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Item 7. Management’s Discussion and Analysis

2022-09-26 compared with 2021-09-10 · 198 added, 199 removed, 209 unchanged (66% of the section changed)

Management’s Discussion

and Analysis of Financial Condition and Results of Operations.

Management’s Discussion and Analysis of Financial

Condition and Results of Operations.

The following discussion should be read in conjunction

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a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

The Trust is a Delaware statutory trust

formed on July 23, 2014.

The Trust is a Delaware statutory trust formed

on July 23, 2014.

The Trust is a series trust currently consisting of one publicly listed series:

Breakwave Dry Bulk Shipping

ETF (“BDRY” or the “Fund”).

The Fund issues common units, called the “Shares,” representing fractional

undivided beneficial interests in the Fund.

The Trust and the Fund operate pursuant to the Trust’s Amended and

Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

Breakwave Dry Bulk Shipping ETF (“BDRY”

or the “Fund”).

The Fund issues common units, called the “Shares,” representing fractional undivided beneficial

interests in the Fund.

The Trust and the Fund operate pursuant to the Trust’s Amended and Restated Declaration of Trust and Trust

Agreement (the “Trust Agreement”).

The Sponsor has the power and authority to establish

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The term for which the Trust is to exist commenced on the date of the filing of

the Certificate of Trust, and the Trust, the Fund, and any additional series created in the future will exist in perpetuity, unless

earlier terminated in accordance with the provisions of the Trust Agreement.

Separate and distinct records shall be maintained for each

Fund and the assets associated with a Fund shall be held in such separate and distinct records (directly or indirectly, including a nominee

the Certificate of Trust, and the Trust, the Fund, and any additional series created in the future will exist in perpetuity, unless earlier

terminated in accordance with the provisions of the Trust Agreement.

Separate and distinct records shall be maintained for each Fund

and the assets associated with a Fund shall be held in such separate and distinct records (directly or indirectly, including a nominee

or otherwise) and accounted for in such separate and distinct records separately from the assets of any other series.

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The Fund is designed and managed to track the

performance of a portfolio (a “Benchmark Portfolio”) consisting of futures contracts (the

“Benchmark Component Instruments”).

performance of a portfolio (a “Benchmark Portfolio”) consisting of futures contracts (the “Benchmark Component Instruments”).

Results of Operations

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The Shares have been trading on the NYSE Arca since March 22, 2018 under the symbol “BDRY.”

The Fund seeks to track the daily return of

the Benchmark Portfolio, over time, plus the excess, if any, of the Fund’s interest income from its holdings over

the expenses of the Fund.

The Fund seeks to track the daily return of the

Benchmark Portfolio, over time, plus the excess, if any, of the Fund’s interest income from its holdings over the expenses of the

The following graphs illustrate changes in (i)

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June 30, 2022 and 2021”).

The Benchmark Portfolio is frictionless, in

that it does not take into account fees or expenses associated with investing in the Fund.

The performance of the Fund involves

friction, in that fees and expenses impose a drag on performance.

The Benchmark Portfolio is frictionless, in that

it does not take into account fees or expenses associated with investing in the Fund.

The performance of the Fund involves friction,

in that fees and expenses impose a drag on performance.

Breakwave Dry Bulk Shipping ETF

During the year ended June 30, 2022, dry bulk

spot rates increased substantially, with the benchmark Baltic Dry Index reaching 10-year highs towards the end of the period.

in demand for commodity transportation resulting from the partial reopening of global economies combined with considerable vessel delays

and inefficiencies due to the ongoing COVID-19 pandemic were the main reasons for such a strong performance.

Freight rates enjoyed a strong summer and autumn of 2020 due to strong

transportation demand for most bulk commodities, initially from China and later from other regions as well, reflecting strong industrial

demand, increased manufacturing activity and some inventory rebuilding following the slow economic activity during the COVID-19 lockdown

In early 2021, considerable port delays due to COVID-19 crew screening procedures tightened the availability of vessels causing

port congestion around the globe, thus leading to one of the strongest starts of the year in at least 10 years.

