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UNITED STATES 12 MONTH NATURAL GAS FUND, LP Management’s Discussion and Analysis of Financial Condition and Results of Operations. (form 10-Q)

The following discussion should be read in conjunction with the condensed
financial statements and the notes thereto of the United States 12 Month Natural
Gas Fund, LP (“UNL”) 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 UNL’s actual results, performance
or achievements to be materially different from future results, performance or
achievements expressed or implied by any forward-looking statements. UNL
believes these factors include, but are not limited to, the following: changes
in inflation in the United States; movements in U.S. and foreign currencies;
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 of crude oil, a changes 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 USO’s business prospects, including its ability to achieve
its objectives, and the effect of the disruptions caused by the COVID-19
pandemic on our ability to continue to effectively manage our business.
Forward-looking statements, which involve assumptions and describe UNL’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 UNL cannot assure investors that the
projections included in these forward-looking statements will come to pass.
UNL’s actual results could differ materially from those expressed or implied by
the forward-looking statements as a result of various factors.

UNL 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 UNL assumes no obligation to update any such forward-looking
statements. Although UNL 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 UNL may make directly to them or through reports that UNL files in the
future with the U.S. Securities and Exchange Commission (the “SEC”), including
annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports
on Form 8-K.

Introduction

UNL, 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 UNL is
for the daily changes in percentage terms of its shares’ per share NAV to
reflect the daily changes, in percentage terms, of the price of natural gas
delivered at the Henry Hub, Louisiana, as measured by the daily changes in the
average of the prices of 12 futures contracts for natural gas traded on the New
York Mercantile Exchange (the “NYMEX”), consisting of 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 Futures Contracts”), plus interest earned on
UNL’s collateral holdings less UNL’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. UNL seeks to achieve its investment
objective by investing so that the average daily percentage change in UNL’s NAV
for any period of 30 successive valuation days will be within plus/minus
ten percent (10%) of the average daily percentage change in the price of the
Benchmark Futures Contracts over the same period.

UNL’s investment objective is not for its NAV or market price of shares to
equal, in dollar terms, the spot price of natural gas or any particular futures
contract based on natural gas nor is UNL’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 UNL, United States Commodity Funds LLC (“USCF”),
believes that it is not practical to manage the portfolio to achieve such an
investment goal when investing in Natural Gas Futures Contracts (as defined
below) and Other Natural Gas-Related Investments (as defined below).

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UNL invests primarily in natural gas futures contracts that are traded on the
NYMEX, ICE Futures Exchange (“ICE Futures”) or other U.S. and foreign exchanges
(collectively, “Natural Gas Futures Contracts”) and to a lesser extent, in order
to comply with regulatory requirements or in view of market conditions, other
natural gas-related investments such as cash-settled options on Natural Gas
Futures Contracts, forward contracts for natural gas, cleared swap contracts and
non-exchange traded over-the-counter (“OTC”) swaps that are based on the price
of natural gas, crude oil and other petroleum-based fuels and indices based on
the foregoing (collectively, “Other Natural Gas-Related Investments”). Market
conditions that USCF currently anticipates could cause UNL to invest in Other
Natural Gas-Related Investments include those allowing UNL to obtain greater
liquidity or to execute transactions with more favorable pricing. For
convenience and unless otherwise specified, Natural Gas Futures Contracts and
Other Natural Gas-Related Investments collectively are referred to as “Natural
Gas Interests” in this quarterly report on Form 10-Q.

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

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

Regulatory Disclosure

Accountability Levels, Position Limits and Price Fluctuation 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 UNL
is not) may hold, own or control. These levels and position limits apply to the
futures contracts that UNL invests in to meet its investment objective. In
addition to accountability levels and position limits, the NYMEX and ICE Futures
also set daily price fluctuation limits on futures contracts. The daily price
fluctuation limit establishes the maximum amount that the price of a futures
contract may vary either up or down from the previous day’s settlement price.
Once the daily price fluctuation limit has been reached in a particular futures
contract, no trades may be made at a price beyond that limit.

