UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ ~~Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended~~ ~~June 30, 2021~~

☒
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended
June 30, 2022.

☐
Transition~~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: 001-33859
United States 12 Month Oil Fund, LP
(Exact name of registrant as specified in its charter)

Delaware
26-0431897
(State or other jurisdiction of
(I.R.S. Employer
incorporation or organization)
Identification No.)

1850 Mt. Diablo Boulevard, Suite 640
Walnut Creek, California 94596
(Address of principal executive offices) (Zip Code)
(510) 522-9600
(Registrant’s telephone number, including area code)
N/A
(Former name, former address and former fiscal year, if changed since last report)
Securities registered or to be registered pursuant to Section 12(b) of the Act.

Title of each class:

Trading Symbol(s)

Name of each exchange on which registered:
Shares of United States 12 Month Oil Fund, LP
USL
NYSE Arca, Inc.

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large Accelerated Filer
☐

Accelerated Filer

☒

Non-Accelerated Filer
☐

Smaller Reporting Company

☐

Emerging Growth Company
☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided in Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes ☒ No
The registrant had ~~7,000,000~~3,100,000 outstanding shares as of July ~~20, 2021.~~22, 2022.

Table of Contents

United States 12 Month Oil Fund, LP

Table of Contents

~~Page~~
Part I. FINANCIAL INFORMATION

Page

Item 1. Condensed Financial Statements.

1

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

1817

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

3836

Item 4. Controls and Procedures.

3938

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

4039

Item 1A. Risk Factors.

4341

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

4342

Item 3. Defaults Upon Senior Securities.

4342

Item 4. Mine Safety Disclosures.

43

Item 5. Other Information.

43

Item 6. Exhibits.

4443

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index to Condensed Financial Statements

Documents

Page
Condensed Statements of Financial Condition at June 30, ~~2021~~2022 (Unaudited) and December 31, ~~2020~~2021

2

Condensed Schedule of Investments (Unaudited) at June 30, ~~2021~~2022

3

Condensed Statements of Operations (Unaudited) for the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021

4

Condensed Statements of Changes in Partners’ Capital (Unaudited) for the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021

5

Condensed Statements of Cash Flows (Unaudited) for the six months ended June 30, ~~2021~~2022 and ~~2020~~2021

6

Notes to Condensed Financial Statements (Unaudited) for the period ended June 30, ~~2021~~2022

7

Table of Contents

United States 12 Month Oil Fund, LP
Condensed Statements of Financial Condition
At June 30, ~~2021~~2022 (Unaudited) and December 31, ~~2020~~2021


June 30, 2021

December 31, 2020

June 30, 2022

December 31, 2021
Assets








Cash and cash equivalents (at cost $144,238,551 and $181,574,615, respectively) (Notes 2 and 5)

$
144,238,551

$
181,574,615
Cash and cash equivalents (at cost $63,713,161 and $99,549,427, respectively) (Notes 2 and 5)

$
63,713,161

$
99,549,427
Equity in trading accounts:

Cash and cash equivalents (at cost $30,000,000 and $976,553, respectively)

30,000,000

976,553
Cash and cash equivalents (at cost $56,558,205 and $30,014,301, respectively)

56,558,205

30,014,301
Unrealized gain (loss) on open commodity futures contracts

51,958,790

36,882,450

22,893,340

19,648,030
Dividends receivable

3,110

178

57,768

1,869
Interest receivable

375

6,975

2,465

2,804
Prepaid license fees

2,104

0
Prepaid insurance^*

30,456

1,461

26,460

9,309
Prepaid registration fees

0

55,407

Total Assets

$
226,231,282

$
219,497,639

$
143,253,503

$
149,225,740

Liabilities and Partners' Capital




Liabilities and Partners’ Capital




Payable due to Broker

$
37,759,280

$
21,925,587

$
6,673,452

$
11,205,326
Payable for shares redeemed

0

860,589
General Partner management fees payable (Note 3)

93,997

102,144

72,043

67,706
Professional fees payable

132,261

132,523

108,535

172,680
Brokerage commissions payable

12,602

12,602

12,602

12,602
Directors’ fees payable^*

3,062

2,807

2,071

2,427
License fees payable

6,281

6,846

0

4,329
Registration fees payable

19,708

0

171,183

96,068

Total Liabilities

38,027,191

23,043,098

7,039,886

11,561,138

Commitments and Contingencies (Notes 3, 4 & 5)









Partners' Capital




Partners’ Capital




General Partners

0

0

0

0
Limited Partners

188,204,091

196,454,541

136,213,617

137,664,602
Total Partners' Capital

188,204,091

196,454,541
Total Partners’ Capital

136,213,617

137,664,602

Total Liabilities and Partners' Capital

$
226,231,282

$
219,497,639
Total Liabilities and Partners’ Capital

$
143,253,503

$
149,225,740

Limited Partners' shares outstanding

7,350,000

11,400,000

3,450,000

4,950,000
Net asset value per share

$
25.61

$
17.23

$
39.48

$
27.81
Market value per share

$
25.58

$
17.19

$
39.56

$
27.93
*Certain prior year amounts have been reclassified for consistency with the current presentation.
See accompanying notes to condensed financial statements.

Table of Contents

United States 12 Month Oil Fund, LP
Condensed Schedule of Investments (Unaudited)
At June 30, ~~2021~~2022






Fair


Value/Unrealized

Gain (Loss) on

Open

Number of

Commodity

% of Partners'

Notional Amount

Contracts

Contracts

Capital
Open Commodity Futures Contracts - Long








United States Contracts








NYMEX WTI Crude Oil Futures August 2021 contracts, expiring July 2021

$
9,723,140

226

$
6,881,080

3.66
NYMEX WTI Crude Oil Futures September 2021 contracts, expiring August 2021

10,221,360

227

6,297,430

3.35
NYMEX WTI Crude Oil Futures October 2021 contracts, expiring September 2021

9,590,120

226

6,627,640

3.52
NYMEX WTI Crude Oil Futures November 2021 contracts, expiring October 2021

9,935,370

226

6,085,770

3.23
NYMEX WTI Crude Oil Futures December 2021 contracts, expiring November 2021

9,433,000

226

6,416,380

3.41
NYMEX WTI Crude Oil Futures January 2022 contracts, expiring December 2021

10,298,320

226

5,392,860

2.87
NYMEX WTI Crude Oil Futures February 2022 contracts, expiring January 2022

10,942,810

226

4,601,470

2.44
NYMEX WTI Crude Oil Futures March 2022 contracts, expiring February 2022

12,017,090

226

3,389,330

1.80
NYMEX WTI Crude Oil Futures April 2022 contracts, expiring March 2022

13,255,220

226

2,022,380

1.07
NYMEX WTI Crude Oil Futures May 2022 contracts, expiring April 2022

12,782,800

226

2,370,500

1.26
NYMEX WTI Crude Oil Futures June 2022 contracts, expiring May 2022

13,629,650

226

1,408,390

0.75
NYMEX WTI Crude Oil Futures July 2022 contracts, expiring June 2022

14,452,700

226

465,560

0.25
Total Open Futures Contracts^*

$
136,281,580

2,713

$
51,958,790

27.61






Fair Value/


Unrealized Gain

(Loss) on Open

% of

Notional

Number of

Commodity

Partners’

Amount

Contracts

Contracts

Capital
Open Commodity Futures Contracts – Long








United States Contracts








NYMEX WTI Crude Oil Futures August 2022 contracts, expiring July 2022

$
8,341,790

120

$
4,349,410

3.19
NYMEX WTI Crude Oil Futures September 2022 contracts, expiring August 2022

8,118,810

120

4,253,190

3.12
NYMEX WTI Crude Oil Futures October 2022 contracts, expiring September 2022

8,197,710

120

3,834,690

2.82
NYMEX WTI Crude Oil Futures November 2022 contracts, expiring October 2022

8,776,100

120

2,953,900

2.17
NYMEX WTI Crude Oil Futures December 2022 contracts, expiring November 2022

8,934,930

120

2,532,270

1.86
NYMEX WTI Crude Oil Futures January 2023 contracts, expiring December 2022

8,281,120

120

2,959,280

2.17
NYMEX WTI Crude Oil Futures February 2023 contracts, expiring January 2023

8,939,900

121

2,198,150

1.61
NYMEX WTI Crude Oil Futures March 2023 contracts, expiring February 2023

9,556,970

121

1,415,310

1.04
NYMEX WTI Crude Oil Futures April 2023 contracts, expiring March 2023

11,030,190

121

(198,270)

(0.14)
NYMEX WTI Crude Oil Futures May 2023 contracts, expiring April 2023

10,619,140

121

90,570

0.07
NYMEX WTI Crude Oil Futures June 2023 contracts, expiring May 2023

10,940,380

121

(338,360)

(0.25)
NYMEX WTI Crude Oil Futures July 2023 contracts, expiring June 2023

11,571,600

120

(1,156,800)

(0.85)
Total Open Futures Contracts^*

$
113,308,640

1,445

$
22,893,340

16.81


Shares/Principal



% of Partners'

Shares/Principal


% of Partners'

Amount

Market Value

Capital

Amount

Market Value

Capital
Cash Equivalents










United States Money Market Funds










Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.03%^#

200,000

$
200,000

0.11
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Shares, 0.03%^#

141,500,000

141,500,000

75.18
RBC U.S. Government Money Market Fund - Institutional Shares, 0.03%^#

196,000

196,000

0.10
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 1.41%^#

44,400,000

$
44,400,000

32.59
Goldman Sachs Financial Square Government Fund - Institutional Shares, 1.36%^#

500,000

500,000

0.37
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Shares, 1.38%^#

18,725,000

18,725,000

13.75
Total United States Money Market Funds



$
141,896,000

75.39

$
63,625,000

46.71
#Reflects the 7-day yield at June 30, ~~2021.~~2022.
*Collateral amounted to ~~$30,000,000~~$56,558,205 on open commodity futures contracts.

See accompanying notes to condensed financial statements.

Table of Contents

United States 12 Month Oil Fund, LP
Condensed Statements of Operations (Unaudited)
For the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021


Three months ended

Three months ended

Six months ended

Six months ended


Three months ended

Three months ended

Six months ended

Six months ended

June 30, 2021

June 30, 2020

June 30, 2021

June 30, 2020

June 30, 2022

June 30, 2021

June 30, 2022

June 30, 2021
Income
















Gain (loss) on trading of commodity futures contracts:
















Realized gain (loss) on closed commodity futures contracts

$
34,289,110

$
11,487,803

$
67,813,560

$
10,650,520

$
20,726,710

$
34,289,110

$
48,671,620

$
67,813,560
Change in unrealized gain (loss) on open commodity futures contracts

6,735,360

87,135,286

15,076,340

62,774,039

(11,435,110)

6,735,360

3,245,310

15,076,340
Realized gain (loss) on short-term investments

0

0

0

1,240

Dividend income

9,724

81,659

16,155

111,904

110,871

9,724

125,723

16,155
Interest income^*

3,095

67,904

13,756

214,432

34,868

3,095

42,745

13,756
ETF transaction fees

4,550

15,064

8,400

21,014

2,100

4,550

5,600

8,400
Total Income (Loss)

$
41,041,839

$
98,787,716

$
82,928,211

$
73,773,149

$
9,439,439

$
41,041,839

$
52,090,998

$
82,928,211

Expenses








General Partner management fees (Note 3)

$
297,747

$
341,764

$
611,551

$
410,035

$
214,677

$
297,747

$
437,285

$
611,551
Professional fees

104,213

47,256

177,829

74,401

49,063

104,213

99,179

177,829
Brokerage commissions

7,974

69,031

15,806

74,177

3,889

7,974

8,405

15,806
Directors' fees and insurance

13,800

4,780

19,330

7,902

11,371

13,800

24,213

19,330
License fees

7,444

8,544

15,289

10,251

5,367

7,444

10,931

15,289
Registration fees

37,765

39,650

75,115

39,650

37,765

37,765

75,115

75,115
Total Expenses

$
468,943

$
511,025

$
914,920

$
616,416

$
322,132

$
468,943

$
655,128

$
914,920

Net Income (Loss)

$
40,572,896

$
98,276,691

$
82,013,291

$
73,156,733

$
9,117,307

$
40,572,896

$
51,435,870

$
82,013,291
Net Income (Loss) per limited partner share

$
4.72

$
2.54

$
8.38

$
(8.25)

$
2.49

$
4.72

$
11.67

$
8.38
Net Income (Loss) per weighted average limited partner share

$
4.74

$
5.43

$
8.57

$
7.10

$
2.56

$
4.74

$
12.76

$
8.57
Weighted average limited partner shares outstanding

8,566,667

18,098,901

9,571,823

10,301,374

3,560,989

8,566,667

4,030,387

9,571,823
*Interest income does not exceed paid in kind of 5%.
See accompanying notes to condensed financial statements.

Table of Contents

United States 12 Month Oil Fund, LP
Condensed Statement of Changes in Partners’ Capital (Unaudited)
For the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021

Limited Partners*

Three months ended

Three months ended

Six months ended

Six months ended


June 30, 2021

June 30, 2020

June 30, 2021

June 30, 2020
Balances at beginning of period

$
198,415,295

$
53,500,734

$
196,454,541

$
55,077,039
Addition of –, 26,600,000, – and 28,750,000 partnership shares, respectively

0

275,481,828

0

302,421,810
Redemption of (2,150,000), (12,300,000), (4,050,000) and (12,450,000) partnership shares, respectively

(50,784,100)

(152,379,271)

(90,263,741)

(155,775,600)
Net income (loss)

40,572,896

98,276,691

82,013,291

73,156,733

Balances at end of period

$
188,204,091

$
274,879,982

$
188,204,091

$
274,879,982

Limited Partners^*

Three months ended

Three months ended

Six months ended

Six months ended


June 30,2022

June 30,2021

June 30,2022

June 30,2021
Balances at beginning of period

$
142,430,450

$
198,415,295

$
137,664,602

$
196,454,541
Addition of 50,000, –,50,000 and – partnership shares, respectively

2,178,358

0

2,178,358

0
Redemption of (450,000), (2,150,000), (1,550,000) and (4,050,000) partnership shares, respectively

(17,512,498)

(50,784,100)

(55,065,213)

(90,263,741)
Net income (loss)

9,117,307

40,572,896

51,435,870

82,013,291

Balances at end of period

$
136,213,617

$
188,204,091

$
136,213,617

$
188,204,091
*General Partners’ shares outstanding and capital for the periods presented were zero.

See accompanying notes to condensed financial statements.

Table of Contents

United States 12 Month Oil Fund, LP
Condensed Statements of Cash Flows (Unaudited)
For the six months ended June 30, ~~2021~~2022 and ~~2020~~2021

Six months ended

Six months ended

June 30,

June 30,

Six months ended

Six months ended


2021

2020

June 30, 2022

June 30, 2021
Cash Flows from Operating Activities:








Net income (loss)

$
82,013,291

$
73,156,733

$
51,435,870

$
82,013,291
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Change in unrealized (gain) loss on open commodity futures contracts

(15,076,340)

(62,774,039)

(3,245,310)

(15,076,340)
(Increase) decrease in dividends receivable

(2,932)

(19,106)

(55,899)

(2,932)
(Increase) decrease in interest receivable

6,600

6,320

339

6,600
(Increase) decrease in prepaid license fees

(2,104)

0
(Increase) decrease in prepaid insurance^*

(28,995)

(3,004)

(17,151)

(28,995)
(Increase) decrease in prepaid registration fees

55,407

(369,998)

0

55,407
Increase (decrease) in payable due to Broker

15,833,693

38,297,721

(4,531,874)

15,833,693
Increase (decrease) in General Partner management fees payable

(8,147)

119,907

4,337

(8,147)
Increase (decrease) in professional fees payable

(262)

(57,325)

(64,145)

(262)
Increase (decrease) in brokerage commissions payable

0

9,180
Increase (decrease) in directors’ fees payable^*

255

1,209
Increase (decrease) in directors' fees payable^*

(356)

255
Increase (decrease) in license fees payable

(565)

7,458

(4,329)

(565)
Increase (decrease) in registration fees payable

19,708

0

75,115

19,708
Net cash provided by (used in) operating activities

82,811,713

48,375,056

43,594,493

82,811,713

Cash Flows from Financing Activities:








Addition of partnership shares

0

302,421,796

2,178,358

0
Redemption of partnership shares

(91,124,330)

(155,775,600)

(55,065,213)

(91,124,330)
Net cash provided by (used in) financing activities

(91,124,330)

146,646,196

(52,886,855)

(91,124,330)

Net Increase (Decrease) in Cash and Cash Equivalents

(8,312,617)

195,021,252

(9,292,362)

(8,312,617)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period

182,551,168

51,606,975

129,563,728

182,551,168
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period

$
174,238,551

$
246,628,227

$
120,271,366

$
174,238,551

Components of Cash and Cash Equivalents:






Cash and cash equivalents

$
144,238,551

$
235,642,464

$
63,713,161

$
144,238,551
Equity in Trading Accounts:




Cash and cash equivalents

30,000,000

10,985,763

56,558,205

30,000,000
Total Cash, Cash Equivalents and Equity in Trading Accounts

$
174,238,551

$
246,628,227

$
120,271,366

$
174,238,551
*Certain prior year amounts have been reclassified for consistency with the current presentation.
See accompanying notes to condensed financial statements.

