What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2022-09-26 compared with 2021-09-10 · 631 added, 618 removed, 370 unchanged (77% of the section changed)

Financial Statements and Supplemental

Financial Statements and Supplemental Data.

ETF MANAGERS GROUP COMMODITY TRUST I

1 unchanged sentence

June 30, 2022

BREAKWAVE DRY BULK

MANAGERS GROUP

COMMODITY TRUST I

Investment in securities, at fair value (cost $ 17,208,763 )

Segregated cash held by broker

Receivable on open futures contracts

Prepaid expenses

Receivable for fund shares sold

Interest receivable

Due to Sponsor

Payable on open futures contracts

Other accrued expenses

Total liabilities

$ 114,077,152

Shares outstanding (unlimited authorized)

1 unchanged sentence

Market value per share

See accompanying notes to combined financial statements.

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Assets and Liabilities

Statements of Assets and Liabilities

June 30, 2021

BREAKWAVE DRY BULK

SIT RISING RATE ETF

Investment in securities, at fair value (cost $ 42,654,058 )

$7,986,862 and $4,879,769, respectively)

Interest receivable

Receivable on open futures contracts

Segregated cash held by broker

Options written, at fair value (premiums received $- 0 - and $ 3,204 , respectively)

Payable on open futures contracts

Payable for Fund shares redeemed

Receivable on open futures contracts

Prepaid expenses

Interest receivable

Due to Sponsor

1 unchanged sentence

Total liabilities

$ 114,077,152

Shares outstanding (unlimited authorized)

1 unchanged sentence

Market value per share

See accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

of Investments

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Schedule of Investments

June 30, 2022

BREAKWAVE DRY BULK

COMMODITY TRUST I*

MONEY MARKET FUNDS - 37.0%

4 unchanged sentences

TOTAL NET ASSETS - 100.0 %

$ 114,077,152

(a) Annualized seven-day yield as of June 30, 2022.

(b) $50,040,588 of cash is pledged as collateral

for futures contracts.

(b) $37,188,477 of cash is pledged as collateral for futures

BREAKWAVE DRY BULK SHIPPING ETF

ETF MANAGERS GROUP

Futures Contracts

Appreciation/

June 30, 2022

(Depreciation)

Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 29, 2022 (Underlying Face Amount at Market Value - $5,990,220) (270 contracts)

$ ( 1,256,570 )

Baltic Exchange Panamax T/C Average Shipping Route Index Expiring August 26, 2022 (Underlying Face Amount at Market Value - $6,180,030) (270 contracts)

( 1,079,305 )

Baltic Exchange Panamax T/C Average Shipping Route Index Expiring September 23, 2022 (Underlying Face Amount at Market Value - $6,307,470) (270 contracts)

3 unchanged sentences

Baltic Capesize Time Charter Expiring July 29, 2022 (Underlying Face Amount at Market Value - $6,834,850) (275 contracts)

( 2,692,960 )

Baltic Capesize Time Charter Expiring August 26, 2022 (Underlying Face Amount at Market Value - $7,891,400) (275 contracts)

( 1,694,040 )

Baltic Capesize Time Charter Expiring September 23, 2022 (Underlying Face Amount at Market Value - $8,752,975) (275 contracts)

* SIT Rising Rate ETF, which had been a series of the

Trust, liquidated as of November 18, 2020.

accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Schedule of Investments

$ ( 9,265,175

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST

Schedule of Investments

June 30, 2021

BREAKWAVE DRY BULK

SIT RISING RATE ETF

PURCHASED PUT OPTIONS - 0.0% and 0.3%, respectively

US Treasury 10 Year Note, Strike Price $ 139.50 Expiring 08/21/20 (15 contracts)

TOTAL PURCHASED PUT OPTIONS (Cost $ 22,316 )

SHORT-TERM INVESTMENTS - 0.0% and 95.7%,

US TREASURY BILLS - 0.0 % and 95.7 %, respectively United States Treasury Bills 0.1200%, 07/23/2020 ($ 4,850,000 principal amount) (a)

TOTAL US TREASURY BILLS (Cost $ 4,845,544 )

