracts or the agricultural commodities included in the Agriculture Index, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Agriculture Futures Contracts and other contracts and instruments based on the Benchmark Component Agriculture Futures Contracts, as well as metals included in the Agriculture Index, are collectively referred to as “Other Agriculture-Related Interests,” and together with Benchmark Component Agriculture Futures Contracts and other Eligible Agriculture Futures Contracts, “Agriculture Interests.” USAG had not commenced operations as of March 31, 2012.

USMI’s Investment Objective

The investment objective of USMI is for the daily changes in percentage terms of its units’ per unit NAV to reflect the daily changes in percentage terms of the SummerHaven Dynamic Metals Index Total Return^SM (the “Metals Index”), less USMI’s expenses. The Metals Index is designed to reflect the performance of a diversified group of metals. The Metals Index is owned and maintained by SummerHaven Indexing and calculated and published by the NYSE Arca. Futures contracts for the metals in the Metals Index that are traded on the NYMEX, the LME and the COMEX are collectively referred to herein as “Eligible Metals Futures Contracts.” The Metals Index is comprised of 10 Eligible Metals Futures Contracts that are selected on a monthly basis based on quantitative formulas developed by SummerHaven Indexing. The Eligible Metals Futures Contracts that at any given time make up the Metals Index are referred to herein as “Benchmark Component Metals Futures Contracts.” The relative weighting of the Benchmark Component Metals Futures Contracts will change on a monthly basis, based on quantitative formulas relating to the prices of the Benchmark Component Metals Futures Contracts developed by SummerHaven Indexing.

USMI will seek to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Metals Futures Contracts. Then if constrained by regulatory requirements or in view of market conditions, USMI will invest next in other Eligible Metals Futures Contracts, and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Metals Futures Contracts if one or more other Eligible Metals Futures Contracts is not available. When USMI has invested to the fullest extent possible in exchange-traded futures contracts, USMI may then invest in other contracts and instruments based on the Benchmark Component Metals Futures Contracts, other Eligible Metals Futures Contracts or the metals included in the Metals Index, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Metals Futures Contracts and other contracts and instruments based on the Benchmark Component Metals Futures Contracts, are collectively referred to as “Other Metals-Related Investments,” and together with Benchmark Component Metals Futures Contracts and other Eligible Metals Futures Contracts, “Metals Interests.” USMI has not commenced operations as of the filing of this quarterly report on Form 10-Q.

Other Defined Terms – Trust Series

The Commodity Index, the Copper Index, the Agriculture Index and the Metals Index are referred to throughout these Notes to Financial Statements collectively as the “Applicable Index” or “Indices”.

Benchmark Component Futures Contracts, Benchmark Component Copper Futures Contracts, Benchmark Component Agriculture Futures Contracts and Benchmark Component Metals Futures Contracts are referred to throughout these Notes to Financial Statements collectively as “Applicable Benchmark Component Futures Contracts.”

Other Commodity-Related Investments, Other Copper-Related Investments, Other Agriculture-Related Interests and Other Metals-Related Investments are referred to throughout these Notes to Financial Statements collectively as “Other Related Investments.”

Trading Advisor and Trustee

The Trust Series’ trading advisor is SummerHaven Investment Management, LLC (“SummerHaven”), a Delaware limited liability company that is registered as a commodity trading advisor and CPO with the CFTC and is a member of the NFA. SummerHaven provides advisory services to USCF with respect to the Applicable Index of each Trust Series and the investment decisions of each Trust Series.

The Trustee accepts service of legal process on the Trust in the State of Delaware and makes certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Trust, USCF or the unitholders.

NOTE 4 — FEES PAID BY THE USCI AND CPER AND RELATED PARTY TRANSACTIONS

Sponsor Management Fee

Under the Trust Agreement, USCF is responsible for investing the assets of each Trust Series in accordance with the objectives and policies of each such Trust Series. In addition, USCF has arranged for one or more third parties to provide trading advisory, administrative, custody, accounting, transfer agency and other necessary services to each Trust Series. As of March 31, 2012, as the only two publicly available series of the Trust, each of USCI and CPER is contractually obligated to pay USCF a fee for these services, which is paid monthly, equal to 0.95% per annum of average daily total net assets.

Trustee Fee

The Trustee is the Delaware trustee of the Trust. In connection with the Trustee’s services, USCF is responsible for paying the Trustee’s annual fee in the amount of $3,000.

Ongoing Registration Fees and Other Offering Expenses

Each Trust Series pays or will pay the costs and expenses associated with the ongoing registration of its units subsequent to the initial offering. These costs include registration or other fees paid to regulatory agencies in connection with the offer and sale of units, and all legal, accounting, printing and other expenses associated with such offer and sale. For the three months ended March 31, 2012 and 2011, neither USCI nor CPER incurred any registration fees or other offering expenses. USAG and USMI did not incur any fees, as such funds had not commenced operations as of the period ended March 31, 2012.

Directors’ Fees and Expenses

Each Trust Series is or will be responsible for paying its portion of the directors’ and officers’ liability insurance for such Trust Series and the Related Public Funds. In addition, as of July 8, 2011, each Trust Series is or will be responsible for paying the fees and expenses of the independent directors who also serve as audit committee members of the Related Public Funds organized as limited partnerships. Each Trust Series shares or will share the fees and expenses with each Related Public Fund, as described above, based on the relative assets of each fund computed on a daily basis. These fees and expenses for the year ending December 31, 2012 are estimated to be a total of $540,000 for USCI, CPER, USAG and the Related Public Funds.

Investor Tax Reporting Cost

The fees and expenses associated with each Trust Series’ audit expenses and tax accounting and reporting requirements are or will be paid by such Trust Series. These costs are estimated to be $400,000 for the year ending December 31, 2012 for USCI and $85,000 for the year ending December 31, 2012 for CPER.

Other Expenses and Fees and Expense Waivers

In addition to the fees described above, each Trust Series pays or will pay all brokerage fees and other expenses in connection with the operation of such Trust Series, excluding costs and expenses paid by USCF as outlined in Note 5 below. USCF, though under no obligation to do so, agreed to pay certain expenses normally borne by USCI to the extent that such expenses exceeded 0.15% (15 basis points) of USCI’s NAV, on an annualized basis, through March 31, 2011. As of March 31, 2011, the expense waiver for USCI was no longer in effect. USCF, though under no obligation to do so, agreed to pay certain expenses normally borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis, through at least June 30, 2012. USCF has no obligation to continue such payments into subsequent periods.

NOTE 5 — CONTRACTS AND AGREEMENTS

USCF and the Trust, each on its own behalf and on behalf of each Trust Series, are party to a marketing agent agreement, dated as of July 22, 2010, as amended from time to time, with the Marketing Agent, whereby the Marketing Agent provides certain marketing services for each Trust Series as outlined in the agreement. The fee of the Marketing Agent, which is borne by USCF, is equal to 0.06% on each Trust Series’ assets up to $3 billion and 0.04% on each Trust Series’ assets in excess of $3 billion.

The above fee does not include the following expenses, which are also borne by USCF: the cost of placing advertisements in various periodicals; web construction and development; or the printing and production of various marketing materials.

USCF and the Trust, on its own behalf and on behalf of each Trust Series, are also party to a custodian agreement, dated July 22, 2010, as amended from time to time, with Brown Brothers Harriman & Co. (“BBH&Co.”), whereby BBH&Co. holds investments on behalf of each Trust Series. USCF pays the fees of the custodian, which are determined by the parties from time to time. In addition, USCF and the Trust, on its own behalf and on behalf of each Trust Series, are party to an administrative agency agreement, dated July 22, 2010, as amended from time to time, with BBH&Co., whereby BBH&Co. acts as the administrative agent, transfer agent and registrar for each Trust Series. USCF also pays the fees of BBH&Co. for its services under such agreement and such fees are determined by the parties from time to time.

Currently, USCF pays BBH&Co. for its services, in the foregoing capacities, a minimum amount of $75,000 annually for its custody, fund accounting and fund administration services rendered to each Trust Series 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% for the first $500 million of USCI’s, CPER’s, USAG’s, USMI’s, USOF’s, USNG’s, US12OF’s, UGA’s, USHO’s, USSO’s, US12NG’s and USBO’s combined net assets, (b) 0.0465% for USCI’s, CPER’s, USAG’s, USMI’s, USOF’s, USNG’s, US12OF’s, UGA’s, USHO’s, USSO’s, US12NG’s and USBO’s combined net assets greater than $500 million but less than $1 billion, and (c) 0.035% once USCI’s, CPER’s, USAG’s, USMI’s, USOF’s, USNG’s, US12OF’s, UGA’s, USHO’s, USSO’s, US12NG’s and USBO’s 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 transaction fees ranging from $7 to $15 per transaction.

Each Trust Series has entered into a brokerage agreement, dated March 1, 2010 for USCI and March 4, 2011 for CPER, as amended from time to time, with Newedge USA, LLC (“Newedge”). The agreement requires Newedge to provide services to each Trust Series in connection with the purchase and sale of Futures Contracts and Other Related Investments that may be purchased and sold by or through Newedge for each Trust Series’ account. In accordance with the agreement, Newedge charges each Trust Series commissions of approximately $7 to $15 per round-turn trade, including applicable exchange and NFA fees for Futures Contracts and options on Futures Contracts.

USCF is party to an Amended Advisory Agreement, dated July 1, 2011, as amended from time to time, with SummerHaven, whereby SummerHaven provides advisory services to USCF with respect to the Applicable Index for each Trust Series and investment decisions for each Trust Series. SummerHaven’s advisory services include, but are not limited to, general consultation regarding the calculation and maintenance of the Applicable Index for each Trust Series, anticipated changes to the each Applicable Index and the nature of each Applicable Index’s current or anticipated component securities. For these services, USCF pays SummerHaven a fee based on a percentage of the average total net assets of each Trust Series. For USCI, the fee is equal to the percentage fees paid to USCF minus 0.14%, with that result multiplied by 0.5, minus 0.06% to arrive at the actual fee paid. For each of CPER and USAG, the fee is equal to the percentage fees paid to USCF minus 0.18%, with that result multiplied by 0.5, minus 0.6% to arrive at the actual fee paid.

USCF is also party to an Amended Licensing Agreement, dated July 1, 2011, as amended from time to time, with SummerHaven, whereby SummerHaven sub-licensed to USCI, CPER, USAG and USMI the use of certain names and marks, including the Applicable Index for each Trust Series for which SummerHaven has a sub-license from SummerHaven Indexing, the owner of each Applicable Index. Under the Licensing Agreement, USCF will pay SummerHaven an annual fee of $15,000 per each Trust Series for the year ending December 31, 2012, plus an annual fee of 0.06% of the average daily total net assets of each Trust Series.

NOTE 6 — FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND CONTINGENCIES

Each of USCI and CPER, as the only two Trust Series publicly offered as of March 31, 2012, engages in the trading of futures contracts and options on futures contracts and may engage in cleared swaps (collectively, “derivatives”). As such, each of USCI and CPER 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.

Each of USCI, CPER and USAG (as well as USMI, once it commences operations), may enter into futures contracts and options on futures contracts 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 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.

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

Futures contracts 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 each Trust Series 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.

All of the Futures Contracts held by each of USCI and CPER were exchange-traded through March 31, 2012. USAG and USMI did not hold futures contracts, as such Trust Series had not commenced operations as of March 31, 2012. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions since, in over-the-counter transactions, a party must rely solely on the credit of its respective individual counterparties. However, in the future, if each Trust Series 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. Currently, each of USCI, CPER and USAG 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, each of USCI, CPER and USAG bears the risk of financial failure by the clearing broker.

A Trust Series’ cash and other property, such as Treasuries, deposited with a futures commission merchant are considered commingled with all other customer funds, subject to the futures commission merchant’s segregation requirements. In the event of a futures commission merchant’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 a futures commission merchant could result in the complete loss of a Trust Series’ assets posted with that futures commission merchant; however; the majority of each of USCI’s, CPER’s and USAG’s assets are held in Treasuries, cash and/or cash equivalents with USCI’s, CPER’s and USAG’s custodian and would not be impacted by the insolvency of a futures commission merchant. The failure or insolvency of USCI’s, CPER’s or USAG’s custodian, however, could result in a substantial loss of each of USCI’s, CPER’s or USAG’s assets. Currently, the assets for USMI held by the Trust Series’ custodian are not invested due to USMI not commencing operations as of the filing of this quarterly report on Form 10-Q.

USCF may invest a portion of each of USCI’s, CPER’s and USAG’s cash in money market funds that seek to maintain a stable per unit NAV. Each of USCI, CPER and USAG may be exposed to any risk of loss associated with an investment in such money market funds. As of March 31, 2012 and December 31, 2011, neither USCI nor CPER held investments in money market funds. USCI and CPER each 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 March 31, 2012 and December 31, 2011, USCI held cash deposits and investments in Treasuries in the amounts of $409,631,197 and $374,465,568, respectively, with the custodian and futures commission merchant. As of March 31, 2012 and December 31, 2011, CPER held cash deposits and investments in Treasuries in the amounts of $2,565,859 and $2,511,610, respectively, with the custodian and futures commission merchant. Some or all of these amounts may be subject to loss should USCI’s and CPER’s custodian and/or futures commission merchant cease operations.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, each Trust Series is exposed, or will be exposed, to market risk equal to the value of Futures Contracts purchased and unlimited liability on such contracts sold short. As both a buyer and a seller of options, each Trust Series pays or receives, or will pay or receive, a premium at the outset and then bears, or will bear, the risk of unfavorable changes in the price of the contract underlying the option.

The Trust Series’ 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, the Trust Series or USCF have a policy of requiring review of the credit standing of each broker or counterparty with which they conduct business.

The financial instruments held by the applicable Trust Series are or will be 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 7 — FINANCIAL HIGHLIGHTS

The following tables present per unit performance data and other supplemental financial data for USCI and CPER for the three months ended March 31, 2012 and 2011 for the unitholders. This information has been derived from information presented in the condensed financial statements. USAG and USMI do not report performance data and other supplemental financial information since such Trust Series had not commenced operations as of March 31, 2012.

