x
|
Annual
report pursuant to Section 13 or 15(d) of the Securities Exchange Act
of 1934 for the fiscal year ended December 31, 2006.
|
¨
|
Transition
report pursuant to Section 13 or 15(d) of the Securities Exchange Act
of 1934 for the transition period from
to .
|
Delaware
|
|
20-2830691
|
(State
or other jurisdiction of incorporation
or organization)
|
|
(I.R.S.
Employer Identification
No.)
|
Business.
|
·
|
A
is the average daily change in USOF’s NAV for any period of 30 successive
valuation days, and
|
·
|
B
is the average daily change in the price of the Benchmark Oil
Futures
Contract over the same period.
|
Futures
Contract
|
|
Position
Accountability
Levels
and Limits
|
|
Maximum
Daily Price Fluctuation
|
|
|
|
|
|
New
York Mercantile Exchange WTI Light, Sweet Crude Oil
|
|
Any
one month/all months: 20,000 net futures, but not to exceed 2,000
contracts in the last three days of trading in the spot
month.
|
|
$10.00
per barrel ($10,000 per contract) for all months. If any contract
is
traded, bid, or offered at the limit for five minutes, trading
is halted
for five minutes. When trading resumes, the limit is expanded
by $10.00
per barrel in either direction. If another halt were triggered,
the market
would continue to be expanded by $10.00 per barrel in either
direction
after each successive five-minute trading halt. There will be
no maximum
price fluctuation limits during any one trading
session.
|
ICE Brent
Crude Futures
|
|
There
are no position limits.
|
|
There
is no maximum daily price fluctuation limit.
|
ICE
WTI Crude Futures
|
|
There
are no position limits.
|
|
There
is no maximum daily price fluctuation
limit.
|
New
York Mercantile Exchange Heating Oil
|
|
7,000
contracts for all months combined, but not to exceed 1,000 in
the last
three days of trading in the spot month.
|
|
$0.25
per gallon ($10,500 per contract) for all months. If any contract
is
traded, bid, or offered at the limit for five minutes, trading
is halted
for five minutes. When trading resumes, the limit is expanded
by $0.25 per
gallon in either direction. If another halt were triggered, the
market
would continue to be expanded by $0.25 per gallon in either direction
after each successive five-minute trading halt. There will be
no maximum
price fluctuation limits during any one trading
session.
|
New
York Mercantile Exchange Gasoline
|
|
Any
one month/all months: 7,000 net futures.
|
|
$0.25
per gallon ($10,500 per contract) for all months. If any contract
is
traded, bid, or offered at the limit for five minutes, trading
is halted
for five minutes. When trading resumes, the limit is expanded
by $0.25 per
gallon in either direction. If another halt were triggered, the
market
would continue to be expanded by $0.25 per gallon in either direction
after each successive five-minute trading halt. There will be
no maximum
price fluctuation limits during any one trading
session.
|
Service
Provider
|
|
Compensation
Paid by the General Partner
|
|
|
|
Brown
Brothers Harriman & Co., Custodian, Administrator and Transfer
Agent
|
|
A
$50,000 annual fee for its transfer agency services; and for
its custody, fund accounting and fund administration services the
greater of a minimum amount of $250,000 annually or an asset
charge of (a)
0.06% for the first $500 million of USOF's net assets, (b) 0.0465%
for
USOF's net assets greater than $500 million but less than $1
billion, and
(c) 0.035% of USOF's net assets that exceed $1
billion.
|
ALPS
Distributors, Inc., Marketing Agent
|
|
$425,000
per annum plus an incentive fee as follows: 0.0% on USOF’s assets from
$0-500 million; .04% on USOF’s assets from $500 million-$4 billion; .03%
on USOF’s assets in excess of $4
billion.