Table of Contents

United States 12 Month Oil Fund, LP
Notes to Condensed Financial Statements (Unaudited)
For the period ended June 30, ~~2021~~2022
NOTE 1 — ORGANIZATION AND BUSINESS
The United States 12 Month Oil Fund, LP (“USL”) was organized as a limited partnership under the laws of the state of Delaware on June 27, 2007. USL is a commodity pool that issues limited partnership interests (“shares”) traded on the NYSE Arca, Inc. (the “NYSE Arca”). USL’s shares began trading on December 6, 2007. Prior to November 25, 2008, USL’s shares traded on the American Stock Exchange (the “AMEX”). USL will continue in perpetuity, unless terminated sooner upon the occurrence of one or more events as described in its Third Amended and Restated Agreement of Limited Partnership dated as of December 15, 2017 (as amended from time to time, the “LP Agreement”), which grants full management control to its general partner, United States Commodity Funds LLC (“USCF”).
The investment objective of USL is for the daily changes in percentage terms of its per share net asset value (“NAV”) to reflect the daily changes in percentage terms of the spot price of light, sweet crude oil delivered to Cushing, Oklahoma, as measured by the daily changes in the average of the prices of specified short-term futures contracts on light, sweet crude oil called the “Benchmark Oil Futures Contracts,” plus interest earned on USL’s collateral holdings, less USL’s expenses. The Benchmark Oil Futures Contracts are the futures contracts on light, sweet crude oil as traded on the New York Mercantile Exchange (the “NYMEX”) that is the near month contract to expire and the contracts for the following 11 months for a total of 12 consecutive months’ contracts, except when the near month contract is within two weeks of expiration, in which case it will be the futures contract that is the next month contract to expire and the contracts for the following 11 consecutive months. When calculating the daily movement of the average price of the 12 contracts, each contract month is equally weighted.
USL seeks to achieve its investment objective by investing so that the average daily percentage change in USL’s NAV for any period of 30 successive valuation days will be within plus/minus ten percent (10%) of the average daily percentage change in the price of the Benchmark Oil Futures Contracts over the same period.
USL seeks to achieve its investment objective by investing primarily in futures contracts for light, sweet crude oil, other types of crude oil, diesel-heating oil, gasoline, natural gas, and other petroleum-based fuels that are traded on the NYMEX, ICE Futures Europe and ICE Futures U.S. (together, “ICE Futures”) or other U.S. and foreign exchanges (collectively, “Oil Futures Contracts”) and to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, other oil-related investments such as cash-settled options on Oil Futures Contracts, forward contracts for oil, cleared swap contracts and non-exchange traded (“over-the-counter” or “OTC”) transactions that are based on the price of oil, other petroleum-based fuels, Oil Futures Contracts and indices based on the foregoing (collectively, “Other Oil-Related Investments”). Market conditions that USCF currently anticipates could cause USL to invest in Other Oil-Related Investments include, but are not limited to, those allowing USL to obtain greater liquidity or to execute transactions with more favorable pricing. (For convenience and unless otherwise specified, Oil Futures Contracts and Other Oil-Related Investments collectively are referred to as “Oil Interests” in the notes to the financial statements).
Investors should be aware that USL’s investment objective is not for its NAV or market price of shares to equal, in dollar terms, the spot price of light, sweet crude oil or any particular futures contract based on light, sweet crude oil, nor is USL’s investment objective for the percentage change in its NAV to reflect the percentage change of the price of any particular futures contract as measured over a time period greater than one day.
This is because natural market forces called contango and backwardation have impacted the total return on an investment in USL’s shares during the past year relative to a hypothetical direct investment in crude oil and, in the future, it is likely that the relationship between the market price of USL’s shares and changes in the spot prices of light, sweet crude oil will continue to be so impacted by contango and backwardation. (It is important to note that the disclosure above ignores the potential costs associated with physically owning and storing crude oil, which could be substantial).
In addition, USCF believes that market arbitrage opportunities will cause daily changes in USL’s share price on the NYSE Arca on a percentage basis to closely track daily changes in USL’s per share NAV on a percentage basis. USCF further believes that the daily changes in the average prices of the Benchmark Oil Futures Contracts have historically closely

~~Table of Contents~~

tracked the daily changes in prices of light, sweet crude oil. USCF believes that the net effect of these relationships will be that the daily changes in the price of USL’s shares on the NYSE Arca on a percentage basis will closely track the daily changes in the spot price of a barrel of light, sweet crude oil on a percentage basis, less USL’s expenses.

USCF believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Oil Futures Contracts (as defined below) and Other Oil-Related Investments (as defined below). USL accomplishes its objective through investments in futures contracts for light, sweet crude oil and other types7

Table of crude oil, diesel-heating oil, gasoline, natural gas and other petroleum-based fuels that are traded on the NYMEX, ICE Futures or other U.S. and foreign exchanges (collectively, “Oil Futures Contracts”) and other oil-related investments such as cash-settled options on Oil Futures Contracts, forward contracts for oil, cleared swap contracts and over-the-counter (“OTC”) transactions that are based on the price of crude oil, diesel-heating oil, gasoline, natural gas and other petroleum-based fuels, Oil Futures Contracts and indices based on the foregoing (collectively, “Other Oil-Related Investments”). Contents

As of June 30, ~~2021,~~2022, USL held ~~2,713~~1,445 Oil Futures Contracts for light, sweet crude oil traded on the NYMEX and did not hold any Oil Futures Contracts traded on the ICE Futures.

USL commenced investment operations on December 6, 2007 and has a fiscal year ending on December 31. USCF is responsible for the management of USL. USCF is a member of the National Futures Association (the “NFA”) and became registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) effective December 1, 2005 and a swaps firm on August 8, 2013.

USCF is also the general partner of the United States Oil Fund, LP (“USO”), the United States Natural Gas Fund, LP (“UNG”) and the United States Gasoline Fund, LP (“UGA”), which listed their limited partnership shares on the AMEX under the ticker symbols “USO” on April 10, 2006, “UNG” on April 18, 2007 and “UGA” on February 26, 2008, respectively. As a result of the acquisition of the AMEX by NYSE Euronext, each of USO’s, UNG’s and UGA’s shares commenced trading on the NYSE Arca on November 25, 2008. USCF is also the general partner of the United States 12 Month Natural Gas Fund, LP (“UNL”) and the United States Brent Oil Fund, LP (“BNO”), which listed their limited partnership shares on the NYSE Arca under the ticker symbols “UNL” on November 18, 2009 and “BNO” on June 2, 2010, respectively. USCF previously served as the general partner for the United States Short Oil Fund, LP (“DNO”) and the United States Diesel-Heating Oil Fund, LP (“UHN”), both of which were liquidated in 2018.

USCF is also the sponsor of the United States Commodity Index Funds Trust (“USCIFT”), a Delaware statutory trust and each of its series: the United States Commodity Index Fund (“USCI”), and the United States Copper Index Fund (“CPER”~~) and the USCF Crescent Crypto Index Fund (“XBET”~~). USCI and CPER listed their shares on the NYSE Arca under the ticker symbols “USCI” on August 10, 2010 and “CPER” on November 15, 2011, respectively. ~~A registration statement that had been previously filed for XBET was withdrawn on June 25, 2020.~~

USL, USO, UNG, UGA, UNL, ~~USL,~~ BNO, USCI and CPER are referred to collectively herein as the “Related Public Funds.”

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

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

On December 4, 2007, USL initially registered 11,000,000 shares on Form S-1 with the U.S. Securities and Exchange Commission (the “SEC”). On December 6, 2007, USL listed its shares on the AMEX under the ticker symbol “USL” and switched to trading on the NYSE Arca under the same ticker symbol on November 25, 2008. On that day, USL established its initial per share NAV by setting the price at $50.00 and issued 300,000 shares in exchange for $15,000,000. USL also

~~Table of Contents~~

commenced investment operations on December 6, 2007, by purchasing Oil Futures Contracts traded on the NYMEX based on light, sweet crude oil. As of June 30, ~~2021,~~2022, USL had registered a total of 311,000,000 shares.

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

Table of Contents

NOTE 2 — SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

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

Revenue Recognition

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

Brokerage Commissions

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

Income Taxes

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

In accordance with U.S. GAAP, USL 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. USL files an income tax return in the U.S. federal jurisdiction and may file income tax returns in various U.S. states. USL is not subject to income tax return examinations by major taxing authorities for years before ~~2017.~~2018. 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 USL recording a tax liability that reduces net assets. However, USL’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analysis of and changes to tax laws, regulations and interpretations thereof. USL recognizes 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 June 30, ~~2021.~~2022.

~~Table of Contents~~

Creations and Redemptions

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

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

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

Partnership Capital and Allocation of Partnership Income and Losses

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

Table of Contents

Calculation of Per Share NAV

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

Net Income (Loss) Per Share

Net income (loss) per share is the difference between the per share NAV at the beginning of each period and at the end of each period. The weighted average number of shares outstanding was computed for purposes of disclosing net income (loss) per weighted average share. The weighted average shares are equal to the number of shares outstanding at the end of the period, adjusted proportionately for shares added and redeemed based on the amount of time the shares were outstanding during such period. There were no shares held by USCF at June 30, ~~2021.~~2022.

Offering Costs

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

Cash Equivalents

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

Reclassification

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

~~Table of Contents~~

Use of Estimates

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

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

USCF Management Fee

Under the LP Agreement, USCF is responsible for investing the assets of USL in accordance with the objectives and policies of USL. In addition, USCF has arranged for one or more third parties to provide administrative, custody, accounting, transfer agency and other necessary services to USL. For these services, USL is contractually obligated to pay USCF a fee, which is paid monthly, equal to 0.60% per annum of average daily total net assets.

Table of Contents

Ongoing Registration Fees and Other Offering Expenses

USL pays all costs and expenses associated with the ongoing registration of its shares subsequent to the initial offering. These costs include registration or other fees paid to regulatory agencies in connection with the offer and sale of shares, and all legal, accounting, printing and other expenses associated with such offer and sale. For the six months ended June 30, ~~2021~~2022 and ~~2020,~~2021, USL incurred $75,115 and ~~$39,650,~~$75,115, respectively, in registration fees and other offering expenses.

Independent Directors’ and Officers’ Expenses

USL is responsible for paying its portion of the directors’ and officers’ liability insurance for USL and the other Related Public Funds and the fees and expenses of the independent directors who also serve as audit committee members of USL and the other Related Public Funds. USL shares the fees and expenses on a pro rata basis with each other Related Public Fund, as described above, based on the relative assets of each Related Public Fund computed on a daily basis. These fees and expenses for the year ending December 31, ~~2021~~2022 are estimated to be a total of ~~$48,000~~$49,000 for USL and, in the aggregate for USL and the other Related Public Funds, ~~$1,061,000.~~$1,258,000.

Licensing Fees

As discussed in Note 4 below, USL entered into a licensing agreement with the NYMEX on April 10, 2006, as amended on October 20, 2011. Pursuant to the agreement, USL and the other Related Public Funds, other than BNO, USCI and CPER, pay a licensing fee that is equal to 0.015% on all net assets. During the six months ended June 30, ~~2021~~2022 and ~~2020,~~2021, USL incurred ~~$15,289~~$10,931 and ~~$10,251,~~$15,289, respectively under this arrangement.

Investor Tax Reporting Cost

The fees and expenses associated with USL’s audit expenses and tax accounting and reporting requirements are paid by USL. These costs are estimated to be ~~$244,000~~$275,000 for the year ending December 31, ~~2021.~~2022. Tax reporting costs fluctuate between years due to the number of shareholders during any given year.

Other Expenses and Fees

In addition to the fees described above, USL pays all brokerage fees and other expenses in connection with the operation of USL, excluding costs and expenses paid by USCF as outlined in Note 4 – Contracts and Agreements below.

~~Table of Contents~~

NOTE 4 — CONTRACTS AND AGREEMENTS

Marketing Agent Agreement

USL is party to a marketing agent agreement, dated as of November 13, 2007, as amended from time to time, with the Marketing Agent and USCF, whereby the Marketing Agent provides certain marketing services for USL as outlined in the agreement. The fee of the Marketing Agent, which is borne by USCF, is equal to 0.06% on USL’s assets up to $3 billion and 0.04% on USL’s assets in excess of $3 billion. In no event may the aggregate compensation paid to the Marketing Agent and any affiliate of USCF for distribution-related services exceed 10% of the gross proceeds of USL’s offering.

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

Custody, Transfer Agency and Fund Administration and Accounting Services Agreements

USCF engaged The Bank of New York Mellon, a New York corporation authorized to do a banking business (“BNY Mellon”), to provide USL and each of the other Related Public Funds with certain custodial, administrative and accounting, and transfer agency services, pursuant to the following agreements with BNY Mellon dated as of March 20, 2020 (together, the “BNY Mellon Agreements”), which were effective as of April 1, 2020: (i) a Custody Agreement; (ii) a Fund Administration and Accounting Agreement; and (iii) a Transfer Agency and Service Agreement. USCF pays the fees of BNY Mellon for its services under the BNY Mellon Agreements and such fees are determined by the parties from time to time.

Brown Brothers Harriman and Co. (“BBH&Co.”) previously served as the Administrator, Custodian, Transfer Agent and Fund Accounting Agent for USL and the Related Public Funds prior to BNY Mellon commencing such services on April 1, 2020. Certain fund accounting and fund administration services rendered by BBH&Co. to USL and the Related Public Funds terminated on May 31, 2020 to allow for the transition to BNY Mellon.11

Table of Contents

Brokerage and Futures Commission Merchant Agreements
USL entered into a brokerage agreement with RBC Capital Markets LLC (“RBC”) to serve as USL’s FCM effective October 10, 2013. USL has engaged each of RCG Division of Marex Spectron (“RCG”), E D & F Man Capital Markets Inc. (“MCM”) and Macquarie Futures USA LLC (“MFUSA”) to serve as an additional ~~FCM~~FCMs to USL effective on May 28, 2020, June 5, 2020, and December 3, 2020, respectively. The agreements with USL’s FCMs require the FCMs to provide services to USL in connection with the purchase and sale of Oil Futures Contracts and Other Oil-Related Investments that may be purchased and sold by or through the applicable FCM for USL’s account. In accordance with the FCM agreements, USL pays each FCM commissions of approximately $7 to $8 per round-turn trade, including applicable exchange, clearing and NFA fees for Oil Futures Contracts and options on Oil Futures Contracts. Such fees include those incurred when purchasing Oil Futures Contracts and options on Oil Futures Contracts when USL issues shares as a result of a Creation Basket, as well as fees incurred when selling Oil Futures Contracts and options on Oil Futures Contracts when USL redeems shares as a result of a Redemption Basket. Such fees are also incurred when Oil Futures Contracts and options on Oil Futures Contracts are purchased or redeemed for the purpose of rebalancing the portfolio. USL also incurs commissions

~~Table of Contents~~

to brokers for the purchase and sale of Oil Futures Contracts, Other Oil-Related Investments or short-term obligations of the United States of two years or less (“Treasuries”).

Six months ended

Six months ended


June 30,

June 30,

Six months ended

Six months ended


2021

2020


June 30, 2022

June 30, 2021

Total commissions accrued to brokers

$
15,806

$
74,177

$
8,405

$
15,806

Total commissions as annualized percentage of average total net assets

0.02
%

0.11
%

0.01
%

0.02
%
Commissions accrued as a result of rebalancing

$
10,913

$
16,605

$
6,283

$
10,913

Percentage of commissions accrued as a result of rebalancing

69.04
%

22.39
%

74.75
%

69.04
%
Commissions accrued as a result of creation and redemption activity

$
4,893

$
57,572

$
2,122

$
4,893

Percentage of commissions accrued as a result of creation and redemption activity

30.96
%

77.61
%

25.25
%

30.96
%

The decrease in total commissions accrued to brokers for the six months ended June 30, ~~2021,~~2022, compared to the six months ended June 30, ~~2020,~~2021, was due primarily to a lower number of crude oil futures contracts being held and traded.

NYMEX Licensing Agreement
USL and the NYMEX entered into a licensing agreement on April 10, 2006, as amended on October 20, 2011, whereby USL was granted a non-exclusive license to use certain of the NYMEX’s settlement prices and service marks. Under the licensing agreement, USL and the other Related Public Funds, other than BNO, USCI, and CPER, pay the NYMEX an asset-based fee for the license, the terms of which are described in Note 3. USL expressly disclaims any association with the NYMEX or endorsement of USL by the NYMEX and acknowledges that “NYMEX” and “New York Mercantile Exchange” are registered trademarks of the NYMEX.

NOTE 5 — FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND CONTINGENCIES
USL may engage in the trading of futures contracts, options on futures contracts, cleared swaps and OTC swaps (collectively, “derivatives”). USL 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.

Table of Contents

USL may enter into futures contracts, options on futures contracts, cleared swaps, and OTC-swaps to gain exposure to changes in the value of an underlying commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of a commodity at a specified time and place. Some futures contracts may call for physical delivery of the asset, while others are settled in cash. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. Cleared swaps are agreements that are eligible to be cleared by a clearinghouse, e.g., ICE Clear Europe, and provide the efficiencies and benefits that centralized clearing on an exchange offers to traders of futures contracts, including credit risk intermediation and the ability to offset positions initiated with different counterparties. OTC swaps are entered into between two parties in private contracts. In an OTC swap, each party bears credit risk to the other party, i.e., the risk that the other party may not be able to perform its obligations under the OTC swap.

The purchase and sale of futures contracts, options on futures contracts and cleared swaps require margin deposits with an FCM. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires FCMs to segregate all customer transactions and assets from the FCM’s proprietary transactions and assets. To reduce the credit risk that arises in connection with OTC swaps, USL will generally enter into an agreement with each counterparty based on the Master Agreement published by the International Swaps and Derivatives Association, Inc., which provides for the netting of its overall exposure to its counterparty. The Master Agreement is negotiated as between the parties and would address, among other things, the exchange of margin between the parties.

~~Table of Contents~~

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

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

~~A novel strain~~Significant market volatility has recently occurred in the crude oil markets and the crude oil futures markets. Such volatility is attributable in part to the COVID-19 pandemic, related supply chain disruptions, war, including the war between Russia and the Ukraine, and continuing disputes among natural gas-producing countries. These and other events could cause continuing or increased volatility in the future, which may affect the value, pricing and liquidity of ~~coronavirus (COVID-19) outbreak was declared a pandemic~~some investments or other assets, including those held by ~~the World Health Organization on March 11, 2020. The situation is evolving with various cities~~or invested in by USL and countries around the world responding in different ways to address the outbreak. There are direct and indirect economic effects developing for various industries and individual companies throughout the world. Management will continue to monitor the impact ~~COVID-19 has on~~of which could limit USL’s ability to have a substantial portion of its assets invested in the Benchmark Futures Contracts. In such a circumstance, USL could, if it determined it appropriate to do so in light of market conditions and ~~reflect the consequences as appropriate~~regulatory requirements, invest in USL’s accounting and financial reporting. The pandemic spread of the novel coronavirus and related geopolitical events could lead to increased market volatility, disruption to U.S. and world economies and markets and may have significant adverse effects on USL and its investments.other Oil Futures Contracts and/or Other Oil-Related Investments.