USCI


	For the three months ended March 31, 2012 (Unaudited)			For the three months ended March 31, 2011 (Unaudited)
Per Unit Operating Performance:

Net asset value, beginning of period	$	58.47		$	64.37
Total income		3.01			6.22
Total expenses		(0.18	)		(0.21	)

Net increase in net asset value		2.83			6.01

Net asset value, end of period	$	61.30		$	70.38


Total Return		4.84	%		9.34	%


Ratios to Average Net Assets
Total income		4.35	%		7.32	%

Management fees*		0.95	%		0.95	%

Total expenses excluding management fees*		0.20	%		0.35	%

Expenses waived*		—	%		(0.06	)%

Net expenses excluding management fees*		0.20	%		0.29	%

Net income		4.07	%		7.01	%

*	Annualized

CPER


	For the three months ended March 31, 2012 (Unaudited)			For the three months ended March 31, 2011 (Unaudited)*
Per Unit Operating Performance:

Net asset value, beginning of period	$	24.47		$	—
Total income		2.68			—
Total expenses		(0.07	)		—

Net increase in net asset value		2.61			—

Net asset value, end of period	$	27.08		$	—


Total Return		10.67	%		—	%


Ratios to Average Net Assets
Total income		10.01	%		—	%

Management fees**		0.95	%		—	%

Total expenses excluding management fees**		3.32	%		—	%

Expenses waived**		(3.15	)%		—	%

Net expenses excluding management fees**		0.17	%		—	%

Net income		9.73	%		—	%

*	CPER had not commenced operations as of March 31, 2011.

**	Annualized

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

NOTE 8 — FAIR VALUE OF FINANCIAL INSTRUMENTS

The Trust and each Trust Series value or will 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 March 31, 2012 using the fair value hierarchy:


At March 31, 2012	Total			Level I			Level II		Level III
Short-Term Investments	$	305,975,465		$	305,975,465		$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		694,371			694,371			—		—
United States Contracts		921,513			921,513			—		—
During the three months ended March 31, 2012, there were no transfers between Level I and Level II. The following table summarizes the valuation of USCI’s securities at December 31, 2011 using the fair value hierarchy:
At December 31, 2011	Total			Level I			Level II		Level III
Short-Term Investments	$	244,974,365		$	244,974,365		$	—	$	—
Exchange-Traded Futures Contracts
Foreign Contracts		(19,059,012	)		(19,059,012	)		—		—
United States Contracts		(3,917,680	)		(3,917,680	)		—		—
During the year ended December 31, 2011, there were no transfers between Level I and Level II. The following table summarizes the valuation of CPER’s securities at March 31, 2012 using the fair value hierarchy:
At March 31, 2012	Total			Level I			Level II		Level III
Short-Term Investments	$	949,903		$	949,903		$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		145,275			145,275			—		—
During the three months ended March 31, 2012, there were no transfers between Level I and Level II. The following table summarizes the valuation of CPER’s securities at December 31, 2011 using the fair value hierarchy:
At December 31, 2011	Total			Level I			Level II		Level III
Short-Term Investments	$	149,977		$	149,977		$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		(62,013	)		(62,013	)		—		—

During the period ended December 31, 2011, 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 as Hedging Instruments	Condensed Statements of Financial Condition Location	Fair Value At March 31, 2012		Fair Value At December 31, 2011
Futures - Commodity Contracts	Assets	$	1,615,884	$	(22,976,692	)

Fair Value of Derivative Instruments Held by CPER*
Derivatives not Accounted for as Hedging Instruments	Condensed Statements of Financial Condition Location	Fair Value At March 31, 2012		Fair Value At December 31, 2011
Futures - Commodity Contracts	Assets	$	145,275	$	(62,013	)

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


		For the three months ended March 31, 2012					For the three months ended March 31, 2011
Derivatives not Accounted for as Hedging Instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Gain or (Loss) on Derivatives Recognized in Income		Realized Gain or (Loss) on Derivatives Recognized in Income		Change in Unrealized Gain or (Loss) on Derivatives Recognized in Income
Futures - Commodity Contracts	Realized gain (loss) on closed positions	$	(7,786,700	)			$	9,924,895

	Change in unrealized gain on open positions				$	24,592,576			$	8,045,639

The Effect of Derivative Instruments on the Condensed Statements of Operations of CPER*
		For the three months ended March 31, 2012					For the three months ended March 31, 2011**
Derivatives not Accounted for as Hedging Instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Gain or (Loss) on Derivatives Recognized in Income		Realized Gain or (Loss) on Derivatives Recognized in Income		Change in Unrealized Gain or (Loss) on Derivatives Recognized in Income
Futures - Commodity Contracts	Realized gain on closed positions	$	60,862				$	—

	Change in unrealized gain on open positions				$	207,288			$	—

*	USAG and USMI do not report financial information related to the fair value of derivative instruments or the effect of derivative instruments on the condensed statements of operations since such Trust Series did not commence operations as of March 31, 2012.

**	CPER had not commenced operations as of March 31, 2011.

NOTE 9 — RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11, “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities.” The amendments in ASU No. 2011-11 require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. ASU No. 2011-11 is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The guidance requires retrospective application for all comparative periods presented. USCF is currently evaluating the impact ASU No. 2011-11 will have on the Trust’s and each Trust Series’ financial statements.

NOTE 10 — SUBSEQUENT EVENTS

The Trust and each Trust Series have performed an evaluation of subsequent events through the date the financial statements were issued. The subsequent events were as follows:

USAG listed its units on the NYSE Arca under the ticker symbol “USAG” on April 13, 2012. USAG established its initial offering per unit NAV by setting the price at $25.00. In accordance with applicable requirements of Regulation M under the Securities Exchange Act of 1934, no Creation Baskets were offered to Authorized Purchasers nor were the units listed on the NYSE Arca until five business days had elapsed from the date of USCF’s purchase of the initial Creation Basket on April 4, 2012. The fee that would have otherwise been charged in connection with an order to create or redeem was waived in connection with the initial Creation Basket. USCF has agreed not to resell the units comprising such basket until immediately following such redemption at least 100,000 units of USAG remain outstanding in order to satisfy NYSE Arca listing requirements.

Item 2.

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 Commodity Index Funds Trust (the “Trust”) 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 the Trust’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Trust’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 the Trust cannot assure investors that the projections included in these forward-looking statements will come to pass. The Trust’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.

The Trust 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 the Trust assumes no obligation to update any such forward-looking statements. Although the Trust 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 the Trust may make directly to them or through reports that the Trust 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

The United States Commodity Index Fund (“USCI”), the United States Copper Index Fund (“CPER”) and the United States Agriculture Index Fund (“USAG”) are each a commodity pool that issues units representing fractional undivided beneficial interests in USCI, CPER and USAG, respectively (“units”), that may be purchased and sold on the NYSE Arca, Inc. (the “NYSE Arca”). USCI, CPER and USAG are series of the Trust, a Delaware statutory trust formed on December 21, 2009. The Trust also includes one additional series, the United States Metals Index Fund (“USMI”), that may be publicly offered in the future. USCI, CPER, USAG and USMI are collectively referred to herein as the “Trust Series.” The Trust and each Trust Series operate pursuant to the Trust’s Second Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), dated November 10, 2010. Wilmington Trust Company (the “Trustee”), a Delaware banking corporation, is the Delaware trustee of the Trust. The Trust and each Trust Series are managed and controlled by United States Commodity Funds LLC (“USCF”). For purposes of this Management’s Discussion and Analysis of Financial Condition and Results of Operations, unless specified otherwise, all references will be to USCI and CPER, the only two series of the Trust which publicly offered units as of the reporting period ended March 31, 2012.

United States Commodity Index Fund

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

The investment objective of USCI is for the daily changes in percentage terms of its units’ per unit net asset value (“NAV”) to reflect the daily changes in percentage terms of the SummerHaven Dynamic Commodity Index Total Return^SM (the “Commodity Index”), less USCI’s expenses. USCF does not intend to operate USCI in a fashion such that its per unit NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Futures Contracts (defined below) that comprise the Commodity Index or the prices of any particular group of Futures Contracts. The Commodity Index is owned and maintained by SummerHaven Index Management, LLC (“SummerHaven Indexing”) and calculated and published by the NYSE Arca. The Commodity Index is comprised of 14 Futures Contracts that are selected on a monthly basis from a list of 27 possible Futures Contracts. The Futures Contracts that at any given time make up the Commodity Index are referred to herein as “Benchmark Component Futures Contracts”. USCI invests first in the current Benchmark Component Futures Contracts and other Futures Contracts intended to replicate the return on the current Benchmark Component Futures Contracts and, thereafter may hold Futures Contracts in a particular commodity other than one specified as the Benchmark Component Futures Contract, or may hold Other Commodity-Related Investments that may fail to closely track the Commodity Index’s total return movements. If USCI increases in size, and due to its obligations to comply with regulatory limits or due to other market pricing or liquidity factors, USCI may invest in Futures Contract months other than the designated month specified as the Benchmark Component Futures Contract, or in Other Commodity-Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

USCI seeks to achieve its investment objective by investing in Futures Contracts and Other Commodity-Related Investments such that daily changes in its per unit NAV closely track the daily changes in the price of the Commodity Index. USCI’s positions in Commodity Interests are rebalanced on a monthly basis in order to track the changing nature of the Commodity Index. If Futures Contracts relating to a particular commodity remain in the Commodity Index from one month to the next, such Futures Contracts are rebalanced to the 7.14% target weight. Specifically, on a specified day near the end of each month (the “Selection Date”), it will be determined if a current Benchmark Component Futures Contract will be replaced by a new Futures Contract in either the same or different underlying commodity as a Benchmark Component Futures Contract for the following month, in which case USCI’s investments would have to be changed accordingly. In order that USCI’s trading does not unduly cause extraordinary market movements, and to make it more difficult for third parties to profit by trading based on market movements that could be expected from changes in the Benchmark Component Futures Contracts, USCI’s investments typically are not rebalanced entirely on a single day, but rather typically rebalanced over a period of four days. After fulfilling the margin and collateral requirements with respect to its Commodity Interests, USCF invests the remainder of USCI’s proceeds from the sale of units in short-term obligations of the United States government (“Treasuries”) or cash equivalents, and/or merely hold such assets in cash (generally in interest-bearing accounts).

United States Copper Index Fund

CPER invests in Futures Contracts for commodities that are traded on the COMEX and, to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, Other Copper-Related Investments (as defined below). Market conditions that USCF currently anticipates could cause CPER to invest in Other Copper-Related Investments would be those allowing CPER to obtain greater liquidity or to execute transactions with more favorable pricing.

The investment objective of CPER is for the daily changes in percentage terms of its units’ per unit NAV to reflect the daily changes in percentage terms of the SummerHaven Copper Index Total Return^SM (the “Copper Index”), less CPER’s expenses. USCF does not intend to operate CPER in a fashion such that its per unit NAV will equal, in dollar terms, the spot prices of the commodities underlying the Benchmark Component Copper Futures Contracts (as defined below) that comprise the Copper Index or the prices of any particular group of Futures Contracts. The Copper Index is designed to reflect the performance of the investment returns form a portfolio of copper futures contracts. The Copper Index is owned and maintained by SummerHaven Indexing and calculated and published by the NYSE Arca. The Copper Index is comprised of either two or three Eligible Copper Futures Contracts that are selected on a monthly basis based on quantitative formulas relating to the prices of the Eligible Copper Futures Contracts developed by SummerHaven Indexing. The Eligible Copper Futures Contracts that at any given time make up the Copper Index are referred to herein as “Benchmark Component Copper Futures Contracts.”

CPER seeks to achieve its investment objective by investing to the fullest extent possible in the Benchmark Component Copper Futures Contracts. Then, if constrained by regulatory requirements or in view of market conditions, CPER will invest next in other Eligible Copper Futures Contracts, and finally to a lesser extent, in other exchange traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts if one or more other Eligible Copper Futures Contracts is not available. When CPER has invested to the fullest extent possible in exchange-traded futures contracts, CPER may then invest in other contracts and instruments based on the Benchmark Component Copper Futures Contracts, other Eligible Copper Futures Contracts or copper, such as cash-settled options, forward contracts, cleared swap contracts and swap contracts other than cleared swap contracts. Other exchange-traded futures contracts that are economically identical or substantially similar to the Benchmark Component Copper Futures Contracts and other contracts and instruments based on the Benchmark Component Copper Futures Contracts, are collectively referred to as “Other Copper-Related Investments,” and together with Benchmark Component Copper Futures Contracts and other Eligible Copper Futures Contracts, “Copper Interests.”

Other Defined Terms

The Copper Index, together with the Commodity Index, the SummerHaven Dynamic Agriculture Index Total Return^S^M (the “Agriculture Index”) and the SummerHaven Dynamic Metals Index Total Return^S^M (the “Metals Index”) are referred to throughout this quarterly report on Form 10-Q collectively as the “Applicable Index” or “Indices.”

Benchmark Component Futures Contracts, Benchmark Component Copper Futures Contracts, benchmark component agriculture futures contracts for USAG and benchmark component metals futures contracts for USMI are referred to throughout this quarterly report on Form 10-Q collectively as “Applicable Benchmark Component Futures Contracts.”

Other Commodity-Related Investments, Other Copper-Related Investments, other agriculture-related investments with respect to USAG and other metals-related investments with respect to USMI are collectively referred to herein as “Other Related Investments”. Commodity Interests, Copper Interests, agriculture interests with respect USAG and metals interests with respect to USMI are collectively referred to herein as “Applicable Interests.”

Futures Contracts and Other Commodity Related Investments are collectively referred to as “Commodity Interests” in this quarterly report on Form 10-Q.

Regulation of Commodity Interests

The regulation of commodity interests in the United States is subject to ongoing modification by governmental and judicial action. On July 21, 2010, a broad financial regulatory reform bill, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”), was signed into law. All of the Dodd-Frank Act’s provisions became effective on July 16, 2011, but the actual implementation of some of the provisions is subject to continuing uncertainty because implementing rules and regulations have not been completely finalized and have been challenged in court. Pending final resolution of all applicable regulatory requirements, some specific examples of how the new Dodd-Frank Act provisions and rules adopted thereunder could impact the Trust Series are discussed below.

Futures Contracts and Position Limits

Provisions in the Dodd-Frank Act include the requirement that position limits be established on a wide range of commodity interests including energy-based and other commodity futures contracts, certain cleared commodity swaps and certain over-the-counter commodity contracts; new registration, recordkeeping, capital and margin requirements for “swap dealers” and “major swap participants” as determined by the new law and applicable regulations; and the forced use of clearinghouse mechanisms for most swap transactions that are currently entered into in the over-the-counter market. The new law and the rules thereunder may negatively impact a Trust Series’ ability to meet its investment objective either through limits or requirements imposed on it or upon its counterparties. Further, increased regulation of, and the imposition of additional costs on, swap transactions under the new legislation and implementing regulations could cause a reduction in the swap market and the overall derivatives markets, which could restrict liquidity and adversely affect a Trust Series. In particular, new position limits imposed on each Trust Series or its counterparties may impact a Trust Series’ ability to invest in a manner that most efficiently meets its investment objective, and new requirements, including capital and mandatory clearing, may increase the cost of a Trust Series’ investments and doing business, which could adversely impact the ability of a Trust Series to achieve its investment objective.