MONEY MARKET FUNDS - 18.0% and 0.02%,

First American US Treasury Money Market Fund, Class Z, 0.04 % (b) ( 15,806 shares)

First American US Treasury Obligations Fund, Class X, 0.08 % (b) ( 7,986,862 shares)

TOTAL MONEY MARKET FUNDS (Cost $ 7,986,862 and $ 15,806 , respectively)

Total Investments (Cost $ 7,986,862 and $ 4,883,666 , respectively) - 18.0 % and 96.3 %, respectively

Other Assets in Excess of Liabilities - 82.0 % and 3.7 %, respectively (a)

TOTAL NET ASSETS - 100.0 % and 100.0%, respectively

(a) $27,827,859 and $4,849,667, respectively, of cash

is pledged as collateral for futures contracts and written options.

(b) Annualized seven-day yield as of June 30, 2020.

MONEY MARKET FUNDS - 37.4%

First American US Treasury Obligations Fund, Class X, 0.01 % (a) ( 42,654,058 shares)

TOTAL MONEY MARKET FUNDS (Cost $ 42,654,058 )

Total Investments (Cost $ 42,654,058 ) - 37.4 %

Other Assets in Excess of Liabilities - 62.6 % (b)

TOTAL NET ASSETS - 100.0 %

$ 114,077,152

(a) Annualized seven-day yield as of June 30, 2021.

(b) $50,040,588 of cash is pledged as collateral for futures contracts.

BREAKWAVE DRY BULK SHIPPING ETF

1 unchanged sentence

Appreciation/

June 30, 2020

(Depreciation)

Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 30, 2021 (Underlying Face Amount at Market Value - $ 16,372,965 (435 contracts)

7 unchanged sentences

Baltic Capesize Time Charter Expiring September 24, 2021(Underlying Face Amount at Market Value - $ 17,442,220 ) (445 contracts)

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 )

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)

US Treasury 2 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $ 10,158,094 ) (46 contracts)

See accompanying notes to

combined financial statements.

* SIT Rising Rate ETF, which had been a series of the Trust, liquidated as of November 18, 2020.

See accompanying notes to financial

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Statements of Operations

Year Ended Ended June 30, 2022

BREAKWAVE DRY BULK

SIT RISING RATE ETF*

Investment Income

Tax preparation fees

Tax State Filing fees

Admin/accounting/custodian/transfer agent fees

4 unchanged sentences

Distribution fees

NJ Filing fees

Insurance expense

Listing & calculation agent fees

Listing and calculation agent fees

Marketing expenses

Amortization of offering costs

Other expenses

2 unchanged sentences

Wholesale support fees

Amortization of Offering expenses

Interest expense

10 unchanged sentences

Investments, futures and options contracts

( 30,988,515 )

Net realized and unrealized gain (loss)

( 30,151,547 )

Net income (loss)

* Period from July 1, 2020 to October 30, 2020 - Sit

Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to combined financial statements.

$ ( 33,398,736 )

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Year Ended June 30, 2020

BREAKWAVE DRY BULK

SIT RISING RATE ETF

Year Ended Ended June 30, 2021

Investment Income

Tax preparation fees

Tax State Filing fees

Admin/accounting/custodian/transfer agent fees

Printing and postage expenses

Chief Compliance Officer fees

6 unchanged sentences

Other expenses

Website Support and marketing materials

Printing and postage

Wholesale support fees

Amortization of offering expenses

Interest expense

3 unchanged sentences

Net Investment Income (Loss)

( 1,845,919 )

( 1,897,188 )

Net Realized and Unrealized Gain (Loss) on Investment Activity

1 unchanged sentence

Investments, futures and options contracts

( 1,565,921 )

( 2,469,836 )

Change in Unrealized Gain (Loss) on

2 unchanged sentences

Net income (loss)

$ ( 520,302 )

See accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY

Combined Statements of

Changes in Net Assets

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Changes in Net Assets

Year Ended June 30, 2022

SIT RISING RATE ETF*

Net Assets at Beginning of Year

Increase (decrease) in Net Assets from share transactions

Addition of 4,450,000 and - 0 - shares, respectively

Redemption of 6,250,000 and 250,040 shares, respectively

$ 114,077,152

Increase (decrease) in Net Assets from share transactions

Addition of 4,850,000 shares

Redemption of 6,075,000 shares

( 159,308,038 )

