Amplify Commodity Trust 10-K

Item 8. Financial Statements and Supplemental Data. ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Assets and Liabilities June 30, 2020 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Assets Investment in securities, at fair value (cost $4,883,666 and $7,986,862, respectively) $ 4,879,769 $ 7,986,862 $ 12,866,631 Interest receivable - 545 545 Receivable on open futures contracts - 8,581,555 8,581,555 Segregated cash held by broker 201,883 28,020,391 28,222,274 Total assets 5,081,652 44,589,353 49,671,005 Liabilities Options written, at fair value (premiums received $3,204 and $-0-, respectively) 4,148 - 4,148 Payable on open futures contracts 5,144 - 5,144 Payable for Fund shares redeemed - 192,533 192,533 Due to Sponsor 4,179 84,280 88,459 Other accrued expenses - 37,053 37,053 Total liabilities 13,471 313,866 327,337 Net Assets $ 5,068,181 $ 44,275,487 $ 49,343,668 Shares outstanding (unlimited authorized) 250,040 5,750,040 Net asset value per share $ 20.27 $ 7.70 Market value per share $ 20.26 $ 7.39 See accompanying notes to combined financial statements. 34 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Assets and Liabilities June 30, 2019 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Assets Investment in securities, at fair value (cost $11,928,143 and $1,095,625, respectively) $ 11,909,897 $ 1,095,625 $ 13,005,522 Interest receivable 436 5,821 6,257 Segregated cash held by broker 365,460 2,831,566 3,197,026 Receivable on open futures contracts - 391,415 391,415 Total assets 12,275,793 4,324,427 16,600,220 Liabilities Options written, at fair value (premiums received $16,128 and $-0-, respectively) 19,336 - 19,336 Payable on open futures contracts 326,457 - 326,457 Due to Sponsor 9,851 11,699 21,550 Other Liabilities - 4,466 4,466 Total liabilities 355,644 16,165 371,809 Net Assets $ 11,920,149 $ 4,308,262 $ 16,228,411 Shares outstanding (unlimited authorized) 525,040 325,040 Net asset value per share $ 22.70 $ 13.25 Market value per share $ 22.73 13.15 See accompanying notes to combined financial statements. 35 ETF MANAGERS GROUP COMMODITY TRUST I Combined Schedule of Investments June 30, 2020 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED PURCHASED PUT OPTIONS - 0.3% and 0.0%, respectively US Treasury 10 Year Note, Strike Price $139.50 Expiring 08/21/20 (15 contracts) $ 14,296 $ - $ 14,296 TOTAL PURCHASED PUT OPTIONS (Cost $22,316) 14,296 - 14,296 SHORT-TERM INVESTMENTS - 95.7% and 0.0%, respectively US TREASURY BILLS - 95.7% and 0.0%, respectively United States Treasury Bills 0.1200%, 07/23/2020 ($4,850,000 principal amount) (a) 4,849,667 - 4,849,667 TOTAL US TREASURY BILLS (Cost $4,845,544) 4,849,667 - 4,849,667 MONEY MARKET FUNDS - 0.3% and 18.0%, respectively First American US Treasury Money Market Fund, Class Z, 0.04% (b) (15,806 shares) 15,806 - 15,806 First American US Treasury Obligations Fund, Class X, 0.08% (b) (7,986,862 shares) - 7,986,862 7,986,862 TOTAL MONEY MARKET FUNDS (Cost $15,806 and $7,986,862, respectively 15,806 7,986,862 8,002,668 Total Investments (Cost $4,883,666 and $7,986,862, respectively) - 96.3% and 18.0%, respectively 4,879,769 7,986,862 12,866,631 Other Assets in Excess of Liabilities - 3.7% and 82.0%, respectively (a) 188,412 36,288,625 36,477,037 TOTAL NET ASSETS - 100.0% and 100.0%, respectively $ 5,068,181 $ 44,275,487 $ 49,343,668 (a) $4,849,667 and $27,827,859, respectively, of cash is pledged as collateral for futures contracts and written options (b) Annualized seven-day yield as of June 30, 2020 BREAKWAVE DRY BULK SHIPPING ETF Unrealized Unrealized Unrealized Futures Contracts Appreciation/ Appreciation/ Appreciation/ June 30, 2020 (Depreciation) (Depreciation) (Depreciation) Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 31, 2020 (Underlying Face Amount at Market Value - $3,799,600) (350 contracts) $ - $ 556,225 $ 556,225 Baltic Exchange Panamax T/C Average Shipping Route Index Expiring August 28, 2020 (Underlying Face Amount at Market Value - $3,768,100) (350 contracts) - 512,475 512,475 Baltic Exchange Panamax T/C Average Shipping Route Index Expiring September 25, 2020 (Underlying Face Amount at Market Value - $3,753,750) (350 contracts) - 492,625 492,625 Baltic Exchange Supramax T/C Average Shipping Route Expiring July 31, 2020 (Underlying Face Amount at Market Value - $1,536,480) (180 contracts) - (5,020 ) (5,020 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring August 28, 2020 (Underlying Face Amount at Market Value - $1,746,000) (180 contracts) - 199,250 199,250 Baltic Exchange Supramax T/C Average Shipping Route Expiring September 25, 2020 (Underlying Face Amount at Market Value - $1,769,220) (180 contracts) - 222,470 222,470 Baltic Capesize Time Charter Expiring July 31, 2020 (Underlying Face Amount at Market Value - $9,431,220) (380 contracts) - 3,644,720 3,644,720 Baltic Capesize Time Charter Expiring August 28, 2020 (Underlying Face Amount at Market Value - $8,851,050) (450 contracts) - 1,977,550 1,977,550 Baltic Capesize Time Charter Expiring September 25, 2020 (Underlying Face Amount at Market Value - $9,041,760) (520 contracts) - 981,260 981,260 $ - $ 8,581,555 $ 8,581,555 SIT RISING RATE ETF Written Call Option Contracts June 30, 2020 US 5 Year Note, Strike Price $125.50 Expiring 08/21/2020 (9 contracts) (Premiums received $3,204) $ (4,148 ) $ - $ (4,148 ) SIT RISING RATE ETF Short Futures Contracts June 30, 2020 US Treasury 5 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $4,652,461) (37 contracts) $ (5,899 ) $ - $ (5,899 ) US Treasury 2 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $10,158,094) (46 contracts) 755 - 755 $ (5,144 ) $ - $ (5,144 ) See accompanying notes to combined financial statements. 36 ETF MANAGERS GROUP COMMODITY TRUST I Combined Schedule of Investments June 30, 2019 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED PURCHASED OPTIONS - 0.3% and 0.0%, respectively US Treasury 10 Year Note, Strike Price $123.50 Expiring 08/23/19 (40 contracts) $ 35,625 $ - $ 35,625 TOTAL PURCHASED OPTIONS (Cost $58,883) 35,625 - 35,625 SHORT-TERM INVESTMENTS - 97.2% and 0.0%, respectively US TREASURY BILLS - 97.2% and 0.0%, respectively United States Treasury Bills 2.082%, 12/12/2019 ($11,700,000 principal amount) (a) 11,591,734 - 11,591,734 TOTAL US TREASURY BILLS (Cost $11,586,722) 11,591,734 - 11,591,734 MONEY MARKET FUNDS - 1.4% and 25.4%, respectively First American US Treasury Money Market Fund, Class Z, 2.40% (b) (282,538 shares) 282,538 - 282,538 First American US Treasury Obligations Fund, Class X, 2.27% (b) (1,095,625 shares) - 1,095,625 1,095,625 TOTAL MONEY MARKET FUNDS (Cost $282,538 and $1,095,625, respectively) 282,538 1,095,625 1,378,163 Total Investments (Cost $11,928,143 and $1,095,625, respectively) - 99.9% and 25.4%, respectively 11,909,897 1,095,625 13,005,522 Other Assets in Excess of Liabilities - 0.1% and 74.6%, respectively (a) 10,252 3,212,637 3,222,889 TOTAL NET ASSETS - 100.0% and 100.0%, respectively $ 11,920,149 $ 4,308,262 $ 16,228,411 (a) All or a portion of this security is held as collateral for futures contracts and written options. (b) Annualized seven-day yield as of June 30, 2019. BREAKWAVE DRY BULK SHIPPING ETF Unrealized Unrealized Unrealized Futures Contracts Appreciation/ Appreciation/ Appreciation/ June 30, 2019 (Depreciation) (Depreciation) (Depreciation) Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 26, 2019 (Underlying Face Amount at Market Value - $489,015) (45 contracts) $ - $ 25,015 $ 25,015 Baltic Exchange Panamax T/C Average Shipping Route Index Expiring August 30, 2019 (Underlying Face Amount at Market Value - $497,835) (45 contracts) - 33,835 33,835 Baltic Exchange Panamax T/C Average Shipping Route Index Expiring September 27, 2019 (Underlying Face Amount at Market Value - $495,945) (45 contracts) - 31,945 31,945 Baltic Exchange Supramax T/C Average