On October 18, 2011, the Commodity Futures Trading Commission (the “CFTC”) adopted regulations implementing position limits and limit formulas for 28 core physical commodity futures contracts, including the Futures Contracts and options on Futures Contracts executed pursuant to the rules of designated contract markets (i.e., certain regulated exchanges) and commodity swaps that are economically equivalent to such futures and options contracts (collectively, “Referenced Contracts”). The new regulations require, among other things, aggregation of position limits that would apply across different trading venues to contracts based on the same underlying commodity. However, the regulations do not appear to require aggregation of Referenced Contracts held by separate Related Public Funds (as defined below).

Although the regulations became effective on January 17, 2012, the position limit rules will be implemented in two phases: spot-month position limits and non-spot-month position limits. Spot-month limits will be effective sixty days after the term “swap” is defined under the Dodd-Frank Act (see below). The limits adopted will be based on the spot-month position limit levels currently in place at applicable futures exchanges (or designated contract market or “DCM”). Thereafter, the spot-month limits will be adjusted annually for energy contracts. These subsequent limits will be based on the CFTC’s determination of deliverable supply in consultation with the futures exchanges. Spot-month position limit levels will be set generally at 25% of estimated deliverable supply, and limits will be applied separately for physical-delivery and cash-settled contracts in the same commodity.

Non-spot-month position limits will go into effect by CFTC order after the CFTC has received one year of open interest data on physical commodity cleared and uncleared swaps under the swaps large trader reporting rule. The non-spot month limits will be adjusted biennially based on Referenced Contract open interest. Non-spot-month position limits (i.e., limits applied to positions in all contract months combined or in a single contract month) will be set using the 10/2.5 percent formula: 10 percent of the contract’s first 25,000 of open interest and 2.5 percent thereafter. These limits will be reset biennially based on two years of open interest data.

On December 2, 2011, the Securities Industry and Financial Markets Association (“SIFMA”) and the International Swaps and Derivatives Association (“ISDA”) filed a lawsuit challenging the CFTC’s position limits rule. The lawsuit asserts that the position limits rule inadequately fulfills the required cost-benefit analysis. It is not known at this time what effect this lawsuit will have on the implementation of the new position limits rule.

Based on its current understanding of the final position limit regulations, USCF does not anticipate significant negative impact on the ability of each Trust Series to achieve its investment objective. However, as of the filing of this quarterly report on Form 10-Q, additional studies are required to be conducted before all requirements of the final rules are implemented, and therefore, it cannot be determined with certainty what impact such regulations will have on the Trust Series.

“Swap” Transactions

The Dodd-Frank Act imposes new regulatory requirements on certain “swap” transactions that each Trust Series is authorized to engage in that may ultimately impact the ability of a Trust Series to meet its investment objective. On April 27, 2011, the CFTC and the SEC proposed joint rules defining the term “swap” and thus providing more clarity regarding which transactions will be regulated as such under the Dodd-Frank Act. However, the CFTC and SEC have not implemented final regulations on this issue and it is therefore still uncertain which types of transactions will be ultimately regulated as “swaps.” The proposed rule defining “swap” and “security-based swap” has not been finalized as of the filing of this quarterly report on Form 10-Q.

The Dodd-Frank Act requires that certain transactions ultimately falling within the definition of “swap” be executed on organized exchanges or “swap execution facilities” and cleared through regulated clearing organizations (which are referred to in the Dodd-Frank Act as “derivative clearing organizations” (“DCOs”)). However, as described above, it is currently unknown which swaps will be subject to such trading and clearing requirements. If a swap is required to be cleared, the initial margin will be set by the clearing organization, subject to certain regulatory requirements and guidelines. Initial and variation margin requirements for swap dealers and major swap participants who enter into uncleared swaps and capital requirements for swap dealers and major swap participants who enter into both cleared and uncleared trades will be set by the CFTC, the SEC or the applicable Prudential Regulator. In general, increased regulation of, and the imposition of additional costs on, swap transactions could have an adverse effect on a Trust Series by, for example, reducing the size of and therefore liquidity in the derivatives market, increasing transaction costs and decreasing the ability to customize derivative transactions. The final rule regarding review of swaps for mandatory clearing went effective September 26, 2011.

On July 14, 2011, the CFTC issued an order providing temporary relief from certain swaps-related provisions of Title VII that would have automatically taken effect on July 16, 2011. The final order granted temporary exemptive relief that, by its terms, expires upon the earlier of the effective date of the required final rulemaking or December 31, 2011. On October 18, 2011, the CFTC issued an order, which modifies the July 14, 2011 order by extending the temporary exemptive relief to the earlier of the effective date of the required final rulemaking or July 16, 2012.

On February 7, 2012, the CFTC published a rule requiring each futures commission merchant (“FCM”) and DCO to segregate cleared swaps and related collateral posted by a customer of the FCM from the assets of the FCM or DCO, although such property can be commingled with the property of other cleared swaps customers of the FCM or DCO. This rule addresses losses incurred by a DCO in a so-called “double default” scenario in which a customer of an FCM defaults in its obligations to the FCM and the FCM, in turn, defaults in its obligations to the DCO. Under this scenario, the DCO can only access the collateral attributable to other customers of the DCO whose cleared swap positions are in a loss position following the primary customer’s default. This rule is scheduled to become effective on November 8, 2012. Some market participants have expressed concern that the requirements of this segregation rule may result in higher initial margins or higher fees. The Trust Series do not anticipate any impact to their operations in order to meet the requirements of the new rule.

Additionally, the CFTC published rules on February 17, 2012 and April 3, 2012 that require “swap dealers” and “major swap participants” to: 1) adhere to business conduct standards, 2) implement policies and procedures to ensure compliance with the Commodity Exchange Act and 3) maintain records of such compliance. These new requirements may impact the documentation requirements for both cleared and non-cleared swaps and cause swap dealers and major swap participants to face increased compliance costs that, in turn, may be passed along to counterparties (such as the Trust Series) in the form of higher fees and expenses that related to trading swaps.

Finally, on February 24, 2012, the CFTC amended certain disclosure obligations to require that the operator of a commodity pool that invests in swaps include standardized swap risk disclosures in the pool’s disclosure documents by December 31, 2012.

The effect of the future regulatory change on each Trust Series is impossible to predict, but it could be substantial and adverse.

USCF is a limited liability company formed in Delaware on May 10, 2005, that is registered as a commodity pool operator (“CPO”) with the CFTC and is a member of the National Futures Association (the “NFA”). Each Trust Series’ trading advisor is SummerHaven Investment Management, LLC (“SummerHaven”), a Delaware limited liability company that is registered as a commodity trading advisor and CPO with the CFTC and is a member of the NFA. USCF manages each Trust Series’ investments directly, using the trading advisory services of SummerHaven for guidance with respect to the Applicable Index for each Trust Series and USCF’s selection of investments on behalf of each Trust Series. USCF is also authorized to select FCMs to execute each Trust Series’ transactions in Futures Contracts and Other Related Investments.

Commodity Markets

Commodity Futures Price Movements

Three Months Ended March 31, 2012

As measured by the four major diversified commodity indexes listed below, commodity futures prices exhibited moderate daily swings along with an uneven upward trend during the three months ended March 31, 2012. The table below compares the total returns of the Commodity Index to the three major diversified commodity indexes over this time period.


SummerHaven Dynamic Commodity Index Total Return^SM⁽¹⁾		5.21%
S&P GSCI Commodity Index Total Return⁽²⁾		5.88%
Dow Jones-UBS Commodity Index Total Return⁽²⁾		0.89%
Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM⁽²⁾		3.89%

(1)	The inception date for the SummerHaven Dynamic Commodity Index Total Return^SM is December 2009.

(2)	Source: Bloomberg

The value of the Commodity Index as of December 31, 2011 was 1,703.23. As of March 31, 2012, the value of the Commodity Index was 1,792.01, up approximately 5.21% over the three months ended March 31, 2012.

USCI’s per unit NAV began the period at $58.47 and ended at $61.30 on March 31, 2012, an increase of approximately 4.84% over the period. USCI’s per unit NAV reached its high for the period on February 24, 2012 at $64.46 and reached its low for the period on January 5, 2012 at $59.90. The return of 5.21% on the Commodity Index listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. See “Tracking the Commodity Index” below for information about how expenses and income affect USCI’s per unit NAV.

Copper Markets

Copper Futures Price Movements

Three Months Ended March 31, 2012

As measured by the three major copper indexes listed below, copper futures prices exhibited moderate daily swings along with an upward trend during the three months ended March 31, 2012. The table below compares the total returns of the Copper Index to the two major copper indexes over this time period.


SummerHaven Copper Index Total Return^SM⁽¹⁾		11.12%
S&P GSCI Copper Total Return⁽²⁾		11.13%
Dow Jones-UBS Copper Subindex Total Return⁽²⁾		11.13%

(1)	The inception date for the SummerHaven Copper Index Total Return^SM is November 2010.

(2)	Source: Bloomberg

The value of the Copper Index as of December 31, 2011 was 1,164.51. As of March 31, 2012, the value of the Copper Index was 1,293.96, up approximately 11.12% over the three months ended March 31, 2012.

CPER’s per unit NAV began the period at $24.47 and ended at $27.08 on March 31, 2012, an increase of approximately 10.67% over the period. CPER’s per unit NAV reached its high for the period on February 9, 2012 at $28.24 and reached its low for the period on January 9, 2012 at $24.35. The return of 11.12% on the Copper Index listed above is a hypothetical return only and could not actually be achieved by an investor holding Futures Contracts due to the impact of trading costs and other expenses. See “Tracking the Copper Index” below for information about how expenses and income affect CPER’s per unit NAV.

Valuation of Futures Contracts and the Computation of the Per Unit NAV

Each Trust Series’ per unit NAV is or will be calculated once each NYSE Arca trading day. The per unit 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. The Trust Series’ administrator uses the closing prices on the relevant Futures Exchanges of the Applicable Benchmark Component Futures Contracts (determined at the earlier of the close of such exchange or 2:30 p.m. New York time) for the contracts held on the Futures Exchanges, but calculates or determines the value of all other investments of such Trust Series using market quotations, if available, or other information customarily used to determine the fair value of such investments.

Results of Operations

On July 30, 2010, USCI received a notice of effectiveness from the SEC for its registration of 50,000,000 units on Form S-1 with the SEC. On August 10, 2010, USCI listed its units on the NYSE Arca under the ticker symbol “USCI.” USCI established its initial offering per unit NAV by setting the price at $50.00 and issued 100,000 units to the initial authorized purchaser, Merrill Lynch Professional Clearing Corp., in exchange for $5,000,000 in cash on August 10, 2010. USCI also commenced investment operations on August 10, 2010 by purchasing Futures Contracts traded on the Futures Exchanges. In order to satisfy NYSE Arca listing standards that at least 100,000 units be outstanding at the beginning of the trading day on the NYSE Arca, USCF purchased the initial Creation Basket from the initial Authorized Purchaser at the initial offering price. The $1,000 fee that would otherwise be charged to the Authorized Purchaser in connection with an order to create or redeem was waived in connection with the initial Creation Basket. USCF held such initial Creation Basket until September 3, 2010, at which time the initial Authorized Purchaser repurchased the units comprising such basket in accordance with the specified conditions noted above. On September 14, 2011, USCF redeemed the 20 Sponsor Units of USCI, and on September 19, 2011, USCF purchased five units of USCI in the open market.

Since its initial offering of 50,000,000 units, USCI has not registered any subsequent offerings of its units. As of March 31, 2012, USCI had issued 10,100,000 units, 6,900,000 of which were outstanding. As of March 31, 2012, there were 39,900,000 units registered but not yet issued. More units may have been issued by USCI than are outstanding due to the redemption of units.

In connection with the Second Amended and Restated Trust Agreement dated as of November 10, 2010, USMI, USAG, and CPER were designated as three additional series of the Trust. Following the designation of the additional series, an initial capital contribution of $3,000 was transferred from USCF to the Trust. On November 10, 2010, the Trust transferred $1,000 to each of USMI, USAG and CPER, which was deemed a capital contribution to each series. On November 14, 2011, USCF received 40 Sponsor Units of CPER in exchange for the previously received capital contribution, representing a beneficial interest in CPER. On December 7, 2011, USCF redeemed the 40 Sponsor Units of CPER and purchased 40 units of CPER in the open market. On April 13, 2012, USCF received 40 Sponsor Units of USAG in exchange for the previously received capital contribution, representing a beneficial interest in USAG. Upon commencement of USMI’s initial offering of units, USCF will receive Sponsor Units in USMI in exchange for the previously received capital contribution.

USMI, USAG and CPER received notice of effectiveness from the SEC for its registration of 20,000,000 USMI units, 20,000,000 USAG units and 30,000,000 CPER units on September 6, 2011. The order to permit listing CPER, USMI and USAG on the NYSE Arca was received on October 20, 2011. On November 15, 2011, CPER listed its units on the NYSE Arca under the ticker symbol “CPER.” CPER established its initial offering per unit NAV by setting the price at $25.00 and issued 100,000 units to the initial authorized purchaser, Merrill Lynch Professional Clearing Corp., in exchange for $2,500,000 in cash on November 15, 2011. CPER also commenced investment operations on November 15, 2011 by purchasing Futures Contracts traded on the COMEX. The $1,000 fee that would otherwise be charged to the Authorized Purchaser in connection with an order to create or redeem was waived in connection with the initial Creation Basket. The Authorized Purchaser has agreed not to resell the units comprising such basket until immediately following such redemption at least 100,000 units of CPER remain outstanding in order to satisfy NYSE Arca listing requirements.

As of the filing of this quarterly report on Form 10-Q, USMI had not commenced operations.

Unlike funds that are registered under the Investment Company Act of 1940, as amended, units that have been redeemed by USCI, CPER and USAG cannot be resold. As a result, each of USCI, CPER and USAG contemplate that additional offerings of its units will be registered with the SEC in the future in anticipation of additional issuances and redemptions.