Net increase (decrease) in Net Assets from share transactions

( 34,191,248 )

Increase (decrease) in Net Assets from operations

4 unchanged sentences

Change in net unrealized gain (loss)

( 30,988,515 )

Net increase (decrease) in Net Assets from operations

Net Assets at End of Year

( 33,398,736 )

* Period from July 1, 2020 to

October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to combined financial

ETF MANAGERS GROUP COMMODITY

Combined Statements of

Changes in Net Assets

Net Assets at End of Year

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Changes in Net Assets

Year Ended June 30, 2021

3 unchanged sentences

Redemption of 6,250,000 and 250,040 shares, respectively

( 6,343,627 )

( 6,331,666 )

( 12,675,293 )

Net Increase (decrease) in Net Assets from share transactions

( 6,331,666 )

Net increase (decrease) in Net Assets from share

Increase (decrease) in Net Assets from operations

1 unchanged sentence

Net realized gain (loss)

( 1,565,921 )

( 2,469,836 )

Change in net unrealized gain (loss)

Change in net unrealized

Net increase (decrease) in Net Assets from operations

Net Assets at End of Year

See accompanying notes to combined financial

MANAGERS GROUP COMMODITY TRUST I

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Cash Flows

Ended June 30, 2021

Year Ended June 30, 2022

Cash flows provided by/used in operating activities

Net income (loss)

$ ( 33,398,736 )

Adjustments to reconcile net income (loss) to net cash

1 unchanged sentence

Net realized (gain) loss on investments

( 48,115,213 )

( 48,086,075 )

Change in net unrealized (gain) loss on investments

( 13,142,015 )

( 13,152,474 )

Change in operating assets and liabilities:

Sale (Purchase) of investments - net

Decrease in interest receivable

Increase in receivable on open futures contracts

( 4,706,252 )

Increase in prepaid expenses

Decrease in payable for Fund shares redeemed

Decrease in options written, at fair value

Decrease in payable on open futures contracts

Increase in interest receivable

Decrease in receivable on open futures contracts

Increase in payable on open futures contracts

Decrease in prepaid expenses

Increase (decrease) in due to Sponsor

Increase in other accrued expenses

Net cash used in operating activities

Decrease in other accrued expenses

Net cash provided by operating activities

Cash flows from financing activities

3 unchanged sentences

( 159,308,038 )

Net cash provided by/used in financing

( 34,191,248 )

Net cash provided by/used in financing activities

( 34,191,248 )

Net increase (decrease) in cash and restricted cash

Cash and restricted cash, beginning of year

Cash and restricted cash, end of year

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.

( 12,852,111 )

Cash and restricted cash, beginning

Cash and restricted cash, end of

The following table provides a reconciliation of cash and restricted cash reported within the Statements of Assets and Liabilities that sum to the total of such amounts shown on the Statements of Cash Flows.

Segregated cash held by broker

Total cash and restricted cash as shown on the statement of cash flows.

* Period from July 1, 2020

to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Cash Flows

Ended June 30, 2020

Total cash and restricted cash as

shown on the statement of cash flows.

See accompanying notes to financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Cash Flows

Year Ended June 30, 2021

Cash flows provided by/used in operating activities

Net income (loss)

$ ( 520,302 )

Adjustments to reconcile net income (loss) to net cash

provided by/used in operating activities:

Net realized loss (gain) on investments

Change in net unrealized loss (gain) on investments

Net realized gain (loss) on investments

( 48,115,213 )

( 48,086,075 )

Change in net unrealized gain (loss) on investments

( 13,142,015 )

( 13,152,474 )

Change in operating assets and liabilities:

1 unchanged sentence

Decrease in interest receivable

Decrease (increase) in receivable on open futures contracts

Increase in receivable on open futures contracts

( 13,142,015 )

Increase in payable for Fund shares redeemed

Increase in prepaid expenses

Decrease in payable for Fund shares redeemed

Decrease in options written, at fair value

Increase in payable on open futures contracts

Decrease in payable on open futures contracts

Increase (decrease) in due to Sponsor

1 unchanged sentence

Net cash used in operating activities

( 8,619,018 )

( 2,450,929 )

Cash flows from financing activities

4 unchanged sentences

( 90,382,155 )

Net cash provided by/used in financing activities

Net cash provided by/used in financing

( 4,998,233 )

Net increase (decrease) in cash and restricted cash

Cash and restricted cash, beginning of year

Cash and restricted cash, end of year

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 and restricted cash, beginning

Cash and restricted cash, end of

The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statements of Cash Flows.