As the first half of the

year came to an end, freight rates across the dry bulk spectrum remained strong as economic activity accelerated.

An ongoing economic recovery and considerable stimulus efforts and

infrastructure spending by the major economies around the globe because of COVID-19 should continue to benefit the shipping markets, which

was also evident by strong realized freight rates during the summer of 2021.

Although the global economic recovery seems strong, it is

also highly fragile as the persistence of the COVID-19 virus remains a major risk globally.

If the global economy remains on the path

of growth, then shipping should benefit as trade flows should continue to increase.

In addition, the upcoming shipping regulations related

to reduction efforts in greenhouse gas emissions, could potentially lead to a reduction in the average fleet speed, further tightening

the dry bulk supply and demand balance and thus supporting strong freight rates for longer.

spot rates increased substantially, with the benchmark Baltic Dry Index reaching the highest level since 2010 during the period.

in demand for commodity transportation resulting from the reopening of global economies combined with considerable ongoing vessel delays

and inefficiencies due to the COVID-19 pandemic, were the main reasons for such a strong performance.

Freight rates enjoyed a strong late summer and autumn of 2021 due to

strong transportation demand for most bulk commodities, initially from China, which later strengthened further as increased demand for

energy during the winter led to considerable increases in coal-fired power generation.

In the autumn of 2021, Europe experienced a major

increase in power demand, and as a result, coal imports to that region also saw major increases.

In early 2022, the Russian invasion of

Ukraine created a major shift in trading patterns around the globe, as economic sanctions restricted the trading of vessels from Russia.

As a result, longer trading routes further supported a relatively strong freight market.

However, during the early period of 2022, China which accounts for

the majority of dry bulk demand, began to experience increasing Covid-19 outbreaks which caused a considerable slowdown in the domestic

economy given the country’s strict pandemic policy, and as a result, negatively impacted dry bulk demand.

Additionally, China’s

real estate sector, which indirectly affects iron ore demand (a major bulk commodity) experienced financial troubles with some large developers

facing liquidity problems.

At the same time, the global fleet inefficiencies that have supported strong rates since the beginning of the

pandemic began to normalize.

The combination of the unwinding of port congestion and the slowing of the Chinese economy gradually led

to lower fleet utilization for dry bulk vessels and the gradual softening of freight rates towards the summer of 2022.

Differences in the benchmark return and BDRY net asset value per share

are due primarily to the following factors:

● Benchmark portfolio uses settlement prices of freight futures

Benchmark portfolio uses settlement prices of freight futures vs.

BDRY closing share price for BDRY.

● Benchmark portfolio roll methodology assumes rolls that happen

evenly at fractions of lots vs.

Benchmark portfolio roll methodology assumes rolls that happen evenly at fractions of lots vs.

BDRY that transacts at real minimum lot size available pursuant to market practice (5 lots minimum).

● Benchmark portfolio assumes rolls that are happening at daily

settlement prices vs.

Benchmark portfolio assumes rolls that are happening at daily settlement prices vs.

BDRY that transacts at prevailing prices during the day that might or might not be equal to settlement prices.

Benchmark portfolio assumes no trading commissions vs.

that pays 10bps of nominal value in commissions per transaction.

● Benchmark portfolio assumes no clearing fees vs BDRY that

pays approximately $12 per lot in clearing fees per transaction.

BDRY that pays 10bps of nominal value in commissions per transaction.

Benchmark portfolio assumes no clearing fees vs BDRY that pays approximately $12 per lot in clearing fees per transaction.

Benchmark portfolio assumes no management fees vs.

● Creations and redemptions that lead to transactions in the

freight futures market might occur at prices that might be different versus the settlement prices of that day.

There are no known competitors.

BDRY is the only freight futures ETF

BDRY fee structure.