The accountability levels for the Benchmark Futures Contracts and other Natural
Gas Futures Contracts traded on U.S.-based futures exchanges such as the NYMEX
are not a fixed ceiling, but rather a threshold above which the NYMEX may
exercise greater scrutiny and control over an investor’s positions. The current
accountability level for investments for any one-month in the Benchmark Futures
Contracts is 6,000 net contracts. In addition, the NYMEX imposes an
accountability levels for all months of 12,000 net futures contracts for
investments in futures contracts for natural gas. In addition, the ICE Futures
maintains the same accountability levels, position limits and monitoring
authority for its natural gas contracts as the NYMEX. If UNL and the Related
Public Funds exceed these accountability levels for investments in the futures
contract for natural gas, the NYMEX and ICE Futures will monitor UNL’s and the
Related Public Funds’ exposure and may ask for further information on their
activities, including the total size of all positions, investment and trading
strategy, and the extent of liquidity resources of UNL and the Related Public
Funds. If deemed necessary by the NYMEX and/or ICE Futures, UNL and the Related
Public Funds could be ordered to reduce their aggregate net futures contracts
back to the accountability level. As of September 30, 2021, UNL held 337 Natural
Gas Futures NG contracts traded on the NYMEX and did not hold any ICE Natural
Gas Futures contracts. For the nine months ended September 30, 2021, UNL did not
exceed accountability levels imposed by the NYMEX and ICE Futures, however, the
aggregated total of certain of the Related Public Funds did exceed the
accountability levels. No action was taken by NYMEX and UNL did not reduce the
number of Natural Gas Futures Contracts held as a result.

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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 UNL will run up against such position limits because UNL’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 one day each month. For the nine months
ended September 30, 2021, UNL did not exceed any position limits imposed by the
NYMEX and the 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”), CFTC, 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 UNL
are discussed in “Item 1. Business” and “Item 1A. Risk Factors” in this
quarterly report on Form 10-Q.

Futures Contracts and Position Limits

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

On October 15, 2020, the CFTC approved the Position Limits Rule. The Position
Limits Rule establishes 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. 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 with the
limits imposed by the Position Limits Rule will not be required until 2022,
except that economically equivalent swaps need not comply with the Position
Limits Rule until 2023.

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

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”).

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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. UNL is not a Covered Swap Entity under the Final Margin
Rules, but it is a financial end-user. Accordingly, UNL is currently subject to
the variation margin requirements of the Final Margin Rules. However, UNL does
not have material swaps exposure and, accordingly, UNL will not be subject to
the initial margin requirements of the Final Margin Rules.

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 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. UNL does not currently engage in
security-based swap transactions and, therefore, the SEC’s margin rules are not
expected to apply to UNL.

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 UNL 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 UNL 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 UNL’s FCM.

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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, UNL 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, UNL 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 SEC adopted amendments to Rule 2a-7 under the Investment Company Act of
1940, as amended (“1940 Act”) which became effective in 2016, to reform money
market funds (“MMFs”). While the rule applies only to MMFs, it may indirectly
affect institutional investors such as UNL. A portion of UNL’s assets that are
not used for margin or collateral in the Futures Contracts currently are
invested in government MMFs. UNL does not hold any non-government MMFs and does
not anticipate investing in any non- government MMFs. However, if UNL invests in
other types of MMFs besides government MMFs in the future, UNL 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).

Although such government MMFs 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 UNL
may lose money by investing in a government MMF. An investment in a government
MMF 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 can fall below the $1.00 share price. UNL cannot rely on or
expect a government MMF’s adviser or its affiliates to enter into support
agreements or take other actions to maintain the government MMF’s $1.00 share
price. The credit quality of a government MMF’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 share price. Due to fluctuations in interest
rates, the market value of securities held by a government MMF may vary. A
government MMF’s share price can also be negatively affected during periods of
high redemption pressures and/or illiquid markets.