Shipping Route Expiring July 26, 2019 (Underlying Face Amount at Market Value - $147,435) (15 contracts) - (5,565 ) (5,565 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring August 30, 2019 (Underlying Face Amount at Market Value - $158,250) (15 contracts) - 5,250 5,250 Baltic Exchange Supramax T/C Average Shipping Route Expiring September 27, 2019 (Underlying Face Amount at Market Value - $161,505) (15 contracts) - 8,505 8,505 Baltic Capesize Time Charter Expiring July 26, 2019 (Underlying Face Amount at Market Value - $732,680) (40 contracts) - 104,930 104,930 Baltic Capesize Time Charter Expiring August 30, 2019 (Underlying Face Amount at Market Value - $719,840) (40 contracts) - 92,090 92,090 Baltic Capesize Time Charter Expiring September 27, 2019 (Underlying Face Amount at Market Value - $723,160) (40 contracts) - 95,410 95,410 $ - $ 391,415 $ 391,415 SIT RISING RATE ETF Written Option Contracts June 30, 2019 US 5 Year Note, Strike Price $117.75 Expiring 08/23/2019 (25 contracts) (Premiums received $16,128) $ 19,336 $ - $ 19,336 SIT RISING RATE ETF Short Futures Contracts June 30, 2019 US Treasury 5 Year Note Expiring September 2019 (Underlying Face Amount at Market Value - $12,051,938) (102 contracts) $ (182,361 ) $ - $ (182,361 ) US Treasury 2 Year Note Expiring September 2019 (Underlying Face Amount at Market Value - $22,809,047) (106 contracts) (144,096 ) - (144,096 ) $ (326,457 ) $ - $ (326,457 ) See accompanying notes to combined financial statements. 37 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Operations Year Ended Ended June 30, 2020 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Investment Income Interest $ 114,292 $ 37,273 $ 151,565 Expenses Sponsor fee 74,999 124,997 199,996 CTA fee 12,445 128,338 140,783 Audit fees 77,102 47,500 124,602 Tax preparation fees 49,999 49,999 99,998 Admin/accounting/custodian/transfer agent fees 57,601 61,854 119,455 Legal fees 34,997 44,999 79,996 Printing and postage expenses 10,499 10,602 21,101 Chief Compliance Officer fees 24,969 24,996 49,965 Principal Financial Officer fees 24,969 24,996 49,965 Regulatory reporting fees 24,969 24,996 49,965 Brokerage commissions 4,961 208,650 213,611 Distribution fees 15,539 15,821 31,360 Insurance expense 14,999 14,999 29,998 Listing & calculation agent fees 12,599 12,599 25,198 Other expenses 9,361 16,752 26,113 Wholesale support fees 6,223 35,622 41,845 Interest expense 229 9 238 Total Expenses 456,460 847,729 1,304,189 Less: Waiver of CTA fee - (60,769 ) (60,769 ) Less: Expenses absorbed by Sponsor (389,041 ) (284,850 ) (673,891 ) Net Expenses 67,419 502,110 569,529 Net Investment Income (Loss) 46,873 (464,837 ) (417,964 ) Net Realized and Unrealized Gain (Loss) on Investment Activity Net Realized Gain (Loss) on Investments, futures and options contracts (903,915 ) (1,565,921 ) (2,469,836 ) Change in Unrealized Gain (Loss) on Investments, futures and options contracts 336,740 8,190,140 8,526,880 Net realized and unrealized gain (loss) (567,175 ) 6,624,219 6,057,044 Net income (loss) $ (520,302 ) $ 6,159,382 $ 5,639,080 See accompanying notes to combined financial statements. 38 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Operations Year Ended June 30, 2019 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Investment Income Interest $ 985,776 $ 56,128 $ 1,041,904 Expenses Sponsor fee 85,187 124,997 210,184 CTA fee 91,433 45,460 136,893 Audit fees 75,098 57,501 132,599 Tax preparation fees 87,534 101,910 189,444 Admin/accounting/custodian/transfer agent fees 56,301 61,399 117,700 Legal fees 35,004 45,002 80,006 Printing and postage expenses 25,999 25,999 51,998 Chief Compliance Officer fees 25,000 25,000 50,000 Principal Financial Officer fees 25,000 25,000 50,000 Regulatory reporting fees 25,000 25,000 50,000 Brokerage commissions 52,348 34,610 86,958 Distribution fees 17,496 16,497 33,993 Insurance expense 15,001 15,001 30,002 Listing & calculation agent fees 12,601 12,601 25,202 Other expenses 19,064 22,499 41,563 Wholesale support fees 45,717 28,762 74,479 Total Expenses 693,783 667,238 1,361,021 Less: Waiver of CTA fee - (45,460 ) (45,460 ) Less: Expenses absorbed by Sponsor (184,268 ) (477,429 ) (661,697 ) Net Expenses 509,515 144,349 653,864 Net Investment Income (Loss) 476,261 (88,221 ) 388,040 Net Realized and Unrealized Gain (Loss) on Investment Activity Net Realized Gain (Loss) on Investments, futures and options contracts (3,673,921 ) (1,006,844 ) (4,680,765 ) Change in Unrealized Gain (Loss) on Investments, futures and options contracts 443,911 309,735 753,646 Net realized and unrealized gain (loss) (3,230,010 ) (697,109 ) (3,927,119 ) Net income (loss) $ (2,753,749 ) $ (785,330 ) $ (3,539,079 ) See accompanying notes to combined financial statements. 39 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Changes in Net Assets Year Ended June 30, 2020 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Net Assets at Beginning of Year $ 11,920,149 $ 4,308,262 $ 16,228,411 Increase (decrease) in Net Assets from share transactions Addition of -0- and 5,950,000 shares, respectively - 40,151,470 40,151,470 Redemption of 275,000 and 500,000 shares, respectively (6,331,666 ) (6,343,627 ) (12,675,293 ) Net Increase (decrease) in Net Assets from share transactions (6,331,666 ) 33,807,843 27,476,177 Increase (decrease) in Net Assets from operations Net investment income (loss) 46,873 (464,837 ) (417,964 ) Net realized gain (loss) (903,915 ) (1,565,921 ) (2,469,836 ) Change in net unrealized gain (loss) 336,740 8,190,140 8,526,880 Net increase (decrease) in Net Assets from operations (520,302 ) 6,159,382 5,639,080 Net Assets at End of Year $ 5,068,181 $ 44,275,487 $ 49,343,668 See accompanying notes to combined financial statements. 40 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Changes in Net Assets Year Ended June 30, 2019 SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF COMBINED Net Assets at Beginning of Year $ 51,774,988 $ 3,297,789 $ 55,072,777 Increase (decrease) in Net Assets from share transactions Addition of 1,025,000 and 175,000 shares, respectively 25,460,920 1,795,803 27,256,723 Redemption of 2,600,000 and -0- shares, respectively (62,562,010 ) - (62,562,010 ) Net Increase (decrease) in Net Assets from share transactions (37,101,090 ) 1,795,803 (35,305,287 ) Increase (decrease) in Net Assets from operations Net investment income (loss) 476,261 (88,221 ) 388,040 Net realized gain (loss) (3,673,921 ) (1,006,844 ) (4,680,765 ) Change in net unrealized gain (loss) 443,911 309,735 753,646 Net increase (decrease) in Net Assets from operations (2,753,749 ) (785,330 ) (3,539,079 ) Net Assets at End of Year $ 11,920,149 $ 4,308,262 $ 16,228,411 See accompanying notes to combined financial statements. 41 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Cash Flows Year Ended June 30, 2020 SIT RISING BREAKWAVE DRY BULK SHIPPING RATE ETF ETF COMBINED Cash flows provided by/used in operating activities Net income (loss) $ (520,302 ) $ 6,159,382 $ 5,639,080 Adjustments to reconcile net income (loss) to net cash provided by/used in operating activities: Net realized loss (gain) on investments 903,915 1,565,921 2,469,836 Change in net unrealized loss (gain) on investments (336,740 ) (8,190,140 ) (8,526,880 ) Change in operating assets and liabilities: Sale (Purchase) of investments - net 6,462,953 (267,018 ) 6,195,935 Decrease in interest receivable 436 5,276 5,712 Decrease (Increase) in receivable on open futures contracts - (8,190,140 ) (8,190,140 ) Increase in payable for Fund shares sold - 192,533 192,533 Decrease in options written, at fair value (15,188 ) - (15,188 ) Increase in payable on open futures contracts (321,313 ) - (321,313 ) Increase (Decrease) in due to Sponsor (5,672 ) 72,581 66,909 Increase in other accrued expenses - 32,587 32,587 Net cash provided by/used in operating activities 6,168,089 (8,619,018 ) (2,450,929 ) Cash flows from financing activities Proceeds from sale of shares - 40,151,470 40,151,470 Paid on redemption of shares (6,331,666 ) (6,343,627 ) (12,675,293 ) Net cash provided by/used in financing activities (6,331,666 ) 33,807,843 27,476,177 Net increase (decrease) in cash and restricted cash (163,577 ) 25,188,825 25,025,248 Cash and restricted cash, beginning of the year 365,460 2,831,566 3,197,026 Cash and restricted cash, end of the year $ 201,883 $ 28,020,391 $ 28,222,274 The following table provides a reconciliation of cash and restricted cash reported within the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of Cash Flows. Cash $ - $ - $ - Segregated cash held by broker 201,883 28,020,391 28,222,274 Total cash and restricted cash as shown on the statement of cash flows $ 201,883 $ 28,020,391 $ 28,222,274 See accompanying notes to combined financial statements. 