All of the futures contracts held by USL through June 30, ~~2021~~2022 were exchange-traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC swaps since, in OTC swaps, a party must rely solely on the credit of its respective individual counterparties. However, in the future, if USL 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. USL 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, USL bears the risk of financial failure by the clearing broker.

Table of Contents

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

USCF invests a portion of USL’s cash in money market funds that seek to maintain a stable per share NAV. USL is exposed to any risk of loss associated with an investment in such money market funds. As of June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, USL held investments in money market funds in the amounts of ~~$141,896,000~~$63,625,000 and ~~$20,196,000,~~$91,796,000, respectively. USL also holds cash deposits with its custodian. As of June 30, ~~2021~~2022 and December 31, ~~2020,~~2021, USL held cash deposits and investments in Treasuries in the amounts of ~~$32,342,551~~$56,646,366 and ~~$162,355,168~~$37,767,728 respectively, with the custodian and FCMs. Some or all of these amounts may be subject to loss should USL’s custodian and/or FCMs cease operations.

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

~~Table of Contents~~

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

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

NOTE 6 — FINANCIAL HIGHLIGHTS
The following table presents per share performance data and other supplemental financial data for the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021 for the shareholders. This information has been derived from information presented in the condensed financial statements.


Three months ended


Three months ended

Six months ended

Six months ended


Three months ended

Three months ended

Six months ended

Six months ended

June 30, 2021

June 30, 2020

June 30, 2021

June 30, 2020

June 30, 2022

June 30, 2021

June 30, 2022

June 30, 2021

(Unaudited)

(Unaudited)

(Unaudited)

(Unaudited)


(Unaudited)

(Unaudited)

(Unaudited)

(Unaudited)

Per Share Operating Performance:

















Net asset value, beginning of period

$
20.89

$
12.16

$
17.23

$
22.95

$
36.99

$
20.89

$
27.81

$
17.23

Total income (loss)

4.77

2.57

8.48

(8.19)

2.58

4.77

11.83

8.48

Total expenses

(0.05)

(0.03)

(0.10)

(0.06)

(0.09)

(0.05)

(0.16)

(0.10)

Net increase (decrease) in net asset value

4.72

2.54

8.38

(8.25)

2.49

4.72

11.67

8.38

Net asset value, end of period

$
25.61

$
14.70

$
25.61

$
14.70

$
39.48

$
25.61

$
39.48

$
25.61

Total Return

22.59
%

20.89
%

48.64
%

(35.95)
%

6.73
%

22.59
%

41.96
%

48.64
%

Ratios to Average Net Assets

















Total income (loss)

20.62
%

43.12
%

40.35
%

53.68
%

6.58
%

20.62
%

35.44
%

40.35
%
Management fees^#

0.60
%

0.60
%

0.60
%

0.60
%

0.60
%

0.60
%

0.60
%

0.60
%
Total expenses excluding management fees^#

0.34
%

0.30
%

0.30
%

0.30
%

0.30
%

0.34
%

0.30
%

0.30
%
Net income (loss)

20.38
%

42.90
%

39.90
%

53.23
%

6.35
%

20.38
%

35.00
%

39.90
%
#    Annualized.
Total returns are calculated based on the change in value during the period. An individual shareholder’s total return and ratio may vary from the above total returns and ratios based on the timing of contributions to and withdrawals from USL.

Table of Contents

NOTE 7 — FAIR VALUE OF FINANCIAL INSTRUMENTS
USL values its investments in accordance with Accounting Standards Codification 820 – Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosures about fair value measurement. The changes to past practice resulting from the application of ASC 820 relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurement. ASC 820 establishes a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of USL (observable inputs) and (2) USL’s 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.

~~Table of Contents~~

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 USL’s securities at June 30, ~~2021~~2022 using the fair value hierarchy:

At June 30, 2021

Total

Level I

Level II

Level III
Short-Term Investments

$
141,896,000

$
141,896,000

$
—

$
—
Exchange-Traded Futures Contracts








United States Contracts

51,958,790

51,958,790

—

—

At June 30, 2022

Total

Level I

Level II

Level III
Short-Term Investments

$
63,625,000

$
63,625,000

$
—

$
—
Exchange-Traded Futures Contracts








United States Contracts

22,893,340

22,893,340

—

—

The following table summarizes the valuation of USL’s securities at December 31, ~~2020~~2021 using the fair value hierarchy:

At December 31, 2020

Total

Level I

Level II

Level III
At December 31, 2021

Total

Level I

Level II

Level III
Short-Term Investments

$
20,196,000

$
20,196,000

$
—

$
—

$
91,796,000

$
91,796,000

$
—

$
—
Exchange-Traded Futures Contracts
















United States Contracts

36,882,450

36,882,450

—

—

$
19,648,030

$
19,648,030

$
—

$
—

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

Condensed

Statements of

Fair Value at

Fair Value at

Condensed Statements of

Fair Value at

Fair Value at

Financial

June 30,

December 31,

Financial

June 30,

December 31,
Derivatives not Accounted for as Hedging Instruments

Condition Location

2021

2020

Condition Location

2022

2021
Futures - Commodity Contracts

Assets

$
51,958,790

$
36,882,450

Assets

$
22,893,340

$
19,648,030

Table of Contents

The Effect of Derivative Instruments on the Condensed Statements of Operations

For the six months ended

For the six months ended

For the six months ended

For the six months ended

June 30, 2021

June 30, 2020

June 30, 2022

June 30, 2021

Change in

Change in

Change in

Change in
Derivatives

Location of

Realized

Unrealized

Realized

Unrealized
not Accounted

Gain (Loss)

Gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on
for as

on Derivatives

on Derivatives

Derivatives

in Derivatives

Derivatives
Hedging

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in
Instruments

Income

Income

Income

Income

Income

Location of

Realized

Unrealized

Realized

Unrealized

Gain (Loss)

gain (Loss)

Gain (Loss) on

Gain (Loss)

Gain (Loss) on

on Derivatives

on Derivatives

Derivatives

in Derivatives

Derivatives

Recognized in

Recognized in

Recognized in

Recognized in

Recognized in
Derivatives not Accounted for as Hedging Instruments

Income

Income

Income

Income

Income
Futures - Commodity Contracts

Realized gain (loss) on closed positions

$
67,813,560

$
10,650,520

Realized gain (loss) on closed positions

$
48,671,620

$
67,813,560

Change in unrealized gain (loss) on open positions

$
15,076,340

$
62,774,039

Change in unrealized gain (loss) on open positions

$
3,245,310

$
15,076,340

~~Table of Contents~~

NOTE 8 ~~— RECENT ACCOUNTING PRONOUNCEMENTS~~

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

~~NOTE 9~~ — SUBSEQUENT EVENTS

USL has performed an evaluation of subsequent events through the date the condensed financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

1716

Table of Contents

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 12 Month Oil Fund, LP (“USL”) 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 USL’s actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any ~~forward- looking~~forward-looking statements. USL believes these factors include, but are not limited to, the following: changes in inflation in the United ~~States;~~States, movements in U.S. and foreign ~~currencies;~~currencies, market volatility in the crude oil markets and futures markets, in part attributable to the COVID-19 pandemic ~~disputes among oil-producing countries over the potential limits on the production~~that began in February 2020 and Russia’s invasion of ~~crude oil, changes~~Ukraine in demand for crude oil and storage for crude oil; uncertainties associated with the impact from the coronavirus (COVID-19) pandemic, including: its impact on the global and U.S. capital markets and the global and U.S. economy, the length and duration of the COVID-19 outbreak in the United States as well as worldwide and the magnitude of the economic impact of that outbreak, the effect of the COVID-19 pandemic on USL’s business prospects, including its ability to achieve its objectives, and the effect of the disruptions caused by the COVID-19 pandemic on our ability to continue to effectively manage our business.February 2022. Forward-looking statements, which involve assumptions and describe USL’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 USL cannot assure investors that the projections included in these forward-looking statements will come to pass. USL’s actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.
USL 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 USL assumes no obligation to update any such forward-looking statements. Although USL 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 USL may make directly to them or through reports that USL files in the future with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.
Introduction
USL, a Delaware limited partnership, is a commodity pool that issues shares that may be purchased and sold on the NYSE Arca. The investment objective of USL is for the daily changes in percentage terms of its shares’ per share NAV to reflect the daily changes, in percentage terms, of the spot price of light, sweet crude oil delivered to Cushing, Oklahoma, as measured by the daily changes in the average of the prices of 12 futures contracts for light, sweet crude oil traded on the NYMEX that is the near month contract to expire and the contracts for the following 11 months for a total of 12 consecutive months’ contracts, except when the near month contract is within two weeks of expiration, in which case it will be measured by the futures contract that is the next month contract to expire and the contracts for the following 11 consecutive months, (the “Benchmark Oil Futures Contracts”), plus interest earned on USL’s collateral holdings, less USL’s expenses. “Near month contract” means the next contract traded on the NYMEX due to expire. “Next month contract” means the first contract traded on the NYMEX due to expire after the near month contract. When calculating the daily movement of the average price of the 12 contracts, each contract month is equally weighted. USL seeks to achieve its investment objective by investing so that the average daily percentage in USL’s NAV for any period of 30 successive valuation days will be within plus/minus ten percent (10%) of the average daily percentage change in the price of the Benchmark Oil Futures Contracts over the same period.
USL’s investment objective is notfor its NAV or market price of shares to equal, in dollar terms, the spot price of light, sweet crude oil or any particular futures contract based on light, sweet crude oil, nor is USL’s investment objective for the percentage change in its NAV to reflect the percentage change of the price of any particular futures contract as measured over a time period greater than one day. The general partner of USL, United States Commodity Funds LLC

~~Table of Contents~~

(“USCF”) believes that it is not practical to manage the portfolio to achieve such an investment goal when investing in Oil Futures Contracts (as defined below) and Other Oil-Related Investments (as defined below).

Table of Contents

USL invests primarily in futures contracts for light, sweet crude oil, other types of crude oil, heating oil, gasoline, natural gas and other petroleum-based fuels that are traded on the NYMEX, ICE Futures or other U.S. and foreign exchanges (collectively, “Oil Futures Contracts”) and to a lesser extent, in order to comply with regulatory requirements or in view of market conditions, other oil-related investments such as cash-settled options on Oil Futures Contracts, forward contracts for oil, cleared swap contracts and OTC swaps that are based on the price of oil, other petroleum-based fuels, Oil Futures Contracts and indices based on the foregoing (collectively, “Other Oil-Related Investments”). For convenience and unless otherwise specified, Oil Futures Contracts and Other Oil-Related Investments collectively are referred to as “Oil Interests” in this quarterly report on Form 10-Q.

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

~~USL seeks to achieve its investment objective by investing so that~~Regulatory Disclosure

The regulation of commodity interest trading in the ~~average daily percentage change in USL’s NAV for any period of 30 successive valuation days will be within plus/minus ten percent (10%)~~United States and other countries is an evolving area of the ~~average daily percentage change~~law. Below are certain key regulatory requirements that are, or may be, relevant to USL. The various statements made in this summary are subject to modification by legislative action and changes in the ~~price~~rules and regulations of the ~~Benchmark Oil Futures Contract over~~SEC, Financial Industry Regulatory Authority (“FINRA”), CFTC, NFA, the ~~same period.~~

~~Regulatory Disclosure~~futures exchanges, clearing organizations and other regulatory bodies. Pending final resolution of all applicable regulatory requirements, some examples of how new rules and regulations could impact USL are discussed in “Item 1. Business” in this quarterly report on Form 10-Q.

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

The accountability levels for the Benchmark Oil Futures Contracts and other Oil Futures Contracts traded on U.S.-based futures exchanges, such as the NYMEX, are not a fixed ceiling, but rather a threshold above which the NYMEX may exercise greater scrutiny and control over an investor’s positions. The current accountability level for investments for any one month in the Benchmark Oil Futures Contracts is 10,000 contracts. In addition, the NYMEX imposes an accountability level for all months of 20,000 net futures contracts for light, sweet crude oil. In addition, ICE Futures maintains accountability levels, position limits and monitoring authority for its futures contracts for light, sweet crude oil. If USL and the other Related Public Funds exceed these accountability levels for investments in the futures contracts for light, sweet crude oil, the NYMEX and ICE Futures will monitor such exposure and may ask for further information on their activities including the total size of all positions, investment and trading strategy, and the extent of liquidity resources of USL and the other Related Public Funds. If deemed necessary by the NYMEX and/or ICE Futures, USL could be ordered to reduce its net futures contracts back to the accountability level.

USCF received letters from the CME on behalf of the NYMEX Market Regulation Department on April 16, 2020 (the “April 16 CME Letter”) and on April 23, 2020 (the “April 23 CME Letter”, and together with the April 16 CME Letter, the “CME Letters”). The CME Letters ordered USCF and the Related Public Funds not to exceed accountability levels in specified light, sweet crude oil futures contracts and not to assume any positions in the specified light, sweet crude oil futures contract in excess of the exchange established position limits. The accountability levels and position limits are set forth in the April 23 CME Letter which superseded the April 16 CME Letter. The April 23 CME Letter ordered USCF, USL and the Related Public Funds not to exceed accountability levels in excess of 10,000 futures contracts in the light,

~~Table of Contents~~

~~sweet crude oil futures contract for June 2020. While these limits no longer apply, NYMEX's~~NYMEX’s current accountability levels for any one month in the Benchmark Oil Futures Contract is 10,000 contracts, and an accountability level for all months of 20,000 net futures contracts for light sweet crude oil, do apply. As of June 30, ~~2021,~~2022, USL held ~~2,713~~1,445 futures contracts for light, sweet crude oil traded on the NYMEX and did not hold any Oil Futures Contracts traded on the ICE Futures. For the six months ended June 30, ~~2021,~~2022, USL did not exceed the accountability levels imposed by the NYMEX or ICE ~~Futures;~~Futures, however, the aggregated total of certain of the other Related Public Funds did exceed the accountability levels. No action was taken by NYMEX and USL did not reduce the number of Oil Futures Contracts held as a result.

Table of Contents

Position limits differ from accountability levels in that they represent fixed limits on the maximum number of futures contracts that any person may hold and cannot allow such limits to be exceeded without express CFTC authority to do so. In addition to accountability levels and position limits that may apply at any time, the NYMEX and ICE Futures impose position limits on contracts held in the last few days of trading in the near month contract to expire. It is unlikely that USL will run up against such position limits because USL’s investment strategy is to close out its positions and “roll” from the near month contract to expire and the eleven following months to the next month contract to expire and the eleven following months during a one day each month. The April 23 CME Letter, discussed above, ordered USCF, USL and the Related Public Funds not to assume a position in the light, sweet crude oil futures contract for June 2020 in excess of 15,000 long futures contracts, for July 2020 in 78,000 long futures contracts, for August 2020 in 50,000 long futures contracts, for September 2020 in 35,000 long futures contracts. While these limits no longer apply, the position imposed by NYMEX and ICE, described above, do apply. The foregoing accountability levels and position limits are subject to change. For the six months ended June 30, ~~2021,~~2022, USL did not exceed any position ~~limits imposed by the NYMEX and ICE Futures.~~

The regulation of commodity interest trading in the United States and other countries is an evolving area of the law. The various statements made in this summary are subject to modification by legislative action and changes in the rules and regulations of the SEC, Financial Industry Regulatory Authority (“FINRA”), the CFTC, the NFA, the futures exchanges, clearing organizations and other regulatory bodies. Pending final resolution of all applicable regulatory requirements, some examples of how new rules and regulations could impact USL are discussed in “Item 1. Business” and “Item 1A. Risk Factors” in this quarterly report on Form 10-Q.limits.

~~Futures Contracts and~~Federal Position Limits

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

OnIn October ~~15,~~ 2020, the CFTC ~~approved~~adopted a ~~Position Limits Rule. The Position Limits Rule establishes~~rule to establish federal position limits for 25 core referenced futures contracts (comprised of agricultural, energy and metals futures contracts), futures and options linked to the core referenced futures contracts, and swaps that are economically equivalent to the core referenced futures ~~contracts.~~contracts (the “Position Limits Rule”). The ~~Position Limits Rule sets position~~ limits for ~~the spot month and non-spot month; however, the non-spot month limits only apply in respect of the agricultural~~ futures contracts ~~that~~ are currently subject to position limits under Part 150 of the CFTC regulations (the “legacy agricultural contracts”). With respect to regulatory oversight, the Position Limits Rule delegates authority to designated contract markets and swap execution facilities to oversee certain aspects of the position limits framework. In addition to setting the federal position limits, the Position Limits Rule also provides several exemptions from such position limits, including an expanded list of enumerated bona fide hedge exemptions and certain spread exemptions. Further, the Position Limits Rule sets forth two alternative processes for pursuing an exemption for non-enumerated hedge positions. Other than for the legacy agricultural contracts, compliance within effect; the limits ~~imposed by the Position Limits Rule will not be required until 2022, except that~~for economically equivalent swaps ~~need not comply with the Position Limits Rule until~~will become effective in 2023.

~~The~~Certain of the Benchmark Oil Futures ~~Contract will be~~Contracts are subject to position limits under the Position Limits Rule, and USL’s trading does not qualify asfor an ~~enumerated bona fide hedge.~~exemption therefrom. Accordingly, the Position Limits Rule could negatively impact the ability of USL to meet its investment objective by inhibiting USCF’s ability to effectively invest the proceeds from sales of Creation Baskets of USL in particular amounts and types of its permitted investments.