Segregated cash held by broker

Total cash and restricted cash as shown on the statement of cash flows.

accompanying notes to combined financial statements.

Managers Group Commodity Trust I

to Combined Financial Statements

30, 2021 and 2020

Managers Group Commodity Trust I (the “Trust”) was organized as a Delaware statutory trust on July 23, 2014.

a series trust formed pursuant to the Delaware Statutory Trust Act and currently consists of one separate series.

BREAKWAVE DRY BULK

SHIPPING ETF (“BDRY,” the “Fund”), is a commodity pool that continuously issues shares of beneficial interest

that may be purchased and sold on NYSE Arca.

As described below, SIT RISING RATE ETF (“RISE”) also operated as a series of

the Trust, but was closed and liquidated prior to June 30, 2021.

The Fund is 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

Breakwave Advisors, LLC (“Breakwave”) is registered as a “commodity trading advisor” (“CTA”)

with the CFTC and serves as BDRY’s commodity trading advisor.

Closure and Liquidation

October 16, 2020, the Sponsor announced that it would close and liquidate RISE because of the then current market conditions and the

Fund’s asset size.

The last day the liquidated fund accepted creation orders was on October 30, 2020.

Trading in RISE was suspended

after the close of the NYSE Arca on October 30, 2020.

Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the

“Distribution Date”).

From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca

nor was there a secondary market for the shares.

Any shareholders that remained in RISE on the Distribution Date automatically had their

shares redeemed for cash at the current net asset value on November 18, 2020.

commenced investment operations on March 22, 2018.

BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol

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”) 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.

Total cash and restricted cash as

shown on the statement of cash flows.

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to financial statements

ETF Managers Group Commodity Trust I

Notes to Financial Statements

June 30, 2022 and 2021

(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 consists of one separate series.

BREAKWAVE DRY BULK SHIPPING ETF (“BDRY,” the “Fund”), is a

commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on NYSE Arca.

As described below,

SIT RISING RATE ETF (“RISE”) also operated as a series of the Trust, but was closed and liquidated prior to June 30, 2021.

The Fund is managed and controlled by ETF Managers Capital LLC (the “Sponsor”), a Delaware limited liability company.

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”).

Breakwave Advisors, LLC (“Breakwave”) is

registered as a “commodity trading advisor” (“CTA”) with the CFTC and serves as BDRY’s commodity trading

RISE Closure and Liquidation

On October 16, 2020, the Sponsor announced that

it would close and liquidate RISE because of the then current market conditions and the Fund’s asset size.

The last day the liquidated

fund accepted creation orders was on October 30, 2020.

Trading in RISE was suspended after the close of the NYSE Arca on October 30,

Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the “Distribution Date”).

30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca nor was there a secondary market for the shares.

Any shareholders that remained in RISE on the Distribution Date automatically had their shares redeemed for cash at the current net asset

value on November 18, 2020.

BDRY commenced investment operations on March

BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol “BDRY.”

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”) 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

(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:

2 unchanged sentences

the Supramax 6TC Index.

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.

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.

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.

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 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

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 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.

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.

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.

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, ED & F Man Capital Markets, Inc.

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.

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.

Fund will incur certain expenses in connection with its operations.

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, ED & F Man Capital Markets, Inc.

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.

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 Fund will incur certain expenses in connection

with its operations.

The Fund will hold cash or cash equivalents such as U.S.

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 Fund’s net asset value (“NAV”)

and changes in the Benchmark Portfolio, because the Benchmark Portfolio does not reflect expenses or income.