|
Service
Provider
|
Compensation
Paid by USOF
|
Fees
paid during 2006
|
|||||
|
|
||||||
UBS
Securities LLC, Futures Commission Merchant
|
Approximately
$3.50 per buy or sell
|
$ |
478,713
|
||||
Non-Affiliated
Brokers
|
Approximately
0.16%
of assets
|
|
|
Assets
|
|
Management
Fee
|
Fees
paid during 2006
|
|
|
|
|
First
$1,000,000,000
|
|
0.04%
of NAV
|
N/A
|
After
the first $1,000,000,000
|
|
0.02%
of NAV
|
N/A
|
·
|
Taking
the current market value of its total
assets
|
·
|
Subtracting
any liabilities
|
Dollar
Amount Offered:
|
$
|
2,708,260,000
|
|
||
Dollar
Amount Raised:
|
$
|
1,740,249,722
|
|
||
Organizational
Expenses*:
|
||
SEC
registration fee**:
|
$
|
111,362
|
AMEX
Listing Fee**:
|
$
|
5,000
|
Auditor's
fees and expenses**:
|
$
|
44,000
|
Legal
fees and expenses**:
|
$
|
1,151,354
|
Printing
expenses:
|
$
|
240,000
|
|
||
Length
of Offering:
|
Continuous
|
Name
of Commodity Pool:
|
USOF
|
|||
Type
of Commodity Pool:
|
Exchange
traded security
|
|||
Inception
of Trading:
|
April
10, 2006
|
|||
Aggregate
Gross Capital Subscriptions (from inception through
December 31, 2006):
|
$
|
1,740,249,722
|
||
Total
Net Assets as of December 31, 2006:
|
$
|
803,949,254
|
*
|
|
Initial
NAV Per Unit as of Inception:
|
$
|
67.39
|
||
NAV
per Unit as of December 31, 2006:
|
$
|
51.87
|
||
Worst
Monthly Percentage Draw-down:
|
September
2006 (11.71
|
%)
|
||
Worst
Peak-to-Valley Draw-down:
|
June
2006-December 2006 (25.73
|
%)
|
||
Total
Rate of Return Since Inception:
|
(23.03
|
%)
|
Month
|
Rates of Return
For the Year 2006
|
|||
April
|
3.47
|
%
|
||
May
|
(2.91
|
%)
|
||
June
|
3.16
|
%
|
||
July
|
(0.50
|
%)
|
||
August
|
(6.97
|
%)
|
||
September
|
(11.71
|
%)
|
||
October
|
(8.46
|
%)
|
||
November
|
4.73
|
%
|
||
December
|
(5.21
|
%)
|
·
|
held
on deposit with the futures commission merchant or other
custodian,
|
·
|
used
for other investments, and
|
·
|
held
in bank accounts to pay current obligations and as
reserves.
|
Risk
Factors.
|
·
|
no
commercially productive crude oil or natural gas reservoirs may
be
found;
|
·
|
crude
oil and natural gas drilling and production activities may be shortened,
delayed or canceled;
|
·
|
the
ability of an oil producer to develop, produce and market reserves
may be
limited by:
|
·
|
decisions
of the cartel of oil producing countries ( e.g.
,
OPEC, the Organization of the Petroleum Exporting Countries), to
produce
more or less oil;
|
·
|
increases
in oil production due to price rises may make it more economical
to
extract oil from additional sources and may later temper further
oil price
increases; and
|
·
|
economic
activity of users, as certain economies’ oil consumption increases (
e.g.
,
China, India) and as economies contract (in a recession or depression),
oil demand and prices fall.
|
·
|
USOF
(i) may not be able to buy/sell the exact amount of Oil Futures
Contracts
and Other Oil Interests to have a perfect correlation with NAV;
(ii) may
not always be able to buy and sell Oil Futures Contracts or Other
Oil
Interests at the market price; (iii) may not experience a perfect
correlation between the spot price of WTI light, sweet crude oil
and the
underlying investments in Oil Futures Contracts and Other Oil Interests
and Treasuries, cash and cash equivalents; and (iv) is required
to pay
brokerage fees and the management fee, which will have an effect on
the correlation.
|
·
|
Short-term
supply and demand for WTI light, sweet crude oil may cause the
market
price of the changes in the Benchmark Oil Futures Contract to vary
from
changes in USOF’s NAV if USOF has fully invested in Oil Futures Contracts
that do not reflect such supply and demand and it is unable to
replace
such contracts with Oil Futures Contracts that do reflect such
supply and
demand. In addition, there are also technical differences between
the two
markets, e.g., one is a physical market while the other is a futures
market traded on exchanges, that may cause variations between the
spot
price of oil and the prices of related futures
contracts.
|
·
|
USOF
plans to buy only as many Oil Futures Contracts and Other Oil Interests
that it can to get the changes in the NAV as close as possible
to the
price of the changes in Benchmark Oil Futures Contract. The remainder
of
its assets will be invested in Treasuries, cash and cash equivalents
and
will be used to satisfy initial margin and additional margin requirements,
if any, and to otherwise support its investments in oil interests.