~~Table of Contents~~

Until such time as compliance with the Position Limits Rule is required, the regulatory architecture in effect prior to the adoption of the Position Limit Rules will govern transactions in commodities and related derivatives. Under that system, the CFTC enforces federal limits on speculation in the nine legacy agricultural contracts, while futures exchanges establish and enforce position limits and accountability levels for other agricultural products and certain energy products (e.g., oil and natural gas).

Under existing CFTC regulations and the Position Limits Rule, for the purpose of position limits, a market participant is generally required, subject to certain narrow exceptions, to aggregate all positions for which that participant controls the trading decisions with all positions for which that participant has a 10% or greater ownership interest in an account or position, as well as the positions of two or more persons acting pursuant to an express or implied agreement or understanding with that market participant (the “Aggregation Rules”).

~~OTC Swaps~~

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

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

The Final Margin Rules require minimum variation margin to be exchanged daily for non-cleared swaps and non-cleared security-based swaps between Covered Swap Entities and Swap Entities and between Covered Swap Entities and all financial end-users (without regard to the swaps exposure of the particular financial end-user). The minimum variation margin amount is the daily mark-to-market change in the value of the swap to the Covered Swap Entity, taking into account variation margin previously posted or collected. For non-cleared swaps and security-based swaps between Covered Swap Entities and financial end-users, variation margin may be posted or collected in cash or non-cash collateral that is considered eligible for initial margin purposes. Variation margin is not subject to segregation with an independent, third-party custodian, and may, if permitted by contract, be rehypothecated.

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

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) required the CFTC and the SEC to adopt their own margin rules to apply to a limited number of registered swap dealers, security-based swap dealers, major swap participants, and major security-based swap participants that are not subject to the jurisdiction of one of the Agencies. On December 16, 2015 the CFTC finalized its margin rules, which are substantially the same as the Final Margin Rules and have the same implementation timeline. The SEC adopted margin rules for security-based swap dealers and major security-based swap participants on June 21, 2019. The SEC’s margin rules are generally aligned with the Final

~~Table of Contents~~

Margin Rules and the CFTC’s margin rules, but they differ in a few key respects relating to timing for compliance and the manner in which initial margin must be segregated. USL does not currently engage in security-based swap transactions and, therefore, the SEC’s margin rules are not expected to apply to USL.

Mandatory Trading and Clearing of Swaps

CFTC regulations require that certain swap transactions be executed on organized exchanges or “swap execution facilities” and cleared through regulated clearing organizations (“derivative clearing organizations” (“DCOs”)), if the CFTC mandates the central clearing of a particular class of swap and such swap is “made available to trade” on a swap execution facility. Currently, swap dealers, major swap participants, commodity pools, certain private funds and entities predominantly engaged in activities that are financial in nature are required to execute on a swap execution facility, and clear, certain interest rate swaps and index-based credit default swaps. As a result, if USL enters into an interest rate or index-based credit default swap that is subject to these requirements, such swap will be required to be executed on a swap execution facility and centrally cleared. Mandatory clearing and “made available to trade” determinations with respect to additional types of swaps may be issued in the future, and, when finalized, could require USL to electronically execute and centrally clear certain OTC instruments presently entered into and settled on a bi-lateral basis. If a swap is required to be cleared, initial and variation margin requirements are set by the relevant clearing organization, subject to certain regulatory requirements and guidelines. Additional margin may be required and held by USL’s FCMs.

Margin for OTC Swaps

Rules put in place by U.S. federal banking regulators, the CFTC and the SEC require the daily exchange of variation margin and initial margin for swaps between swap dealers, major swap participants, security-based swap dealers, and major security-based swap participants (“Swap Entities”) and swaps between Swap Entities and their counterparties that are “financial end-users” (such rules, the “Margin Rules”). The Margin Rules require Swap Entities to exchange variation margin with all of their counterparties who are financial end-users. The minimum variation margin amount is the daily mark-to-market change in the value of the swap, taking into account the amount of variation margin previously posted or collected. Swap Entities are required to exchange initial margin with their financial end-users who have “material swaps exposure” (i.e., an average daily aggregate notional of $8 billion or more in non-cleared swaps calculated in accordance with the Margin Rules). The Margin Rules specify the types of collateral that may be posted or collected as initial margin or variation margin (generally cash, certain government, government-sponsored enterprise securities, certain liquid debt, certain equity securities, certain eligible publicly traded debt, and gold) and sets forth haircuts for certain collateral asset classes.

USL is not a Swap Entity under the Margin Rules, but it is a financial end-user. Accordingly, USL will be subject to the variation margin requirements of the Margin Rules for any swaps that it enters into. However, USL does not have material swaps exposure and, accordingly, USL will not be subject to the initial margin requirements of the Margin Rules.

Table of Contents

Other Requirements for Swaps

In addition to the margin requirements described above, swaps that are not required to be cleared and executed on a SEF but that are executed bilaterally are also subject to various requirements pursuant to CFTC regulations, including, among other things, reporting and recordkeeping requirements and, depending on the status of the counterparties, trading documentation requirements and dispute resolution requirements.

Derivatives Regulations in Non-U.S. Jurisdictions

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

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

In a rising rate environment, USL may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss.

When interest rates rise, the value of fixed income securities typically falls. In a rising interest rate environment, USL may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss. Interest rate risk is generally lower for shorter term investments and higher for longer term investments. The ~~SEC adopted amendments~~risk to ~~Rule 2a-7 under~~USL of rising interest rates may be greater in the ~~Investment Company Act~~future due to the end of ~~1940, as amended (“1940 Act”), which became effective in 2016,~~a long period of historically low rates, the effect of potential monetary policy initiatives, including actions taken by the U.S. Federal Reserve and other foreign equivalents to ~~reform~~curb inflation, and resulting market reaction to those initiatives. When interest rates fall, USL may be required to reinvest the proceeds from the sale, redemption or early prepayment of a Treasury Bill or money market ~~funds (“MMFs”). While the rule applies only to MMFs, it~~security at a lower interest rate.

USL may ~~indirectly affect institutional investors such as USL. A portion of USL’s assets that are not used for margin or collateral in the Futures Contracts currently are invested~~lose money by investing in government ~~MMFs. USL does not hold any non-government MMFs and does not anticipate investing in any non-government MMFs. However, if~~ money market funds.

USL invests in ~~other types of MMFs besides~~ government MMFs in the future, USL could be negatively impacted by investing in an MMF that does not maintain a stable $1.00 NAV or that has the potential to impose redemption fees and gates (temporary suspension of redemptions).

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

~~Table of Contents~~

Price Movements

Crude oil futures prices were volatile during the six months ended June 30, ~~2021.~~2022. The average price of the Benchmark Oil Futures Contracts started the period at ~~$48.27~~$72.40 per barrel. The high of the period was on June ~~25, 2021~~8, 2022 when the average price reached ~~$69.98~~$107.78 per barrel. The average low ~~price~~ for the period was on ~~January 4,~~December 31, 2021, which was ~~$47.61~~$72.40 per barrel. The period ended with the average price of the Benchmark Oil Futures Contracts at ~~$69.38~~$94.27 per barrel, an increase of approximately ~~43.73%~~30.21% over the period. USL’s per share NAV began the period at ~~$17.23~~$27.81 and ended the period at ~~$25.61~~$39.48 on June 30, ~~2021,~~2022, an increase of approximately ~~48.64%~~41.96% over the period. The average Benchmark Oil Futures Contracts prices listed above began with the February ~~2021~~2022 to January ~~2022~~2023 contracts and ended with the August ~~2021~~2022 to July ~~2022~~2023 contracts. AnThe increase of approximately ~~43.73%~~30.21% on the average price of the Benchmark Oil Futures Contracts listed above is a hypothetical return only and ~~could~~would not actually be ~~achieved~~realized by an investor holding Oil Futures Contracts. An investment in Oil Futures Contracts would need to be rolled forward during the time period described in order to simulate

Table of Contents

such a result. Furthermore, the change in the nominal price of these differing Oil Futures Contracts, measured from the start of the year to the end of the year, does not represent the actual benchmark results that USL seeks to track, which are more fully described below in the section titled ~~“Tracking~~“Tracking USL’s Benchmark.”

During the six months ended June 30, ~~2021,~~2022, the crude oil futures market alternated between states of contango and backwardation. On days when the market was in contango the price of the near month crude Oil Futures Contract is lower than the price of the next month crude Oil Futures Contract, or contracts further away from expiration. On days when the market is in backwardation, the price of the near month crude Oil Futures Contract is higher than the price of the next month crude Oil Futures Contract or contracts further away from expiration. For a discussion of the impact of backwardation and contango on total returns, see “Term Structure of Crude Oil Prices and the Impact on Total Returns” below.

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

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

Results of Operations and the Crude Oil Market

Results of Operations. On December 6, 2007, USL listed its shares on the AMEX under the ticker symbol “USL.” On that day, USL established its initial offering price at $50.00 per share and issued 300,000 shares to the initial Authorized Participant in exchange for $15,000,000 in cash. As a result of the acquisition of the AMEX by NYSE Euronext, USL’s shares ceased trading on the AMEX and commenced trading on the NYSE Arca on November 25, 2008.

As of June 30, ~~2021,~~2022, USL had issued ~~52,050,000~~52,150,000 shares, ~~7,350,000~~3,450,000 of which were outstanding. As of June 30, ~~2021,~~2022, there were ~~258,950,000~~258,850,000 shares registered but not yet issued. USL has registered 311,000,000 shares since inception.

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

As of June 30, ~~2021,~~2022, USL had the following Authorized Participants: Citadel Securities LLC, Citigroup Global Markets Inc., Goldman Sachs & Company, JP Morgan Securities ~~LLC,~~Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company, Inc., ~~Nomura Securities International Inc.,~~ RBC Capital Markets LLC, SG Americas Securities LLC, and Virtu ~~Americas LLC.~~Financial Capital Markets.

2321

Table of Contents

For the Six Months Ended June 30, ~~2021~~2022 Compared to the Six Months Ended June 30, ~~2020~~2021

Six

Six

months ended

months ended

June 30, 2021

June 30, 2020

Average daily total net assets

$
205,539,820

$
137,429,348

Dividend and interest income earned on Treasuries, cash and/or cash equivalents

$
29,911

$
326,336

Annualized yield based on average daily total net assets

0.03
%

0.48
%
Management fee

$
611,551

$
410,035

Total fees and other expenses excluding management fees

$
303,369

$
206,381

Fees and expenses related to the registration or offering of additional shares

$
75,115

$
39,650

Total commissions accrued to brokers

$
15,806

$
74,177

Total commissions as annualized percentage of average total net assets

0.02
%

0.11
%
Commissions accrued as a result of rebalancing

$
10,913

$
16,605

Percentage of commissions accrued as a result of rebalancing

69.04
%

22.39
%
Commissions accrued as a result of creation and redemption activity

$
4,893

$
57,572

Percentage of commissions accrued as a result of creation and redemption activity

30.96
%

77.61
%

Six months ended

Six months ended


June 30, 2022

June 30, 2021

Average daily total net assets

$
146,969,672

$
205,539,820

Dividend and interest income earned on Treasuries, cash and/or cash equivalents

$
168,468

$
29,911

Annualized yield based on average daily total net assets

0.23
%

0.03
%
Management fee

$
437,285

$
611,551

Total fees and other expenses excluding management fees

$
217,843

$
303,369

Fees and expenses related to the registration or offering of additional shares

$
75,115

$
75,115

Total commissions accrued to brokers

$
8,405

$
15,806

Total commissions as annualized percentage of average total net assets

0.01
%

0.02
%
Commissions accrued as a result of rebalancing

$
6,283

$
10,913

Percentage of commissions accrued as a result of rebalancing

74.75
%

69.04
%
Commissions accrued as a result of creation and redemption activity

$
2,122

$
4,893

Percentage of commissions accrued as a result of creation and redemption activity

25.25
%

30.96
%

Portfolio Expenses. USL's expenses consist of investment management fees, brokerage fees and commissions, certain offering costs, licensing fees, registration fees, the fees and expenses of the independent directors of USCF and expenses relating to tax accounting and reporting requirements. The management fee that USL pays to USCF is calculated as a percentage of the total net assets of USL. The fee is accrued daily and paid monthly.
Average interest rates earned on short-term investments held by USL, including cash, cash equivalents and Treasuries, were ~~lower~~higher during the six months ended June 30, ~~2021,~~2022, compared to the six months ended June 30, ~~2020.~~2021. As a result, the amount of income earned by USL as a percentage of average daily total net assets was ~~lower~~higher during the six months ended June 30, ~~2021,~~2022, compared to the six months ended June 30, ~~2020.~~2021. To the degree that the aggregate yield is ~~lower,~~higher, the net expense ratio, inclusive of income, will be ~~higher.~~lower.
The ~~increase~~decrease in total fees and other expenses excluding management fees for the six months ended June 30, ~~2021,~~2022, compared to the six months ended June 30, ~~2020,~~2021, was due primarily to ~~an increase~~a decrease in professional fees ~~directors’ fees~~ and ~~insurance.~~lower brokerage commissions.
The decrease in total commissions accrued to brokers for the six months ended June 30, ~~2021,~~2022, compared to the six months ended June 30, ~~2020,~~2021, was due primarily to a lower number of Oil Futures Contracts being held and traded.

2422

Table of Contents

For the Three Months Ended June 30, ~~2021~~2022 Compared to the Three Months Ended June 30, ~~2020~~2021


	Three			Three
	months ended			months ended			Three months ended			Three months ended
	June 30, 2021			June 30, 2020			June 30, 2022			June 30, 2021
Average daily total net assets	$	199,043,598		$	229,094,441		$	143,511,527		$	199,043,598
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	12,819		$	149,563		$	145,739		$	12,819
Annualized yield based on average daily total net assets		0.03	%		0.26	%		0.41	%		0.03	%
Management fee	$	297,747		$	341,764		$	214,677		$	297,747
Total fees and other expenses excluding management fees	$	171,196		$	169,261		$	107,455		$	171,196
Fees and expenses related to the registration or offering of additional shares	$	37,765		$	39,650		$	37,765		$	37,765
Total commissions accrued to brokers	$	7,974		$	69,031		$	3,889		$	7,974
Total commissions as annualized percentage of average total net assets		0.02	%		0.12	%		0.01	%		0.02	%
Commissions accrued as a result of rebalancing	$	5,365		$	13,904		$	3,208		$	5,365
Percentage of commissions accrued as a result of rebalancing		67.28	%		20.14	%		82.49	%		67.28	%
Commissions accrued as a result of creation and redemption activity	$	2,609		$	55,127		$	681		$	2,609
Percentage of commissions accrued as a result of creation and redemption activity		32.72	%		79.86	%		17.51	%		32.72	%

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

Average interest rates earned on short-term investments held by USL, including cash, cash equivalents and Treasuries, were ~~lower~~higher during the three months ended June 30, ~~2021,~~2022, compared to the three months ended June 30, ~~2020.~~2021. As a result, the amount of income earned by USL as a percentage of average daily total net assets was ~~lower~~higher during the three months ended June 30, ~~2021,~~2022, compared to the three months ended June 30, ~~2020.~~2021.

The ~~increase~~decrease in total fees and other expenses excluding management fees for the three months ended June 30, ~~2021,~~2022, compared to the three months ended June 30, ~~2020,~~2021, was due primarily to ~~an increase~~a decrease in professional ~~fees.~~fees and lower brokerage commissions.

The decrease in total commissions accrued to brokers for the three months ended June 30, ~~2021,~~2022, compared to the three months ended June 30, ~~2020,~~2021, was due primarily to a lower number of Oil Futures Contracts being held and traded.

Tracking USL’s Benchmark

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

~~Table of Contents~~

For the 30-valuation days ended June 30, ~~2021,~~2022, the average daily change in the Benchmark Oil Futures Contracts was ~~0.339%~~(0.034)%, while the average daily change in the per share NAV of USL over the same time period was ~~0.337%~~(0.035)%. The average daily difference was ~~(0.002)~~

Table of Contents

(0.001)% (or ~~(0.2)~~(0.1)% basis points, where 1 basis point equals 1/100 of 1)%, meaning that over this time period USL’s NAV performed within the plus or minus 10% range established as its benchmark tracking goal.

Since the commencement of the offering of USL’s shares to the public on December 6, 2007 to June 30, ~~2021,~~2022, the average daily change in the Benchmark Oil Futures Contracts was ~~0.004%~~0.018%, while the average daily change in the per share NAV of USL over the same time period was ~~0.003%~~0.017%. The average daily difference was (0.001)% (or (0.1)% basis points, where 1 basis point equals 1/100 of 1)%, meaning that over this time period USL’s NAV performed within the plus or minus 10% range established as its benchmark tracking goal.

The following two graphs demonstrate the correlation between the changes in USL’s NAV and the changes in the Benchmark Oil Futures Contracts. The first graph exhibits the daily changes in the last 30-valuation days ended June 30, ~~2021.~~2022. The second graph measures monthly changes since June 30, ~~2016~~2017 through June 30, ~~2021.~~2022.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

2624

Table of Contents

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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

For the six months ended June 30, 2022, the actual total return of USL as measured by changes in its per share NAV was 41.96%. This is based on an initial per share NAV of $27.81 as of December 31, 2021 and an ending per share NAV as of June 30, 2022 of $39.48. During this time period, USL made no distributions to its shareholders. However, if USL’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the Benchmark Oil Futures Contracts, USL would have had an estimated per share NAV of $39.61 as of June 30, 2022, for a total return over the relevant time period of 42.43%. The difference between the actual per share NAV total return of USL of 41.96% and the expected total return based on the Benchmark Oil Futures Contracts of 42.43% was a difference over the time period of (0.47)%, which is to say that USL’s actual total return underperformed its benchmark by that percentage. USL incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USL to track slightly lower or higher than daily changes in the price of the Benchmark Oil Futures Contracts.