For the Three Months Ended March 31, 2012 Compared to the Three Months Ended March 31, 2011

Since CPER commenced operations on November 15, 2011, a comparison of CPER’s results of operations for any periods prior to the three months ended March 31, 2012 has not been provided.

As of March 31, 2012, USCI’s total unrealized gain on Futures Contracts owned or held on that day was $1,615,884 and USCI established cash deposits and investments in short-term obligations of the United States of two years or less (“Treasuries”) that were equal to $409,631,197. USCI held 86.30% of its cash assets in overnight deposits and Treasuries at its custodian bank, while 13.70% of the cash balance was held as investments in Treasuries and margin deposits for the Futures Contracts purchased. The ending per unit NAV on March 31, 2012 was $61.30.

By comparison, as of March 31, 2011, USCI’s total unrealized gain on Futures Contracts owned or held on that day was $15,462,956 and USCI established cash deposits and investments in Treasuries that were equal to $393,392,471. USCI held 91.30% of its cash assets in overnight deposits and Treasuries at its custodian bank, while 8.70% of the cash balance was held as margin deposits for the Futures Contracts purchased. The increase in cash assets in overnight deposits and Treasuries for March 31, 2012, as compared to March 31, 2011, was due to the fact that the amount of settled net assets was higher in the current period. Unsettled net assets (including unrealized gains/losses, receivables, and payables) were lower in the current period, resulting in lower total net assets despite the higher cash balance. The ending per unit NAV on March 31, 2011 was $70.38. The decrease in the per unit NAV for March 31, 2012, as compared to March 31, 2011, was primarily due to the decrease in the prices of the Futures Contracts.

As of March 31, 2012, CPER’s total unrealized gain on Futures Contracts owned or held on that day was $145,275, and CPER established cash deposits and investments in Treasuries that were equal to $2,565,859. CPER held 82.13% of its cash assets in overnight deposits and Treasuries at its custodian bank, while 17.87% of the cash balance was held as investments in Treasuries and margin deposits for the Futures Contracts purchased. The ending per unit NAV on March 31, 2012 was $27.08.

Portfolio Expenses. Each of USCI’s and CPER’s expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that each of USCI and CPER pays to USCF is calculated as a percentage of the total net assets of USCI and CPER, respectively. Each of USCI and CPER pays USCF a management fee of 0.95% of its average daily total net assets. Each fee is accrued daily and paid monthly.

During the three months ended March 31, 2012, the average daily total net assets of USCI were $386,990,307. The management fee incurred daily by USCI during the period amounted to $914,080. By comparison, during the three months ended March 31, 2011, the average daily total net assets of USCI were $246,845,671. The management fee incurred by USCI during the period amounted to $578,228.

During the three months ended March 31, 2012, the average daily total net assets of CPER were $2,681,101. The management fee incurred by CPER during the period amounted to $6,333.

In addition to the management fee, each Trust Series pays or will pay all brokerage fees and other expenses, including tax reporting costs, ongoing registration or other fees paid to the SEC, the Financial Industry Regulatory Authority (“FINRA”) and any other regulatory agency in connection with offers and sales of its units subsequent to the initial offering and all legal, accounting, printing and other expenses associated therewith. The gross total of these fees and expenses for USCI for the three months ended March 31, 2012 was $193,743, as compared to $213,856 for the three months ended March 31, 2011. The decrease in gross total expenses excluding management fees for the three months ended March 31, 2012, compared to the three months ended March 31, 2011, was primarily due to less creation and redemption activity resulting in a reduction in portfolio commissions during the three months ended March 31, 2012. For the three months ended March 31, 2012 and 2011, USCI did not incur any fees or other expenses relating to the registration or offering of additional units. For the three months ended March 31, 2012, the expenses of USCI, including management fees, commissions, and all other expenses, totaled $1,107,823. For the three months ended March 31, 2011, an expense waiver was in effect which offset certain of the expenses incurred by USCI. The total amount of the expense waiver was $36,907 for the three months ended March 31, 2011. For the three months ended March 31, 2011, the expenses of USCI, including management fees, commissions, and all other expenses, before allowance for the expense waiver, totaled $792,084, and after allowance for the expense waiver, totaled $755,177. As of March 31, 2011, the expense waiver was no longer in effect.

The gross total of these fees and expenses for CPER for the three months ended March 31, 2012 was $22,119. For the three months ended March 31, 2012, CPER did not incur any fees or other expenses relating to the registration or offering of additional units. For the three months ended March 31, 2012, an expense waiver was in effect which offset certain of the expenses incurred by CPER. The total amount of the expense waiver was $20,992 for the three months ended March 31, 2012. For the three months ended March 31, 2012, the expenses of CPER, including management fees, commissions, and all other expenses, before allowance for the expense waiver, totaled $28,452, and after allowance for the expense waiver, totaled $7,460.

Each Trust Series is or will be responsible for paying its portion of the directors’ and officers’ liability insurance of such Trust Series and the United States Oil Fund, LP, the United States Natural Gas Fund, LP, the United States 12 Month Oil Fund, LP, the United States Gasoline Fund, LP , the United States Heating Oil Fund, LP, the United States Short Oil Fund, LP, the United States 12 Month Natural Gas Fund, LP and the United States Brent Oil Fund, LP (collectively, the “Related Public Funds”). In addition, as of July 8, 2011, each Trust Series is or will be responsible for paying the fees and expenses of the independent directors who also serve as audit committee members of the Related Public Funds organized as limited partnerships. Each Trust Series shares or will share the fees and expenses with each Related Public Fund, as described above, based on the relative assets of each fund computed on a daily basis. These fees and expenses for the year ending December 31, 2012 are estimated to be a total of $540,000 for USCI, CPER, USAG and the Related Public Funds. By comparison, for the year ended December 31, 2011, these fees and expenses amounted to a total of $607,582 for USCI, CPER and the Related Public Funds. USCI’s portion of such fees and expenses was $31,792 and CPER’s portion of such fees and expenses was $32.

Each Trust Series also incurs or will incur commissions to brokers for the purchase and sale of Futures Contracts, Other Related Investments or Treasuries. During the three months ended March 31, 2012 and 2011, total commissions accrued to brokers amounted to $68,959 and $89,402, respectively, for USCI. The decrease in USCI’s total commissions accrued to brokers for the three months ended March 31, 2012 as compared to the three months ended March 31, 2011, was primarily due to a decrease in creation and redemption activity during the three months ended March 31, 2012 as compared to the three months ended March 31, 2011. As an annualized percentage of average daily total net assets, USCI’s figure for the three months ended March 31, 2012 represents approximately 0.07% of USCI’s average daily total net assets. By comparison, USCI’s figure for the three months ended March 31, 2011 represented approximately 0.15% of USCI’s average daily total net assets. However, there can be no assurance that commission costs and portfolio turnover will not cause commission expenses to rise in future quarters.

During the three months ended March 31, 2012, total commissions accrued to brokers amounted to $42 for CPER. As an annualized percentage of average daily total net assets, CPER’s figure for the three months ended March 31, 2012 represents approximately 0.01% of CPER’s average daily total net assets. However, there can be no assurance that commission costs and portfolio turnover will not cause commission expenses to rise in future quarters.

The fees and expenses associated with each Trust Series audit expenses and tax accounting and reporting requirements are or will be paid by such Trust Series. These costs are estimated to be $400,000 for the year ending December 31, 2012 for USCI and $85,000 for the year ending December 31, 2012 for CPER. USCF, though under no obligation to do so, agreed to pay certain expenses normally borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis, through at least June 30, 2012. USCF has no obligation to continue such payments into subsequent periods.

Interest Income. Each Trust Series seeks or will seek to invest its assets such that it holds Futures Contracts and Other Related Investments in an amount equal to the total net assets of its portfolio. Typically, such investments do not require each Trust Series to pay the full amount of the contract value at the time of purchase, but rather require each Trust Series to post an amount as a margin deposit against the eventual settlement of the contract. As a result, each Trust Series retains or will retain an amount that is approximately equal to its total net assets, which each Trust Series invests or will invest in Treasuries, cash and/or cash equivalents. This includes both the amount on deposit with the FCM as margin, as well as unrestricted cash and cash equivalents held with each Trust Series’ custodian bank. The Treasuries, cash and/or cash equivalents earn income that accrues on a daily basis. For the three months ended March 31, 2012, USCI earned $37,440 in interest income on such cash and/or cash equivalents. Based on USCI’s average daily total net assets, this was equivalent to an annualized yield of 0.04%. USCI purchased Treasuries during the three months ended March 31, 2012 and also held cash and/or cash equivalents during this time period. By comparison, for the three months ended March 31, 2011, USCI earned $55,628 in interest income on such cash and/or cash equivalents. Based on USCI’s average daily total net assets, this was equivalent to an annualized yield of 0.09%. USCI purchased Treasuries during the three months ended March 31, 2011 and also held cash and/or cash equivalents during this time period. Interest rates on short-term investments, including cash equivalents and Treasuries, were slightly lower during the three months ended March 31, 2012 compared to the three months ended March 31, 2011. As a result, the amount of income earned by USCI as a percentage of average daily total net assets was lower during the three months ended March 31, 2012 compared to the three months ended March 31, 2011.

For the three months ended March 31, 2012, CPER earned $247 in interest income on such cash and/or cash equivalents. Based on CPER’s average daily total net assets, this was equivalent to an annualized yield of 0.04%. CPER purchased Treasuries during three months ended March 31, 2012 and also held cash and/or cash equivalents during this time period.

Portfolio Holdings for USCI

During the three months ended March 31, 2012, USCI’s portfolio held at all times Futures Contracts based on 14 different commodities (except during the four days of the end-of-the-month roll period when more than 14 commodities could be represented while the portfolio re-balances). Due to changes in the composition of the Commodity Index, each month the list of Benchmark Component Futures Contracts held by USCI changed (see the section “The Commodity Index” below). The table below lists the Benchmark Component Futures Contracts held during the three months ended March 31, 2012.

Benchmark Component Futures Contracts for USCI


Benchmark Component Futures Contracts
Commodity	As of 1/1/2012	As of 2/1/2012	As of 3/1/2012
Aluminum	—	—
Cocoa
Coffee	—
Copper	—		—
Corn	—	—	—
Cotton		—	—
Crude Oil (Brent)	—	—	—
Crude Oil (WTI)		—	—
Feeder Cattle	—	—	—
Gas Oil	—	—	—
Gold	—	—	—
Heating Oil		—	—
Lead	—
Lean Hogs	—	—	—
Live Cattle	—	—	—
Natural Gas
Nickel
Platinum
Silver	—	—
Soybean Meal
Soybean Oil
Soybeans
Sugar	—	—	—
Tin			—
Unleaded Gasoline	—	—
Wheat
Zinc	—	—	—

*	From 12/30/11 to 3/30/2012 Source: Bloomberg

The table below reflects the same listing of monthly Benchmark Component Futures Contracts as the table above with two changes. First, the table below includes a column showing the change in the spot price of each of the 27 commodities during the three months ended March 31, 2012. Second, while the table above lists the order of the commodities alphabetically (first by which of the six sectors a commodity falls into and then within each sector), the table below lists the commodities from the commodity that had the highest positive change in spot price to the commodity that had the lowest positive change or largest negative change in spot price. Investors are cautioned that the change in the spot price of a given commodity does not represent the actual return that USCI might have earned on any holdings in futures contracts based on that commodity. This is due to two factors. First, the return on a futures contract may be higher, or lower, than the change in the spot price of the commodity due to the impact of backwardation or contango. Second, USCI may not have owned any such futures contract for the entire time period represented in the table below. Thus, USCI’s total actual return on its holdings in any of the commodities shown below may be higher, or lower, than the actual change in the spot price of the particular commodity.

Benchmark Component Futures Contracts for USCI


Benchmark Component Futures Contracts
Commodity	As of 1/1/2012	As of 2/1/2012	As of 3/1/2012	Quarterly Spot Price Performance
Unleaded Gasoline	—	—			26.2	%
Soybean Meal					25.6	%
Tin			—		18.8	%
Soybeans					17.1	%
Platinum					17.0	%
Silver	—	—			16.5	%
Crude Oil (Brent)	—	—	—		14.4	%
Copper	—		—		11.4	%
Gas Oil	—	—	—		9.8	%
Zinc			—		8.9	%
Heating Oil		—	—		8.0	%
Gold	—	—	—		6.5	%
Sugar	—	—	—		6.1	%
Soybean Oil					5.8	%
Cocoa					5.2	%
Aluminum	—	—			4.9	%
Crude Oil (WTI)		—	—		4.2	%
Cotton		—	—		1.9	%
Feeder Cattle	—	—	—		1.7	%
Wheat					1.2	%
Lead	—				1.0	%
Corn	—	—	—		-0.4	%
Lean Hogs	—	—	—		-1.0	%
Live Cattle	—	—	—		-2.0	%
Nickel					-5.2	%
Coffee	—				-19.6	%
Natural Gas	—	—	—		-28.9	%

Tracking Each of USCI’s and CPER’s Benchmark

USCF seeks to manage each Trust Series’ portfolio such that changes in its average daily per unit NAV, on a percentage basis, closely track the daily changes in the price of the Applicable Index, 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 a Trust Series’ per unit NAV is within a range of 90% to 110% (0.9 to 1.1) of the average daily change in the price of the Applicable Index. As an example, if the average daily movement of the price of the Applicable Index 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 unit NAV during that same time period fell between 0.45% and 0.55% (i.e., between 0.9 and 1.1 of the Applicable Index’s results). Each Trust Series’ portfolio management goals do not include trying to make the nominal price of its per unit NAV equal to the nominal price of the Applicable Index, the nominal price of any particular commodity Futures Contract or the spot price for any particular commodity. USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in listed Futures Contracts.

USCI

For the 30 valuation days ended March 31, 2012, the simple average daily change in the Commodity Index was (0.052)%, while the simple average daily change in the per unit NAV of USCI over the same time period was (0.058)%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Commodity Index, the average error in daily tracking by the per unit NAV was (4.252)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal. The first chart below shows the daily movement of USCI’s per unit NAV versus the daily movement of the Commodity Index for the 30-valuation day period ended March 31, 2012. The second chart below shows the monthly total returns of USCI as compared to the monthly value of the Benchmark Component Futures Contracts since inception.