Creations and redemptions that lead to transactions in the freight futures market might occur at prices that might be different versus the settlement prices.

NEITHER THE PAST PERFORMANCE OF THE FUND

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During the year ended June 30, 2022, the NYSE

Arca market value of each share increased (+297.16%) from $7.39 per share, representing the closing price on June 30, 2020, to $29.35

Arca market value of each share decreased (-41.50%) from $29.35 per share, representing the closing price on June 30, 2021, to $17.17

per share, representing the closing price on June 30, 2022.

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change from the closing share price on June 30, 2021 was as follows:

shares traded from a high of $30.20 per share (+308.66%) on June

16, 2021 to a low of $6.10 per share (-17.46%) on December 3, 2020.

shares traded from a high of $42.22 per share (+43.85%) on October

6, 2021 to a low of $19.12 per share (-34.86%) on November 16, 2021.

Fund Share Net Asset Value Performance

For the year ended June 30, 2022, the net asset

value of each share increased (+275.06%) from $7.70 per share to $28.88 per share.

Net gains in the futures contracts more than offset

Fund expenses resulting in the overall increase in the NAV per share during the year ended June 30, 2021.

Net income for the year ended June 30, 2021, was

$59,411,309, resulting from net realized gains on investments and futures contracts of $48,115,213, net unrealized gains on investments

value of each share decreased (-40.93%) from $28.88 per share to $17.06 per share.

Net losses in the futures contracts and Fund expenses

resulted in the overall decrease in the NAV per share during the year ended June 30, 2022.

Net loss for the year ended June 30, 2022, was

$33,398,736, resulting from net realized gains on investments and futures contracts of $836,968, net unrealized losses on investments

and futures contracts of $30,998,515, and the net investment loss of $3,247,189.

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During the year ended June 30, 2021, the NYSE

Arca market value of each share decreased (-43.80%) from $13.15 per share, representing the closing price on June 28, 2019, to $7.39 per

share, representing the closing price on June 30, 2020.

The share price high and low for the year ended June 30, 2020 and related change

from the closing share price on June 28, 2019 was as follows:

shares traded from a high of $22.19 per share (+68.75%) on October 9, 2019

to a low of $3.75 per share (-71.48%) on May 13, 2020.

Arca market value of each share increased (+297.16%) from $7.39 per share, representing the closing price on June 30, 2020, to $29.35

per share, representing the closing price on June 30, 2021.

The share price high and low for the year ended June 30, 2021 and related

change from the closing share price on June 30, 2020 was as follows:

shares traded from a high of $30.20 per share (+308.66%) on June

16, 2021 to a low of $6.10 per share (-17.46%) on December 3, 2020.

Fund Share Net Asset Value Performance

For the year ended June 30, 2021, the net asset

value of each share decreased (-41.89%) from $13.25 per share to $7.70 per share.

Net gains in the futures contracts, the impact of the

timing of Fund share purchases in the fourth quarter of the year, and Fund expenses resulted in the overall decrease in the NAV per share

during the year ended June 30, 2020.

Net income for the year ended June 30, 2020, was

$6,159,382, resulting from net realized losses on investments and futures contracts of $1,565,921, net unrealized gains on investments

value of each share increased (+275.06%) from $7.70 per share to $28.88 per share.

Net gains in the futures contracts more than offset

Fund expenses resulting in the overall increase in the NAV per share during the year ended June 30, 2021.

Net income for the year ended June 30, 2021,

was $59,411,309, resulting from net realized gains on investments and futures contracts of $48,115,213, net unrealized gains on investments

and futures contracts of $13,142,015, and the net investment loss of $1,845,919.

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Fund Share Price Performance

During the three months ended June 30, 2021, the

NYSE Arca market value of each Share increased (+73.46%) from $16.92 per Share, representing the closing price on March 31, 2021, to $29.35

per Share, representing the closing price on June 30, 2021.