Price Movements

Natural gas futures prices were volatile during the nine months ended September
30, 2021. The average price of the Benchmark Futures Contracts started the
period at $2.695 per million British thermal shares (“MMBtu”). The high of the
period was on September 28,2021 when the price of the Benchmark Futures
Contracts reached $4.726 per MMBtu. The low of the period was on March 18, 2021
when the price dropped to $2.688 per MMBtu. The period ended with the Benchmark
Futures Contracts at $4.723 per MMBtu, an increase of approximately 75.25% over
the period. UNL’s per share NAV began the period at $7.74 and ended the period
at $14.48 on September 30, 2021, an increase of approximately 87.08% over the
period. The Benchmark Futures Contracts prices listed above began with the
February 2021 to January 2022 contracts and ended with the November 2021 to
October 2022 contracts. The increase of approximately 75.25% on the Benchmark
Futures Contracts listed above is a hypothetical return only and could not
actually be achieved by an investor holding Futures Contracts. An investment in
Futures Contracts would need to be rolled forward during the time period
described in order to simulate such a result. Furthermore, the change in the
nominal price of these differing Futures Contracts, measured from the start of
the period to the end of the period, does not represent the actual benchmark
results that UNL seeks to track, which are more fully described below in the
section titled “Tracking UNL’s Benchmark.”

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During the nine months ended September 30, 2021, the natural gas futures market
experienced states of both contango and backwardation. When the market is in a
state of contango, the near month natural gas futures contract is lower than the
price of the next month natural gas futures contract, or contracts further away
from expiration. During periods of backwardation the near month natural gas
futures contract is higher than the price of the next month natural gas 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
Natural Gas Futures Prices and the Impact on Total Returns” below.

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

The per share NAV of UNL’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. The 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 UNL investments, including cleared swaps, 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 Natural Gas Market

Results of Operations. On November 18, 2009, UNL listed its shares on the NYSE
Arca under the ticker symbol “UNL.” On that day, UNL established its initial
offering price at $50.00 per share and issued 200,000 shares to the initial
Authorized Participant, Merrill Lynch Professional Clearing Corp., in exchange
for $10,000,000 in cash.

As of September 30, 2021, UNL had issued 6,600,000 shares, 1,100,000 of which
were outstanding. As of September 30, 2021, there were 23,400,000 shares
registered but not yet issued. UNL has registered 30,000,000 shares since
inception.

More shares may have been issued by UNL than are outstanding due to the
redemption of shares. Unlike funds that are registered under the 1940 Act,
shares that have been redeemed by UNL cannot be resold by UNL. As a result, UNL
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 September 30, 2021, UNL had the following Authorized Participants: Citadel
Securities LLC, Citigroup Global Markets, Inc., Credit Suisse Securities USA
LLC, JP Morgan Securities LLC, Merrill Lynch Professional Clearing Corp., Morgan
Stanley & Company Inc., RBC Capital Markets LLC, SG Americas Securities LLC

and
Virtu Americas LLC.

For the Nine Months Ended September 30, 2021 Compared to the Nine Months Ended
September 30, 2020

Nine months ended Nine months ended
September 30, 2021September 30, 2020

Average daily total net assets $ 9,573,258

$ 4,286,570
Dividend and interest income earned on Treasuries,
cash and/or cash equivalents

$ 2,264 $ 20,609
Annualized yield based on average daily total net
assets 0.03 % 0.64 %
Management fee $ 53,702 $ 24,068
Total fees and other expenses excluding management
fees $ 118,753 $ 52,550
Total amount of the expense waiver $ 108,012 $ 47,742
Expenses before the allowance of the expense
waiver $ 172,455 $ 76,618
Expenses after the allowance of the expense waiver $ 64,443 $ 28,876
Total commissions accrued to brokers $ 2,181 $ 1,058
Total commissions as annualized percentage of
average total net assets 0.03 % 0.03 %
Commissions accrued as a result of rebalancing $ 1,525 $ 767
Percentage of commissions accrued as a result of
rebalancing 69.92 % 72.50 %
Commissions accrued as a result of creation and
redemption activity $ 656 $ 291
Percentage of commissions accrued as a result of
creation and redemption activity 30.08 %

27.50 %

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Portfolio Expenses. UNL’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 UNL pays to USCF is calculated as a percentage of the total
net assets of UNL. The fee is accrued daily and paid monthly.

Average interest rates earned on short-term investments held by UNL, including
cash, cash equivalents and Treasuries, were lower during the nine months ended
September 30, 2021, compared to the nine months ended September 30, 2020. As a
result, the amount of income earned by UNL as a percentage of average daily
total net assets was lower during the nine months ended September 30, 2021,
compared to the nine months ended September 30, 2020. To the degree that the
aggregate yield is lower/higher, the net expense ratio, inclusive of income,
will be higher.