Since the commencement of the offering of USCI’s units to the public on August 10, 2010 to March 31, 2012, the simple average daily change in the Commodity Index was 0.060%, while the simple average daily change in the per unit NAV of USCI over the same time period was 0.055%. The average daily difference was (0.005)% (or (0.5) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Commodity Index, the average error in daily tracking by the per unit NAV was (1.554)%, meaning that over this time period USCI’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

LOGO

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

LOGO

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An alternative tracking measurement of the return performance of USCI versus the return of the Commodity Index can be calculated by comparing the actual return of USCI, measured by changes in its per unit NAV, versus the expected changes in its per unit NAV under the assumption that USCI’s returns had been exactly the same as the daily changes in the price of the Commodity Index.

For the three months ended March 31, 2012, the actual total return of USCI as measured by changes in its per unit NAV was 4.84%. This is based on an initial per unit NAV of $58.47 on December 31, 2011 and an ending per unit NAV as of March 31, 2012 of $61.30. During this time period, USCI made no distributions to its unitholders. However, if USCI’s daily changes in its per unit NAV had instead exactly tracked the changes in the daily total return of the Commodity Index, USCI would have had an estimated per unit NAV of $61.52 as of March 31, 2012, for a total return over the relevant time period of 5.22%. The difference between the actual per unit NAV total return of USCI of 4.84% and the expected total return based on the Commodity Index of 5.22% was an error over the time period of (0.38)%, which is to say that USCI’s actual total return underperformed the Commodity Index result by that percentage. USCF believes that a portion of the difference between the actual total return and the expected Commodity Index total return can be attributed to the net impact of the expenses that USCI pays, offset in part by the income that USCI collects on its cash and cash equivalent holdings. During the three months ended March 31, 2012, USCI earned interest income of $37,440, which is equivalent to a weighted average income rate of 0.04% for such period. In addition, during the three months ended March 31, 2012, USCI also collected $3,150 from its Authorized Purchasers for creating or redeeming baskets of units. This income also contributed to USCI’s actual total return. However, if the total assets of USCI continue to increase, USCF believes that the impact on actual total returns of these fees from creations and redemptions will diminish as a percentage of the actual total return. During the three months ended March 31, 2012, USCI incurred net expenses of $1,107,823. Income from interest and Authorized Purchaser collections net of expenses was $(1,067,233), which is equivalent to an annualized weighted average net income rate of (1.11)% for the three months ended March 31, 2012.

By comparison, for the three months ended March 31, 2011, the actual total return of USCI as measured by changes in its per unit NAV was 9.34%. This was based on an initial per unit NAV of $64.37 on December 31, 2010 and an ending per unit NAV as of March 31, 2011 of $70.38. During this time period, USCI made no distributions to its unitholders. However, if USCI’s daily changes in its per unit NAV had instead exactly tracked the changes in the daily total return of the Commodity Index, USCI would have had an estimated per unit NAV of $70.81 as of March 31, 2011, for a total return over the relevant time period of 9.79%. The difference between the actual per unit NAV total return of USCI of 9.34% and the expected total return based on the Commodity Index of 9.79% was an error over the time period of (0.45)%, which is to say that USCI’s actual total return underperformed the Commodity Index result by that percentage. USCF believes that a portion of the difference between the actual total return and the expected Commodity Index total return can be attributed to the net impact of the expenses that USCI paid, offset in part by the income that USCI collected on its cash and cash equivalent holdings. During the three months ended March 31, 2011, USCI earned interest income of $55,628, which was equivalent to a weighted average income rate of 0.09% for such period. In addition, during the three months ended March 31, 2011, USCI also collected $36,000 from its Authorized Purchasers for creating or redeeming baskets of units. This income also contributed to USCI’s actual total return. However, if the total assets of USCI continue to increase, USCF believes that the impact on actual total returns of these fees from creations and redemptions will diminish as a percentage of the actual total return. During the three months ended March 31, 2011, USCI incurred net expenses of $755,177. Income from interest and Authorized Purchaser collections net of expenses was $(663,549), which was equivalent to an annualized weighted average net income rate of (1.09)% for the three months ended March 31, 2011.

CPER

For the 30 valuation days ended March 31, 2012, the simple average daily change in the Copper Index was 0.031%, while the simple average daily change in the per unit NAV of CPER over the same time period was 0.025%. The average daily difference was (0.005)% (or (0.5) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Copper Index, the average error in daily tracking by the per unit NAV was 1.910%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal. The first chart below shows the daily movement of CPER’s per unit NAV versus the daily movement of the Copper Index for the 30-valuation day period ended March 31, 2012. The second chart below shows the monthly total returns of CPER as compared to the monthly value of the Benchmark Component Copper Futures Contracts since inception.

Since the commencement of the offering of CPER’s units to the public on November 15, 2011 to March 31, 2012, the simple average daily change in the Copper Index was 0.104%, while the simple average daily change in the per unit NAV of CPER over the same time period was 0.098%. The average daily difference was (0.006)% (or (0.6) basis points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily movement of the Copper Index, the average error in daily tracking by the per unit NAV was (2.937)%, meaning that over this time period CPER’s tracking error was within the plus or minus 10% range established as its benchmark tracking goal.

LOGO

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

LOGO

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An alternative tracking measurement of the return performance of CPER versus the return of the Copper Index can be calculated by comparing the actual return of CPER, measured by changes in its per unit NAV, versus the expected changes in its per unit NAV under the assumption that CPER’s returns had been exactly the same as the daily changes in the price of the Copper Index.

For the three months ended March 31, 2012, the actual total return of CPER as measured by changes in its per unit NAV was 10.67%. This is based on an initial per unit NAV of $24.47 on December 31, 2011 and an ending per unit NAV as of March 31, 2012 of $27.08. During this time period, CPER made no distributions to its unitholders. However, if CPER’s daily changes in its per unit NAV had instead exactly tracked the changes in the daily total return of the Copper Index, CPER would have had an estimated per unit NAV of $27.18 as of March 31, 2012, for a total return over the relevant time period of 11.07%. The difference between the actual per unit NAV total return of CPER of 10.67% and the expected total return based on the Copper Index of 11.07% was an error over the time period of (0.40)%, which is to say that CPER’s actual total return underperformed the Copper Index result by that percentage. USCF believes that a portion of the difference between the actual total return and the expected Copper Index total return can be attributed to the net impact of the expenses that CPER pays, offset in part by the income that CPER collects on its cash and cash equivalent holdings. During the three months ended March 31, 2012, CPER earned interest income of $247, which is equivalent to a weighted average income rate of 0.04% for such period. During the three months ended March 31, 2012, CPER did not collect any fees from its Authorized Purchasers for creating or redeeming baskets of units. During the three months ended March 31, 2012, CPER incurred net expenses of $7,460. Income from interest and Authorized Purchaser collections net of expenses was $(7,213), which is equivalent to a weighted average net income rate of (1.08)% for the three months ended March 31, 2012.

There are currently three factors that have impacted or are most likely to impact a Trust Series’ ability to accurately track an Applicable Index.

First, a Trust Series may buy or sell its holdings in the then current Applicable Benchmark Component Futures Contracts at a price other than the closing settlement price of that contract on the day during which such Trust Series executes the trade. In that case, a Trust Series may pay a price that is higher, or lower, than that of the Applicable Benchmark Component Futures Contracts, which could cause the changes in the daily per unit NAV of a Trust Series to either be too high or too low relative to the daily changes in the price of the Applicable Index. During the three months ended March 31, 2012, USCF attempted to minimize the effect of these transactions by seeking to execute its purchase or sale of the Applicable Benchmark Component Futures Contracts at, or as close as possible to, the end of the day settlement price. However, it may not always be possible for a Trust Series 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 a Trust Series’ attempt to track the Applicable Index over time.

Second, each Trust Series earns or will earn interest income on its cash, cash equivalents and Treasuries. A Trust Series is not required to distribute any portion of its income to its unitholders and neither USCI nor CPER made any distributions to unitholders during the three months ended March 31, 2012. Interest payments, and any other income, were retained within the portfolio and added to each of USCI’s and CPER’s NAV. At the same time, each of USCI and CPER incurred expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees). The calculation of each Applicable Index includes an interest portion, calculated daily using the 90 Day U.S. Treasury Bill’s total return, but does not include an expense component. When a Trust Series’ income exceeds the sum of its expenses by the yield on the 90-Day U.S. Treasury Bill, such Trust Series realizes or will realize a net yield that tends to cause daily changes in the per unit NAV of such Trust Series to track slightly higher than daily changes in the price of the Applicable Index. If this net yield is lower than the yield on the 90-Day U.S. Treasury Bill, that tends to cause daily changes in the per unit NAV of such Trust Series to track slightly lower than daily changes in the price of the Applicable Index. During the three months ended March 31, 2012, USCI earned, on an annualized basis, approximately 0.04% on its cash holdings. It also incurred cash expenses on an annualized basis of 0.95% for management fees, approximately 0.07% in brokerage commission costs related to the purchase and sale of Futures Contracts, and approximately 0.13% for other net expenses. The foregoing fees and expenses resulted in a net yield on an annualized basis of approximately (1.11)% and affected USCI’s ability to track its benchmark. During the three months ended March 31, 2012, CPER earned, on an annualized basis, approximately 0.04% on its cash holdings. It also incurred cash expenses on an annualized basis of 0.95% for management fees, approximately 0.01% in brokerage commission costs related to the purchase and sale of Futures Contracts, and approximately 0.16% for other net expenses. The foregoing fees and expenses resulted in a net yield on an annualized basis of approximately (1.08)% and affected CPER’s ability to track its benchmark. If short-term interest rates rise above the current levels, the level of deviation created by the yield would decrease. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would increase. 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 unit NAV to underperform the daily returns of the Applicable Index.

Third, a Trust Series may hold Futures Contracts in a particular commodity other than the one specified as the Applicable Benchmark Component Futures Contract, or may hold Other Related Investments in its portfolio that may fail to closely track the Applicable Index’s total return movements. Taking USCI as an example, assume for a given month one of the Benchmark Component Futures Contracts is the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” for the contract month of November 2012. It is possible that USCI could hold a NYMEX WTI financially settled Futures Contract, trading under the symbol “WS,” for the contract month of November 2012. Alternatively, and using the same example, USCI could hold the ICE WTI financially settled Futures Contract, also for the contract month of November 2012. As a third example, USCI could hold the NYMEX WTI physically settled Futures Contract, trading under the symbol “CL,” but for a contract month other than November 2012.

Finally, a Trust Series could hold Other Related Investments. In any of these cases, the error in tracking the Applicable Index could result in daily changes in the per unit NAV of a Trust Series that are either too high, or too low, relative to the daily changes in the price of the Applicable Index. During the three months ended March 31, 2012, neither USCI nor CPER held any Other Related Investments, but did, at times and for short holding periods, hold Futures Contracts that were in months other than the months specified as the Applicable Benchmark Component Futures Contract. If USCI or CPER increases in size, and due to its obligations to comply with regulatory limits or due to other market pricing or liquidity factors, USCI or CPER may invest in Futures Contract months other than the designated month specified as the Applicable Benchmark Component Futures Contract, or in Other Related Investments, which may have the effect of increasing transaction related expenses and may result in increased tracking error.

The Commodity Index

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

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

Table 1 below lists the eligible commodities, the relevant Futures Exchanges on which the Eligible Commodity Futures Contracts are listed and quotation details. Table 2 lists the Eligible Commodity Futures Contracts, their sector designation and maximum allowable tenor.

TABLE 1


Commodity	Designated Contract	Exchange	Units	Quote
Crude Oil (Brent)	Crude Oil	ICE-UK	1,000 barrels	USD/barrel

Crude Oil (WTI)	Light, Sweet Crude Oil	NYMEX	1,000 barrels	USD/barrel

Gas Oil	Gas Oil	ICE-UK	100 metric tons	USD/metric ton

Heating Oil	Heating Oil	NYMEX	42,000 gallons	U.S. cents/gallon

Natural Gas	Henry Hub Natural Gas	NYMEX	10,000 mmbtu	USD/mmbtu

Unleaded Gasoline	Reformulated Blendstock for Oxygen Blending “RBOB”	NYMEX	42,000 gallons	U.S. cents/gallon

Feeder Cattle	Feeder Cattle	CME	50,000 lbs.	U.S. cents/pound

Lean Hogs	Lean Hogs	CME	40,000 lbs.	U.S. cents/pound

Live Cattle	Live Cattle	CME	40,000 lbs.	U.S. cents/pound

Soybean Oil	Soybean Oil	CBOT	60,000 lbs.	U.S. cents/pound

Corn	Corn	CBOT	5,000 bushels	U.S. cents/bushel

Soybeans	Soybeans	CBOT	5,000 bushels	U.S. cents/bushel

Soybean Meal	Soybean Meal	CBOT	100 tons	USD/ton

Wheat (Soft Red Winter)	Wheat (Soft Red Winter)	CBOT	5,000 bushels	U.S. cents/bushel

Aluminum	High Grade Primary Aluminum	LME	25 metric tons	USD/metric ton

Copper	Copper	COMEX	25,000 lbs.	U.S. cents/pound

Lead	Lead	LME	25 metric tons	USD/metric ton

Nickel	Primary Nickel	LME	6 metric tons	USD/metric ton

Tin	Tin	LME	5 metric tons	USD/metric ton

Zinc	Special High Grade Zinc	LME	25 metric tons	USD/metric ton

Gold	Gold	COMEX	100 troy oz.	USD/troy oz.

Platinum	Platinum	NYMEX	50 troy oz.	USD/troy oz.

Silver	Silver	COMEX	5,000 troy oz.	USD/troy oz.