The Share price high and low for the three months ended June 30, 2021 and

related change from the closing Share price on March 31, 2021 was as follows:

During the three months ended June 30, 2022,

the NYSE Arca market value of each Share decreased (-28.99%) from $24.18 per Share, representing the closing price on March 31, 2022,

to $17.17 per Share, representing the closing price on June 30, 2022.

The Share price high and low for the three months ended June 30,

2022 and related change from the closing Share price on March 31, 2022 was as follows:

Shares traded from a high of $26.07 per Share

on June 16, 2021 to a low of $15.57 per Share (-7.98%) on April 8, 2021.

(+7.82%) on May 18, 2022 to a low of $15.60 per Share (-35.48%) on June 28, 2022.

Fund Share Net Asset Performance

For the three months ended June 30, 2021, the

net asset value of each Share increased (+71.80%) from $16.81 per Share to $28.88 per Share.

For the three months ended June 30, 2022,

gains in the investments and futures contracts more than offset Fund expenses resulting in the overall increase in the NAV per Share during

Net income for the three months ended June 30,

2021, was $35,792,177, resulting from net realized gains on investments and futures contracts of $17,448,886, net unrealized gains on

the net asset value of each Share decreased (-21.01%) from $24.03 per Share to $17.06 per Share.

For the three months ended June 30,

2022, losses in the investments and futures contracts more than offset Fund expenses resulting in the overall decrease in the NAV per

Share during the period.

Net loss for the three months ended June 30,

2022, was $20,741,430, resulting from net realized losses on investments and futures contracts of $7,373,153, net unrealized losses on

investments and futures contracts of $12,614,155, and the net investment loss of $754,122.

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Fund Share Price Performance

During the three months ended June 30, 2020, the

NYSE Arca market value of each Share increased (+15.65%) from $6.39 per Share, representing the closing price on March 31, 2020, to $7.39

per Share, representing the closing price on June 30, 2020.

The Share price high and low for the three months ended June 30, 2020 and

related change from the closing Share price on March 31, 2020 was as follows:

Shares traded from a high of $8.24 per Share (+28.95%) on

June 25, 2020 to a low of $3.75 per Share (-41.31%) on April 8, 2020.

During the three months ended June 30, 2021,

the NYSE Arca market value of each Share increased (+73.46%) from $16.92 per Share, representing the closing price on March 31, 2021,

to $29.35 per Share, representing the closing price on June 30, 2021.

The Share price high and low for the three months ended June 30,

2021 and related change from the closing Share price on March 31, 2021 was as follows:

Shares traded from a high of $30.20 per Share

(+78.49%) on June 16, 2021 to a low of $15.57 per Share (-7.98%) on April 8, 2021.

Fund Share Net Asset Performance

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net asset value of each Share increased (+71.80%) from $16.81 per Share to $28.88 per Share.

For the three months ended June 30, 2020, gains

in the investments, futures and options contracts more than offset Fund expenses resulting in the overall increase in the NAV per Share

For the three months ended June 30, 2021,

gains in the investments and futures contracts more than offset Fund expenses resulting in the overall increase in the NAV per Share

during the period.

Net income for the three months ended June 30,

2020, was $9,894,451, resulting from net realized losses on investments and futures contracts of $340,186, net unrealized gains on investments

and futures contracts of $10,557,850, and the net investment loss of $323,213.

Critical Accounting Policies

The Fund’s critical accounting policies

are as follows:

2021, was $35,792,177, resulting from net realized gains on investments and futures contracts of $17,448,886, net unrealized gains on

investments and futures contracts of $19,147,460, and the net investment loss of $804,169.

Critical Accounting Estimates

Preparation of the financial statements and related

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assets in futures contracts and money market funds, which are held at fair value.

The Fund calculates its net asset value as of the NAV Calculation Time

as described above.

The values which are used by the Fund for its

Freight Futures are provided by the Fund’s commodity broker, which uses market prices when available.