Investments in Treasuries, cash and cash equivalents, both directly
and as
margin, will provide rates of return that will vary from changes
in the
value of the spot price of WTI light, sweet crude oil and the price
of the
Benchmark Oil Futures Contract.
|
·
|
In
addition, because USOF incurs certain expenses in connection with
its
investment activities, and holds most of its assets in more liquid
short-term securities for margin and other liquidity purposes and
for
redemptions that may be necessary on an ongoing basis, the General
Partner
is generally not able to fully invest USOF’s assets in Oil Futures
Contracts or Other Oil Interests and there cannot be perfect correlation
between changes in USOF’s NAV and the changes in the price of the
Benchmark Oil Futures Contract.
|
·
|
As
USOF grows, there may be more or less correlation. For example,
if USOF
only has enough money to buy three Benchmark Oil Futures Contracts
and it
needs to buy four contracts to track the price of oil then the
correlation
will be lower, but if it buys 20,000 Benchmark Oil Futures Contracts
and
it needs to buy 20,001 contracts then the correlation will be higher.
At
certain asset levels, USOF may be limited in its ability to purchase
the
Benchmark Oil Futures Contract or other Oil Futures Contracts due
to
accountability levels imposed by the relevant exchanges. To the
extent
that USOF invests in these other Oil Futures Contracts or Other
Oil
Interests, the correlation with the Benchmark Oil Futures Contracts
may be
lower. If USOF is required to invest in other Oil Futures Contracts
and
Other Oil Interests that are less correlated
with the Benchmark Oil Futures Contract, USOF would likely invest
in
over-the-counter contracts to increase the level of correlation
of USOF’s
assets. Over-the-counter contracts entail certain risks described
below
under “Over-the-Counter Contract
Risk.”
|
·
|
USOF
may not be able to buy the exact number of Oil Futures Contracts
and Other
Oil Interests to have a perfect correlation with the Benchmark
Oil Futures
Contract if the purchase price of Oil Futures Contracts required
to be
fully invested in such contracts is higher than the proceeds received
for
the sale of a Creation Basket on the day the basket was sold. In
such
case, USOF could not invest the entire proceeds from the purchase
of the
Creation Basket in such futures contracts (for example, assume
USOF
receives $6,679,000 for the sale of a Creation Basket and assume
that the
price of an Oil Futures Contract for WTI light, sweet crude oil
is
$66,800, then USOF could only invest in only 99 Oil Futures Contracts
with
an aggregate value of $6,613,200). USOF would be required to invest
a
percentage of the proceeds in Treasuries to be deposited as margin
with
the futures commission merchant through which the contract was
purchased.
The remainder of the purchase price for the Creation Basket would
remain
invested in cash and Treasuries as determined by the General Partner
from
time to time based on factors such as potential calls for margin
or
anticipated redemptions. If the trading market for Oil Futures
Contracts
is suspended or closed, USOF may not be able to purchase these
investments
at the last reported price for such
investments.
|
Unresolved
Staff Comments.
|
Properties.
|
Legal
Proceedings.
|
Submission
of Matters to a Vote of Security
Holders.
|
Market
for Registrant’s Common Equity, Related Stockholder Matters and Issuer
Purchases of Equity
Securities.
|
|
High
|
|
Low
|
|
|||
Fiscal
year 2006
|
|||||||
Second
quarter (beginning April 10, 2006)
|
$
|
73.23
|
$
|
64.89
|
|||
Third
quarter
|
$
|
74.60
|
$
|
54.06
|
|||
Fourth
quarter
|
$
|
56.90
|
$
|
50.25
|
Selected
Financial Data.
|
Total
assets
|
$
|
804,349
|
||
Net
realized and unrealized loss on futures transactions, inclusive
of
commissions
|
$
|
(138,926
|
)
|
|
Net
loss
|
$
|
(126,349
|
) | |
Weighted-average
limited partnership units
|
7,018,797
|
|||
Net loss per unit | $ | (15.52 | ) | |
Net
loss per weighted average unit
|
$
|
(18.00
|
) | |
Net
cash flows
|
$
|
712,884
|
Management’s
Discussion and Analysis of Financial Condition and Results of
Operation.
|
Financial
Statements and Supplementary
Data.