Cocoa	Cocoa	ICE-US	10 metric tons	USD/metric ton

Coffee	Coffee “C”	ICE-US	37,500 lbs.	U.S. cents/pound

Cotton	Cotton	ICE-US	50,000 lbs.	U.S. cents/pound

Sugar	World Sugar No. 11	ICE-US	112,000 lbs.	U.S. cents/pound

TABLE 2


Commodity Symbol	Commodity Name	Sector	Allowed Contracts	Max. tenor
CO	Brent Crude	Energy	All 12 Calendar Months	12

CL	Crude Oil	Energy	All 12 Calendar Months	12

QS	Gas Oil	Energy	All 12 Calendar Months	12

HO	Heating Oil	Energy	All 12 Calendar Months	12

NG	Natural Gas	Energy	All 12 Calendar Months	12

XB	RBOB	Energy	All 12 Calendar Months	12

FC	Feeder Cattle	Livestock	Jan, Mar, Apr, May, Aug, Sep, Oct, Nov	5

LH	Lean Hogs	Livestock	Feb, Apr, Jun, Jul, Aug, Oct, Dec	5

LC	Live Cattle	Livestock	Feb, Apr, Jun, Aug, Oct, Dec	5

BO	Soybean Oil	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	7

C	Corn	Grains	Mar, May, Jul, Sep, Dec	12

S	Soybeans	Grains	Jan, Mar, May, Jul, Aug, Sep, Nov	12

SM	Soymeal	Grains	Jan, Mar, May, Jul, Aug, Sep, Oct, Dec	7

W	Wheat (Soft Red Winter)	Grains	Mar, May, Jul, Sep, Dec	7

LA	Aluminum	Industrial Metals	All 12 Calendar months	12

HG	Copper	Industrial Metals	All 12 Calendar Months	12

LL	Lead	Industrial Metals	All 12 Calendar Months	7

LN	Nickel	Industrial Metals	All 12 Calendar Months	7

LT	Tin	Industrial Metals	All 12 Calendar Months	7

LX	Zinc	Industrial Metals	All 12 Calendar Months	7

GC	Gold	Precious Metals	Feb, Apr, Jun, Aug, Oct, Dec	12

PL	Platinum	Precious Metals	Jan, Apr, Jul, Oct	5

SI	Silver	Precious Metals	Mar, May, Jul, Sep, Dec	5

CC	Cocoa	Softs	Mar, May, Jul, Sep, Dec	7

KC	Coffee	Softs	Mar, May, Jul, Sep, Dec	7

CT	Cotton	Softs	Mar, May, Jul, Dec	7

SB	Sugar	Softs	Mar, May, Jul, Oct	7

Prior to the end of each month, SummerHaven Indexing determines the composition of the Commodity Index and provides such information to Bloomberg, L.P. (“Bloomberg”). Values of the Commodity Index are computed by Bloomberg and disseminated approximately every fifteen (15) seconds from 8:00 a.m. to 5:00 p.m., New York City time, which also publishes a daily Commodity Index value at approximately 5:30 p.m., New York City time, under the index ticker symbol “SDCITR:IND.” Only settlement and last-sale prices are used in the Commodity Index’s calculation, bids and offers are not recognized — including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Commodity Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Commodity Index value is based on the settlement prices of the Benchmark Component Futures Contracts, and explains why the underlying Commodity Index often closes at or near the high or low for the day.

Composition of the Commodity Index

The composition of the Commodity Index on any given day, as determined and published by SummerHaven Indexing, is determinative of the benchmark for USCI. However, it is not possible to anticipate all possible circumstances and events that may occur with respect to the Commodity Index and the methodology for its composition, weighting and calculation. Accordingly, a number of subjective judgments must be made in connection with the operation of the Commodity Index that cannot be adequately reflected in this description of the Commodity Index. All questions of interpretation with respect to the application of the provisions of the Commodity Index methodology, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by SummerHaven Indexing.

Contract Expirations

Because the Commodity Index is comprised of actively traded contracts with scheduled expirations, it can be calculated only by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations. The contract expirations included in the Commodity Index for each commodity during a given year are designated by SummerHaven Indexing, provided that each contract must be an active contract. An active contract for this purpose is a liquid, actively-traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a Futures Exchange ceases trading in all contract expirations relating to a particular Futures Contract, SummerHaven Indexing may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the Commodity Index. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the Commodity Index. If that timing is not practicable, SummerHaven Indexing will determine the date of the replacement based on a number of factors, including the differences between the existing Futures Contract and the replacement Futures Contract with respect to contractual specifications and contract expirations.

If a contract is eliminated and there is no replacement contract, the underlying commodity will necessarily be dropped from the Commodity Index. The designation of a replacement contract, or the elimination of a commodity from the Commodity Index because of the absence of a replacement contract, could affect the value of the Commodity Index, either positively or negatively, depending on the price of the contract that is eliminated and the prices of the remaining contracts. It is impossible, however, to predict the effect of these changes, if they occur, on the value of the Commodity Index.

Commodity Selection

Fourteen of the 27 Futures Contracts are selected for inclusion in the Commodity Index for the next month, subject to the constraint that each of the six commodity sectors is represented by at least one commodity. The methodology used to select the 14 Futures Contracts is based solely on quantitative data using observable futures prices and is not subject to human bias.

Monthly commodity selection is a two-step process based upon examination of the relevant futures prices for each commodity:

The annualized percentage price difference between the closest-to-expiration Futures Contract and the next closest-to-expiration Futures Contract is calculated for each of the 27 eligible Futures Contracts on the Selection Date. The seven commodities with the highest percentage price difference are selected.

For the remaining 20 eligible commodities, the percentage price change of each commodity over the previous year is calculated, as measured by the change in the price of the closest-to-expiration Futures Contract on the Selection Date from the price of the closest-to-expiration Futures Contract a year prior to the Selection Date. The seven commodities with the highest percentage price change are selected.

When evaluating the data from the second step, all six commodity sectors must be represented. If the selection of the seven additional commodities with the highest price change fails to meet the overall diversification requirement that all six commodity sectors are represented in the Commodity Index, the commodity with the highest price change among the commodities of the omitted sector(s) would be substituted for the commodity with the lowest price change among the seven additional commodities.

The 14 commodities selected are included in the Commodity Index for the next month on an equally-weighted basis. Due to the dynamic monthly commodity selection, the sector weights will vary from approximately 7% to 43% over time, depending on the price observations each month. The Selection Date for the Commodity Index is the fifth business day prior to the first business day of the next calendar month.

The following graph shows the sector weights of the commodities selected for inclusion in the Commodity Index as of March 31, 2012.

USCI Sector Weights

as of March 31, 2012

LOGO

Contract Selection

For each commodity selected for inclusion into the Commodity Index for a particular month, the Commodity Index selects a specific Benchmark Component Futures Contract with a tenor (i.e., contract month) among the eligible tenors (the range of contract months) based upon the relative prices of the Benchmark Component Futures Contracts within the eligible range of contract months. The previous notwithstanding, the contract expiration is not changed for such month if a contract remains in the Commodity Index, as long as the contract does not expire or enter its notice period in the subsequent month.

Portfolio Construction

The portfolio rebalancing takes place during the last four business days of the month (the “Rebalancing Period”). At the end of each of the days in the Rebalancing Period, one fourth of the prior month portfolio positions are replaced by an equally-weighted position in the commodity contracts determined on the Selection Date. At the end of the Rebalancing Period, the Commodity Index takes an equal-weight position of approximately 7.14% in each of the selected commodity contracts.

Commodity Index Total Return Calculation

The value of the Commodity Index on any business day is equal to the product of (i) the value of the Commodity Index on the immediately preceding business day multiplied by (ii) one plus the sum of the day’s returns for another version of the Commodity Index known as the SummerHaven Dynamic Commodity Index Excess Return (“SDCI ER”) (explained below) and one business day’s interest from hypothetical Treasuries. The value of the Commodity Index is calculated and published by Bloomberg.

Commodity Index Base Level

The Commodity Index was set to 100 on January 2, 1991.

SDCI ER Calculation

The total return of the SDCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the Commodity Index changes its contract holdings during a four day period. The value of the SDCI ER at the end of a business day “t” is equal to the SDCI ER value on day “t-1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “t-1”.

Rebalancing Period

During the Rebalancing Period, existing positions are replaced by new positions based on the signals used for contract selection as outlined above. At the end of the first day of the Rebalancing Period, the signals are observed and on the second day a new portfolio is constructed that is equally weighted in terms of notional positions in the newly selected contracts.

2012 Holiday Schedule

The Commodity Index will not be computed on the following weekdays in 2012:


January		1
January		16
February		20
April		6
May		28
July		4
September		3
November		22
December		25

The holiday schedule is subject to change. USCI will also not accept orders for Creation Baskets or Redemption Baskets on these days.

Hypothetical Performance of the Commodity Index

The table and chart below show the hypothetical performance of the Commodity Index from December 31, 1997 through March 31, 2012.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT USCI WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

USCF HAS HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR CUSTOMERS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE HYPOTHETICAL PERFORMANCE RESULTS, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE HYPOTHETICAL PERFORMANCE RESULTS.

Since the Commodity Index was launched on December 18, 2009, there is only actual performance history of the Commodity Index from that date to present. This data is available for periods prior to December 18, 2009. However, the components of the Commodity Index and the weighting of the components of the Commodity Index are established each month based on purely quantitative data that is not subject to revision based on other external factors. As a result, the table below reflects how the Commodity Index would have performed during the prior 10 years had it been in effect during such time period. The performance data does not reflect any reinvestment or distribution of profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the Commodity Index. Such fees and expenses would reduce the performance returns shown in the table below.

Hypothetical Performance Results* for the period

from December 31, 1997 through March 31, 2012


Year	Ending Level*		Annual Return
1997		225.02		5.59	%
1998		185.54		(17.54	)%
1999		236.42		27.42	%
2000		331.11		40.05	%
2001		303.46		(8.35	)%
2002		380.07		25.25	%
2003		479.25		26.09	%
2004		592.26		23.58	%
2005		781.94		32.03	%
2006		1,115.82		42.70	%
2007		1,518.71		36.11	%
2008		1,175.77		(22.58	)%
2009		1,532.84		30.37	%
2010		1,852.04		20.82	%
2011		1,703.23		(8.03	)%
2012 (YTD)		1,792.01		5.21	%

*	The “base level” for the Commodity Index was set at 100 on January 2, 1991. The “Ending Level” represents the value of the components of the Commodity Index on the last trading day of each year and is used to illustrate the cumulative performance of the Commodity Index.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

SummerHaven Dynamic Commodity Index^SM Year-Over-Year

Hypothetical Total Returns (1998-3/31/2012)

LOGO

Source: SummerHaven Indexing, Bloomberg

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The following table and chart compare the hypothetical total return of the Commodity Index in comparison with the actual total return of three major indexes for the period from December 31, 1997 to March 31, 2012.


	Hypothetical and Historical Results for the period from December 31,
	1997 through March 31, 2012*
	DJ-UBS TR			S&P GSCI TR			DB LCI OY TR			SDCI TR
Total return		85	%		69	%		407	%		696	%
Average Annual return (total)		6.75	%		8.97	%		14.59	%		17.92	%
Annualized volatility		17.47	%		24.23	%		19.80	%		16.18	%
Annualized Sharpe ratio		0.23			0.26			0.59			0.93

Source: SummerHaven Indexing, Bloomberg

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The table immediately above shows the performance of the Commodity Index from December 31, 1997 through March 31, 2012 in comparison with three traditional commodities indices: the S&P GSCI Commodity Index (GSCI^®) Total Return, Dow Jones-UBS Commodity Index Total Return^SM, and the Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM. The S&P GSCI^® Commodity Index Total Return is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. The Dow Jones-UBS Commodity Index Total Return^SM is currently composed of futures contracts on a diversified basket of commodities traded on U.S. exchanges. The Deutsche Bank Liquid Commodity Index-Optimum Yield Total Return^TM is designed to reflect the performance of certain wheat, corn, light sweet crude oil, heating oil, gold and aluminum futures contracts plus the returns from investing in 3-month U.S. Treasury Bills. The data for the SDCI Total Return Index is derived by using the Commodity Index’s calculation methodology with historical prices for the futures contracts comprising the Commodity Index. The information about each of the indices comes from publicly-available material about such indices but is not designed to provide a thorough overview of the methodology of each index.

None of the indices has an investment objective identical to the Commodity Index. As a result, there are inherent limitations in comparing the performance of such indices against the Commodity Index. For more information about these indices and their methodologies, please refer to the material published by the sponsors of each such index which may be found on their websites. USCI is not responsible for any information found on such websites, and such information is not part of this quarterly report on Form 10-Q.

In the table above, “Total Return” refers to the return of the relevant index from December 31, 1997 to March 31, 2012; “Annualized Volatility” is a measure of the amount of variation or fluctuation in the returns of the relevant index. Annualized Volatility is calculated by taking the monthly standard deviation of the relevant index’s return and multiplying it by the square root of 12; and “Annualized Sharpe Ratio” is a measure of the total return of each relevant index adjusted by the risk-free interest rate (the 90-Day U.S. Treasury Bill yield) and the volatility of each index. Many investors consider volatility to be a measure of risk, and lower volatility of investment returns is considered a positive investment attribute as opposed to higher volatility. Annualized Sharpe Ratio is a standard measure for investors to compare two different investments or indexes that have different levels of volatility. If two indexes have the same total return, but one has lower Annualized Volatility, then its Annualized Sharpe Ratio will be higher. The higher the Annualized Sharpe Ratio, the better the risk-adjusted performance. Annualized Sharpe Ratio is calculated by taking the average monthly total return of the relevant index and subtracting the then current yield on the 90-Day U.S. Treasury Bill. The annualized return of this series is then divided by the Annualized Volatility of this series, and this result is the Annualized Sharpe Ratio for the relevant index. A higher Sharpe Ratio is not a guarantee that one investment or index will in the future produce better risk adjustment total returns, but USCF believes it is a useful tool for investors to consider when making investment decisions.

10 Year Comparison of Index Returns of the DJ-UBS TR, S&P GSCI TR,

DBLCI OY TR, and the Hypothetical Returns of the SDCI TR

(12/31/01-12/31/12)

LOGO

Source: SummerHaven Indexing, Bloomberg

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The following chart compares the hypothetical total return of the Commodity Index in comparison with the actual total return of three major indexes over a five year period.

5 Year Comparison of Index Returns of the DJ-UBS TR, S&P GSCI TR,

DBLCI OY TR, and the Hypothetical Returns of the SDCI TR

(12/31/06-12/31/12)

LOGO

Source: SummerHaven Indexing, Bloomberg

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The Copper Index

The Copper Index is a single-commodity index designed to be an investment benchmark for copper as an asset class. The Copper Index is composed of copper futures contracts on the COMEX exchange. The Copper Index attempts to maximize backwardation and minimize contango while utilizing contracts in liquid portions of the futures curve.

The Copper Index is rules-based and is rebalanced monthly based on observable price signals described below in the section “Contract Selection and Weighting.” In this context, the term “rules-based” is meant to indicate that the composition of the Copper Index in any given month will be determined by quantitative formulas relating to the prices of the futures contracts that are included in the Copper Index. Such formulas are not subject to adjustment based on other factors.