By comparison, for the six months ended June 30, 2021, the actual total return of USL as measured by changes in its per share NAV was 48.64%. This iswas based on an initial per share NAV of $17.23 as of December 31, 2020 and an ending per share NAV as of June 30, 2021 of $25.61. During this time period, USL made no distributions to its shareholders. However, if USL’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the Benchmark Oil Futures Contracts, USL would have had an estimated per share NAV of $25.71 as of June 30, 2021, for a total return over the relevant time period of 49.22%. The difference between the actual per share NAV total return of USL of 48.64% and the expected total return based on the Benchmark Oil Futures Contracts of 49.22% was a difference over the time period of (0.58)%, which is to say that USL’s actual total return underperformed its benchmark by that percentage. USL ~~incurs~~incurred expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and net of positive or negative execution, tends to cause daily changes in the per share NAV of USL to track slightly lower or higher than daily changes in the price of the Benchmark Oil Futures Contracts.

By comparison, for the six months ended June 30, 2020, the actual total return of USL as measured by changes in its per share NAV was (35.95)%. This was based on an initial per share NAV of $22.95 as of December 31, 2019 and an ending per share NAV as of June 30, 2020 of $14.70. During this time period, USL made no distributions to its shareholders. However, if USL’s daily changes in its per share NAV had instead exactly tracked the changes in the daily total return of the Benchmark Oil Futures Contracts, USL would have had an estimated per share NAV of $14.69 as of June 30, 2020, for a total return over the relevant time period of (35.99)%. The difference between the actual per share NAV total return of USL of (35.95)% and the expected total return based on the Benchmark Oil Futures Contracts of (35.99)% was a difference over the time period of 0.04%, which is to say that USL’s actual total return outperformed its benchmark by that percentage. USL incurred expenses primarily composed of the management fee, brokerage commissions for the buying

2725

Table of Contents

~~and selling of futures contracts, and other expenses. The impact of these expenses, offset by interest and dividend income, and~~ net of positive or negative execution, tended to cause daily changes in the per share NAV of USL to track slightly lower or higher than daily changes in the price of the Benchmark Oil Futures Contracts.

There are currently three factors that have impacted or are most likely to impact USL’s ability to accurately track its Benchmark Oil Futures Contracts.

First, USL may buy or sell its holdings in the then current Benchmark Oil Futures Contracts at a price other than the closing settlement price of that contract on the day during which USL executes the trade. In that case, USL may pay a price that is higher, or lower, than that of the Benchmark Oil Futures Contracts, which could cause the changes in the daily per share NAV of USL to either be too high or too low relative to the daily changes in the average price of the Benchmark Oil Futures Contracts. During the six months ended June 30, ~~2021,~~2022, USCF attempted to minimize the effect of these transactions by seeking to execute its purchase or sale of the Benchmark Oil Futures Contracts at, or as close as possible to, the end of the day settlement price. However, it may not always be possible for USL 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 USL’s attempt to track the Benchmark Oil Futures Contracts.

Second, USL incurs expenses primarily composed of the management fee, brokerage commissions for the buying and selling of futures contracts, and other expenses. The impact of these expenses tends to cause daily changes in the per share NAV of USL to track slightly lower than daily changes in the price of the Benchmark Oil Futures Contracts. At the same time, USL earns dividend and interest income on its cash, cash equivalents and Treasuries. USL is not required to distribute any portion of its income to its shareholders and did not make any distributions to shareholders during the six months ended June 30, ~~2021.~~2022. Interest payments, and any other income, were retained within the portfolio and added to USL’s NAV. When this income exceeds the level of USL’s expenses for its management fee, brokerage commissions and other expenses (including ongoing registration fees, licensing fees and the fees and expenses of the independent directors of USCF), USL will realize a net yield that will tend to cause daily changes in the per share NAV of USL to track slightly higher than daily changes in the average of the prices of the Benchmark Oil Futures Contracts. If short-term interest rates rise above these ~~current~~ levels, the level of deviation created by the yield would increase. Conversely, if short-term interest rates were to decline, the amount of error created by the yield would decrease. When short-term yields drop to a level lower than the combined expenses of the management fee and the brokerage commissions, then the tracking error becomes a negative number and would tend to cause the daily returns of the per share NAV to underperform the daily returns of the Benchmark Oil Futures Contracts. USCF anticipates that interest rates may ~~continue to stagnate~~rise over the near future ~~near~~from historical lows. It is anticipated that fees and expenses paid by USL may continue to be higher than interest earned by USL. As such, USCF anticipates that USL could possibly underperform its benchmark so long as interest earned is ~~lower~~less than fees and expenses paid by USL.

Third, USL may hold Other Oil-Related Investments in its portfolio that may fail to closely track the Benchmark Oil Futures Contracts’ total return movements. In that case, the error in tracking the Benchmark Oil Futures Contracts could result in daily changes in the per share NAV of USL that are either too high, or too low, relative to the daily changes in the average price of the Benchmark Oil Futures Contracts. During the six months ended June 30, ~~2021,~~2022, USL did not hold any Other Oil-Related Investments. If USL increases in size, and due to its obligations to comply with market conditions and regulatory limits, USL may invest in Other Oil-Related Investments which may have the effect of increasing transaction related expenses and may result in increased tracking error.

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

~~Table of Contents~~

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

Table of Contents

continue holding a position in the current near month futures contract, this “roll” forward of the futures contract must be executed every month.

Contango and backwardation are natural market forces that have impacted the total return on an investment in USL’s shares during the past year relative to a hypothetical direct investment in crude oil. In the future, it is likely that the relationship between the market price of USL’s shares and changes in the spot prices of light, sweet crude oil will continue to be impacted by contango and backwardation. It is important to note that this comparison ignores the potential costs associated with physically owning and storing crude oil, which could be substantial.

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

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

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

2927

Table of Contents

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An alternative way to view the same data is to subtract the dollar price of the ~~13th~~13^th month crude oil futures contract from the dollar price of the near month crude oil futures contract, as shown in the chart below. When the difference is positive, the market is in backwardation. When the difference is negative, the market is in contango. The crude oil market spent time in both backwardation and contango during the last ten years.

3028

Table of Contents

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

An investment in a portfolio that owned only the near month crude oil futures contract would likely produce a different result than an investment in a portfolio that owned an equal number of each of the near 12 ~~months’~~months of crude oil futures contracts. Generally speaking, when the crude oil futures market is in backwardation, a portfolio of only the near month crude oil futures contract may tend to have a higher total return than a portfolio of 12 ~~months’~~months of the crude oil futures contract. Conversely, if the crude oil futures market was in contango, the portfolio containing only 12 ~~months’~~months of crude oil futures contracts may tend to outperform the portfolio holding only the near month crude oil futures contract.

Historically, the crude oil futures markets have experienced periods of contango and backwardation, with backwardation being in place somewhat less often than contango since oil futures trading started in 1983. Following the global financial crisis in the fourth quarter of

Table of Contents

2008, the crude oil market moved into contango and remained in contango for a period of several years. During parts of 2009, the level of contango was unusually steep as a combination of slack U.S. and global demand for crude oil and issues involving the physical transportation and storage of crude oil at Cushing, Oklahoma, the primary pricing point for oil traded in the U.S., led to unusually high inventories of crude oil. A combination of improved transportation and storage capacity, along with growing demand for crude oil globally, moderated the inventory build-up and led to reduced levels of contango by 2011. However, at the end of November 2014, global crude oil inventories grew rapidly after the Organization of Petroleum Exporting Countries (“OPEC”) voted to defend its market share against U.S. shale-oil producers, resulting in another period during which the crude oil market remained primarily in contango. This period of contango continued through December 31, 2017. Declining global crude oil inventories caused the market to flip into backwardation at the beginning of 2018 through late October 2018, at which point ongoing supply growth in the U.S., combined with increased OPEC production, once again led market participants to fear another global glut of crude oil. The crude oil market was primarily in contango the first half of 2019 and in backwardation during the second half of 2019. Crude oil flipped back into contango in January 2020 and remained predominantly in contango throughout 2020.

In March 2020, contango dramatically increased and reached historic levels during the economic crisis arising from the COVID-19 pandemic, related supply chain disruptions and ongoing disputes among oil producing ~~nations regarding limits on oil production levels.~~countries. This level of contango was due to significant market volatility that occurred in crude oil markets as well as oil futures markets. Crude oil prices collapsed in the wake of the COVID-19 demand shock, which reduced global petroleum consumption, and the price war launched by Saudi Arabia at the beginning of March 2020 in response to Russia’s unwillingness to participate in extending previously agreed upon supply cuts. An estimated twenty million barrels a day of crude demand evaporated

~~Table of Contents~~

as a result of quarantines and massive drops in industrial and manufacturing activity. Eventually, the United States, OPEC, Russia, and other oil producers around the world agreed to a historic 9.7 million barrel per day cut to crude supply. The supply cut along with the partial reopening of economies during the third quarter of 2020 reduced some of the unprecedented volatility oil markets experienced in the spring of 2020. Likewise, contango returned to moderate levels in May 2020. During the six months ended June 30, ~~2021,~~2022, the crude oil futures market was primarily in a state of backwardation as measured by the difference between the front month and the second month contract.

USCF believes that holding futures contracts whose expiration dates are spread out over a 12 month period of time will cause the total return of such a portfolio to vary compared to a portfolio that holds only a single month’s contract (such as the near month contract). In particular, USCF believes that the total return of a portfolio holding contracts with a range of expiration months will be impacted differently by the price relationship between different contract months of the same commodity future compared to the total return of a portfolio consisting of the near month contract. USCF believes that based on historical evidence a portfolio that held futures contracts with a range of expiration dates spread out over a 12 month period of time would typically be impacted less by the positive effect of backwardation, and less by the negative effect of contango, compared to a portfolio that held contracts of a single near month. As a result, absent the impact of any other factors, a portfolio of 12 different monthly contracts would tend to have a lower total return than a near month only portfolio in a backwardation market and a higher total return in a contango market. However, there can be no assurance that such historical relationships would provide the same or similar results in the future.

Periods of contango or backwardation do not materially impact USL’s investment objective of having the daily percentage changes in its per share NAV track the daily percentage changes in the average of the prices of the Benchmark Oil Futures Contracts since the impact of backwardation and contango tend to equally impact the daily percentage changes in price of both USL’s shares and the Benchmark Oil Futures Contracts. It is impossible to predict with any degree of certainty whether backwardation or contango will occur in the future. It is likely that both conditions will occur during different periods. Contango may persist for the foreseeable future, potentially at extreme levels at times, as a result of the ongoing uncertainty in the wake of the COVID-19 crisis.

Crude Oil Market. During the six months ended June 30, ~~2021,~~2022, the average price of the Benchmark Oil Futures Contracts traded in a range between ~~$47.61~~$73.56 to ~~$69.98.~~$107.78. The average price of the Benchmark Oil Futures Contracts increased ~~43.73%~~28.15% from the end of ~~2020~~2021 through June 30, ~~2021~~2022 finishing the quarter at ~~$69.38.~~$94.27.

The simultaneous demand and supply shocks from the COVID-19 pandemic and Saudi-Russia price war precipitated unparalleled risk and volatility in crude oil markets during the first half of 2020. Global demand for crude oil plummeted by as much as 30% in the spring of 2020 as workers around the world stopped driving, airlines cut flight schedules, and companies suspended operations. Meanwhile, U.S. crude oil supply reached 13 million barrels per day (mbd), capping a period of almost continuous growth since 2016. To offset the seemingly unstoppable U.S. production juggernaut, OPEC+ (a loose coalition between OPEC and non-member nations such as Russia and Mexico) had maintained an uneasy series of agreements to curtail their crude oil output in order to support crude oil prices. However, in early March of 2020, Russia refused Saudi Arabia’s proposal to extend cuts in response to the COVID-19 demand shock. The kingdom

Table of Contents

retaliated with a massive production increase, launching an all-out price war in the middle of a pandemic. Although the members of OPEC+ reached a record-shattering agreement in mid-April of 2020, the implementation of new supply cuts came too late to prevent crude oil prices from plummeting to historic lows, culminating in a drop into negative territory for the May WTI crude oil futures contract on April 20, 2020.

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

The unprecedented twin crises described above caused unparalleled effects on oil futures markets during 2020.

~~Table of Contents~~

First, WTI crude oil prices dipped below $20 for the first time since 2002 and hit an all-time closing low of $(37.63). Multiple record-breaking returns occurred between March and May of 2020. The price of the U.S. benchmark averaged $28 during the second quarter of 2020 compared to $46 during the first quarter of 2020 and $57 during calendar year 2019.

Second, crude oil price volatility went off-the-charts. For example, the 30-day annualized volatility of front month WTI crude oil futures prices reached 993% after averaging 35% in 2019 and 25% in the first two months of 2020. (If May crude oil futures had not gone negative on April 20, 2020, volatility would “only” have reached 416%).

Third, futures curves, which can exhibit conditions known as “contango” and “backwardation, moved into a condition that some market experts referred to as “super contango.” This was a result of extreme bearishness at the front of the futures curve due to rapidly filling storage facilities in the U.S. and around the world. Specifically, the front month WTI crude oil futures contract detached from the rest of the futures curve and fell to an extreme position relative to futures contracts with expiration dates in later months. On a percentage basis, the difference in price between the front month WTI Oil Futures Contract and the second month WTI Oil Futures Contract was more than double the previous record. This divergence caused the price of WTI Oil Futures Contracts with different expiration dates to move in different directions. For example, the price of the front month WTI Oil Futures Contract and second month WTI Oil Futures Contract typically move together (i.e., increase or decrease) about 99% of the time. However, in late April of 2020, the correlation of the price of the front and second month WTI Oil Futures Contracts was (24)%, meaning that these contracts were moving in opposite directions.

Fourth, market participants moved away from the front of the futures curve in favor of deferred contract months. The move to deferred contract months caused a historic change to relative levels of open interest among the different futures ~~contracts.~~contracts in 2020. For example, open interest in the front month futures contract fell an average of 40% during April, May, and June of 2020 compared to the average level of open interest during those same calendar months during the previous five years.

~~More recently, as~~As economies reopened and OPEC+ supply cuts were absorbed by the market, WTI crude oil prices rose from all-time lows in the spring of 2020 to ~~$48.52~~an average of $68.00 per barrel ~~on December 31, 2020. Prices continued rising~~ during ~~the first half of 2021 to a high of $74.05 before finishing the second quarter at $73.47.~~calendar year 2021. WTI crude oil inventories in the United States fell from a modern record of 541 mb in June 2020 to ~~445~~418 mb in by the end of the ~~second~~fourth quarter of 2021. ~~Meanwhile crude~~Crude oil production in the United States ~~declined~~fell below 10 mbd ~~during the second half of~~twice in 2020 and once in early 2021 after peaking at ~~over 13~~13.1 mbd in March of 2020. ~~Production topped 11.3~~U.S. production rose to 11.8 mbd by ~~the end of June of~~December 31, 2021. Similarly, OPEC production declined from over 30 mbd pre-COVID-19 to a pandemic low of 22.5 mbd before gradually recovering to ~~26.5~~28.1 mbd by ~~June~~December 31, 2021. ~~It is uncertain how quickly OPEC, Russia, or~~While the U.S. will return to pre-pandemic 2019 production levels. It is similarly difficult to forecast when the recovery in demand will occur given the ongoing threat posed by COVID-19 variants. While some market participants expect the rise in crude oil prices to continue, several factors could impact ~~the rise in prices. First, supply from both the U.S. and OPEC has been rebounding. Second, the majority~~ of ~~the demand recovery from~~ the COVID-19 pandemic ~~is now in the rearview mirror. Third, any increased supply from Iran would likely surprise the market as current expectations are for little~~appears to no progress in negotiations between Iran and the U.S. On the other hand, inflation could continue to increase, which would likely be a catalyst for ongoing crude oil price increases. The full impact of the world’s response to the COVID-19 pandemic still has not been determined. At this stage, it is impossible to predict whether crude oil prices will rise, fall, or remain stable. Highhave decreased, elevated risk remains in the oil markets until ~~demand and supply are fully balanced and~~ the ~~full impact of past,~~ current and future COVID-19 pandemic mitigation measures have fully subsided.

Table of Contents

Bullish fundamentals for crude oil prices were in place when Russia invaded Ukraine in February of 2022, causing the United States and other countries and certain international organizations to impose broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response. As a result of these sanctions, Russian barrels of oil that were intended for export were left stranded, which exacerbated an already limited supply situation. Russian oil producers have had to search for new buyers, while those countries and organizations that have imposed sanctions continue to search for additional sources of crude oil supply, including the 180 million barrels of crude oil that the U.S. announced would be released from the United States Strategic Petroleum Reserve. The war in Ukraine, sanctions and the corresponding disruption in the supply of Russian oil, have resulted in significant volatility in the oil markets, particularly in early March when WTI crude oil briefly rose to over $123.70 per barrel on March 8, 2022 then fell back to $95.04 per barrel on March 16, 2022, before rising and the falling again to end the first quarter of 2022 at $100.28 per barrel. A bullish trend for crude oil emerged from mid-April through early June 2022 when WTI crude oil again topped $120 per barrel before, once again, giving up gains to end the quarter at $105.76. The war in Ukraine and the potential for further supply disruptions and sanctions could lead to further volatility. However, if a resolution to the conflict were to occur, volatility could decrease and prices could decline somewhat in a short period of time. Conversely, crude oil prices may be highly reactive to developments as global buyers and sellers of crude reposition their relationships.

By June 2022, U.S. production rose to 12.1 mbd while OPEC production increased to 28.6 mbd. Despite a recovery in demand, the U.S., Russia, and OPEC have still not returned to pre-pandemic product levels, and the balance between the supply and demand has become increasingly tight. The ongoing demand recovery for crude oil during a time when supply is ~~known.~~lower has resulted in higher prices. Supply constraints, worker shortages, infrastructure and manufacturing energy usage, the Russia-Ukraine war, and other geopolitical tensions, all suggest a bullish case for crude oil. Conversely, crude prices have fallen somewhat from the highs reached in mid-June on hopes that OPEC might be able to curtail some of the supply imbalance and concerns about growing growth. Consumer responses to inflation, the end of the summer driving season, a strong dollar, and rising interest rates comprise other major factors that could lead to price declines in coming months. Between competing bullish and bearish factors, crude could stay range bound or could exhibit significant movement up or down in the second half of 2022.