In addition, the Fund estimates

interest income on a daily basis using prevailing rates earned on its cash and cash equivalents.

These estimates are adjusted to the actual

amount received on a monthly basis and the difference, if any, is not considered material.

When the Fund enters into Benchmark Component

Instruments, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations.

For purposes of credit

risk, the counterparty for the Benchmark Component Instruments traded on or cleared by the futures exchanges is the clearinghouse associated

with those exchanges.

In general, clearinghouses are backed by their members who may be required to share in the financial burden resulting

from the nonperformance of one of their members, which should significantly reduce credit risk.

There can be no assurance that any counterparty,

clearinghouse, or their financial backers will satisfy their obligations to the Fund.

The Sponsor will attempt to minimize certain of

these market and credit risks by normally:

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

limiting the outstanding amounts due from counterparties of the Fund;

not posting margin directly with a counterparty;

limiting the amount of margin or premium posted at the FCM.

The Commodity Exchange Act (“CEA”)

requires all FCMs, such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate

customer funds from proprietary funds and account separately for all customers’ funds and positions, and to maintain specified books

and records open to inspection by the staff of the CFTC.

The CFTC has similar authority over introducing brokers, or persons who solicit

or accept orders for commodity interest trades but who do not accept margin deposits for the execution of trades.

The CEA authorizes the

CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require action by exchanges in the event of

market emergencies, and establishes an administrative procedure under which customers may institute complaints for damages arising from

alleged violations of the CEA.

The CEA also gives the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published final

regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity

standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford greater assurances to

market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of

the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust

manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs

of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

There were no material estimates, which involve a significant level of estimation uncertainty and had or are reasonably likely to have

had a material impact on the Fund's financial condition, used in the preparation of these financial statements.

Liquidity and Capital Resources

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on interest-bearing assets of the Fund is paid to the Fund.

Due to the economic uncertainty due to the impact of the COVID-19 pandemic,

the Fund has experienced a significant decrease in interest rates, and as such the Fund has experienced a higher breakeven year over year.

The investments of the Fund in Benchmark Component

Instruments could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons.

conditions could prevent the Fund from promptly liquidating a position in Benchmark Component Instruments.

During the years ended June 30, 2022 and 2021, the Fund earned $33,040 and $3,049, respectively, in interest income.

The investments of the Fund in Benchmark

Component Instruments could be subject to periods of illiquidity because of market conditions, regulatory considerations and other

Such conditions could prevent the Fund from promptly liquidating a position in Benchmark Component Instruments.

exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily

limits.” During a single day, no futures trades may be executed at prices beyond the daily limit.

Once the price of a futures

contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken

nor liquidated unless the traders are willing to effect trades at or within the limit.

Futures contract prices have occasionally

moved to the daily limit for several consecutive days with little or no trading.

Such market conditions could prevent a Fund from

promptly liquidating its futures positions.

Because the Fund may trade futures contracts, its capital is at risk due to changes in the value of these contracts (market

risk) or the inability of counter-parties to perform under the terms of the contracts (credit risk).

Trading in Benchmark Component Instruments such

as futures contracts will involve the Fund entering into contractual commitments to purchase or sell specific amounts of instruments at

a specified date in the future.

as futures contracts will involve the Fund entering into contractual commitments to purchase or sell specific amounts of instruments

at a specified date in the future.

The gross or face amount of the contracts is expected to significantly exceed the future cash requirements

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risk associated with the commitment by the Fund to purchase a specific contract will be limited to the aggregate face amount of the contracts

The exposure of the Fund to market risk will depend

on a number of factors including the markets for the specific instrument, the volatility of interest rates and foreign exchange rates,

the liquidity of the instrument-specific market and the relationships among the contracts held by the Fund.

The exposure of the Fund to market risk will

depend on a number of factors including the markets for the specific instrument, the volatility of interest rates and foreign exchange

rates, the liquidity of the instrument-specific market and the relationships among the contracts held by the Fund.