The overall return on the Copper Index is generated by two components: (i) uncollateralized returns from the Benchmark Component Copper Futures Contracts comprising the Copper Index, and (ii) a daily fixed income return reflecting the interest earned on hypothetical 3-month Treasuries, calculated using the weekly auction rate for 3-Month Treasuries published by the U.S. Department of the Treasury. SummerHaven Indexing is the owner of the Copper Index.

Table 1 below lists the Futures Exchange on which the Eligible Copper Futures Contracts are listed and quotation details. Table 2 lists the Eligible Copper Futures Contracts, their sector designation and maximum allowable tenor.

TABLE 1


Commodity	Designated Contract	Exchange	Units	Quote
Copper	Copper	COMEX	25,000 lbs	U.S. cents/pound

TABLE 2


Commodity Name	Commodity Symbol	Allowed Contracts		Max. Tenor
Copper	HG		All 12 calendar months	19

Prior to the end of each month, SummerHaven Indexing determines the composition of the Copper Index and provides such information to the NYSE Arca. Values of the Copper Index are computed by the NYSE Arca and disseminated approximately every fifteen (15) seconds from 8:00 a.m. to 5:00 p.m., New York City time, which also publishes a daily Copper Index value at approximately 5:30 p.m., New York City time, under the index ticker symbol “SCITR”. Only settlement and last-sale prices are used in the Copper Index’s calculation, bids and offers are not recognized – including limit-bid and limit-offer price quotes. Where no last-sale price exists, typically in the more deferred contract months, the previous days’ settlement price is used. This means that the underlying Copper Index may lag its theoretical value. This tendency to lag is evident at the end of the day when the Copper Index value is based on the settlement prices of the Benchmark Component Copper Futures Contracts, and explains why the underlying Copper Index often closes at or near the high or low for the day.

Composition of the Copper Index

The composition of the Copper Index on any given day, as determined and published by SummerHaven Indexing, is determinative of the benchmark for CPER. Neither the index methodology for the Copper Index nor any set of procedures, however, are capable of anticipating all possible circumstances and events that may occur with respect to the Copper Index and the methodology for its composition, weighting and calculation. Accordingly, a number of subjective judgments must be made in connection with the operation of the Copper Index that cannot be adequately reflected in this description of the Copper Index. All questions of interpretation with respect to the application of the provisions of the index methodology for the Copper Index, including any determinations that need to be made in the event of a market emergency or other extraordinary circumstances, will be resolved by SummerHaven Indexing.

Contract Expirations

Because the Copper Index is comprised of actively traded contracts with scheduled expirations, it can be calculated only by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations. The contract expirations included in the Copper Index for each commodity during a given year are designated by SummerHaven Indexing, provided that each contract must be an active contract. An active contract for this purpose is a liquid, actively-traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a futures exchange, such as the COMEX, ceases trading in all contract expirations relating to an Eligible Copper Futures Contract, SummerHaven Indexing may designate a replacement contract. The replacement contract must satisfy the eligibility criteria for inclusion in the Copper Index. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the Copper Index. If that timing is not practicable, SummerHaven Indexing will determine the date of the replacement based on a number of factors, including the differences between the existing Benchmark Component Copper Futures Contract and the replacement contract with respect to contractual specifications and contract expirations.

The designation of a replacement contract could affect the value of the Copper Index, either positively or negatively, depending on the price of the contract that is eliminated and the prices of the replacement contract. It is impossible, however, to predict the effect of these changes, if they occur, on the value of the Copper Index.

Contract Selection and Weighting

Weights for each of the Benchmark Component Copper Futures Contracts are determined for the next month. The methodology used to calculate the Copper Index weighting is based solely on quantitative data using observable futures prices and is not subject to human bias.

The monthly weighting selection is a process based upon examination of the relevant futures prices for copper:

1) On the Selection Date:

the copper futures curve is assessed to be in either backwardation or contango (as discussed below); and

the annualized percentage price difference between the Closest-to-Expiration Eligible Copper Futures Contract and each of the Next Four Eligible Copper Futures Contracts is calculated. For each month, the Closest-to-Expiration Eligible Copper Futures Contract and the Next Four Eligible Copper Futures Contracts are as follows:

Month

January

February

March

April

May

June

July

August

September

October

November

December

Closest-to-Expiration Eligible
Futures Contract

February

March

April

May

June

July

August

September

October

November

December

January

Next Four Eligible Futures Contracts

April

May

June

July

August

September

October

November

December

January

February

March

May

June

July

August

September

October

November

December

January

February

March

April

June

July

August

September

October

November

December

January

February

March

April

May

July

August

September

October

November

December

January

February

March

April

May

June

A futures curve in backwardation occurs when the price of the closest-to-expiration contract is greater than or equal to the price of the third closest-to-expiration contract. These contracts will have expirations that are approximately two months apart. A curve not in backwardation is defined as being in contango, which occurs when the price of the closest-to-expiration contract is less than the price of the third closest-to-expiration contract.

2a) Backwardation: If the copper futures curve is in backwardation on the Selection Date, the Copper Index takes positions in the two Eligible Copper Futures Contracts with the highest annualized percentage price difference, each weighted at 50%.

A hypothetical example is included below, with the two selected Eligible Copper Futures Contracts shaded below (the selected commodities are ranked 1 and 2):


Copper Futures Contract	Expiration Date	Contract Price
Nearest-to-maturity	November-10		374.70
Third nearest-to-maturity	January-11		365.20


Eligible Copper Futures Contracts	Price		Annualized Percentage Price Difference			Ranking
January-11		365.20		10.47	%		1
February-11		363.00		10.15	%		4
March-11		359.70		10.36	%		3
April-11		356.70		10.41	%		2

2b) Contango: If the copper futures curve is in contango, then the Copper Index takes positions in three Eligible Copper Futures Contracts, as follows: first, the Copper Index takes positions in the two Eligible Copper Futures Contracts with the highest annualized percentage price difference, each weighted at 25%; then, the Copper Index also takes a position in the closest-to-expiration December Eligible Future Contract that has expiration more distant than the fourth of the Next Four Eligible Copper Futures Contracts for the applicable month, which position is weighted at 50%.

A hypothetical example is included below, with the next two selected Eligible Copper Futures Contracts shaded below (the selected commodities are ranked 1 – 2):


Copper Futures Contract	Expiration Date	Contract Price
Nearest-to-maturity	November-10		374.00
Third nearest-to-maturity	January-11		375.70


Eligible Copper Futures Contracts	Price		Annualized Percentage Price Difference			Ranking
January-11		375.70		(1.97	)%		4
February-11		376.00		(1.78	)%		3
March-11		376.30		(1.59	)%		2
April-11		376.40		(1.37	)%		1

Due to the dynamic monthly weighting calculation, the individual weights will vary-over time, depending on the price observations each month. The Selection Date for the Copper Index is the last business day of the calendar month.

The following graph shows the weights of the Benchmark Component Copper Futures Contracts selected for inclusion in the Copper Index as of March 31, 2012.

LOGO

Portfolio Construction

The portfolio rebalancing takes place during the Rebalancing Period. At the end of each of the days in the Rebalancing Period one fourth of the prior month portfolio positions are replaced by the new weights for the Benchmark Component Copper Futures Contracts determined on the Selection Date.

Copper Index Total Return Calculation

The value of the Copper Index on any business day is equal to the product of (i) the value of the Copper Index on the immediately preceding business day multiplied by (ii) one plus the sum of the day’s returns for another version of the Copper Index known as the SummerHaven Dynamic Copper Index Excess Return (“SCI ER”) (explained below) and one business day’s interest from the hypothetical Treasury Bill portfolio. The value of the Copper Index will be calculated and published by the NYSE Arca.

Copper Index Base Level

The Copper Index was set to 100 on January 2, 1991.

SCI ER Calculation

The total return of the SCI ER reflects the percentage change of the market values of the underlying commodity futures. During the Rebalancing Period, the Copper Index changes its contract holdings and weightings during a four day period. The value of the SCI ER at the end of a business day “t” is equal to the SCI ER value on day “t -1” multiplied by the sum of the daily percentage price changes of each commodity future factoring in each respective commodity future’s notional holding on day “t -1”.

Rebalancing Period

The Copper Index is rebalanced during the first 4 business days of each calendar month, when existing positions are placed by new positions and weightings based on the signals used for contract selection on the last business day of the prior calendar month as outlined above.

2012 Holiday Schedule

The Copper Index will not be computed on the following weekdays in 2012:


January		1
January		16
February		20
April		6
May		28
July		4
September		3
November		22
December		25

The holiday schedule is subject to change. CPER will also not accept Creation Baskets or Redemption Baskets on these days.

Hypothetical Performance of the Copper Index

The table and chart below show the hypothetical performance of the Copper Index from December 31, 1997 through March 31, 2012.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

USCF HAS HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CUSTOMERS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE HYPOTHETICAL PERFORMANCE RESULTS, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE HYPOTHETICAL PERFORMANCE RESULTS.

Since the Copper Index was launched on November 4, 2010, there is no actual performance history of the Copper Index to present. However, the components of the Copper Index and the weighting of the components of the Copper Index are established each month based on purely quantitative data that is not subject to revisions based on other external factors. This data is available for periods prior to November 4, 2010. As a result, the table below reflects how the Copper Index would have performed from December 31, 1997 through March 31, 2012 had it been in effect during such time period. The performance data does not reflect any reinvestment or distribution profits, commission charges, management fees or other expenses that would have been incurred in connection with operating and managing a commodity pool designed to track the Copper Index. Such fees and expenses would reduce the performance returns shown in the table below.

Hypothetical Performance Results for the Copper Index for the period

from December 31, 1997 through March 31, 2012


Year	Ending Level*		Annual Return
1997		156.600
1998		135.446		(13.51	)%
1999		172.362		27.26	%
2000		174.987		1.52	%
2001		139.711		(20.16	)%
2002		145.444		4.10	%
2003		209.444		44.00	%
2004		310.819		48.40	%
2005		550.909		77.24	%
2006		911.128		65.39	%
2007		1,059.165		16.25	%
2008		497.182		(53.06	)%
2009		1,153.122		131.93	%
2010		1,491.949		29.38	%
2011		1,164.510		(21.95	)%
2012 (YTD)		1,293.960		11.12	%

*	The “base level” for the Copper Index was set at 100 on January 2, 1991. The “Ending Level” represents the value of the components of the Copper Index on the last trading day of each year and is used to illustrate the cumulative performance of the Copper Index.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

LOGO

Source: SummerHaven Indexing, Bloomberg

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The following table and chart compare the hypothetical total return of the Copper Index in comparison with the actual total return a major index and spot copper prices (less storage cost) over a 10 year period.


	Hypothetical and Historical Results for the period from December 31, 1997 through March 31, 2012
	DJ-UBS Copper TR			Spot Copper less Storage			SCI TR
Total return		678	%		334	%		987	%
Average annual return (total)		22.68	%		18.04	%		25.75	%
Annualized volatility		27.30	%		26.47	%		26.60	%
Annualized Sharpe ratio		0.73			0.58			0.86

Source: SummerHaven Indexing, Bloomberg, LME

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The table above shows the performance of the Copper Index from December 31, 1997 through March 31, 2012 in comparison with a traditional commodity index and spot copper prices: the Dow Jones-UBS Copper Subindex Total Return^SM and spot copper prices less warehouse storage rents. The Dow Jones-UBS Copper Subindex Total Return^SM includes the contract in the Dow Jones-UBS Commodity Index Total Return that relates to a single commodity, copper (currently the Copper High Grade futures contract traded on the COMEX). The data for the SCI Total Return Index is derived by using the Copper Index’s calculation methodology with historical prices for the futures contracts comprising the Copper Index. The information about the index above comes from publicly-available material about such index but is not designed to provide a thorough overview of the methodology of such index. The index noted above does not have investment objectives identical to the Copper Index. As a result, there are inherent limitations in comparing such performance against the Copper Index. For more information about the index and its methodologies, please refer to the material published by the sponsor of the Dow Jones-UBS Copper Subindex Total Return which may be found on its website. USCF is not responsible for any information found on such website, and such information is not part of this quarterly report on Form 10-Q.

In the table above, “Total Return” refers to the return of the relevant index from December 31, 1997 to March 31, 2012; “Annualized Volatility” is a measure of the amount of variation or fluctuation in the returns of the relevant index. Annualized Volatility is calculated by taking the monthly standard deviation of the relevant index’s return and multiplying it by the square root of 12; and “Annualized Sharpe Ratio” is a measure of the total return of each relevant index adjusted by the risk-free interest rate (the 90 Day U.S. Treasury Bill yield) and the volatility of each index. Many investors consider volatility to be a measure of risk, and lower volatility of investment returns is considered a positive investment attribute as opposed to higher volatility. Annualized Sharpe Ratio is a standard measure for investors to compare two different investments or indexes that have different levels of volatility. If two indexes have the same total return, but one has lower Annualized Volatility, then its Annualized Sharpe Ratio will be higher. The higher the Annualized Sharpe Ratio, the better the risk-adjusted performance. Annualized Sharpe Ratio is calculated by taking the average monthly total return of the relevant index and subtracting the then current yield on the 90-Day U.S. Treasury Bill. The annualized return of this series is then divided by the Annualized Volatility of this series, and this result is the Annualized Sharpe Ratio for the relevant index. A higher Sharpe Ratio is not a guarantee that one investment or index will in the future produce better risk adjustment total returns, but USCF believes it is a useful tool for investors to consider when making investment decisions.

10 Year Comparison of Index Returns of the S&P GSCI Copper TR,

DJ-UBS Copper TR, Spot Copper price, Spot Copper Price less Storage

Cost, and the Hypothetical Returns of the SCI TR (3/31/02-3/31/12)

LOGO

Source: SummerHaven Indexing, Bloomberg, LME

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The following chart compares the hypothetical total return of the Copper Index in comparison with the actual total return of two major indices and spot copper prices (less storage cost) over a 5 year period.

Five Year Comparison Of Index Returns of the S&P GSCI Copper TR,

DJ-UBS Copper TR, Spot Copper price, Spot Copper Price

less Storage Cost, and the Hypothetical Returns of the SCI TR (3/31/07-3/31/12)

LOGO

Source: SummerHaven Indexing, Bloomberg, LME

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. The Trust’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 the Trust’s condensed financial statements and related disclosures and has determined that the valuation of Applicable Interests, which are not traded on a United States or internationally recognized futures exchange (such as swaps and other over-the-counter contracts) involves a critical accounting policy. The values which are used by each Trust Series for its Futures Contracts are provided by its commodity broker who uses market prices when available, while over-the-counter contracts 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, each Trust Series estimates interest 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

None of the Trust Series has made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. Each Trust Series has met, and it is anticipated that each Trust Series 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. Each Trust Series’ liquidity needs include or will include: redeeming units, providing margin deposits for its existing Futures Contracts or the purchase of additional Futures Contracts and posting collateral for its over-the-counter Applicable Interests, respectively, if applicable, and, except as noted below, payment of its expenses, summarized below under “Contractual Obligations.”