42 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Cash Flows Year Ended June 30, 2019 SIT RISING BREAKWAVE DRY BULK SHIPPING RATE ETF ETF COMBINED Cash flows provided by/used in operating activities Net income (loss) $ (2,753,749 ) $ (785,330 ) $ (3,539,079 ) Adjustments to reconcile net income (loss) to net cash provided by/used in operating activities: Net realized loss on investments (3,673,921 ) (1,006,844 ) (4,680,765 ) Change in net unrealized loss (gain) on investments 443,911 309,735 753,646 Change in operating assets and liabilities: Sale of investments - net 42,518,476 850,493 43,368,969 Decrease (increase) in interest receivable 371 (1,379 ) (1,008 ) Decrease (Increase) in receivable on open futures contracts - (309,735 ) (309,735 ) Decrease (Increase) in options written, at fair value (51,328 ) - (51,328 ) Decrease in payable on open futures contracts (371,969 ) - (371,969 ) Increase (decrease) in due to Sponsor (31,979 ) 2,392 (29,587 ) Increase in other accrued expenses - 1,277 1,277 Net cash provided by/used in operating activities 36,079,812 (939,391 ) 35,140,421 Cash flows from financing activities Proceeds from sale of shares 25,460,920 1,795,803 27,256,723 Paid on redemption of shares (62,562,010 ) - (62,562,010 ) Net cash provided by/used in financing activities (37,101,090 ) 1,795,803 (35,305,287 ) Net increase (decrease) in cash and restricted cash (1,021,278 ) 856,412 (164,866 ) Cash and restricted cash, beginning of the year 1,386,738 1,975,154 3,361,892 Cash and restricted cash, end of the year $ 365,460 $ 2,831,566 $ 3,197,026 The following table provides a reconciliation of cash and restricted cash reported within the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of Cash Flows. Cash $ - $ - $ - Segregated cash held by broker 365,460 2,831,566 3,197,026 Total cash and restricted cash as shown on the statement of cash flows $ 365,460 $ 2,831,566 $ 3,197,026 See accompanying notes to combined financial statements. 43 ETF Managers Group Commodity Trust I Notes to Combined Financial Statements June 30, 2020 and 2019 (1) Organization ETF Managers Group Commodity Trust I (the “Trust”) was organized as a Delaware statutory trust on July 23, 2014. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently includes two separate series. SIT RISING RATE ETF (“RISE”) is the first series of the Trust and is a commodity pool that continuously issues common shares of beneficial interest that may be purchased and sold on the NYSE Arca, Inc. stock exchange (“NYSE Arca”). The second series of the Trust, Breakwave Dry Bulk Shipping ETF (“BDRY,” and together with RISE, the “Funds”), is also a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on NYSE Arca. The Funds are managed and controlled by ETF Managers Capital LLC (the “Sponsor”), a Delaware limited liability company. The Sponsor is registered with the Commodity Futures Trading Commission (“CFTC”) as a “commodity pool operator” (“CPO”) and is a member of the National Futures Trading Association (“NFA”). Sit Fixed Income Advisors II, LLC (“Sit”), a subsidiary of Sit Investment Associates, Inc., is registered as a “commodity trading advisor” (“CTA”) with the CFTC and serves as RISE’s commodity trading advisor. Breakwave Advisors, LLC (“Breakwave”) is registered as a CTA with the CFTC and serves as BDRY’s commodity trading advisor. RISE commenced investment operations on February 19, 2015. RISE commenced trading on NYSE Arca on February 19, 2015 and trades under the symbol “RISE.” BDRY commenced investment operations on March 22, 2018. BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol “BDRY.” For the years ended June 30, 2020 and 2019, RISE paid Sit a fee equal to 0.20% per annum of the value of RISE’s average daily net assets for Sit’s services as the commodity trading advisor to RISE. RISE’s investment objective is to profit from rising interest rates by tracking the performance of a portfolio (the “RISE Benchmark Portfolio”) consisting of exchange traded futures contracts and options on futures on 2, 5 and 10 year U.S. Treasury securities (“Treasury Instruments”) weighted to achieve a targeted negative 10-year average effective portfolio duration (the “Benchmark Component Instruments”). RISE seeks to achieve its investment objective by investing in the Benchmark Component Instruments currently constituting the RISE Benchmark Portfolio. The RISE Benchmark Portfolio is maintained by Sit and will be rebalanced, reconstituted, or both, monthly (typically on the 15 th of each month and on the next business day if the 15 th is a holiday, weekend, or other day on which the national exchanges are closed) to maintain a negative 10-year average effective duration. The RISE Benchmark Portfolio and RISE will each maintain a short position in Treasury Instruments. RISE does not use futures contracts or options to obtain leveraged investment results. RISE will not invest in swaps or other over the counter derivative instruments. The weighting of the Treasury Instruments constituting the Benchmark Component Instruments will be based on each maturity’s duration contribution. The expected range for the duration weighted percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30% to 70%. The expected range for the duration weighted percentage of the 10-year maturity Treasury Instruments will be from 5% to 25%. The relative weightings of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield curve, for example, if the Federal Reserve began raising short term interest rates more than long term interest rates. In such an instance, Sit, which maintains the RISE Benchmark Portfolio, will elect to increase the weightings of the 2 year and reduce the weighting in the 10-year maturity. Conversely, Sit will do the opposite if the Federal Reserve began raising long term interest rates more than short term interest rates. Reconstitution and rebalancing each will occur monthly, on the 15th, except for as noted above or if there are radical changes in the yield curve such that effective duration is outside of a range from negative nine to negative 11-year average effective duration, in which case Sit will adjust the maturities of the Treasury Instruments before the next expected monthly reconstitution. The Sponsor anticipates that approximately 5% to 15% of RISE’s assets will be used as payment for or collateral for Treasury Instruments. In order to collateralize its Treasury Instrument positions, RISE will hold such assets, from which it will post margin to its futures commission merchant (“FCM”), SG Americas Securities, LLC, in an amount equal to the margin required by the relevant exchange, and transfer to its FCM any additional amounts that may be separately required by the FCM. When establishing positions in Treasury Instruments, RISE will be required to deposit initial margin with a value of approximately 3% to 10% of the value of each Treasury Instrument position at the time it is established. These margin requirements are subject to change