The increase in total fees and other expenses excluding management fees for the
nine months ended September 30, 2021, compared to the nine months ended
September 30, 2020, was due primarily to an increase in professional fees, total
directors’ fees and insurance.

The increase in total commissions accrued to brokers for the nine months ended
September 30, 2021, compared to the nine months ended September 30, 2020, was
due primarily to a higher number of Natural Gas Futures Contracts being held and
traded.

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended
September 30, 2020

Three months ended Three months ended
September 30, 2021September 30, 2020

Average daily total net assets $ 11,734,289 $ 6,193,476
Dividend and interest income earned on
Treasuries, cash and/or cash equivalents $ 882 $ 2,151
Annualized yield based on average daily total net
assets 0.03 % 0.14 %
Management fee $ 22,183 $ 11,676
Total fees and other expenses excluding
management fees $ 42,765 $ 15,922
Total amount of the expense waiver $ 38,328 $ 14,037
Expenses before the allowance of the expense
waiver $ 64,948 $ 27,598
Expenses after the allowance of the expense
waiver $ 26,620 $ 13,561
Total commissions accrued to brokers $ 631 $ 537
Total commissions as annualized percentage of
average total net assets 0.02 % 0.03 %
Commissions accrued as a result of rebalancing $ 531 $ 409
Percentage of commissions accrued as a result of
rebalancing 84.15 % 76.16 %
Commissions accrued as a result of creation and
redemption activity $ 100 $ 128
Percentage of commissions accrued as a result of
creation and redemption activity 15.85 %

23.84 %

Portfolio Expenses. UNL’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 UNL pays to USCF is calculated as a percentage of the total
net assets of UNL. The fee is accrued daily and paid monthly.

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

The increase in total fees and other expenses excluding management fees for the
three months ended September 30, 2021, compared to the three months ended
September 30, 2020, was due primarily to a increase in expenses related to the
increase in total net assets.

The increase in total commissions accrued to brokers for the three months ended
September 30, 2021, compared to the three months ended September 30, 2020, was
due primarily to a higher number of Natural Gas Futures Contracts being held and
traded.

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Tracking UNL’s Benchmark

USCF seeks to manage UNL’s portfolio such that changes in its average daily per
share NAV, on a percentage basis, closely track the daily changes in the average
price of the Benchmark Futures 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 UNL’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 Futures Contracts. As an example, if the average daily
movement of the average of the prices of the Benchmark 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). UNL’s portfolio management goals do not include
trying to make the nominal price of UNL’s per share NAV equal to the average of
the nominal prices of the current Benchmark Futures Contracts or the spot price
for natural gas. USCF believes that it is not practical to manage the portfolio
to achieve such an investment goal when investing in Futures Contracts and Other
Natural Gas-Related Investments.

For the 30-valuation days ended September 30, 2021, the average daily change in
the average of the prices of the Benchmark Futures Contracts was 1.010%, while
the average daily change in the per share NAV of UNL over the same time period
was 1.008%. The average daily difference was (0.002)% (or (0.2) basis points,
where 1 basis point equals 1/100 of 1%), meaning that over this time period
UNL’s NAV performed was within the plus or minus 10% range established as its
benchmark tracking goal.

Since the commencement of the offering of UNL’s shares to the public on November
18, 2009 to September 30, 2021, the average daily change in the average price of
the Benchmark Futures Contracts was (0.026)%, while the average daily change in
the per share NAV of UNL over the same time period was (0.027)%. 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 UNL’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
UNL’s NAV and the changes in the Benchmark Futures Contracts. The first graph
exhibits the daily changes in the last 30 valuation days ended September 30,
2021. The second graph measures monthly changes since September 30, 2016 through
September 30, 2021.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

[[Image Removed: Graphic]]

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

[[Image Removed: Graphic]]

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

For the nine months ended September 30, 2021, the actual total return of UNL as
measured by changes in its per share NAV was 87.08%. This is based on an initial
per share NAV of $7.74 as of December 31, 2020 and an ending per share NAV as of
September 30, 2021 of $14.48. During this time period, UNL made no distributions
to its shareholders. However, if UNL’s daily changes in its per share NAV had
instead exactly tracked the changes in the daily total return of the Benchmark
Futures Contracts, UNL would have had an estimated per share NAV of $14.45 as of
September 30, 2021, for a total return over the relevant time period of 86.69%.
The difference between the actual per share NAV total return of UNL of 87.08%
and the expected total return based on the Benchmark Futures Contracts of 86.69%
was a difference over the time period of 0.39%, which is to say that UNL’s
actual total return outperformed its benchmark by that percentage. UNL 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 UNL to
track slightly lower or higher than daily changes in the price of the Benchmark
Futures Contracts.