Fund seeks to trade its positions prior to maturity;

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 Fund’s net asset value (“NAV”) and changes in the Benchmark Portfolio,

because the Benchmark Portfolio does not reflect expenses or income.

The Fund seeks to trade its positions prior to

accordingly, natural market forces may cost the Fund while rebalancing.

the Fund seeks to reconstitute its positions, barring movement in the underlying securities, the futures and option prices may be higher

Such differences in price, barring a movement in the price of the underlying security, will constitute “roll yield”

and may inhibit the Fund’s ability to achieve its investment objective.

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.

CTA will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions.

may also be closed out to meet orders for redemption baskets.

Each time the Fund seeks to reconstitute its 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 Fund’s ability

to achieve its 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.

(2) Summary of Significant Accounting Policies

Basis of Accounting

accompanying combined financial statements of the Fund have been prepared in conformity with U.S.

generally accepted accounting principles

The Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting

Standard Codification of U.S.

Use of Estimates

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.

when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include

short-term investments.

Cash Held by Broker

is registered as a “commodity trading advisor” and acts as such for BDRY.

The Fund’s arrangement with its 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 Broker (as defined below).

These amounts are shown as Segregated cash held

by broker in the Combined Statements of Assets and Liabilities.

The Fund deposits cash or United States Treasury Obligations, as applicable,

with its FCM subject to the CFTC regulations and various exchange and broker requirements.

The combination of the Fund’s deposits

with its FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts

(variation margin) represents the Fund’s overall equity in its brokerage trading account.

The Fund uses its cash held by its FCM

to satisfy variation margin requirements.

The Fund earns interest on its cash deposited with its FCM and interest income is recorded

on the accrual basis.

Final Net Asset Value for Fiscal Period

calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the years ended June 30, 2021

and June 30, 2020 was at 4:00 p.m.

Eastern Time on June 30, 2021 and June 30, 2020, respectively.

RISE was liquidated on November 18,

2020 at its final net asset value as of that date.

the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m.

Time represented the final opportunity to transact in creation or redemption baskets for the years ended June 30, 2021 and June 30, 2020.

value per share is determined at the close of the NYSE Arca.

financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets.

the investment valuations in these combined financial statements differ from those used in the calculations of the Fund’s final

creation/redemption NAVs at June 30, 2021 and 2020.

Investment Valuation

investments, excluding U.S.

Treasury Bills, are carried at amortized cost, which approximates fair value.

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;

(a) Basis of Accounting

The accompanying financial statements of the

Fund have been prepared in conformity with U.S.

generally accepted accounting principles (“U.S.

The Fund qualifies

as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification of U.S.

(b) Use of Estimates

The preparation of the 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 financial statements and accompanying notes.

Actual results

could differ from those estimates.

There were no significant estimates used in the preparation of the financial statements.

Cash, when shown in the Statements

of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments.

(d) Cash Held by Broker

Breakwave is registered as a “commodity

trading advisor” and acts as such for BDRY.

The Fund’s arrangement with its 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 Broker (as defined below).

These amounts are shown as Segregated cash held by broker in the Statements of

Assets and Liabilities.

The Fund deposits cash or United States Treasury Obligations, as applicable, with its FCM subject to the CFTC

regulations and various exchange and broker requirements.

The combination of the Fund’s deposits with its FCM of cash and United

States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation margin) represents the

Fund’s overall equity in its brokerage trading account.

The Fund uses its cash held by its FCM to satisfy variation margin requirements.

The Fund earns interest on its cash deposited with its FCM and interest income is recorded on the accrual basis.

(e) Final Net Asset Value for Fiscal Period

The calculation time of the Fund’s final

net asset value for creation and redemption of Fund shares for the years ended June 30, 2022 and June 30, 2021 was at 4:00 p.m.

Time on June 30, 2022 and June 30, 2021, respectively.

RISE was liquidated on November 18, 2020 at its final net asset value as of that

Although the Fund’s 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, 2022 and June 30, 2021.

Fair value per share is determined at the close

of the NYSE Arca.

For financial reporting purposes, the Fund values

its investment positions based upon the final closing price in their primary markets.