Crude Oil Price Movements in Comparison to Other Energy Commodities and Investment Categories. USCF believes that investors frequently measure the degree to which prices or total returns of one investment or asset class move up or down in value in concert with another investment or asset class. Statistically, such a measure is usually done by measuring the correlation of the price movements of the two different investments or asset classes over some period of time. The correlation is scaled between 1 and -1, where 1 indicates that the two investment options move up or down in price or value together, known as “positive correlation,” and -1 indicates that they move in completely opposite directions, known as “negative correlation.” A correlation of 0 would mean that the movements of the two are neither positively nor negatively correlated, known as “non-correlation.” That is, the investment options sometimes move up and down together and other times move in opposite directions.

~~Table of Contents~~

For the ten-year time period between June 30, ~~2011~~2012 and June 30, ~~2021,~~2022, the table below compares the monthly movements of crude oil prices versus the monthly movements of the prices of several other energy commodities, such as natural gas, diesel-heating oil, and unleaded gasoline, as well as several major non-commodity investment asset classes, such as large cap U.S. equities, U.S. government bonds and global equities. It can be seen that over this particular time period, the movement of crude oil on a monthly basis exhibited strong correlation with unleaded gasoline and diesel-heating oil, moderate correlation with the movements of large cap U.S. equities, U.S. government bonds and global equities noand limited correlation with natural ~~gas, and moderate negative correlation with U.S. government bonds.~~gas.

Table of Contents

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Crude Oil - 10 Years

Large Cap US Equities

US Gov’t Bonds

Global Equities

Unleaded

Heating

Natural

Crude
Correlation Matrix 10 Years

(S&P 500)

(BEUSG4 Index)

(FTSE World Index)

Gasoline

Oil

Gas

Oil
Large Cap US Equities (S&P 500)

1.000

0.895

0.995

0.695

0.663

0.552

0.652
US Gov’t Bonds (BEUSG4 Index)

1.000

0.897

0.534

0.580

0.539

0.520
Global Equities (FTSE World Index)

1.000

0.711

0.683

0.546

0.670
Unleaded Gasoline

1.000

0.788

0.439

0.842
Heating Oil



1.000

0.453

0.840
Natural Gas







1.000

0.365
Crude Oil











1.000






Global








Large Cap

US Gov't

Equities

US

Bonds

(FTSE

Equities

(BEUSG4

World

Unleaded

Natural

Correlation Matrix 10 Years

(S&P 500)

Index)

Index)

Gasoline

Heating Oil

Gas

Crude Oil
Large Cap US Equities (S&P 500)

1.000

(0.381)

0.967

0.546

0.366

0.161

0.471
US Gov't Bonds (BEUSG4 Index)



1.000

(0.368)

(0.306)

(0.340)

(0.082)

(0.330)
Global Equities (FTSE World Index)





1.000

0.574

0.428

0.137

0.509
Unleaded Gasoline







1.000

0.678

0.081

0.740
Heating Oil









1.000

0.018

0.784
Natural Gas











1.000

0.010
Crude Oil













1.000
Source: Bloomberg, NYMEX














Source: Bloomberg, NYMEX
The table below covers a more recent, but much shorter, range of dates than the above table. Over the ~~one year~~one-year period ended June 30, ~~2021,~~2022, movements of crude oil displayed strong correlation with unleaded gasoline, ~~and~~ diesel-heating oil, ~~and global equities, moderate correlation with the movements of~~ large cap U.S. equities, ~~limited correlation~~ U.S. ~~government~~Government bonds, global equities and ~~limited negative correlation with~~ natural gas.
*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Crude Oil - 1 Year






Global








Large Cap

US Gov't

Equities

US

Bonds

(FTSE

Equities

(BEUSG4

World

Unleaded

Natural

Large Cap US Equities

US Gov’t Bonds

Global Equities

Unleaded

Heating

Natural

Crude
Correlation Matrix 1 Year

(S&P 500)

Index)

Index)

Gasoline

Heating Oil

Gas

Crude Oil

(S&P 500)

(BEUSG4 Index)

(FTSE World Index)

Gasoline

Oil

Gas

Oil
Large Cap US Equities (S&P 500)

1.000

0.137

0.974

0.539

0.449

(0.081)

0.645

1.000

0.986

1.000

0.937

0.881

0.781

0.931
US Gov't Bonds (BEUSG4 Index)

1.000

0.182

(0.124)

0.184

(0.099)

0.156
US Gov’t Bonds (BEUSG4 Index)



1.000

0.988

0.928

0.884

0.784

0.931
Global Equities (FTSE World Index)

1.000

0.608

0.578

(0.215)

0.719





1.000

0.943

0.888

0.788

0.938
Unleaded Gasoline

1.000

0.845

(0.390)

0.881







1.000

0.931

0.847

0.985
Heating Oil



1.000

(0.485)

0.881









1.000

0.862

0.937
Natural Gas







1.000

(0.286)











1.000

0.839
Crude Oil











1.000













1.000
Source: Bloomberg, NYMEX















Source: Bloomberg, NYMEX

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

~~Table of Contents~~

The correlations between crude oil, natural gas, diesel-heating oil and gasoline are relevant because USCF endeavors to invest USL’s assets in Oil Futures Contracts and Other Oil-Related Investments so that daily changes in percentage terms in USL’s per share NAV correlate as closely as possible with daily changes in percentage terms in the average price of the Benchmark Oil Futures Contracts. If certain other fuel-based commodity futures contracts do not closely correlate with the crude-oil futures contracts, then their use could

Table of Contents

lead to greater tracking error. As noted above, USCF also believes that the changes in percentage terms in the average price of the Benchmark Oil Futures Contracts will closely correlate with changes in percentage terms in the spot price of light, sweet crude oil.

Critical Accounting Policies

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

Liquidity and Capital Resources

USL has not made, and does not anticipate making, use of borrowings or other lines of credit to meet its obligations. USL has met, and it is anticipated that USL 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. USL’s liquidity needs include: redeeming shares, providing margin deposits for its existing Oil Futures Contracts or the purchase of additional Oil Futures Contracts and posting collateral for its OTC swaps, if applicable, and payment of its expenses, summarized below under “Contractual Obligations.”

USL currently generates cash primarily from: (i) the sale of baskets consisting of 50,000 shares (“Creation Baskets”) and (ii) income earned on Treasuries, cash and/or cash equivalents. USL has allocated substantially all of its net assets to trading in Oil Interests. USL invests in Oil Interests to the fullest extent possible without being leveraged or unable to satisfy its current or potential margin or collateral obligations with respect to its investments in Oil Futures Contracts and Other Oil-Related Investments. A significant portion of USL’s NAV is held in cash and cash equivalents that are used as margin and as collateral for its trading in Oil Interests. The balance of the assets is held in USL’s account at its custodian bank and in investments in money market funds and Treasuries at the FCMs. Income received from USL’s investments in money market funds and Treasuries is paid to USL. During the six months ended June 30, ~~2021,~~2022, USL’s expenses exceeded the income USL earned and the cash earned from the sale of Creation Baskets and the redemption of Redemption Baskets. During the six months ended June 30, ~~2021,~~2022, USL ~~did not use~~used other assets to pay expenses. To the extent expenses exceed income, USL’s NAV will be negatively impacted.

USL’s investments in Oil Interests may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, most commodity exchanges limit the fluctuations in futures contracts prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in the contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the specified daily limit. Such market conditions could prevent USL from promptly liquidating its positions in Oil Futures Contracts. During the six months ended June 30, ~~2021,~~2022, USL did not purchase or liquidate any of its positions while daily limits were in effect; however, USL cannot predict whether such an event may occur in the future.

~~Table of Contents~~

Prior to the initial offering of USL, all payments with respect to USL’s expenses were paid by USCF. USL does not have an obligation or intention to refund such payments by USCF. USCF is under no obligation to pay USL’s current or future expenses. Since the initial offering of shares, USL has been responsible for expenses relating to: (i) management fees, (ii) brokerage fees and commissions, (iii) licensing fees for the use of intellectual property, (iv) ongoing registration expenses in connection with offers and sales of its shares subsequent to the initial offering, (v) other expenses, including tax reporting costs, (vi) fees and expenses of the independent directors of USCF and (vii) other extraordinary expenses not in the ordinary course of business.

USL may terminate at any time, regardless of whether USL has incurred losses, subject to the terms of the LP Agreement. In particular, unforeseen circumstances, including, but not limited to, (i) market conditions, regulatory requirements, risk mitigation measures taken

Table of Contents

by USL or third parties or otherwise that would lead USL to determine that it could no longer foreseeably meet its investment objective or that USL’s aggregate net assets in relation to its operating expenses or its margin or collateral requirements make the continued operation of USL unreasonable or imprudent, or (ii) adjudication of incompetence, bankruptcy, dissolution, withdrawal or removal of USCF as the general partner of USL could cause USL, to terminate unless a majority interest of the limited partners within 90 days of the event elects to continue the partnership and appoints a successor general partner, or the affirmative vote of a majority in interest of the limited partners subject to certain conditions. However, no level of losses will require USL to terminate USL. USL’s termination would cause the liquidation and potential loss of an investor’s investment. Termination could also negatively affect the overall maturity and timing of an investor’s investment portfolio.

Market Risk

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

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

Credit Risk

When USL enters into Oil Futures Contracts and Other Oil-Related Investments, it is exposed to the credit risk that the counterparty will not be able to meet its obligations. The counterparty for the Oil Futures Contracts traded on the NYMEX and on most other futures exchanges is the clearinghouse associated with the particular exchange. In general, in addition to margin required to be posted by the clearinghouse in connection with cleared trades, clearinghouses are backed by their members who may be required to share in the financial burden resulting from the nonperformance of one of their members and, therefore, this additional member support should significantly reduce credit risk. USL is not currently a member of any clearinghouse. Some foreign exchanges are not backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearinghouse, or their members or their financial backers will satisfy their obligations to USL in such circumstances.

USCF attempts to manage the credit risk of USL by following various trading limitations and policies. In particular, USL generally posts margin and/or holds liquid assets that are approximately equal to the market value of its obligations to counterparties under the Oil Futures Contracts and Other Oil-Related Investments it holds. USCF has implemented procedures that include, but are not limited to, executing and clearing trades only with creditworthy parties and/or requiring the posting of collateral or margin by such parties for the benefit of USL to limit its credit exposure. An FCM, when acting on behalf of USL in accepting orders to purchase or sell Oil Futures Contracts on United States exchanges, is required by

~~Table of Contents~~

CFTC regulations to separately account for and segregate as belonging to USL, all assets of USL relating to domestic Oil Futures Contracts trading. These FCMs are not allowed to commingle USL’s assets with their other assets. In addition, the CFTC requires FCMs to hold in a secure account USL’s assets related to foreign Oil Futures Contracts trading.

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

As of June 30, ~~2021,~~2022, USL held cash deposits and investments in Treasuries and money market funds in the amount of ~~$174,238,551~~$120,271,366 with the custodian and ~~the~~ FCMs. Some or all of these amounts held by a custodian or an FCM, as applicable, may be subject to loss should USL’s custodian or the FCMs, as applicable, cease operations.

Table of Contents

Off Balance Sheet Financing

As of June 30, ~~2021,~~2022, USL had no loan guarantee, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks that service providers undertake in performing services which are in the best interests of USL. While USL’s exposure under these indemnification provisions cannot be estimated, they are not expected to have a material impact on USL’s financial position.

Redemption Basket Obligation

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

Contractual Obligations

USL’s primary contractual obligations are with USCF. In return for its services, USCF is entitled to a management fee calculated daily and paid monthly as a fixed percentage of USL’s NAV, currently 0.60% of NAV on its average daily total net assets.

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

USCF pays the fees of the Marketing Agent as well as BNY Mellon’s fees for performing administrative, custodial, and transfer agency services. BNY Mellon’s fees for performing administrative services include those in connection with the preparation of USL’s condensed financial statements and its SEC, NFA and CFTC reports. USCF and USL have also entered into a licensing agreement with the NYMEX pursuant to which USL and the other Related Public Funds, other than BNO, USCI and CPER, pay a licensing fee to the NYMEX. USL also pays the fees and expenses associated with its tax accounting and reporting requirements.

USCF paid BBH&Co.’s fees for performing administrative services, including those in connection with the preparation of USL’s condensed financial statements and its SEC, NFA and CFTC reports through May 31, 2020.

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

~~Table of Contents~~

of the fees and expenses of the independent directors of USCF. See Note 3 to theNotes to Condensed Financial Statements (Unaudited) in Item 1 of this quarterly report on Form 10-Q.

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

As of June 30, ~~2021,~~2022, USL’s portfolio ~~consisted of 2,713~~held 1,445 Crude Oil Futures CL Contracts traded on the NYMEX. As of June 30, ~~2021,~~2022, USL did not hold any Futures Contracts traded on the ICE Futures. For a list of USL’s current holdings, please see USL’s website at www.uscfinvestments.com.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Commodity Price Risk.
USL is exposed to commodity price risk. In particular, USL is exposed to crude oil price risk through its holdings of Oil Futures Contracts together with any other derivatives in which it may invest, which are discussed below. As a result, fluctuations in the value of the Oil Futures Contracts that USL holds in its portfolio, as described in “Contractual Obligations” under “Item 2. Management’s

Table of Contents

Discussion and Analysis of Financial Condition and Results of Operations” above, are expected to directly affect the value of USL’s shares.

OTC Contract Risk

USL may purchase OTC contracts, such as forward contracts or swap or spot contracts. Unlike most exchange-traded futures contracts or exchange-traded options on such futures, each party to an OTC swap bears the credit risk that the other party may not be able to perform its obligations under its contract.

USL may enter into certain transactions where an OTC component is exchanged for a corresponding futures contract (“Exchange for Related Position” or “EFRP” transactions). In the most common type of EFRP transaction entered into by USL, the OTC component is the purchase or sale of one or more baskets of USL shares. These EFRP transactions may expose USL to counterparty risk during the interim period between the execution of the OTC component and the exchange for a corresponding futures contract. Generally, the counterparty risk from the EFRP transaction will exist only on the day of execution.

Swap transactions, like other financial transactions, involve a variety of significant risks. The specific risks presented by a particular swap transaction necessarily depend upon the terms and circumstances of the transaction. In general, however, all swap transactions involve some combination of market risk, credit risk, counterparty credit risk, funding risk, liquidity risk and operational risk.

Highly customized swap transactions in particular may increase liquidity risk, which may result in a suspension of redemptions. Highly leveraged transactions may experience substantial gains or losses in value as a result of relatively small changes in the value or level of an underlying or related market factor.

In evaluating the risks and contractual obligations associated with a particular swap transaction, it is important to consider that a swap transaction may be modified or terminated only by mutual consent of the original parties and subject to agreement on individually negotiated terms. Therefore, it may not be possible for USCF to modify, terminate or offset USL’s obligations or its exposure to the risks associated with a transaction prior to its scheduled termination date.

To reduce the credit risk that arises in connection with such contracts, USL will generally enter into an agreement with each counterparty based on the Master Agreement published by the International Swaps and Derivatives Association that provides for the netting of its overall exposure to its counterparty, if the counterparty is unable to meet its obligations to USL due to the occurrence of a specified event, such as the insolvency of the counterparty.

USCF assesses or reviews, as appropriate, the creditworthiness of each potential or existing counterparty to an OTC swap pursuant to guidelines approved by USCF’s board of directors (the “Board”). Furthermore, USCF on behalf of USL only enters into OTC swaps with counterparties who are, or are affiliates of, (a) banks regulated by a United States federal bank

~~Table of Contents~~

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. USL 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 swaps, they typically are not contractually obligated to do so, particularly if they are not a party to the transaction. As a result, it may be difficult to obtain an independent value for an outstanding OTC derivatives transaction.

During the ~~six month~~six-month reporting period ended June 30, ~~2021,~~2022, USL has limited its ~~OTC~~derivatives activities to Oil Futures Contracts EFRP transactions.

USL anticipates that the use of Other Oil-Related Investments together with its investments in Oil Futures Contracts will produce price and total return results that closely track the investment goals of USL. However, there can be no assurance of this. OTC swaps may

Table of Contents

result in higher transaction-related expenses than the brokerage commissions paid in connection with the purchase of Oil Futures Contracts, which may impact USL’s ability to successfully track the Benchmark Oil Futures Contracts.

Item 4. Controls and Procedures.
Disclosure Controls and Procedures
USL maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in USL’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 USL if USL had any officers, have evaluated the effectiveness of USL’s disclosure controls and procedures and have concluded that the disclosure controls and procedures of USL 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 USL’s internal control over financial reporting during USL’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, USL’s internal control over financial reporting.