from time to time by the exchange or the FCM. On a daily basis, RISE will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Treasury Instruments positions. Any assets not required to be posted as margin with the FCM will be held at RISE’s custodian in cash or cash equivalents, as discussed below. The RISE Benchmark Portfolio will be invested in Benchmark Component Instruments and rebalanced, as noted above to maintain a negative average effective portfolio duration of approximately 10 years. Duration is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are typically more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value of a security with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. The correlation between duration and price sensitivity is greater for securities rated investment-grade than it is for securities rated below investment-grade. Duration estimates are based on assumptions by Sit and are subject to a number of limitations. Effective duration is calculated based on historical price changes of U.S. Treasuries and Treasury Instruments held by the RISE Benchmark Portfolio, and therefore is a more accurate estimate of price sensitivity provided interest rates remain within their historical range. Investments in debt securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities. 44 When RISE purchases an option that expires “out of the money,” RISE will realize a loss. RISE may not be able to invest its assets in futures and options contracts having an aggregate notional amount exactly equal to that which is required to achieve a negative 10-year average effective duration. For example, as standardized contracts, U.S. Treasury futures contracts are denominated in specific dollar amounts, and RISE’s NAV and the proceeds from the sale of a Creation Basket are unlikely to be an exact multiple of the amounts of those contracts. As a result, in such circumstances, RISE may be better able to achieve the exact amount of exposure desired through the use of other investments. BDRY’s investment objective is to provide investors with exposure to the daily change in the price of dry bulk freight futures, before expenses and liabilities of BDRY, by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio”, and together with the RISE Benchmark Portfolio, the “Benchmark Portfolios”) consisting of a three-month strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping dry bulk freight (“Freight Futures”). Each Reference Index is published each United Kingdom business day by the London-based Baltic Exchange Ltd. (the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific size category of cargo ship – Capesize, Panamax or Supramax. The three Reference Indexes are as follows: ● Capesize : the Capesize 5TC Index; ● Panamax : the Panamax 4TC Index; and ● Supramax : the Supramax 6TC Index. The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors. BDRY seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio. The BDRY Benchmark Portfolio includes all existing positions to maturity and settles them in cash. During any given calendar quarter, the BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter three-month strip, thus maintaining constant exposure to the Freight Futures market as positions mature. The BDRY Benchmark Portfolio maintains long-only positions in Freight Futures. The BDRY Benchmark Portfolio includes a combination of Capesize, Panamax and Supramax Freight Futures. More specifically, the BDRY Benchmark Portfolio includes 50% exposure in Capesize Freight Futures contracts, 40% exposure in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts. The BDRY Benchmark Portfolio does not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. BDRY may hold exchange-traded options on Freight Futures. The BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting the BDRY Benchmark Portfolio, as well as the daily holdings of BDRY are available on BDRY’s website at www.drybulketf.com. When establishing positions in Freight Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each Freight Futures position at the time it is established. These margin requirements are established and subject to change from time to time by the relevant exchanges, clearing houses or BDRY’s FCM, MacQuarie Futures USA LLC. On a daily basis, BDRY is obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM may be held at BDRY’s custodian or remain with the FCM in cash or cash equivalents, as discussed below. BDRY was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures. BDRY is intended to be used as a diversification opportunity as part of a complete portfolio, not a complete investment program. The Funds will incur certain expenses in connection with their operations. The Funds will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the Treasury Instruments and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings may cause imperfect correlation between changes in the Funds’ net asset value (“NAV”) and changes in the Benchmark Portfolios, because the Benchmark Portfolios do not reflect expenses or income. The Funds seek to trade their positions prior to maturity; accordingly, natural market forces may cost the Funds while rebalancing. Each time the Funds seek to reconstitute their positions, barring movement in the underlying securities, the futures and option prices may be higher or lower. Such differences in price, barring a movement in the price of the underlying security, will constitute “roll yield” and may inhibit the Funds’ ability to achieve their respective investment objective. Several factors determine the total return from investing in a futures contract position. One factor that impacts the total return that will result from investing in near month futures contracts and “rolling” those contracts forward each month is the price relationship between the current near month contract and the next month contract. The CTA will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions. Positions may also be closed out to meet orders for redemption baskets. 45 (2) Summary of Significant Accounting Policies (a) Basis of Accounting The accompanying combined financial statements of the Funds have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Each Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification of U.S. GAAP. (b) Use of Estimates The preparation of the combined financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the combined financial statements and accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of the combined financial statements. (c) Cash Cash, when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments. (d) Cash Held by Broker Sit is registered as a “commodity trading advisor” and acts as such for RISE. Breakwave is registered as a “commodity trading advisor” and acts as such for BDRY. Each Fund’s arrangement with its respective FCM requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Brokers (as defined below). These amounts are shown as Segregated cash held by broker in the Statements of Assets and Liabilities. The Funds deposit cash or United States Treasury Obligations, as applicable, with their respective FCM subject to the CFTC regulations and various exchange and broker requirements. The combination of the Funds’ deposits with their respective FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation margin) represents the Funds’ overall equity in their respective brokerage trading account. The Funds use their cash held by their respective FCM to satisfy variation margin requirements. The Funds earn interest on their cash deposited with their respective FCM and interest income is recorded on the accrual basis. (e) Final Net Asset Value for Fiscal Period The calculation time of each Fund’s final net asset value for creation and redemption of Fund shares for the years ended June 30, 2020 and 2019 was at 4:00 p.m. Eastern Time on June 30, 2020 and June 28, 2019, respectively. Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m. Eastern Time represented the final opportunity to transact in creation or redemption baskets for the years ended June 30, 2020 and 2019. Fair value per share is determined at the close of the NYSE Arca. For financial reporting purposes, each Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these combined financial statements differ from those used in the calculations of the Funds’ final creation/redemption NAVs at June 30, 2020 and June 30, 2019. (f) Investment Valuation Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Futures and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades. 46 (g) Financial Instruments and Fair Value Each Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (“FASB”) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date. Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following tables summarize RISE’s valuation of investments at June 30, 2020 and at June 30, 2019 using the fair value hierarchy: June 30, 2020 Short-Term Investments Purchased Options Contracts Written Options Contracts Futures Contracts Total Level I – Quoted Prices $ 4,849,667 a $ 14,296 a $ (4,148 )b $ (5,144 )c $ 4,854,671 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Options Written, at fair value in the Combined Statements of Assets and Liabilities. c – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities. June 30, 2019 Short-Term Investments Purchased Options Contracts Written Options Contracts Futures Contracts Total Level I – Quoted Prices $ 11,874,272 a $ 35,625 a $ (19,336 )b $ (326,457 )c $ 11,564,104 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Options Written, at fair value in the Combined Statements of Assets and Liabilities. c – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities. Transfers between levels are recognized at the end of the reporting period. During the years ended June 30, 2020 and 2019, RISE recognized no transfers from Level 1, Level 2 or Level 3. The following tables summarize BDRY’s valuation of investments at June 30, 2020 and at June 30, 2019 using the fair value hierarchy: June 30, 2020 Short-Term Investments Futures Contracts Total Level I – Quoted Prices $ 7,986,862 a $ 8,581,555 b $ 16,568,417 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities. 47 June 30, 2019 Short-Term Investments Futures Contracts Total Level I – Quoted Prices $ 1,095,625 a $ 391,415 b $ 1,487,040 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities. Transfers between levels are recognized at the end of the reporting period. During the years ended June 30, 2020 and 2019, BDRY recognized no transfers from Level 1, Level 2 or Level 3. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. (h) Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Combined Statements of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations. RISE’s discounts on short-term securities purchased are accreted daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations. BDRY’s interest earned on short-term securities and on cash deposited with MacQuarie Futures USA LLC are accrued daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations. (i) Federal Income Taxes Each Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Funds do not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Funds’ income, gain, loss, deductions and other items for the Funds’ taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at June 30, 2020 and June 30, 2019. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed. (j) Reclassification Certain reclassifications have been made to the prior consolidated financial statements to conform with the current year presentation. (3) Investments (a) Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Funds’ trading in futures contracts. (b) Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the applicable commodity trading advisor uses a mathematical approach to investing. Using this approach, the applicable commodity trading advisor determines the type, quantity and mix of investment positions that it believes in combination should produce returns consistent with the Fund’s objective. All open derivative positions at June 30, 2020 and at June 30, 2019, as applicable, are disclosed in the Combined Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Funds is generally representative of the notional value of open positions to shareholders’ capital throughout the reporting periods for the Funds. The volume associated with derivative positions varies on a daily basis as the Funds transact in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the applicable Fund’s investment objective. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures. 48 (c) Futures Contracts The Funds enter into futures contracts to gain exposure to changes in the value of the Benchmark Portfolios. A futures contract obligates the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a treasury futures contract at a specified time and place. The contractual obligations of a buyer or seller of a treasury futures contract may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. Upon entering into a futures contract, the Funds are required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in the Combined Statements of Assets and Liabilities, and is restricted as to its use. Pursuant to the futures contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. The Funds will realize a gain or loss upon closing a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically treasury price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Funds have in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. SIT RISING RATE ETF Fair Value of Derivative Instruments, as of June 30, 2020 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Fair Value Combined Statements of Assets and Liabilities Fair Value Interest Rate Risk Purchased options $ 14,296 * Payable on open futures contracts $ (5,144 )** Interest Rate Risk Written options, at fair value $ (4,148 )* * Represents fair value of options contracts as reported in the Combined Statements of Assets and Liabilities. ** Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. SIT RISING RATE ETF Fair Value of Derivative Instruments, as of June 30, 2019 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Fair Value Combined Statements of Assets and Liabilities Fair Value Interest Rate Risk Purchased options $ 35,625 * Payable on open futures contracts $ (326,457 )** Interest Rate Risk Written options, at fair value $ (19,336 )* * Represents fair value of options contracts as reported in the Combined Statements of Assets and Liabilities. ** Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. 49 SIT RISING RATE ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2020 Derivatives Location of Gain (Loss) on Derivatives Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Interest Rate Risk Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts $ (903,915 ) $ 336,740 The futures and options contracts open at June 30, 2020 are indicative of the activity for the year ended June 30, 2020. SIT RISING RATE ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2019 Derivatives Location of Gain (Loss) on Derivatives Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Interest Rate Risk Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts $ (3,673,921 ) $ 443,911 The futures and options contracts open at June 30, 2019 are indicative of the activity for the year ended June 30, 2019. BREAKWAVE DRY BULK SHIPPING ETF Fair Value of Derivative Instruments, as of June 30, 2020 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Unrealized Gain Combined Statements of Assets and Liabilities Fair Value Interest Rate Risk Receivable on open futures contracts $ 8,581,555 * * Represents cumulative appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. BREAKWAVE DRY BULK SHIPPING ETF Fair Value of Derivative Instruments, as of June 30, 2019 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Unrealized Gain Combined Statements of Assets and Liabilities Fair Value Interest Rate Risk Receivable on open futures contracts $ 391,415 * * Represents cumulative appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. 