When the Fund enters into Benchmark Component

Instruments, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations.

For purposes of credit

risk, the counterparty for the Benchmark Component Instruments traded on or cleared by the futures exchanges is the clearinghouse associated

with those exchanges.

In general, clearinghouses are backed by their members who may be required to share in the financial burden resulting

from the nonperformance of one of their members, which should significantly reduce credit risk.

There can be no assurance that any counterparty,

clearinghouse, or their financial backers will satisfy their obligations to the Fund.

The Sponsor will attempt to minimize certain

of these market and credit risks by normally:

executing and clearing

trades with creditworthy counterparties, as determined by the Sponsor;

limiting the outstanding

amounts due from counterparties of the Fund;

not posting margin directly

with a counterparty;

limiting the amount of

margin or premium posted at the FCM.

The Commodity Exchange Act (“CEA”)

requires all FCMs, such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate

customer funds from proprietary funds and account separately for all customers’ funds and positions, and to maintain specified

books and records open to inspection by the staff of the CFTC.

The CFTC has similar authority over introducing brokers, or persons who

solicit or accept orders for commodity interest trades but who do not accept margin deposits for the execution of trades.

The CEA authorizes

the CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require action by exchanges in the event

of market emergencies, and establishes an administrative procedure under which customers may institute complaints for damages arising

from alleged violations of the CEA.

The CEA also gives the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published final

regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity

standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford greater assurances to

market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice

of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in

a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination

programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

Off Balance Sheet Financing

As of June 30, 2022, neither the Trust nor the

Fund have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in

the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing

services which are in the best interests of the Fund.

While the exposure of the Fund under these indemnification provisions cannot be

estimated, they are not expected to have a material impact on the financial position of the Fund.

Fund have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into

in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake

in performing services which are in the best interests of the Fund.

While the exposure of the Fund under these indemnification provisions

cannot be estimated, they are not expected to have a material impact on the financial position of the Fund.

Redemption Basket Obligation

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will be with the Sponsor and certain other service providers.

The original registration statement on Form

S-1 registered 10,000,000 common Shares of BDRY and was declared effective March 9, 2018.

While the Sponsor agreed to pay

registration fees to the SEC and any other regulatory agency in connection with the initial offer and sale of the Shares offered

through the Fund’s prospectus, the legal, printing, accounting and other expenses associated with such registration, and the

initial fee for listing the Shares on the NYSE Arca, the Fund will be responsible for any registration fees and related expenses

incurred in connection with any future offer and sale of Shares of the Fund.

The original registration statement on Form S-1

registered 10,000,000 common Shares of BDRY and was declared effective March 9, 2018.

While the Sponsor agreed to pay registration fees

to the SEC and any other regulatory agency in connection with the initial offer and sale of the Shares offered through the Fund’s

prospectus, the legal, printing, accounting and other expenses associated with such registration, and the initial fee for listing the

Shares on the NYSE Arca, the Fund will be responsible for any registration fees and related expenses incurred in connection with any

future offer and sale of Shares of the Fund.

During March 2021, the Sponsor undertook to register

an additional 5,000,000 Shares of BDRY.

The expense associated with the additional registration of Shares of $28,997 was recorded as a

deferred charge as of April 1, 2021 and is being amortized over twelve months on a straight-line basis.

The expense associated with the additional registration of Shares of $28,997 was recorded as

a deferred charge as of April 1, 2021 and was amortized to expense over twelve months on a straight-line basis.

Any general expenses of the Trust will be allocated

among the Fund and any other series of the Trust as determined by the Sponsor in its sole and absolute discretion.

The Trust is also responsible

for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related

The Trust is also

responsible for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation costs and any indemnification

related thereto.

The Trust and/or the Sponsor may be required to indemnify the Trustee, Distributor or Administrator under certain circumstances.