Each Trust Series currently generates or will generate cash primarily from: (i) the sale of baskets consisting of 100,000 units (“Creation Baskets”) and (ii) income earned on Treasuries, cash and/or cash equivalents. Each Trust Series has allocated or will allocate substantially all of its net assets to trading in Applicable Interests. Each Trust Series invests or will invest in Applicable 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 Applicable Interests. A significant portion of each Trust Series’ NAV is or will be held in cash and cash equivalents that are used as margin and as collateral for its trading in Applicable Interests. The balance of the assets is or will be held in each Trust Series’ account at its custodian bank and in Treasuries at the FCM. Income received from any investments in money market funds and Treasuries by a Trust Series will be paid to such Trust Series. During the three months ended March 31, 2012, each of USCI’s and CPER’S expenses exceeded the income it earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets. During the three months ended March 31, 2012, each of USCI and CPER was forced to use other assets to pay expenses, which could cause a drop in its NAV over time. To the extent expenses exceed income, each of USCI’s, CPER’s and USAG’s NAV will be negatively impacted.

Each Trust Series’ investments in Applicable 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 contract 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 a Trust Series from promptly liquidating its positions in Futures Contracts. During the three months ended March 31, 2012, neither USCI nor CPER was forced to purchase or liquidate any of its positions while daily limits were in effect; however, no Trust Series can predict whether such an event may occur in the future.

Prior to the initial offering of each Trust Series, all payments with respect to each Trust Series’ expenses are paid by USCF. USCI, CPER and USAG, which as of the filing of this quarterly report on Form 10-Q, are the only series which offer units publicly, do not have an obligation or intention to refund such payments made by USCF. USCF is under no obligation to pay any Trust Series’ future expenses. Since the initial offering of units, each of USCI, CPER and USAG has been responsible for expenses relating to: (i) management fees, (ii) brokerage fees and commissions, (iii) ongoing registration expenses in connection with offers and sales of its units subsequent to the initial offering, (iv) other expenses, including tax reporting costs, (v) the fees of the Trustee in connection with its services as Delaware trustee of the Trust, (vi) fees and expenses of the independent directors of USCF and (vii) other extraordinary expenses not in the ordinary course of business, while USCF has been responsible for expenses relating to the fees of USCI’s, CPER’s and USAG’s Marketing Agent, Administrator and Custodian, the trading advisory and licensing fees of SummerHaven and offering expenses relating to the initial offering of units of each of USCI, CPER and USAG. If USCF and each Trust Series are unsuccessful in raising sufficient funds to cover these respective expenses or in locating any other source of funding, one or more of the Trust Series could terminate and investors may lose all or part of their investment.

Market Risk

Trading in Applicable Interests such as Futures Contracts involves each Trust Series entering into contractual commitments to purchase or sell specified amounts of commodities at a specified date in the future. The aggregate market value of the contracts will significantly exceed each Trust Series’ future cash requirements since each Trust Series intends to close out its open positions prior to settlement. As a result, each Trust Series is generally only subject to the risk of loss arising from the change in value of the contracts. Each Trust Series considers the “fair value” of its derivative instruments to be the unrealized gain or loss on the contracts. The market risk associated with each Trust Series’ commitments to purchase a specific commodity will be limited to the aggregate market value of the contracts held.

Each Trust Series’ exposure to market risk depends on a number of factors, including the markets for commodities, the volatility of interest rates and foreign exchange rates, the liquidity of the Applicable Interest markets and the relationships among the contracts held by each such Trust Series. The limited experience that each Trust Series has had in utilizing its model to trade in Applicable Interests in a manner intended to track the changes in the Applicable Index, as well as drastic market occurrences, could ultimately lead to the loss of all or substantially all of an investor’s capital.

Credit Risk

When a Trust Series enters into Futures Contracts and Other 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 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 financial burden resulting from the nonperformance of one of their members and, therefore, this additional member support should significantly reduce credit risk. Some foreign exchanges are not backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions. Unlike in the case of exchange-traded Futures Contracts, the counterparty to an over-the-counter contract is generally a single bank or other financial institution. As a result, there will be greater counterparty credit risk in over-the-counter transactions. There can be no assurance that any counterparty, clearinghouse, or their members or their financial backers will satisfy their obligations to a Trust Series in such circumstances.

USCF attempts to manage the credit risk of each Trust Series by following various trading limitations and policies. In particular, each Trust Series generally posts (or will post) margin and/or holds (or will hold) liquid assets that are approximately equal to the market value of its obligations to counterparties under the Futures Contracts and Other Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades and entering into over-the-counter transactions only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of each Trust Series to limit its credit exposure. Newedge USA, LLC, each Trust Series’ commodity broker, or any other broker that may be retained by a Trust Series in the future, when acting as the Trust Series’ FCM 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 a Trust Series, all assets of a Trust Series relating to domestic Futures Contracts trading. These FCMs are not allowed to commingle a Trust Series’ assets with their other assets. In addition, the CFTC requires commodity brokers to hold in a secure account a Trust Series’ assets related to foreign Futures Contracts trading. During the three months ended March 31, 2012, the only foreign exchanges on which USCI made investments were the ICE Futures, which is a London based futures exchange, and the LME, which is a London based metal commodities exchange. Those Futures Contracts are denominated in U.S. dollars. During the three months ended March 31, 2012, CPER did not make investments on any foreign exchanges.

If, in the future, a Trust Series purchases over-the-counter contracts, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this quarterly report on Form 10-Q for a discussion of over-the-counter contracts.

As of March 31, 2012, each of USCI and CPER held cash deposits and investments in Treasuries in the amount of $409,631,197 and $2,565,859, respectively, with the custodian and FCM. Some or all of these amounts may be subject to loss should USCI’s and CPER’s custodian and/or FCM cease operations.

Off Balance Sheet Financing

As of March 31, 2012, neither the Trust nor any Trust Series had any loan guarantee, credit support or other off-balance sheet arrangement 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 any Trust Series. While each Trust Series’ exposure under these indemnification provisions cannot be estimated, they are not expected to have a material impact on any Trust Series’ financial position.

European Sovereign Debt

None of the Trust Series had direct exposure to European sovereign debt as of March 31, 2012 or had 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, each Trust Series requires liquidity to redeem units, which redemptions must be in blocks of 50,000 units effective as of May 1, 2012 called “Redemption Baskets.” (Prior to May 1, 2012, the size of the Redemption Basket was 100,000 units). Each of USCI, CPER and USAG 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 units being redeemed. From July 1, 2011 through December 31, 2011 (and continuing at least through December 31, 2012), Authorized Purchasers pay USCI $350 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets; prior to July 1, 2011, Authorized Purchasers paid $1,000 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets. Authorized Purchasers pay each of CPER and USAG $1,000 for each order placed to create one or more Creation Baskets or to redeem one or more Redemption Baskets.

Contractual Obligations

The Trust’s (and each series thereunder) primary contractual obligations are with USCF and certain other service providers. USCF, in return for its services, is entitled to a management fee calculated as a fixed percentage of a Trust Series’ NAV. Currently, USCI’s, as well as CPER’s and USAG’s, percentage is 0.95% of each respective series’ average daily total net assets. Ongoing fees, costs and expenses of its operation for which a Trust Series is responsible include:

•

brokerage and other fees and commissions incurred in connection with the trading activities of each Trust Series;

•

expenses incurred in connection with registering additional units of each Trust Series or offering units of each Trust Series after the time any units of each Trust Series have begun trading on the NYSE Arca;

•

the routine expenses associated with distribution, including printing and mailing, of any monthly, annual and other reports to unitholders required by applicable U.S. federal and state regulatory authorities;

•

payment for routine services of the Trustee, legal counsel and independent accountants;

•

payment for fees associated with tax accounting and reporting, routine accounting, bookkeeping, whether performed by an outside service provider or by affiliates of USCF;

•

costs and expenses associated with investor relations and services;

•

the payment of any distributions related to redemption of units;

•

payment of all federal, state, local or foreign taxes payable on the income, assets or operations of each Trust Series and the preparation of all tax returns related thereto;

•

fees and expenses of the independent directors of USCF; and

•

extraordinary expenses (including, but not limited to, indemnification of any person against liabilities and obligations to the extent permitted by law and required under the Trust Agreement and the bringing and defending of actions at law or in equity and otherwise engaging in the conduct of litigation and the incurring of legal expense and the settlement of claims and litigation).

While USCF has agreed to pay registration fees to the SEC, FINRA, NYSE Arca or any other regulatory agency or exchange in connection with the initial offer and sale of the units and the legal, printing, accounting and other expenses associated with such registration, each Trust Series is responsible for any registration fees and related expenses incurred in connection with any subsequent offer and sale of its units after the initial offering of units.

Each Trust Series pays or will pay its own brokerage and other transaction costs. Each Trust Series pays or will pay fees to FCMs in connection with its transactions in Futures Contracts. FCM fees were 0.07% of average daily total net assets for the three months ended March 31, 2012 for USCI and 0.01% of average daily total net assets for the three months ended March 31, 2012 for CPER. In general, transaction costs on over-the-counter Applicable Interests and on Treasuries and other short-term securities are embedded in the purchase or sale price of the instrument being purchased or sold, and may not readily be estimated. USCF, though under no obligation to do so, agreed to pay certain expenses normally borne by USCI to the extent that such expenses exceeded 0.15% (15 basis points) of USCI’s NAV, on an annualized basis, through March 31, 2011. As of March 31, 2011, the expense waiver was no longer in effect for USCI. USCF, though under no obligation to do so, agreed to pay certain expenses normally borne by CPER to the extent that such expenses exceed 0.15% (15 basis points) of CPER’s NAV, on an annualized basis, through at least June 30, 2012. USCF has no obligation to continue such payments into subsequent periods.

The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods, as each Trust Series’ 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 a Trust Series’ existence. Either party may terminate these agreements earlier for certain reasons described in the agreements.

As of March 31, 2012, USCI’s portfolio consisted of 10,262 Futures Contracts traded on the Futures Exchanges and CPER’s portfolio consisted of 28 Futures Contracts traded on the COMEX. For a list of each of USCI’s, CPER’s and USAG’s current holdings, please see USCI’s website at www.unitedstatescommodityindexfund.com, CPER’s website at www.unitedstatescopperindexfund.com and USAG’s website at www.unitedstatesagricultureindexfund.com. See “Portfolio Holdings” for a complete list of Futures Contracts held by each of USCI and CPER during the three months ended March 31, 2012.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Over-the-Counter Derivatives (Including Spreads and Straddles)

In the future, a Trust Series may purchase over-the-counter contracts (“OTC Contracts”). Unlike most exchange-traded Futures Contracts or exchange-traded options on such futures, each party to an OTC Contract bears the credit risk that the other party may not be able to perform its obligations under its contract.

To reduce the credit risk that arises in connection with such contracts, a Trust Series will generally enter into an agreement with each counterparty based on the Master Agreement published by ISDA that provides for the netting of its overall exposure to its counterparty.

A Trust Series assesses or reviews, as appropriate, the creditworthiness of each potential or existing counterparty to an OTC Contract pursuant to guidelines approved by USCF’s board of directors (the “Board”). Furthermore, USCF, on behalf of a Trust Series, only enters into OTC Contracts 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. A Trust Series 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 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 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.

During the three months ended March 31, 2012, neither USCI nor CPER employed any hedging methods such as those described above since all of its investments were made over an exchange. Therefore, during such period, neither USCI nor CPER was exposed to counterparty risk.

Each Trust Series anticipates that the use of Other Related Investments together with its investments in Futures Contracts will produce price and total return results that closely track the investment goals of such Trust Series. However, there can be no assurance of this. OTC Contracts may result in higher transaction-related expenses than the brokerage commissions paid in connection with the purchase of futures contracts, which may impact a Trust Series’ ability to successfully track its Applicable Index.

Item 4.

Controls and Procedures.

Disclosure Controls and Procedures

The Trust and each Trust Series maintain disclosure controls and procedures that are designed to ensure that material information required to be disclosed in the Trust’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 the Trust if the Trust had any officers, have evaluated the effectiveness of the Trust’s and each Trust Series’ disclosure controls and procedures and have concluded that the disclosure controls and procedures of the Trust and each Trust Series 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 the Trust’s or any Trust Series’ internal control over financial reporting during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Trust’s or any Trust Series’ internal control over financial reporting.

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

Not applicable.

Item 1A.

Risk Factors.

There have been no material changes to the risk factors previously disclosed in the Trust’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, filed on March 15, 2012.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

Not applicable.

Item 3.

Defaults Upon Senior Securities.

Not applicable.

Item 4.

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 the Trust and currently USCI, CPER and USAG, as the only publicly offered Trust Series, publish account statements for USCI’s, CPER’s and USAG’s unitholders, which include Statements of Income (Loss) Statements of Changes in Net Asset Value and Statements of Changes in Units Outstanding. The account statements are 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 each of USCI’s, CPER’s and USAG’s website at www.unitedstatescommodityindexfund.com, www.unitedstatescopperindexfund.com and www.unitedstatesagricultureindexfund.com

Item 6.

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(2)		XBRL Instance Document.
101.SCH(2)		XBRL Taxonomy Extension Schema.
101.CAL(2)		XBRL Taxonomy Extension Calculation Linkbase.
101.DEF(2)		XBRL Taxonomy Extension Definition Linkbase.
101.LAB(2)		XBRL Taxonomy Extension Label Linkbase.
101.PRE(2)		XBRL Taxonomy Extension Presentation Linkbase.

(1)	Filed herewith.

(2)

In accordance with Rule 406T of Regulation S-T, the information in these exhibits is furnished and deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

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 Commodity Index Funds Trust (Registrant)

By: United States Commodity Funds LLC, its Sponsor


By:		/s/ Nicholas D. Gerber
Nicholas D. Gerber
President and Chief Executive Officer
(Principal executive officer)

Date: May 10, 2012


By:		/s/ Howard Mah
Howard Mah
Chief Financial Officer
(Principal financial and accounting officer)

Date May 10, 2012