50 BREAKWAVE DRY BULK SHIPPING ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2020 Derivatives Location of Gain (Loss) on Derivatives Realized Loss on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Interest Rate Risk Net realized loss on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts $ (1,565,921 ) $ 8,190,140 The futures contracts open at June 30, 2020 are indicative of the activity for the year ended to June 30, 2020. BREAKWAVE DRY BULK SHIPPING ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2019 Derivatives Location of Gain (Loss) on Derivatives Realized Loss on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Interest Rate Risk Net realized loss on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts $ (1,006,844 ) $ 309,735 The futures contracts open at June 30, 2019 are indicative of the activity for the year ended June 30, 2019. 51 (4) Agreements (a) Management Fee Each Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Funds. Additionally, each Fund pays its respective commodity trading advisor a license and service fee (the “CTA fee”). The Sponsor has agreed to waive receipt of the Sponsor Fee for RISE and/or assume RISE’s expenses (excluding brokerage fees, interest expense, and extraordinary expenses) so that RISE’s total annual expenses do not exceed 1.00% (the “RISE Expense Cap”) of average net assets per annum through September 30, 2021. RISE’s CTA fee, calculated daily and paid monthly in arrears, is 0.20% per annum of average daily net assets. RISE’s Sponsor Fee, calculated daily and paid monthly, is the greater of 0.15% of its average daily net assets, or $75,000, and the fees for Principal Financial Officer and Chief Compliance Officer services provided to RISE by the Sponsor are $25,000 per annum. Effective April 1, 2019, the fee paid to the Sponsor for tax return preparation was reduced from $100,000 per year to $50,000 per year. BDRY pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.15% of its average daily net assets, or $125,000. BDRY also paid an annual fee to Breakwave, monthly in arrears, in an amount equal to 1.45% of BDRY’s average daily net assets. Breakwave has agreed to waive its CTA fee to the extent necessary, and the Sponsor has voluntarily agreed to correspondingly assume the remaining expenses of BDRY such that Fund expenses do not exceed an annual rate of 3.50%, excluding brokerage commissions and interest expense, of the value of BDRY’s average daily net assets through September 30, 2021 (the “BDRY Expense Cap,” and together with the RISE Expense Cap, the “Expense Caps”). The assumption of expenses by the Sponsor and waiver of BDRY’s CTA fee are contractual on the part of the Sponsor and Breakwave, respectively. The waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $60,769 and $45,460 for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. The Funds currently accrue their daily expenses up to the applicable Expense Cap, or, if less, up accrual estimates established by the Sponsor. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Funds in excess of the Fund’s respective Expense Cap, which in the case of RISE, aggregated $389,041 and $184,268 for the years ended June 30, 2020 and 2019, respectively, and in the case of BDRY, aggregated $284,850 and $477,429 for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. (b) The Administrator, Custodian, Fund Accountant and Transfer Agent Each Fund has appointed U.S. Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the “Custodian”). Its affiliate, U.S. Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the Funds, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Funds (the “Administrator”). It performs certain administrative and accounting services for the Funds and prepares certain SEC, NFA and CFTC reports on behalf of the Funds. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as “U.S. Bank”). RISE has agreed to pay U.S. Bank 0.05% of assets under management (“AUM”), with a $50,000 minimum annual fee payable for its administrative, accounting and transfer agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services. RISE paid U.S. Bank $57,601 and $56,301 for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. BDRY has agreed to pay U.S. Bank 0.05% of AUM, with a $45,000 minimum annual fee payable for its administrative, accounting and transfer agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services. BDRY paid U.S. Bank $61,854 and $61,399 for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. 52 (c) The Distributor The Funds pay ETFMG Financial LLC. (the “Distributor”), an affiliate of the Sponsor, an annual fee for statutory and wholesaling distribution services and related administrative services equal to the greater of $15,000 or 0.02% of the Funds’ average daily net assets, payable monthly. Pursuant to the respective Marketing Agent Agreement between the Sponsor, each Fund and the Distributor, the Distributor assists the Sponsor and the applicable Fund with certain functions and duties relating to distribution and marketing services to the applicable Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor also assists with the processing of creation and redemption orders. RISE incurred $15,539 and $17,496 in distribution and related administrative services for the years ended June 30, 2020 and 2019, respectively. BDRY incurred $15,821 and $16,497 in distribution and related administrative services for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. RISE also pays the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily net assets, payable monthly. BDRY pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily net assets, payable monthly. RISE incurred $6,223 and $45,717 in wholesale support fees for the years ended June 30, 2020 and 2019, respectively. BDRY incurred $35,622 and $28,762 in wholesale support fees for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. (d) The Commodity Broker SG Americas Securities, LLC, a Delaware limited liability company, serves as RISE’s clearing broker. MacQuarie Futures USA LLC, a Delaware limited liability company, serves as BDRY’s clearing broker (such clearing broker, together with SG Americas Securities, LLC, the “Commodity Brokers”). In their capacity as clearing broker, the Commodity Brokers execute and clear the Funds’ futures transactions and perform certain administrative services for the Funds. The Funds pay respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor does not expect annual brokerage commissions and fees to exceed 0.08% for RISE, and approximately 0.40% (excluding the impact on the Fund of creation and/or redemption activity) for BDRY, of the net asset value of the applicable Fund for execution and clearing services on behalf of the applicable Fund, although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater. The effects of trading spreads, financing costs associated with financial instruments, and costs relating to the purchase of U.S. Treasury Securities or similar high credit quality short-term fixed-income or similar securities are not included in the foregoing analysis. RISE incurred $4,961 and $52,348 in brokerage commissions and fees for the years ended June 30, 2020 and 2019, respectively. BDRY incurred $208,650 and $34,610 in brokerage commissions and fees for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. (e) The Trustee Under the respective Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for each Fund, Wilmington Trust Company, the Trustee of each of the Funds (the “Trustee”) serves as the sole trustee of each Fund in the State of Delaware. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. Under the respective Trust Agreement for each Fund, the Sponsor has the exclusive management and control of all aspects of the business of the Fund. The Trustee does not owe any other duties to the Fund, the Sponsor or the Shareholders of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee have any liability for the acts or omissions of the Sponsor. RISE and BDRY each incurred $2,500, in trustee fees for each of the two years in the period ended June 30, 2020, which is included in Other Expenses in the Combined Statements of Operations. (f) Routine Offering, Operational, Administrative and Other Ordinary Expenses The Sponsor, in accordance with the RISE Expense Cap limitation, paid all of the routine offering, operational, administrative and other ordinary expenses of RISE in excess of 1.00% (excluding brokerage commissions and interest expense) of RISE’s average daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. RISE incurred $456,460 and $693,783 for the years ended June 30, 2020 and 2019, respectively, in routine offering, operational, administrative or other ordinary expenses. 53 The assumption of Fund expenses above the RISE Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $389,041 and $184,268, respectively, for the years ended June 30, 2020 and 2019, respectively. The Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of the CTA fee for BDRY by Breakwave, all of the routine offering, operational, administrative and other ordinary expenses of BDRY in excess of 3.50% (excluding brokerage commissions and interest expense) of BDRY’s average daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. BDRY incurred $847,729 and $667,238 during the years ended June 30, 2020 and 2019, respectively, in routine offering, operational, administrative or other ordinary expenses. The CTA fee waiver for BDRY by Breakwave was $60,769 and $45,460 for the years ended June 30, 2020 and 2019, respectively. In addition, the assumption of Fund expenses above the BDRY Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $284,850 and $477,429 for the years ended June 30, 2020 and June 30, 2019, respectively. (g) Organizational and Offering Costs Expenses incurred in connection with organizing RISE and up to the offering of its Shares upon commencement of its investment operations on February 19, 2015, were paid by the Sponsor and Sit without reimbursement. Expenses incurred in connection with organizing BDRY and up to the offering of its Shares upon commencement of its investment operations on March 22, 2018, were paid by the Sponsor and Breakwave without reimbursement. Accordingly, all such expenses are not reflected in the Statements of Operations. The Fund will bear the costs of its continuous offering of Shares and ongoing offering expenses. Such ongoing offering costs will be included as a portion of the Routine Offering, Operational, Administrative and Other Ordinary Expenses. These costs will include registration fees for regulatory agencies and all legal, accounting, printing and other expenses associated therewith. These costs will be accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter period if warranted. For the years ended June 30, 2020 and 2019, respectively, RISE and BDRY did not incur such expenses. (h) Extraordinary Fees and Expenses The Fund will pay all extraordinary fees and expenses, if any. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the years ended June 30, 2020 and 2019, respectively, RISE and BDRY did not incur such expenses. (5) Creations and Redemptions Each Fund issues and redeems Shares from time to time, but only in one or more Creation or Redemption Baskets. A Creation or Redemption Basket is a block of 25,000 shares (50,000 shares prior to August 17, 2018) of each Fund. Baskets may be created or redeemed only by Authorized Participants. Except when aggregated in Creation or Redemption Baskets, the shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem shares directly from or with each Fund. Rather, most retail investors will purchase or sell shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements – such as references to the Transaction Fee imposed on creations and redemptions – is not relevant to retail investors. (a) Transaction Fees on Creation and Redemption Transactions In connection with orders to create and redeem one or more Creation or Redemption Baskets, an Authorized Participant is required to pay a transaction fee, or AP Transaction Fee, of $250 ($500 prior to May 18, 2020) per order, which goes directly to the Custodian. The AP Transaction Fees are paid by the Authorized Participants and not by the Funds. 54 (b) Share Transactions SIT RISING RATE ETF Summary of Share Transactions for the Year Ended June 30, 2020 Shares Net Assets Increase (Decrease) Shares Sold - $ - Shares Redeemed (275,000 ) (6,331,666 ) Net Decrease (275,000 ) $ (6,331,666 ) Summary of Share Transactions for the Year Ended June 30, 2019 Shares Net Assets Increase (Decrease) Shares Sold 1,025,000 $ 25,460,920 Shares Redeemed (2,600,000 ) (62,562,010 ) Net Increase (1,575,000 ) $ (37,101,090 ) BREAKWAVE DRY BULK SHIPPING ETF Summary of Share Transactions for the Year Ended June 30, 2020 Shares Net Assets Increase (Decrease) Shares Sold 5,950,000 $ 40,151,470 Shares Redeemed (500,000 ) (6,343,627 ) Net Increase 5,450,000 $ 33,807,843 BREAKWAVE DRY BULK SHIPPING ETF Summary of Share Transactions for the Year Ended June 30, 2019 Shares Net Assets Increase (Decrease) Shares Sold 175,000 $ 1,795,803 Shares Redeemed - - Net Increase 175,000 $ 1,795,803 55 (6) Risk (a) Investment Related Risk The NAV of RISE’s shares relates directly to the value of the U.S. treasuries, cash and cash equivalents held by RISE and the portfolio’s negative effective duration established and maintained through RISE’s investment in Treasury Instruments. Fluctuations in the prices of these assets could materially adversely affect the value and performance of an investment in RISE’s shares. Past performance is not necessarily indicative of future results; all or substantially all of an investment in RISE could be lost. Investments in debt securities typically decrease in value when interest rates rise, however, RISE attempts to maintain a portfolio with a negative effective duration and therefore anticipates that an increase in interest rates may increase RISE’s value, and a decrease in rates may lower RISE’s value. The NAV of RISE’s shares relates directly to the value of U.S. Treasuries and Treasury Instruments held by RISE which are materially impacted by interest rate movements. The magnitude of the impact on value from a change in interest rates is often greater for longer-term fixed income than shorter-term securities. Interest rates have remained near historic lows since the market events of 2008 and may remain low. Interest rate movements are heavily influenced by the action of the Board of Governors of the Federal Reserve System and other central banks. Their actions are based on judgments and policies which involve numerous political and economic factors which are unpredictable. Recent interest rate and monetary policies have been unprecedented and may continue to be so. RISE attempts to track a portfolio benchmark. The performance of RISE may not closely track the performance of the RISE Benchmark Portfolio for a variety of reasons. For example, RISE incurs operating expenses and portfolio transaction costs not incurred by the benchmark. RISE is also required to manage cash flows and may experience operational inefficiencies the benchmark does not. In addition, RISE may not be fully invested in the contents of its benchmark at all times or may hold securities not included in its benchmark. RISE invests in Treasury