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By comparison, for the nine months ended September 30, 2020, the actual total
return of UNL as measured by changes in its per share NAV was 1.66%. This was
based on an initial per share NAV of $8.43 as of December 31, 2019 and an ending
per share NAV as of September 30, 2020 of $8.57. During this time period, UNL
made no distributions to its shareholders. However, if UNL’s daily changes in
its per share NAV had instead exactly tracked the changes in the daily total
return of the Benchmark Futures Contracts, UNL would have had an estimated per
share NAV of $8.57 as of September 30, 2020, for a total return over the
relevant time period of 1.66%. The difference between the actual per share NAV
total return of UNL of 1.66% and the expected total return based on the
Benchmark Futures Contracts of 1.66% was a difference over the time period of
0.00%, which is to say that UNL’s actual total return equaled its benchmark
percentage. UNL incurred expenses primarily composed of the management fee,
brokerage commissions for the buying and selling of futures contracts, and other
expenses. The impact of these expenses, offset by interest and dividend income,
and net of positive or negative execution, tended to cause daily changes in the
per share NAV of UNL to track slightly lower or higher than daily changes in the
price of the Benchmark Futures Contracts.

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

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

Second, UNL 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 UNL to track slightly lower than daily changes in the price of the Benchmark
Futures Contracts. At the same time, UNL earns dividend and interest income on
its cash, cash equivalents and Treasuries. UNL is not required to distribute any
portion of its income to its shareholders and did not make any distributions to
shareholders during the nine months ended September 30, 2021. Interest payments,
and any other income, were retained within the portfolio and added to UNL’s NAV.
When this income exceeds the level of UNL’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),
UNL will realize a net yield that will tend to cause daily changes in the per
share NAV of UNL to track slightly higher than daily changes in the average of
the prices of the Benchmark 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 Futures Contracts. USCF anticipates that interest rates may
continue to stagnate over the near future near historical lows. It is
anticipated that fees and expenses paid by UNL may continue to be higher than
interest earned by UNL. As such, USCF anticipates that UNL could possibly
underperform its benchmark so long as interest earned is lower than the fees and
expenses paid by UNL.

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

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

As an example, assume that the price of natural gas for immediate delivery, is
$3 per MMBtu, and the value of a position in the near month futures contract is
also $3. Over time, the price of natural gas will fluctuate based on a number of
market factors, including demand for natural gas 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 MMBtu of natural
gas, the investor must sell the current near month futures contract as it
approaches expiration and invest in the next month futures contract. In order to
continue holding a position in the current near month futures contract, this
“roll” forward of the futures contract must be executed every month.

Contango and backwardation are natural market forces that have impacted the
total return on an investment in UNL’s shares during the past year relative to a
hypothetical direct investment in natural gas. In the future, it is likely that
the relationship between the market price of UNL’s shares and changes in the
spot prices of natural gas 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 natural gas, 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 $2.94 per MMBtu, or 2% cheaper than the $3
near month futures contract, then, hypothetically, and assuming no other changes
(e.g., to either prevailing natural gas 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 $2.94 next month futures contract would rise
to $3 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
natural gas. As a result, it would be possible for the new near month futures
contract to rise 12% while the spot price of natural gas may have risen a lower
amount, e.g., only 10%. Similarly, the spot price of natural gas 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 $3 per MMBtu, the
price of the next month futures contract might be $3.06 per MMBtu, or 2% more
expensive than the front month futures contract. Hypothetically, and assuming no
other changes, the value of the $3.06 next month futures contract would fall to
$3 as it approaches expiration. In this example, the value of an investment in
the second month would tend to underperform the spot price of natural gas. As a
result, it would be possible for the new near month futures contract to rise
only 10% while the spot price of natural gas may have risen a higher amount,
e.g., 12%. Similarly, the spot price of natural gas 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.