3938

Table of Contents

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
From time to time, USL may be involved in legal proceedings arising primarily out of the ordinary course of business. In addition, USCF, as the general partner of USL and the other Related Public Funds may, from time to time, be involved in litigation arising out of its operations in the ordinary course of business. Except as described below, USL and USCF are not currently party to any material legal proceedings.
Optimum Strategies Action
On April 6, 2022, USO and USCF were named as defendants in an action filed by Optimum Strategies Fund I, LP, a purported investor in call option contracts on USO (the “Optimum Strategies Action”). The action is pending in the U.S. District Court for the District of Connecticut at Civil Action No. 3:22-cv-00511.
The Optimum Strategies Action asserts claims under the Securities Exchange Act of 1934, as amended (the “1934 Act”), Rule 10b-5 thereunder, and the Connecticut Uniform Securities Act. It purports to challenge statements in registration statements that became effective in February 2020, March 2020, and on April 20, 2020, as well as public statements between February 2020 and May 2020, in connection with certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The complaint seeks damages, interest, costs, attorney’s fees, and equitable relief.
USCF and USO intend to vigorously contest such claims.
Settlement of SEC and CFTC Investigations
On November 8, 2021, USCF and USO announced a resolution with each of the SEC and the CFTC relating to matters set forth in certain Wells Notices
issued by the staffs of each of the SEC and CFTC as more fully described below. On August 17, 2020, USCF, USO, and John Love received a “Wells Notice” from the staff of the SEC (the “SEC Wells Notice”). The SEC Wells Notice ~~relates to USO’s disclosures in late April and early May regarding constraints imposed on USO’s ability to invest in Oil Futures Contracts. The SEC Wells Notice states~~stated that the SEC staff ~~has~~ made a preliminary determination to recommend that the SEC file an enforcement action against USCF, USO, and Mr. Love alleging violations of Sections 17(a)(1) and 17(a)(3) of the Securities Act of 1933, as amended (the “1933 Act”), and Section 10(b) of the ~~Securities Exchange~~1934 Act, ~~of 1934, as amended (the “1934 Act”),~~ and Rule 10b-5 ~~thereunder, in each case with respect to its disclosures and USO’s actions.~~thereunder.
OnSubsequently, on August 19, 2020, USCF, USO, and Mr. Love received a Wells Notice from the staff of the CFTC (the “CFTC Wells Notice”). The CFTC Wells Notice ~~states~~stated that the CFTC staff ~~has~~ made a preliminary determination to recommend that the CFTC file an enforcement action against USCF, USO, and Mr. Love alleging violations of Sections 4o(1)(A) and (B) and 6(c)(1) of the ~~CEA,~~Commodity Exchange Act of 1936, as amended (the “CEA”), 7 U.S.C. §§ 6o(1)(A), and (B), and 9(1) (2018), and CFTC Regulations 4.26, 4.41, and 180.1(a), 17 C.F.R. §§ 4.26, 4.41, 180.1(a) (2019)~~, in each case with respect~~.
On November 8, 2021, acting pursuant to ~~its disclosures~~an offer of settlement submitted by USCF and ~~USO’s actions.~~
~~A Wells Notice is neither a formal charge of wrongdoing nor a final determination that the recipient has violated any law. USCF,~~ USO, ~~and Mr. Love maintain that USO’s disclosures and their actions were appropriate. They intend to vigorously contest the allegations made by~~ the SEC ~~staff~~issued an order instituting cease-and-desist proceedings, making findings, and imposing a cease-and-desist order pursuant to Section 8A of the 1933 Act, directing USCF and USO to cease and desist from committing or causing any violations of Section 17(a)(3) of the 1933 Act, 15 U.S.C. § 77q(a)(3) (the “SEC Order”). In the SEC Order, the SEC made findings that, from April 24, 2020 to May 21, 2020, USCF and USO violated Section 17(a)(3) of 1933 Act, which provides that it is “unlawful for any person in the offer or sale of any securities to engage in any transaction, practice, or course of business which operates or would operate as a fraud or deceit upon the purchaser.” USCF and USO consented to entry of the SEC ~~Wells Notice~~Order without admitting or denying the findings contained therein, except as to jurisdiction.
Separately, on November 8, 2021, acting pursuant to an offer of settlement submitted by USCF, the CFTC issued an order instituting cease-and-desist proceedings, making findings, and imposing a cease-and-desist order pursuant to Section 6(c) and (d) of the CEA, directing USCF to cease and desist from committing or causing any violations of Section 4o(1)(B) of the CEA, 7 U.S.C. § 6o(1) (B), and CFTC Regulation 4.41(a)(2), 17 C.F.R. § 4.41(a)(2) (the “CFTC Order”). In the CFTC Order, the CFTC made findings that, from on or about April 22, 2020 to June 12, 2020, USCF violated Section 4o(1)(B) of the CEA and CFTC Regulation 4.41(a)(2), which make it unlawful for any commodity pool operator (“CPO”) to engage in “any transaction, practice, or course of business which operates as a fraud or deceit upon any client or participant or prospective client or participant” and prohibit a CPO from advertising in a manner which

Table of Contents

“operates as a fraud or deceit upon any client or participant or prospective client or participant,” respectively. USCF consented to entry of the CFTC Order without admitting or denying the findings contained therein, except as to jurisdiction.

Pursuant to the SEC Order and the CFTC ~~staff~~Order, in addition to the command to cease and desist from committing or causing any violations of Section 17(a)(3) of the 1933 Act, Section 4o(1)(B) of the CEA, and CFTC Regulation 4.14(a)(2), civil monetary penalties totaling two million five hundred thousand dollars ($2,500,000) in the aggregate were required to be paid to the SEC and CFTC, ~~Wells Notice.~~of which one million two hundred fifty thousand dollars ($1,250,000) was paid by USCF to each of the SEC and the CFTC, respectively, pursuant to the offsets permitted under the orders.

In re: United States Oil Fund, LP Securities Litigation

On June 19, 2020, USCF, USO, John P. Love, and Stuart P. Crumbaugh were named as defendants in a putative class action filed by purported shareholder Robert Lucas (the “Lucas Class Action”). The Court thereafter consolidated the Lucas Class Action with two related putative class actions filed on July 31, 2020 and August 13, 2020, and appointed a lead plaintiff. The consolidated class action is pending in the U.S. District Court for the Southern District of New York under the caption In re: United States Oil Fund, LP Securities Litigation, Civil Action No. 1:20-cv-04740.

On November 30, 2020, the lead plaintiff filed an amended complaint (the “Amended Lucas Class Complaint”). The Amended Lucas Class Complaint asserts claims under the 1933 Act, the 1934 Act, and Rule 10b-5. The Amended Lucas Class Complaint challenges statements in registration statements that became effective on February 25, 2020 and March 23, 2020 as well as subsequent public statements through April 2020 concerning certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The Amended Lucas Class Complaint purports to have been brought by an investor in USO on behalf of a class of similarly-situated shareholders who purchased USO securities between February 25, 2020 and April 28, 2020 and pursuant to the challenged registration statements. The Amended Lucas Class Complaint seeks to certify a class and to award the class compensatory damages at an amount to be determined at trial as well as costs and attorney’s fees. The Amended Lucas Class Complaint named as defendants USCF, USO, John P. Love, Stuart P. Crumbaugh, Nicholas D. Gerber, Andrew F Ngim, Robert L. Nguyen, Peter M. Robinson, Gordon L. Ellis, and Malcolm R. Fobes III, as well as the marketing agent, ALPS Distributors, Inc., and the Authorized Participants: ABN Amro, BNP Paribas Securities Corporation, Citadel Securities LLC, Citigroup Global Markets, Inc., Credit Suisse Securities USA LLC, Deutsche Bank Securities Inc., Goldman Sachs & Company, J.P. Morgan Securities Inc., Merrill Lynch Professional Clearing Corporation, Morgan Stanley & Company Inc., Nomura Securities International Inc., RBC Capital Markets LLC, SG Americas Securities LLC, UBS Securities LLC, and Virtu Financial BD LLC.

The lead plaintiff has filed a notice of voluntary dismissal of its claims against BNP Paribas Securities Corporation, Citadel Securities LLC, Citigroup Global Markets Inc., Credit Suisse Securities USA LLC, Deutsche Bank Securities Inc., Morgan

~~Table of Contents~~

Stanley & Company, Inc., Nomura Securities International, Inc., RBC Capital Markets, LLC, SG Americas Securities LLC, and UBS Securities LLC.

USCF, USO, and the individual defendants in In re: United States Oil Fund, LP Securities Litigation intend to vigorously contest such claims and have moved for their dismissal.

Wang Class Action

On July 10, 2020, purported shareholder Momo Wang filed a putative class action complaint, individually and on behalf of others similarly situated, against defendants USO, USCF, John P. Love, Stuart P. Crumbaugh, Nicholas D. Gerber, Andrew F.F Ngim, Robert L. Nguyen, Peter M. Robinson, Gordon L. Ellis, Malcolm R. Fobes, III, ABN Amro, BNP Paribas Securities Corp., Citadel Securities LLC, Citigroup Global Markets Inc., Credit Suisse Securities USA LLC, Deutsche Bank Securities Inc., Goldman Sachs & Company, JP Morgan Securities Inc., Merrill Lynch Professional Clearing Corp., Morgan Stanley & Company Inc., Nomura Securities International Inc., RBC Capital Markets LLC, SG Americas Securities LLC, UBS Securities LLC, and Virtu Financial BD LLC, in the U.S. District Court for the Northern District of California as Civil Action No. 3:20-cv-4596 (the “Wang Class Action”).

The Wang Class Action asserted federal securities claims under the 1933 Act, challenging disclosures in a March 19, 2020 registration statement. It alleged that the defendants failed to disclose to investors in USO certain extraordinary market conditions and the attendant risks that caused the demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The Wang Class Action was voluntarily dismissed on August 4, 2020.

Table of Contents

Mehan Action

On August 10, 2020, purported shareholder Darshan Mehan filed a derivative action on behalf of nominal defendant USO, against defendants USCF, John P. Love, Stuart P. Crumbaugh, Nicholas D. Gerber, Andrew F Ngim, Robert L. Nguyen, Peter M. Robinson, Gordon L. Ellis, and Malcolm R. Fobes, III (the “Mehan Action”). The action is pending in the Superior Court of the State of California for the County of Alameda as Case No. RG20070732.

The Mehan Action alleges that the defendants breached their fiduciary duties to USO and failed to act in good faith in connection with a March 19, 2020 registration statement and offering and disclosures regarding certain extraordinary market conditions that caused demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The complaint seeks, on behalf of USO, compensatory damages, restitution, equitable relief, attorney’s fees, and costs. All proceedings in the Mehan Action are stayed pending disposition of the motion(s) to dismiss in In re: United States Oil Fund, LP Securities Litigation.

USCF, USO, and the other defendants intend to vigorously contest such claims.

In re United States Oil Fund, LP Derivative Litigation

On August 27, 2020, purported shareholders Michael Cantrell and AML Pharm. Inc. DBA Golden International filed two separate derivative actions on behalf of nominal defendant USO, against defendants USCF, John P. Love, Stuart P. Crumbaugh, Andrew F Ngim, Gordon L. Ellis, Malcolm R. Fobes, III, Nicholas D. Gerber, Robert L. Nguyen, and Peter M. Robinson in the U.S. District Court for the Southern District of New York at Civil Action No. 1:20-cv-06974 (the “Cantrell Action”) and Civil Action No. 1:20-cv-06981 (the “AML Action”), respectively.

The complaints in the Cantrell and AML Actions are nearly identical. They each allege violations of Sections 10(b), 20(a), and 21D of the 1934 Act, Rule 10b-5 thereunder, and common law claims of breach of fiduciary duties, unjust enrichment, abuse of control, gross mismanagement, and waste of corporate assets. These allegations stem from USO’s disclosures and defendants’ alleged actions in light of the extraordinary market conditions in 2020 that caused demand for oil to fall precipitously, including the COVID-19 global pandemic and the Saudi Arabia-Russia oil price war. The complaints seek, on behalf of USO, compensatory damages, restitution, equitable relief, attorney’s fees, and costs. The plaintiffs in the Cantrell and AML Actions have marked their actions as related to the Lucas Class Action.

~~Table of Contents~~

The Court consolidated the Cantrell and AML Actions under the caption In re United States Oil Fund, LP Derivative Litigation, Civil Action No. 1:20-cv-06974 and appointed co-lead counsel. All proceedings in In re United States Oil Fund, LP Derivative Litigation are stayed pending disposition of the motion(s) to dismiss in In re: United States Oil Fund, LP Securities ~~Litigation.~~Litigation.

USCF, USO, and the other defendants intend to vigorously contest the claims in In re United States Oil Fund, LP Derivative Litigation.

~~Table of Contents~~

Item 1A. Risk Factors.
There have been no material changes to the risk factors previously disclosed in USL’s Annual Report on Form 10-K for the fiscal year ended December 31, ~~2020,~~2021, filed on February ~~26, 2021.~~25, 2022 (the “Form 10-K”) except for the following:
Price volatility may possibly cause the total loss of your investment.
Futures contracts have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment in USL.
Significant market volatility has recently occurred in the light, sweet crude oil markets and the oil futures markets. Such volatility is attributable in part to the COVID-19 pandemic, related supply chain disruptions, war, including the war between Russia and Ukraine, and continuing disputes among oil-producing countries. These and other events could cause continuing or increased volatility in the future, which may affect the value, pricing and liquidity of some investments or other assets, including those held by or invested in by USL and the impact of which could limit USL’s ability to have a substantial portion of its assets invested in the Benchmark Oil Futures Contract. In such a circumstance, USL could, if it determined it appropriate to do so in light of market conditions and regulatory requirements, invest in other Oil Futures Contracts and/or Other Oil-Related Investments.

Table of Contents

Russia’s invasion of Ukraine, and sanctions brought by the United States and other countries against Russia and others, have caused disruptions in many business sectors, resulting in significant market disruptions that may lead to increased volatility in the price of certain commodities, including oil and natural gas, as well as volatility in USL’s NAV or share price.

On February 24, 2022, Russia launched a large-scale invasion of Ukraine. The extent and duration of the military action, and resulting sanctions, and future market or supply disruptions in the region, are impossible to predict, but could be significant and may have a severe adverse effect on the region.

The United States and other countries and certain international organizations have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to Russia’s invasion of Ukraine. On March 8, 2022, the United States announced that it would ban imports of oil, natural gas and coal from Russia. Among other things, the extent and duration of the military action, the responses of countries and political bodies to Russia’s actions, including sanctions, future market or supply disruptions, and Ukraine’s military response and the potential for wider conflict may increase financial market volatility generally, have severe adverse effects on regional and global economic markets, and cause volatility in the markets for commodities including the price of energy, including energy futures, and the NAV or share price of USL.

A resolution to the war in Ukraine also could impact the markets for certain commodities, such as oil and natural gas, and may have collateral impacts, including increased volatility, and cause disruptions to availability of certain commodities, commodity and futures prices and the supply chain globally. The longer-term impact on commodities and futures prices, including the spot price of oil and the price of the Benchmark Oil Futures Contracts is difficult to predict and depends on a number of factors that may have a negative impact on USL in the future.

In a rising rate environment, USL may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss.

When interest rates rise, the value of fixed income securities typically falls. In a rising interest rate environment, USL may not be able to fully invest at prevailing rates until any current investments in Treasury Bills mature in order to avoid selling those investments at a loss. Interest rate risk is generally lower for shorter term investments and higher for longer term investments. The risk to USL of rising interest rates may be greater in the future due to the end of a long period of historically low rates and the effect of potential monetary policy initiatives and resulting market reaction to those initiatives. When interest rates fall, USL may be required to reinvest the proceeds from the sale, redemption or early prepayment of a Treasury Bill or money market security at a lower interest rate.

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

(a) None.
(b) Not applicable.
(c) USL does not purchase shares directly from its shareholders. In connection with its redemption of baskets held by Authorized Participants, USL redeemed 439 baskets (comprising ~~2,150,000~~450,000 shares) during the second quarter of the year ending December 31, ~~2021.~~2022. The following table summarizes the redemptions by Authorized Participants during the ~~six~~three months ended June 30, ~~2021:~~2022:

Issuer Purchases of Equity Securities

Total Number of

Average Price

Total Number of

Average Price Per
Period

Shares Redeemed

Per Share

Shares Redeemed

Share
4/1/21 to 4/30/21

450,000

$
22.64
5/1/21 to 5/31/21

1,050,000

$
23.29
6/1/21 to 6/30/21

650,000

$
24.83
4/1/22 to 4/30/22

300,000

$
37.93
5/1/22 to 5/31/22

150,000

$
40.89
6/1/22 to 6/30/22

—

$
—
Total

2,150,000



450,000



Item 3. Defaults Upon Senior Securities.
Not applicable.

Table of Contents

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 USL publishes an account statement for its shareholders, which includes a Statement of Income (Loss) and a Statement of Changes in Net Asset Value. The account statement is furnished to the SEC on a current report on Form 8-K pursuant to Section 13 or 15(d) of the Exchange Act and posted each month on USL’s website at www.uscfinvestments.com.

~~Table of Contents~~

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
XBRL Instance Document.
101.SCH
XBRL Taxonomy Extension Schema.
101.CAL
XBRL Taxonomy Extension Calculation Linkbase.
101.DEF
XBRL Taxonomy Extension Definition Linkbase.
101.LAB
XBRL Taxonomy Extension Label Linkbase.
101.PRE
XBRL Taxonomy Extension Presentation Linkbase.
104

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

(1) Filed herewith.

4443

Table of Contents

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 12 Month Oil Fund, LP (Registrant)
By: United States Commodity Funds LLC, its general partner
By:
/s/ John P. Love
John P. Love
President and Chief Executive Officer
(Principal executive officer)

Date:
August ~~6, 2021~~5, 2022

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

Date:
August ~~6, 2021~~5, 2022

4544


☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2022.


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


Delaware		26-0431897
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)


Title of each class:	Trading Symbol(s)	Name of each exchange on which registered:
Shares of United States 12 Month Oil Fund, LP	USL	NYSE Arca, Inc.