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Breakwave Dry Bulk Shipping ETF

BDRY pays a Sponsor Fee, monthly in arrears, in

an amount equal to the greater of (i) 0.15% per year of the Fund’s average daily net assets;

BDRY pays a Sponsor Fee, monthly in arrears,

in an amount equal to the greater of (i) 0.15% per year of the Fund’s average daily net assets;

or (ii) $125,000.

The Sponsor Fee is

paid in consideration of the Sponsor’s management services to the Fund.

The Sponsor Fee

is paid in consideration of the Sponsor’s management services to the Fund.

BDRY also pays Breakwave a license and service fee (the

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The assumption of expenses and waiver of the license and services fee are contractual

on the part of the Sponsor and Breakwave, respectively, through September 30, 2022.

If after that date, the Sponsor and/or Breakwave no

longer assumed expenses or waived the CTA Fee, respectively, BDRY could be adversely impacted, including in its ability to achieve its

investment objective.

on the part of the Sponsor and Breakwave, respectively, through March 31, 2024.

If after that date, the Sponsor and/or Breakwave

no longer assumed expenses or waived the CTA Fee, respectively, BDRY could be adversely impacted, including in its ability to achieve

its investment objective.

The Fund currently accrues its daily expenses

based on accrued expense amounts established and monitored by the Sponsor, subject to the Expense Cap.

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 Fund which aggregated $800,710 and $344,625, of which $-0- and $19,366 was waived by Breakwave for

the three months ended June 30, 2021 and 2020, respectively.

No absorption of expenses was required by the Sponsor for the three months

ended June 30, 2021 and 2020.

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 Fund which aggregated $783,914 and $800,710, of which $-0- and $-0- was waived by Breakwave

for the three months ended June 30, 2022 and 2021, respectively.

No absorption of expenses was required by the Sponsor for the three

months ended June 30, 2022 and 2021.

The Fund’s ongoing fees, costs and expenses

of its operation, not subject to the Expense Cap include brokerage and other fees and commissions incurred in connection with the trading

activities of the Fund, and extraordinary expenses (including, but not limited to, legal claims and liabilities and litigation costs and

any indemnification related thereto).

Expenses subject to the Expense Cap include (i) expenses incurred in connection with registering

additional Shares of the Fund or offering Shares of the Fund;

(ii) the routine expenses associated with the preparation and, if required,

the printing and mailing of monthly, quarterly, annual and other reports required by applicable U.S.

federal and state regulatory authorities,

Trust meetings and preparing, printing and mailing proxy statements to Shareholders;

(iii) the routine services of the Trustee, legal

counsel and independent accountants;

(iv) routine accounting, bookkeeping, custodial and transfer agency services, whether performed by

an outside service provider or by affiliates of the Sponsor;

of its operation, not subject to the Expense Cap include brokerage, brokerage interest and regulatory capital charges and other fees

and commissions incurred in connection with the trading activities of the Fund, and extraordinary expenses (including, but not limited

to, legal claims and liabilities and litigation costs and any indemnification related thereto).

Expenses subject to the Expense Cap include

(i) expenses incurred in connection with registering additional Shares of the Fund or offering Shares of the Fund;

(ii) the routine expenses

associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required by

applicable U.S.

federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements to Shareholders;

(iii) the routine services of the Trustee, legal counsel and independent accountants;

(iv) routine accounting, bookkeeping, custodial

and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor;

(v) postage and insurance;

(vi) costs and expenses associated with client

relations and services;

(vii) costs of preparation of all federal, state, local and foreign tax returns and any taxes payable on the income,

assets or operations of the Fund.

(vi) costs and expenses associated with client relations and services;

(vii) costs of preparation of all federal, state, local and foreign

tax returns and any taxes payable on the income, assets or operations of the Fund.

Quantitative and Qualitative Disclosures

2 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 7. Management’s Discussion and Analysis