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The chart below compares the daily price of the near month natural gas futures
contract to the price of 13th month natural gas 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 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 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 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 month futures contract prices
(backwardation) and, at other times, the near month futures contract prices are
lower than the 13th month futures contract prices (contango).

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

[[Image Removed: Graphic]]

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An alternative way to view the same data is to subtract the dollar price of the
13th month natural gas futures contract from the dollar price of the near month
natural gas 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 natural gas market spent time in both
backwardation and contango during the last ten years. The chart below shows the
results from subtracting the average dollar price of the near 12-month contracts
from the near month price for the 10-year period between September 30, 2011 and
September 30, 2021. Investors will note that the natural gas market spent time
in both backwardation and contango.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

[[Image Removed: Graphic]]

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An investment in a portfolio that owned only the near month natural gas 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’ of natural
gas futures contracts. Generally speaking, when the natural gas futures market
is in backwardation, a portfolio of only the near month natural gas futures
contract may tend to have a higher total return than a portfolio of 12 months’
of the natural gas futures contract. Conversely, if the natural gas futures
market was in contango, the portfolio containing only 12 months’ of natural gas
futures contracts may tend to outperform the portfolio holding only the
near month natural gas futures contract.

Historically, the natural gas futures markets have experienced periods of
contango and backwardation. Because natural gas demand is seasonal, it is
possible for the price of natural gas futures contracts for delivery within one
or two months to rapidly move from backwardation into contango and back again
within the relatively short period of time of less than one year. However, the
natural gas market has primarily been in a state of contango since late 2014.

Periods of contango or backwardation do not materially impact UNL’s investment
objective of having the daily percentage changes in its per share NAV track the
daily percentage changes in the price of the Benchmark Futures Contracts since
the impact of backwardation and contango tend to equally impact the daily
percentage changes in price of both UNL’s shares and the Benchmark 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 and, because of the seasonal
nature of natural gas demand, both may occur within a single year’s time.]*

*USCF to confirm

Natural Gas Market. During the nine months ended September 30, 2021, the average
price of the natural gas benchmark futures contracts in the United States
increased by 75.25%. Prices reached their low for the year on March 18, 2021 at
$2.688 and peaked on September 28, 2021 at $4.726. The number of rigs dedicated
to natural gas production rose from 83 at the start of the year to 99 by the end
of the third quarter of 2021. Both domestic demand and U.S. exports of natural
gas have increased over the last five years. The robust ability of the U.S.
energy industry to meet demand may constrain natural gas prices except during
periods of extreme temperatures.

Mitigation measures taken in the United States to slow the spread of the
COVID-19 pandemic led to a decline in natural gas consumption in the industrial
sector and by other commercial users during the early stage of the pandemic.
Simultaneously, natural gas production fell as a result of reduced drilling
activity and shut-ins of crude oil wells where natural gas is a byproduct.

While natural gas prices declined steadily during the first half of 2020, prices
were not as impacted by the COVID-19 pandemic as other energy commodities. Lower
prices were at least in part due to the ongoing surplus of natural gas in
storage and lower demand resulting from warm weather in the United States.
Additionally, crude oil and petroleum products are more sensitive to changes in
commuter and air miles as well as manufacturing and industrial production, all
of which dropped dramatically during first half of 2020.

The 30-day annualized volatility of natural gas prices rose notably from late
February to late May of 2020 and averaged about 69% during the second quarter,
considerably higher than five-year average volatility of approximately 44%.
However, natural gas price volatility during the rest of 2020 was similar to
prior years. Natural gas price volatility in 2020 never reached the extreme
level that occurred during the 2018-2019 winter. Likewise, natural gas price
volatility remained well below the levels of volatility seen in crude oil
markets. While some uncertainty in natural gas prices was likely a result of
COVID-19 mitigation efforts, the effects from the COVID-19 pandemic were more
muted as compared to the impact on crude oil markets.