|
United
States Oil Fund, LP
|
|||||||
Statements
of Financial Condition
|
|||||||
December
31, 2006 and 2005
|
|||||||
|
|||||||
2006
|
2005
|
||||||
Assets
|
|||||||
Cash
and cash equivalents
|
$
|
712,883,812
|
$
|
1,000
|
|||
Equity
in UBS Securities LLC trading accounts:
|
|||||||
Cash
|
87,123,636
|
-
|
|||||
Unrealized
loss on open commodity futures contracts
|
(34,383,000
|
)
|
-
|
||||
Receivable
for units sold
|
36,080,896
|
-
|
|||||
Interest
receivable
|
2,626,230
|
-
|
|||||
Other
assets
|
17,000
|
-
|
|||||
Total
assets
|
$
|
804,348,574
|
$
|
1,000
|
|||
Liabilities
and Partners' Capital
|
|||||||
General
Partner management fees (Note 3)
|
$
|
332,736
|
$
|
-
|
|||
Commissions
payable
|
44,386
|
-
|
|||||
Other
liabilities
|
22,198
|
-
|
|||||
Total
liabilities
|
399,320
|
-
|
|||||
Commitments
and Contingencies (Notes 3,
4 and 5)
|
|||||||
Partners'
Capital
|
|||||||
General
Partner
|
-
|
20
|
|||||
Limited
Partners
|
803,949,254
|
980
|
|||||
Total
Partners' Capital
|
803,949,254
|
1,000
|
|||||
Total
liabilities and partners' capital
|
$
|
804,348,574
|
$
|
1,000
|
|||
Limited
Partners' units outstanding, December 31, 2006
|
15,500,000
|
-
|
|||||
Net
asset value per unit (commencement of operations, April 10,
2006)
|
$
|
67.39
|
$ |
-
|
|||
Net
asset value per unit, December 31, 2006
|
$
|
51.87
|
$
|
-
|
|||
Market
value per unit, December 31, 2006
|
$
|
51.60
|
$
|
-
|
|||
See
accompanying notes to financial statements.
|
United
States Oil Fund, LP
|
||||||||||
Schedule
of Investments
|
||||||||||
December
31, 2006
|
||||||||||
Open
Futures Contracts
|
||||||||||
Loss
on Open
|
||||||||||
Number
of
|
Commodity
|
%
of Partners'
|
||||||||
|
Contracts
|
Contracts
|
Capital
|
|||||||
United
States Contracts
|
||||||||||
Crude
Oil Future contracts, expires February 2007
|
13,171
|
$
|
(34,383,000
|
)
|
(4.28
|
)
|
||||
Cash
Equivalents
|
||||||||||
|
Cost
|
Market
Value
|
||||||||
United
States - Money Market Funds
|
||||||||||
AIM
STIT- Liquid Assets Portfolio
|
$
|
171,344,554
|
$
|
171,344,554
|
21.31
|
|||||
AIM
STIT- STIC Prime Portfolio
|
171,230,961
|
171,230,961
|
21.30
|
|||||||
Goldman
Sachs Financial Square Funds - Prime Obligations Fund
|
190,268,507
|
190,268,507
|
23.67
|
|||||||
$
|
532,844,022
|
|
532,844,022
|
66.28
|
Cash |
180,039,790
|
22.39
|
|||||
Total cash and cash equivalents |
712,883,812
|
88.67
|
|||||
Cash
on deposit with broker
|
|
87,123,636
|
10.84
|
||||
Other
assets in excess of liabilities
|
38,324,806
|
4.77
|
|||||
Total
Partners' Capital
|
$
|
803,949,254
|
100.00
|
||||
See
accompanying notes to financial statements.
|
Statements
of Operations
|
|||||||
For
the period from (April 10, 2006) commencement of operations
to December
31, 2006
|
|||||||
and
the period from (May 12, 2005) inception to December
31,
2005
|
|||||||
2006
|
2005
|
||||||
Income
|
|||||||
Gains
(losses) on trading of commodity futures contracts:
|
|||||||
Realized
losses on closed positions
|
$
|
(104,063,960
|
)
|
$
|
-
|
||
Change
in unrealized losses on open positions
|
(34,383,000
|
)
|
-
|
||||
Interest
income
|
13,930,431
|
-
|
|||||
Other
income
|
129,000
|
-
|
|||||
Total
loss
|
(124,387,529
|
)
|
-
|
||||
Expenses
|
|||||||
General
Partner management fees (Note 3)
|
1,460,448
|
-
|
|||||
Brokerage
commissions
|
478,713
|
-
|
|||||
Other
expenses
|
22,198
|
-
|
|||||
Total
expenses
|
1,961,359
|
-
|
|||||
Net
loss
|
$
|
(126,348,888
|
)
|
$
|
-
|
||
Net
loss per limited partnership unit
|
$
|
(15.52
|
)
|
$
|
-
|
|
|
Net
loss per weighted average limited partnership
unit
|
$
|
(18.00
|
)
|
$
|
-
|
||
Weighted
average limited partnership units outstanding
|
7,018,797
|
-
|
|||||
See
accompanying notes to financial statements.