Accordingly, the investment valuations in these financial statements differ from those used in the calculations of the Fund’s final creation/redemption NAVs at June 30,

2022 and 2021.

(f) Investment Valuation

Short-term investments, excluding U.S.

Bills, are carried at amortized cost, which approximates fair value.

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.

and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades.

Financial Instruments and Fair Value

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

The three levels defined by the disclosure requirements hierarchy are as follows:

Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access

at the measurement date.

Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly.

Futures and options contracts are valued at the

last settled price on the applicable exchange on which that futures and/or options contract trades.

(g) Financial Instruments and Fair Value

The 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:

Quoted prices (unadjusted) in active

markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date.

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

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.

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.

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.

following tables summarize BDRY’s valuation of investments at June 30, 2021 and June 30, 2020 using the fair value hierarchy:

I – Quoted Prices

– Included in Investments in securities in the Statements of Assets and Liabilities.

– Included in Receivable on open futures contracts in the Statements of Assets and Liabilities.

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).

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 BDRY’s valuation

of investments at June 30, 2022 and June 30, 2021 using the fair value hierarchy:

I – Quoted Prices

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.

– Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities.

between levels are recognized at the end of the reporting period.

During the years ended June 30, 2021 and 2020, BDRY recognized no transfers

from Level 1, Level 2 or Level 3.

inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

following table summarizes RISE’s valuation of investments at June 30, 2020 using the fair value hierarchy:

( 9,265,175 )

a – Included in Investments in securities in the Statements

of Assets and Liabilities.

b – Included in Payable on open futures contracts

in the Statements of Assets and Liabilities.

I – Quoted Prices

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.

– Included in Options written, at fair value in the Combined Statements of Assets and Liabilities.

– Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities.

between levels are recognized at the end of the reporting period.

During the year ended June 30, 2020, RISE recognized no transfers from

Level 1, Level 2 or Level 3.

Investment Transactions and Related Income

transactions are recorded on the trade date.

a – Included in Investments in securities

in the Statements of Assets and Liabilities.

b – Included in Receivable on open futures contracts in the

Statements of Assets and Liabilities.

Transfers between levels are recognized at the

end of the reporting period.

During the years ended June 30, 2022 and 2021, BDRY recognized no transfers from Level 1, Level 2 or Level

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

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 Statements

of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations.

BDRY’s interest earned on short-term securities and on cash deposited with ED & F Man Capital Markets Inc.

is accrued daily

and reflected as Interest Income, when applicable, in the Combined Statements of Operations.

Federal Income Taxes

Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S.

Unrealized gain/loss on open futures

contracts is reflected in Receivable/Payable on open futures contracts in the Statements of Assets and Liabilities and the change in

the unrealized gain/loss between periods is reflected in the Statements of Operations.

BDRY’s interest earned on short-term securities

and on cash deposited with ED&F Man Capital Markets Limited is accrued daily and reflected as Interest Income, when applicable, in

the Statements of Operations.

(i) Federal Income Taxes

The Fund is registered as a Delaware statutory

trust and is treated as a partnership for U.S.

federal income tax purposes.

Accordingly, the

Fund does 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 Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending with or within

the beneficial owner’s taxable year.

of the Fund 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, 2021 and June

The Fund is 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 Fund’s federal tax

returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

Short-Term Investments

Fund 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 Fund’s trading in futures

Accounting for Derivative Instruments

seeking to achieve the Fund’s investment objective, the commodity trading advisor uses a mathematical approach to investing.

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.

open derivative positions at June 30, 2021 and at June 30, 2020, 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 Fund is generally representative of

the notional value of open positions to shareholders’ capital throughout the reporting periods for the Fund.

The volume associated

with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure,

as expressed in notional value, in comparison to shareholders’ capital consistent with the Fund’s investment objective.

is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures.

Futures Contracts

Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio.

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 freight futures

or 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.

entering into a futures contract, the Fund is 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 Fund agrees 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 Fund as unrealized gains or losses.