The ongoing impact of COVID-19 in the United States may continue to add pressure
to natural gas demand, and the full impact is indeterminate. Supply and demand
of natural gas continue to exhibit normal seasonal patterns, whereby both
production and end-user demand increase in autumn and winter months and decline
in spring and summer months. Peak demand and peak production in the winter of
2020-2021 fell somewhat below their five-year averages, though not dramatically,
and prices have exhibited an uneven recovery from pandemic lows. Ultimately, the
COVID-19 pandemic is likely to continue impacting both demand and supply and the
ultimate impact on natural gas prices remains uncertain at this time.

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Natural Gas 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.

For the ten-year time period between September 30, 2011 and September 30, 2021,
the table below compares the monthly movements of natural gas prices versus the
monthly movements of the prices of several other energy commodities, such as
crude oil, 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 natural gas on a monthly basis was neither strongly
correlated nor inversely correlated with the movements of large cap U.S.
equities, U.S. Government bonds, global equities, crude oil, diesel-heating oil,
or unleaded gasoline.

*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Natural Gas – 10 Years

Global
Large Cap US Gov’t Equities
US Bonds (FTSE
Correlation Matrix Equities (BEUSG4 World Unleaded Natural
10 Years (S&P 500) Index) Index) Crude Oil Heating Oil Gasoline Gas
Large Cap US
Equities (S&P 500) 1.000 (0.313) 0.966 0.446 0.347 0.540 0.107
US Gov’t Bonds
(BEUSG4 Index) 1.000 (0.299) (0.325) (0.357) (0.300) (0.088)
Global Equities
(FTSE World Index) 1.000 0.491 0.414 0.573 0.086
Crude Oil 1.000 0.785 0.736 0.013
Heating Oil 1.000 0.673 0.033
Unleaded Gasoline 1.000 0.066
Natural Gas 1.000
Source: Bloomberg,
NYMEX

The table below covers a more recent, but much shorter, range of dates than the
above table. Over the one year period ended September 30, 2021, the movement of
natural gas was neither strongly correlated nor inversely correlated with
diesel-heating oil and U.S. government bonds oil. The movement of natural gas
was somewhat negatively correlated with large cap U.S. equities, global equities
crude oil and unleaded gasoline.

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*PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Natural Gas – 1 Year

Global
Large Cap US Gov’t Equities
US Bonds (FTSE
Correlation Matrix 1 Equities (BEUSG4 World Unleaded Natural
Year (S&P 500) Index) Index) Crude Oil Heating Oil Gasoline Gas
Large Cap US
Equities (S&P 500) 1.000 0.225 0.978 0.530 0.526 0.659 (0.561)
US Gov’t Bonds
(BEUSG4 Index) 1.000 0.218 0.045 0.057 (0.022) (0.116)
Global Equities
(FTSE World Index) 1.000 0.606 0.627 0.692 (0.623)
Crude Oil 1.000 0.965 0.851 (0.265)
Heating Oil 1.000 0.831 (0.288)
Unleaded Gasoline 1.000 (0.572)
Natural Gas 1.000
Source: Bloomberg,
NYMEX

Investors are cautioned that the historical price relationships between natural
gas 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 natural gas 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 natural gas could have long-term correlation
results that indicate prices of natural gas 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 natural gas to equities and bonds will be either more strongly
positively correlated or more strongly negatively correlated than the long term
historical results suggest.

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

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. UNL’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
UNL’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
UNL for its Futures Contracts are provided by its commodity broker who uses
market prices when available, while OTC swaps are valued based on the present
value of estimated future cash flows that would be received from or paid to a
third party in settlement of these derivative contracts prior to their delivery
date and valued on a daily basis. In addition, UNL 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.

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Liquidity and Capital Resources

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

UNL 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. UNL has allocated substantially all of its net assets
to trading in Natural Gas Interests. UNL invests in Natural Gas Interests to the
fullest extent possible without being leveraged or unable to satisfy its current
or potential margin or collateral obligations with respect to its investments in
Futures Contracts and Other Natural Gas-Related Investments. A significant
portion of UNL’s NAV is held in cash and cash equivalents that are used as
margin and as collateral for its trading in Natural Gas Interests. The balance
of the assets is held in UNL’s account at its custodian bank and in investments
in money market funds and Treasuries at the FCMs. Income received from UNL’s
investments in money market funds and Treasuries is paid to UNL. During the nine
months ended September 30, 2021, UNL’s expenses, pre and post expense waiver,
exceeded the income UNL earned and the cash earned from the sale of Creation
Baskets and the redemption of Redemption Baskets. During the nine months ended
September 30, 2021, UNL did not use other assets to pay expenses, post expense
waiver. To the extent expenses exceed income, UNL’s NAV will be negatively
impacted.