Large Accelerated Filer	☐	Accelerated Filer	☒

Non-Accelerated Filer	☐	Smaller Reporting Company	☐

Emerging Growth Company	☐

		~~Page~~
Part I. FINANCIAL INFORMATION		Page

Item 1. Condensed Financial Statements.		1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		1817

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		3836

Item 4. Controls and Procedures.		3938

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.		4039

Item 1A. Risk Factors.		4341

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		4342

Item 3. Defaults Upon Senior Securities.		4342

Item 4. Mine Safety Disclosures.		43

Item 5. Other Information.		43

Item 6. Exhibits.		4443


Documents		Page
Condensed Statements of Financial Condition at June 30, ~~2021~~2022 (Unaudited) and December 31, ~~2020~~2021		2

Condensed Schedule of Investments (Unaudited) at June 30, ~~2021~~2022		3

Condensed Statements of Operations (Unaudited) for the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021		4

Condensed Statements of Changes in Partners’ Capital (Unaudited) for the three and six months ended June 30, ~~2021~~2022 and ~~2020~~2021		5

Condensed Statements of Cash Flows (Unaudited) for the six months ended June 30, ~~2021~~2022 and ~~2020~~2021		6

Notes to Condensed Financial Statements (Unaudited) for the period ended June 30, ~~2021~~2022		7


	June 30, 2021		December 31, 2020		June 30, 2022		December 31, 2021
Assets
Cash and cash equivalents (at cost $144,238,551 and $181,574,615, respectively) (Notes 2 and 5)	$	144,238,551	$	181,574,615
Cash and cash equivalents (at cost $63,713,161 and $99,549,427, respectively) (Notes 2 and 5)					$	63,713,161	$	99,549,427
Equity in trading accounts:
Cash and cash equivalents (at cost $30,000,000 and $976,553, respectively)		30,000,000		976,553
Cash and cash equivalents (at cost $56,558,205 and $30,014,301, respectively)						56,558,205		30,014,301
Unrealized gain (loss) on open commodity futures contracts		51,958,790		36,882,450		22,893,340		19,648,030
Dividends receivable		3,110		178		57,768		1,869
Interest receivable		375		6,975		2,465		2,804
Prepaid license fees						2,104		0
Prepaid insurance^*		30,456		1,461		26,460		9,309
Prepaid registration fees		0		55,407

Total Assets	$	226,231,282	$	219,497,639	$	143,253,503	$	149,225,740

Liabilities and Partners' Capital
Liabilities and Partners’ Capital
Payable due to Broker	$	37,759,280	$	21,925,587	$	6,673,452	$	11,205,326
Payable for shares redeemed		0		860,589
General Partner management fees payable (Note 3)		93,997		102,144		72,043		67,706
Professional fees payable		132,261		132,523		108,535		172,680
Brokerage commissions payable		12,602		12,602		12,602		12,602
Directors’ fees payable^*		3,062		2,807		2,071		2,427
License fees payable		6,281		6,846		0		4,329
Registration fees payable		19,708		0		171,183		96,068

Total Liabilities		38,027,191		23,043,098		7,039,886		11,561,138

Commitments and Contingencies (Notes 3, 4 & 5)

Partners' Capital
Partners’ Capital
General Partners		0		0		0		0
Limited Partners		188,204,091		196,454,541		136,213,617		137,664,602
Total Partners' Capital		188,204,091		196,454,541
Total Partners’ Capital						136,213,617		137,664,602

Total Liabilities and Partners' Capital	$	226,231,282	$	219,497,639
Total Liabilities and Partners’ Capital					$	143,253,503	$	149,225,740

Limited Partners' shares outstanding		7,350,000		11,400,000		3,450,000		4,950,000
Net asset value per share	$	25.61	$	17.23	$	39.48	$	27.81
Market value per share	$	25.58	$	17.19	$	39.56	$	27.93


				Fair
				Value/Unrealized
				Gain (Loss) on
				Open
			Number of	Commodity		% of Partners'
	Notional Amount		Contracts	Contracts		Capital
Open Commodity Futures Contracts - Long
United States Contracts
NYMEX WTI Crude Oil Futures August 2021 contracts, expiring July 2021	$	9,723,140	226	$	6,881,080	3.66
NYMEX WTI Crude Oil Futures September 2021 contracts, expiring August 2021		10,221,360	227		6,297,430	3.35
NYMEX WTI Crude Oil Futures October 2021 contracts, expiring September 2021		9,590,120	226		6,627,640	3.52
NYMEX WTI Crude Oil Futures November 2021 contracts, expiring October 2021		9,935,370	226		6,085,770	3.23
NYMEX WTI Crude Oil Futures December 2021 contracts, expiring November 2021		9,433,000	226		6,416,380	3.41
NYMEX WTI Crude Oil Futures January 2022 contracts, expiring December 2021		10,298,320	226		5,392,860	2.87
NYMEX WTI Crude Oil Futures February 2022 contracts, expiring January 2022		10,942,810	226		4,601,470	2.44
NYMEX WTI Crude Oil Futures March 2022 contracts, expiring February 2022		12,017,090	226		3,389,330	1.80
NYMEX WTI Crude Oil Futures April 2022 contracts, expiring March 2022		13,255,220	226		2,022,380	1.07
NYMEX WTI Crude Oil Futures May 2022 contracts, expiring April 2022		12,782,800	226		2,370,500	1.26
NYMEX WTI Crude Oil Futures June 2022 contracts, expiring May 2022		13,629,650	226		1,408,390	0.75
NYMEX WTI Crude Oil Futures July 2022 contracts, expiring June 2022		14,452,700	226		465,560	0.25
Total Open Futures Contracts^*	$	136,281,580	2,713	$	51,958,790	27.61


				Fair Value/
				Unrealized Gain
				(Loss) on Open		% of
	Notional		Number of	Commodity		Partners’
	Amount		Contracts	Contracts		Capital
Open Commodity Futures Contracts – Long
United States Contracts
NYMEX WTI Crude Oil Futures August 2022 contracts, expiring July 2022	$	8,341,790	120	$	4,349,410	3.19
NYMEX WTI Crude Oil Futures September 2022 contracts, expiring August 2022		8,118,810	120		4,253,190	3.12
NYMEX WTI Crude Oil Futures October 2022 contracts, expiring September 2022		8,197,710	120		3,834,690	2.82
NYMEX WTI Crude Oil Futures November 2022 contracts, expiring October 2022		8,776,100	120		2,953,900	2.17
NYMEX WTI Crude Oil Futures December 2022 contracts, expiring November 2022		8,934,930	120		2,532,270	1.86
NYMEX WTI Crude Oil Futures January 2023 contracts, expiring December 2022		8,281,120	120		2,959,280	2.17
NYMEX WTI Crude Oil Futures February 2023 contracts, expiring January 2023		8,939,900	121		2,198,150	1.61
NYMEX WTI Crude Oil Futures March 2023 contracts, expiring February 2023		9,556,970	121		1,415,310	1.04
NYMEX WTI Crude Oil Futures April 2023 contracts, expiring March 2023		11,030,190	121		(198,270)	(0.14)
NYMEX WTI Crude Oil Futures May 2023 contracts, expiring April 2023		10,619,140	121		90,570	0.07
NYMEX WTI Crude Oil Futures June 2023 contracts, expiring May 2023		10,940,380	121		(338,360)	(0.25)
NYMEX WTI Crude Oil Futures July 2023 contracts, expiring June 2023		11,571,600	120		(1,156,800)	(0.85)
Total Open Futures Contracts^*	$	113,308,640	1,445	$	22,893,340	16.81


	Shares/Principal			% of Partners'	Shares/Principal			% of Partners'
	Amount	Market Value		Capital	Amount	Market Value		Capital
Cash Equivalents
United States Money Market Funds
Goldman Sachs Financial Square Government Fund - Institutional Shares, 0.03%^#	200,000	$	200,000	0.11
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Shares, 0.03%^#	141,500,000		141,500,000	75.18
RBC U.S. Government Money Market Fund - Institutional Shares, 0.03%^#	196,000		196,000	0.10
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 1.41%^#					44,400,000	$	44,400,000	32.59
Goldman Sachs Financial Square Government Fund - Institutional Shares, 1.36%^#					500,000		500,000	0.37
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Shares, 1.38%^#					18,725,000		18,725,000	13.75
Total United States Money Market Funds		$	141,896,000	75.39		$	63,625,000	46.71


	Three months ended		Three months ended		Six months ended		Six months ended		Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020		June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
Income
Gain (loss) on trading of commodity futures contracts:
Realized gain (loss) on closed commodity futures contracts	$	34,289,110	$	11,487,803	$	67,813,560	$	10,650,520	$	20,726,710	$	34,289,110	$	48,671,620	$	67,813,560
Change in unrealized gain (loss) on open commodity futures contracts		6,735,360		87,135,286		15,076,340		62,774,039		(11,435,110)		6,735,360		3,245,310		15,076,340
Realized gain (loss) on short-term investments		0		0		0		1,240
Dividend income		9,724		81,659		16,155		111,904		110,871		9,724		125,723		16,155
Interest income^*		3,095		67,904		13,756		214,432		34,868		3,095		42,745		13,756
ETF transaction fees		4,550		15,064		8,400		21,014		2,100		4,550		5,600		8,400
Total Income (Loss)	$	41,041,839	$	98,787,716	$	82,928,211	$	73,773,149	$	9,439,439	$	41,041,839	$	52,090,998	$	82,928,211

Expenses
General Partner management fees (Note 3)	$	297,747	$	341,764	$	611,551	$	410,035	$	214,677	$	297,747	$	437,285	$	611,551
Professional fees		104,213		47,256		177,829		74,401		49,063		104,213		99,179		177,829
Brokerage commissions		7,974		69,031		15,806		74,177		3,889		7,974		8,405		15,806
Directors' fees and insurance		13,800		4,780		19,330		7,902		11,371		13,800		24,213		19,330
License fees		7,444		8,544		15,289		10,251		5,367		7,444		10,931		15,289
Registration fees		37,765		39,650		75,115		39,650		37,765		37,765		75,115		75,115
Total Expenses	$	468,943	$	511,025	$	914,920	$	616,416	$	322,132	$	468,943	$	655,128	$	914,920

Net Income (Loss)	$	40,572,896	$	98,276,691	$	82,013,291	$	73,156,733	$	9,117,307	$	40,572,896	$	51,435,870	$	82,013,291
Net Income (Loss) per limited partner share	$	4.72	$	2.54	$	8.38	$	(8.25)	$	2.49	$	4.72	$	11.67	$	8.38
Net Income (Loss) per weighted average limited partner share	$	4.74	$	5.43	$	8.57	$	7.10	$	2.56	$	4.74	$	12.76	$	8.57
Weighted average limited partner shares outstanding		8,566,667		18,098,901		9,571,823		10,301,374		3,560,989		8,566,667		4,030,387		9,571,823


	Limited Partners*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Balances at beginning of period	$	198,415,295	$	53,500,734	$	196,454,541	$	55,077,039
Addition of –, 26,600,000, – and 28,750,000 partnership shares, respectively		0		275,481,828		0		302,421,810
Redemption of (2,150,000), (12,300,000), (4,050,000) and (12,450,000) partnership shares, respectively		(50,784,100)		(152,379,271)		(90,263,741)		(155,775,600)
Net income (loss)		40,572,896		98,276,691		82,013,291		73,156,733

Balances at end of period	$	188,204,091	$	274,879,982	$	188,204,091	$	274,879,982


	Limited Partners^*
	Three months ended		Three months ended		Six months ended		Six months ended
	June 30,2022		June 30,2021		June 30,2022		June 30,2021
Balances at beginning of period	$	142,430,450	$	198,415,295	$	137,664,602	$	196,454,541
Addition of 50,000, –,50,000 and – partnership shares, respectively		2,178,358		0		2,178,358		0
Redemption of (450,000), (2,150,000), (1,550,000) and (4,050,000) partnership shares, respectively		(17,512,498)		(50,784,100)		(55,065,213)		(90,263,741)
Net income (loss)		9,117,307		40,572,896		51,435,870		82,013,291

Balances at end of period	$	136,213,617	$	188,204,091	$	136,213,617	$	188,204,091


	Six months ended		Six months ended
	June 30,		June 30,		Six months ended		Six months ended
	2021		2020		June 30, 2022		June 30, 2021
Cash Flows from Operating Activities:
Net income (loss)	$	82,013,291	$	73,156,733	$	51,435,870	$	82,013,291
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Change in unrealized (gain) loss on open commodity futures contracts		(15,076,340)		(62,774,039)		(3,245,310)		(15,076,340)
(Increase) decrease in dividends receivable		(2,932)		(19,106)		(55,899)		(2,932)
(Increase) decrease in interest receivable		6,600		6,320		339		6,600
(Increase) decrease in prepaid license fees						(2,104)		0
(Increase) decrease in prepaid insurance^*		(28,995)		(3,004)		(17,151)		(28,995)
(Increase) decrease in prepaid registration fees		55,407		(369,998)		0		55,407
Increase (decrease) in payable due to Broker		15,833,693		38,297,721		(4,531,874)		15,833,693
Increase (decrease) in General Partner management fees payable		(8,147)		119,907		4,337		(8,147)
Increase (decrease) in professional fees payable		(262)		(57,325)		(64,145)		(262)
Increase (decrease) in brokerage commissions payable		0		9,180
Increase (decrease) in directors’ fees payable^*		255		1,209
Increase (decrease) in directors' fees payable^*						(356)		255
Increase (decrease) in license fees payable		(565)		7,458		(4,329)		(565)
Increase (decrease) in registration fees payable		19,708		0		75,115		19,708
Net cash provided by (used in) operating activities		82,811,713		48,375,056		43,594,493		82,811,713

Cash Flows from Financing Activities:
Addition of partnership shares		0		302,421,796		2,178,358		0
Redemption of partnership shares		(91,124,330)		(155,775,600)		(55,065,213)		(91,124,330)
Net cash provided by (used in) financing activities		(91,124,330)		146,646,196		(52,886,855)		(91,124,330)

Net Increase (Decrease) in Cash and Cash Equivalents		(8,312,617)		195,021,252		(9,292,362)		(8,312,617)

Total Cash, Cash Equivalents and Equity in Trading Accounts, beginning of period		182,551,168		51,606,975		129,563,728		182,551,168
Total Cash, Cash Equivalents and Equity in Trading Accounts, end of period	$	174,238,551	$	246,628,227	$	120,271,366	$	174,238,551

Components of Cash and Cash Equivalents:
Cash and cash equivalents	$	144,238,551	$	235,642,464	$	63,713,161	$	144,238,551
Equity in Trading Accounts:
Cash and cash equivalents		30,000,000		10,985,763		56,558,205		30,000,000
Total Cash, Cash Equivalents and Equity in Trading Accounts	$	174,238,551	$	246,628,227	$	120,271,366	$	174,238,551


At June 30, 2021	Total		Level I		Level II		Level III
Short-Term Investments	$	141,896,000	$	141,896,000	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		51,958,790		51,958,790		—		—


At June 30, 2022	Total		Level I		Level II		Level III
Short-Term Investments	$	63,625,000	$	63,625,000	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		22,893,340		22,893,340		—		—


At December 31, 2020	Total		Level I		Level II		Level III
At December 31, 2021									Total		Level I		Level II		Level III
Short-Term Investments	$	20,196,000	$	20,196,000	$	—	$	—	$	91,796,000	$	91,796,000	$	—	$	—
Exchange-Traded Futures Contracts
United States Contracts		36,882,450		36,882,450		—		—	$	19,648,030	$	19,648,030	$	—	$	—


	Six			Six
	months ended			months ended
	June 30, 2021			June 30, 2020
Average daily total net assets	$	205,539,820		$	137,429,348
Dividend and interest income earned on Treasuries, cash and/or cash equivalents	$	29,911		$	326,336
Annualized yield based on average daily total net assets		0.03	%		0.48	%
Management fee	$	611,551		$	410,035
Total fees and other expenses excluding management fees	$	303,369		$	206,381
Fees and expenses related to the registration or offering of additional shares	$	75,115		$	39,650
Total commissions accrued to brokers	$	15,806		$	74,177
Total commissions as annualized percentage of average total net assets		0.02	%		0.11	%
Commissions accrued as a result of rebalancing	$	10,913		$	16,605
Percentage of commissions accrued as a result of rebalancing		69.04	%		22.39	%
Commissions accrued as a result of creation and redemption activity	$	4,893		$	57,572
Percentage of commissions accrued as a result of creation and redemption activity		30.96	%		77.61	%



	Large Cap US Equities	US Gov’t Bonds	Global Equities	Unleaded	Heating	Natural	Crude
Correlation Matrix 10 Years	(S&P 500)	(BEUSG4 Index)	(FTSE World Index)	Gasoline	Oil	Gas	Oil
Large Cap US Equities (S&P 500)	1.000	0.895	0.995	0.695	0.663	0.552	0.652
US Gov’t Bonds (BEUSG4 Index)		1.000	0.897	0.534	0.580	0.539	0.520
Global Equities (FTSE World Index)			1.000	0.711	0.683	0.546	0.670
Unleaded Gasoline				1.000	0.788	0.439	0.842
Heating Oil					1.000	0.453	0.840
Natural Gas						1.000	0.365
Crude Oil							1.000


			Global
	Large Cap	US Gov't	Equities
	US	Bonds	(FTSE
	Equities	(BEUSG4	World	Unleaded		Natural		Large Cap US Equities	US Gov’t Bonds	Global Equities	Unleaded	Heating	Natural	Crude
Correlation Matrix 1 Year	(S&P 500)	Index)	Index)	Gasoline	Heating Oil	Gas	Crude Oil	(S&P 500)	(BEUSG4 Index)	(FTSE World Index)	Gasoline	Oil	Gas	Oil
Large Cap US Equities (S&P 500)	1.000	0.137	0.974	0.539	0.449	(0.081)	0.645	1.000	0.986	1.000	0.937	0.881	0.781	0.931
US Gov't Bonds (BEUSG4 Index)		1.000	0.182	(0.124)	0.184	(0.099)	0.156
US Gov’t Bonds (BEUSG4 Index)									1.000	0.988	0.928	0.884	0.784	0.931
Global Equities (FTSE World Index)			1.000	0.608	0.578	(0.215)	0.719			1.000	0.943	0.888	0.788	0.938
Unleaded Gasoline				1.000	0.845	(0.390)	0.881				1.000	0.931	0.847	0.985
Heating Oil					1.000	(0.485)	0.881					1.000	0.862	0.937
Natural Gas						1.000	(0.286)						1.000	0.839
Crude Oil							1.000							1.000
Source: Bloomberg, NYMEX


	Total Number of	Average Price		Total Number of	Average Price Per
Period	Shares Redeemed	Per Share		Shares Redeemed	Share
4/1/21 to 4/30/21	450,000	$	22.64
5/1/21 to 5/31/21	1,050,000	$	23.29
6/1/21 to 6/30/21	650,000	$	24.83
4/1/22 to 4/30/22				300,000	$	37.93
5/1/22 to 5/31/22				150,000	$	40.89
6/1/22 to 6/30/22				—	$	—
Total	2,150,000			450,000


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

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

Date:	August ~~6, 2021~~5, 2022

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

Date:	August ~~6, 2021~~5, 2022