|
Statements
of Changes in Partners' Capital
|
||||||||||
For
the period from (April 10, 2006) commencement of operations
to December
31, 2006
|
||||||||||
and
the period from (May 12, 2005) inception to December 31,
2005
|
||||||||||
General
Partner
|
Limited
Partners
|
Total
|
||||||||
Balances,
at Inception
|
$
|
-
|
$
|
-
|
$
|
-
|
||||
Initial
contribution of capital
|
20
|
980
|
1,000
|
|||||||
Balances,
at December 31, 2005
|
20
|
980
|
1,000
|
|||||||
Addition
of 29,000,000 partnership units
|
-
|
1,740,249,722
|
1,740,249,722
|
|||||||
Redemption
of 13,500,000 partnership units
|
(20
|
)
|
(809,952,560
|
)
|
(809,952,580
|
)
|
||||
Net
loss
|
-
|
(126,348,888
|
)
|
(126,348,888
|
)
|
|||||
Balances,
at December 31, 2006
|
$
|
-
|
$
|
803,949,254
|
$
|
803,949,254
|
||||
Net
Asset Value Per Unit
|
||||||||||
At
December 31, 2005
|
$
|
-
|
||||||||
At
April 10, 2006 (commencement of operations)
|
$ |
67.39
|
||||||||
At
December 31, 2006
|
$
|
51.87
|
||||||||
See
accompanying notes to financial statements.
|
Statements
of Cash Flows
|
|||||||
Period
from (April 10, 2006) commencement of operations to December
31,
2006
|
|||||||
and
the period from (May 12, 2005) inception to December 31,
2005
|
|||||||
2006
|
2005
|
||||||
Cash
Flows from Operating Activities:
|
|||||||
Net
loss
|
$
|
(126,348,888
|
)
|
$
|
-
|
||
Adjustments
to reconcile net loss to net cash
|
|||||||
used
in operating activities:
|
|||||||
Increase
in commodity futures trading account - cash
|
(87,123,636
|
)
|
-
|
||||
Increase
in unrealized loss on futures contracts
|
34,383,000
|
-
|
|||||
Increase
in interest receivable and other assets
|
(2,643,230
|
)
|
-
|
||||
Increase
in management fees payable
|
332,736
|
- | |||||
Increase
in commissions payable
|
44,386
|
-
|
|||||
Increase
in other liabilities
|
22,198
|
-
|
|||||
Net
cash used in operating activities
|
(181,333,434
|
)
|
-
|
||||
Cash
Flows from Financing Activities:
|
|||||||
Subscription
of partnership units
|
1,704,168,826
|
1,000
|
|||||
Redemption
of partnership units
|
(809,952,580
|
)
|
-
|
||||
Net
cash provided by financing activities
|
894,216,246
|
1,000
|
|||||
Net
Increase in Cash and Cash Equivalents
|
712,882,812
|
1,000
|
|||||
Cash
and Cash Equivalents,
beginning of period
|
1,000
|
-
|
|||||
Cash
and Cash Equivalents,
end of period
|
$
|
712,883,812
|
$
|
1,000
|
|||
See
accompanying notes to financial statements.
|
April
10, 2006
|
||||
(commencement
of
|
||||
operations)
to
|
||||
December
31, 2006
|
||||
Per
Unit Operating Performance:
|
||||
Net
asset value, beginning of period
|
$
|
67.39
|
||
Total loss
|
(15.24
|
)
|
||
Total
expenses
|
(0.28
|
)
|
||
Net
decrease in net asset value
|
(15.52
|
)
|
||
Net
asset value, end of period
|
$
|
51.87
|
||
Total
Return
|
(23.03
|
)%
|
||
Ratios
to Average Net Assets (annualized)
|
||||
Total loss
|
(42.59
|
)%
|
||
Expenses
excluding management fees
|
(0.17
|
)%
|
||
Management
fees
|
(0.50
|
)%
|
||
Net loss
|
(43.26
|
)%
|
Changes
in and Disagreements With Accountants on Accounting and Financial
Disclosure.
|
Controls
and Procedures.
|
Other
Information.
|
Directors,
Executive Officers and Corporate
Governance.
|
Executive
Compensation.
|
|
|
|
|
|
|
|
|
|
|
Change
in
|
|