USCF endeavors to have the value of UNL’s Treasuries, cash and cash equivalents,
whether held by UNL or posted as margin or other collateral, at all times
approximate the aggregate market value of its obligations for its investments in
its Futures Contracts and Other Natural Gas-Related Investments.

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

UNL’s investments in Natural Gas 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 UNL from
promptly liquidating its positions in Futures Contracts. During the nine months
ended September 30, 2021, UNL did not purchase or liquidate any of its positions
while daily limits were in effect; however, UNL cannot predict whether such an
event may occur in the future.

Since the initial offering of shares, UNL 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.

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

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Market Risk

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

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

Credit Risk

When UNL enters into Futures Contracts and Other Natural Gas-Related
Investments, it is exposed to the credit risk that the counterparty will not be
able to meet its obligations. The counterparty for the Futures Contracts traded
on the 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. UNL 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 UNL in such circumstances.

USCF attempts to manage the credit risk of UNL by following various trading
limitations and policies. In particular, UNL generally posts margin and/or holds
liquid assets that are approximately equal to the market value of its
obligations to counterparties under the Futures Contracts and Other Natural
Gas-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 UNL to limit its credit exposure. An FCM, when acting on behalf
of UNL in accepting orders to purchase or sell Futures Contracts on United
States exchanges, is required by CFTC regulations to separately account for and
segregate as belonging to UNL, all assets of UNL relating to domestic Futures
Contracts trading. These FCMs are not allowed to commingle UNL’s assets with
their other assets. In addition, the CFTC requires FCMs to hold in a secure
account UNL’s assets related to foreign Futures Contracts.

In the future, UNL 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 September 30, 2021, UNL held cash deposits and investments in Treasuries
and money market funds in the amount of $13,821,620 with the custodian and FCMs.
Some or all of these amounts held by a custodian or an FCM, as applicable, may
be subject to loss should UNL’s custodian or FCMs, as applicable, cease
operations.

Off Balance Sheet Financing

As of September 30, 2021, UNL 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 UNL. While UNL’s exposure under
these indemnification provisions cannot be estimated, they are not expected to
have a material impact on UNL’s financial position.

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Redemption Basket Obligation

In order to meet its investment objective and pay its contractual obligations
described below, UNL requires liquidity to redeem shares, which redemptions must
be in blocks of 50,000 shares called “Redemption Baskets.” UNL 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

UNL’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 UNL’s NAV, currently 0.60% for a NAV of $1 billion or less,
and thereafter of 0.50% for a NAV above $1 billion.

USCF agreed to pay the start-up costs associated with the formation of UNL,
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 UNL and
its shares with the SEC, FINRA and NYSE Arca (formerly, AMEX), respectively.
However, since UNL’s initial offering of shares, offering costs incurred in
connection with registering and listing additional shares of UNL have been
directly borne on an ongoing basis by UNL, 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 UNL’s condensed financial statements and its SEC, NFA and CFTC
reports. USCF and UNL have also entered into a licensing agreement with the
NYMEX pursuant to which UNL and the Related Public Funds, other than BNO, USCI
and CPER, pay a licensing fee to the NYMEX. UNL 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 UNL’s condensed financial statements and
its SEC, NFA and CFTC reports through May 31, 2020.

In addition to USCF’s management fee, UNL pays its brokerage fees (including
fees to an FCM), 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 UNL’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. UNL also pays a portion of the fees and expenses of the
independent directors of USCF. See Note 3 to the Notes 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 UNL’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
UNL’s existence. Either party may terminate these agreements earlier for certain
reasons described in the agreements.

As of September 30, 2021, UNL’s portfolio consisted of 337 Natural Gas Futures
NG contracts traded on the NYMEX. As of September 30, 2021, UNL did not hold any
Futures Contracts traded on the ICE Futures. For a list of UNL’s current
holdings, please see UNL’s website at www.uscfinvestments.com.

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