The Fund will realize a gain or loss upon closing

a futures transaction.

contracts involve, to varying degrees, elements of market risk (specifically freight futures or 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 Fund has

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 Fund since futures contracts are exchange-traded

and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against

DRY BULK SHIPPING ETF

Value of Derivative Instruments, as of June 30, 2021

Statements of

Accordingly, the Fund does not expect to incur U.S.

income tax liability;

rather, each beneficial owner is required to take into account their allocable share of the Fund’s income,

gain, loss, deductions and other items for the Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Fund 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, 2022 and June 30, 2021.

The Fund is 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 Fund’s federal tax returns are subject to examination by the

Internal Revenue Service for a period of three years after they are filed.

(3) Investments

(a) Short-Term Investments

The Fund 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 Fund’s trading in futures contracts.

(b) Accounting for Derivative Instruments

In seeking to achieve the Fund’s investment

objective, the 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, 2022

and at June 30, 2021, as applicable, are disclosed in the Schedules of Investments and the notional value of these open positions relative

to the shareholders’ capital of the Fund is generally representative of the notional value of open positions to shareholders’

capital throughout the reporting periods for the Fund.

The volume associated with derivative positions varies on a daily basis as the

Fund transacts in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to

shareholders’ capital consistent with the Fund’s investment objective.

Following is a description of the derivative

instruments used by the Fund during the reporting period, including the primary underlying risk exposures.

The Fund enters into futures contracts to gain

exposure to changes in the value of the Benchmark Portfolio.

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 freight futures or 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 Fund

is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is

The initial margin is segregated as Cash held by broker, as disclosed in the Statements of Assets and Liabilities, and is restricted

as to its use.

Pursuant to the futures contract, the Fund agrees 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 Fund

as unrealized gains or losses.

The Fund will realize a gain or loss upon closing a futures transaction.

Futures contracts involve, to varying degrees,

elements of market risk (specifically freight futures or treasury price risk) and exposure to loss in excess of the amount of variation

The face or contract amounts reflect the extent of the total exposure the Fund has 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.

contracts, there is minimal counterparty risk to the Fund 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.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of June

Assets and Liabilities

Statements of

Assets and Liabilities

Receivable on open futures contracts

* Represents cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

DRY BULK SHIPPING ETF

Value of Derivative Instruments, as of June 30, 2020

Statements of

Payable on open futures contracts

cumulative appreciation and depreciation of futures contracts as reported in the Statements

of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF*

Fair Value of Derivative Instruments, as of June

Assets and Liabilities

Statements of

Assets and Liabilities

Receivable on open futures contracts

* Represents cumulative appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

DRY BULK SHIPPING ETF

Effect of Derivative Instruments on the Combined Statements of Operations

the Year Ended June 30, 2021

cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Statements

of Operations

For the Year Ended June 30, 2022

of Gain (Loss) on Derivatives

Gain (Loss) on Derivatives Recognized

Interest Rate Risk

Net realized gain on futures and options contracts and/or change in unrealized gain (loss) on futures and options contracts

futures and options contracts open at June 30, 2021 are indicative of the activity for the year ended June 30, 2021.

DRY BULK SHIPPING ETF

Effect of Derivative Instruments on the Combined Statements of Operations

the Year Ended June 30, 2020

The futures and options contracts open at June

30, 2022 are indicative of the activity for the year ended June 30, 2022.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Combined

Statements of Operations

For the Year Ended June 30, 2021

of Gain (Loss) on Derivatives

Gain (Loss) on Derivatives Recognized

Net realized loss on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts

futures and options contracts open at June 30, 2020 are indicative of the activity for the year ended June 30, 2020.

RISING RATE ETF

Value of Derivative Instruments, as of June 30, 2020

Statements of

Assets and Liabilities

Statements of

Assets and Liabilities

on open futures contracts

options, at fair value

* 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.

RISING RATE ETF

Effect of Derivative Instruments on the Combined Statements of Operations

the Year Ended June 30, 2020

of Gain (Loss) on Derivatives

Gain (Loss) on

Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts

futures and options contracts open at June 30, 2020 are indicative of the activity for the year ended June 30, 2020.

Management Fee

Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the

Additionally, the Fund pays its commodity trading advisor a license and service fee (the “CTA fee”).

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 pays 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, interest expense, and extraordinary expenses, if any, of the value of BDRY’s average daily net

assets through September 30, 2022 (the “BDRY Expense Cap”.