Instruments and U.S. treasuries with exposure to different maturity dates. Generally, RISE’s exposure to securities with maturities of 2 and 5 years will be greater than its exposure to securities with maturities of 10 years. Interest rates do not change uniformly for U.S. Treasuries of different maturities and therefore if interest rates rise, the investment performance of RISE will be impacted by RISE’s current maturity exposure which may be different from the expectations of the Sponsor and investors in RISE. At any time, RISE’s maturity exposure may not be optimal with respect to a movement in interest rates which would negatively impact performance. The NAV of BDRY’s shares relates directly to the value of the futures portfolio, cash and cash equivalents held by BDRY. Fluctuations in the prices of these assets could materially adversely affect the value and performance of an investment in BDRY’s shares. Past performance is not necessarily indicative of future results; all or substantially all of an investment in BDRY could be lost. The NAV of BDRY’s shares relates directly to the value of futures investments held by BDRY which are materially impacted by fluctuations in changes in spot charter rates. Charter rates for dry bulk vessels are volatile and have declined significantly since their historic highs and may remain at low levels or decrease further in the future. Futures and options contracts have expiration dates. Before or upon the expiration of a contract, BDRY may be required to enter into a replacement contract that is priced higher or that have less favorable terms than the contract being replaced (see “Negative Roll Risk,” below). The Freight Futures market settles in cash against published indices, so there is no physical delivery against the futures contracts. Similar to other futures contracts, the Freight Futures curve shape could be either in “contango” (where the futures curve is upward sloping with next futures price higher than the current one) or “backwardation” (where each the next futures price is lower than the current one). Contango curves are generally characterized by negative roll cost, as the expiring contract value is lower that the next prompt contract value, assuming the same lot size. That means there could be losses incurred when the contracts are rolled each period (“Negative Roll Risk”) and such losses are independent of the Freight Futures price level. 56 (b) Liquidity Risk In certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which the Funds invest, the Funds might not be able to dispose of certain holdings quickly or at prices that represent what the market value may have been in an orderly market. Futures and option positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position. The large size of the positions that the Funds may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially increasing losses while trying to do so. Such a situation may prevent the Funds from limiting losses, realizing gains or achieving a high correlation with the applicable Benchmark Portfolio. (c) Natural Disaster/Epidemic Risk Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds' Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds' investments. These factors can cause substantial market volatility. exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund's performance, resulting in losses to the Funds. (d) Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased at times. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses. (7) Profit and Loss Allocations and Distributions Pursuant to the Trust Agreement, income and expenses are allocated pro rata among the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Any losses allocated to the Sponsor which are in excess of the Sponsor’s capital balance are allocated to the Shareholders in accordance with their respective interest in the Funds as a percentage of total Shareholders’ capital. Distributions (other than redemption of units) may be made at the sole discretion of the Sponsor on a pro rata basis in accordance with the respective interests of the Shareholders. 57 (8) Indemnifications The Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Funds, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. As of June 30, 2020, the Funds had not received any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote. (9) Termination The term of each Fund is perpetual unless terminated earlier in certain circumstances as described in the applicable Prospectus. (10) Net Asset Value and Financial Highlights The Funds are presenting, as applicable, the following net asset value and financial highlights related to investment performance for a Share outstanding throughout the years ended June 30, 2020 and 2019, respectively. The net investment income and total expense ratios are calculated using average net assets. The net asset value presentation is calculated by dividing each Fund’s net assets by the average daily number of Shares outstanding. The net investment income (loss) and expense ratios have been annualized. The total return is based on the change in net asset value and market value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of their transactions in Fund Shares. SIT RISING RATE ETF BREAKWAVE DRY BULK SHIPPING ETF For the Year Ended June 30, For the Year Ended June 30, 2020 2019 2020 2019 Net Asset Value Net asset value per Share, beginning of year $ 22.70 $ 24.65 $ 13.25 $ 21.98 Net investment income (loss) 0.17 0.26 (0.35 ) (0.43 ) Net realized and unrealized gain (loss) (2.60 ) (2.21 ) (5.20 ) (8.30 ) Net Income (Loss) (2.43 ) (1.95 ) (5.55 ) (8.73 ) Net Asset Value per Share, end of year $ 20.27 $ 22.70 $ 7.70 $ 13.25 Market Value per Share, end of year $ 20.26 $ 22.73 $ 7.39 $ 13.15 Ratios to Average Net Assets* Expense Ratio*** 1.08 % 1.11 % 5.67 % 4.60 % Expense Ratio*** before Waiver/Assumption 7.34 % 1.52 % 9.58 % 21.28 % Net Investment Income (Loss) 0.75 % 1.04 % (5.25 )% (2.81 )% Total Return, at Net Asset Value** (10.70 )% (7.91 )% (41.89 )% (39.72 )% Total Return, at Market Value** (10.87 )% (7.83 )% (43.80 )% (40.34 )% * Percentages are annualized. ** Percentages are not annualized. *** For Sit Rising Rate ETF, Fund expenses have been capped at 1.00% of average daily net assets, plus brokerage commissions and interest expense. For Breakwave Dry Bulk Shipping ETF, Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions and interest expense. 58 Report of Independent Registered Public Accounting Firm To the Sponsor and Shareholders of ETF Managers Group Commodity Trust I Opinion on the financial statements We have audited the accompanying statements of assets and liabilities of SIT Rising Rate ETF and Breakwave Dry Bulk Shipping ETF (the “Funds”) and the combined statement of assets and liabilities of ETF Managers Group Commodity Trust I (the “Trust”), including the schedules of investments of the Funds and the combined schedules of investments of the Trust, as of June 30, 2020 and 2019, and the related statements of operations, changes in net assets and cash flows of the Funds; combined statements of operations, changes in net assets, and cash flows of the Trust for the years then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds and the Trust as of June 30, 2020 and 2019, and the results of their operations and their cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America. Basis for opinion These financial statements are the responsibility of the Funds’ and the Trust’s management. Our responsibility is to express an opinion on the Funds’ and Trust’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Funds and the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. /s/ WithumSmith+Brown, PC We have served as the Trust’s and Funds’ auditor since 2014. New York, NY September 28, 2020 59 Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. Not applicable.