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.

waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $ 39,184 and $ 60,769 for the years ended June 30, 2021 and 2020,

respectively, as disclosed in the Combined Statements of Operations.

(and, prior to its liquidation, RISE) currently accrues its daily expenses up to the Expense Cap, or, if less, at 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 Fund in excess of the Fund’s Expense

Cap, which in the case of RISE, aggregated $ 136,902 and $ 389,041 for the years ended June 30, 2021 and 2020, respectively, as disclosed

in the Combined Statements of Operations.

In the case of BDRY, expenses absorbed by the Sponsor aggregated $- 0 - and $ 284,850 for the

years ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

The Administrator, Custodian, Fund Accountant and Transfer Agent

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

Fund, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Fund (the “Administrator”).

It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf of the

Interest Rate Risk

Net realized gain on futures and options contracts and/or change in unrealized gain (loss) on futures and options contracts

The futures and options contracts open at June

30, 2021 are indicative of the activity for the year ended June 30, 2021.

(4) Agreements

(a) Management Fee

The Fund pays the Sponsor a sponsor fee (the

“Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Fund.

Additionally, the Fund pays its commodity

trading advisor a license and service fee (the “CTA fee”).

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 pays 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, interest expense, and extraordinary expenses,

if any, of the value of BDRY’s average daily net assets through March 31, 2024 the “BDRY Expense Cap”.

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 $ - 0 - and $ 39,184 for the years ended June 30, 2022 and 2021, respectively, as disclosed in the Statements

of Operations.

BDRY (and, prior to its liquidation, RISE) currently

accrues its daily expenses up to the Expense Cap, or, if less, at 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 Fund in excess of the Fund’s Expense Cap, which in the case of RISE, aggregated

$ 136,902 for the year ended June 30, 2021, as disclosed in the Combined Statements of Operations.

In the case of BDRY, expenses absorbed

by the Sponsor aggregated $-0- and $- 0 - for the years ended June 30, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

(b) The Administrator, Custodian, Fund Accountant and Transfer

The Fund has appointed U.S.

Bank, a national

banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the “Custodian”).

Its affiliate,

Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the Fund, transfer agent (the “Transfer

Agent”) for Fund shares and administrator for the Fund (the “Administrator”).

It performs certain administrative and

accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf of the Fund.

Bank and U.S.

Bancorp Fund Services are referred to collectively hereinafter as “U.S.

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.

Services are referred to collectively hereinafter as “U.S.

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 $ 63,796 and $ 61,854 for the years

ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

to its liquidation RISE paid U.S.

Bank $ 19,486 and $ 57,601 for the years ended June 30, 2021 and 2020, respectively, as disclosed in

the Combined Statements of Operations.

Bank $ 64,618 and $ 63,796 for the years ended June 30, 2022 and 2021, respectively,

as disclosed in the Statements of Operations.

Prior to its liquidation RISE paid U.S.

$ 19,486 for the year ended June 30, 2021, as disclosed in the Combined Statements of Operations.

The Fund pays ETFMG Financial LLC.

(the “Distributor”),

Fund pays 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 Fund’s average daily

net assets, payable monthly.

Pursuant to the Marketing Agent Agreement between the Sponsor, the Fund and the Distributor, the Distributor

assists the Sponsor and the Fund with certain functions and duties relating to distribution and marketing services to the Fund, including

reviewing and approving marketing materials and certain regulatory compliance matters.

The Distributor also assists with the processing

of creation and redemption orders.

incurred $ 15,707 and $ 15,821 in distribution and related administrative services for the years ended June 30, 2021 and 2020, respectively,

as disclosed in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 5,116 and $ 15,539 in distribution and related administrative services for the years ended June 30,

2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily net assets, payable

to its liquidation, RISE also paid the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily

net assets, payable monthly .

incurred $ 78,874 and $ 35,622 in wholesale support fees for the years ended June 30, 2021 and 2020, respectively, as disclosed in the

Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,522 and $ 6,223 in wholesale support fees for the years ended June 30, 2021 and 2020, respectively,

as disclosed in the Combined Statements of Operations.

The Commodity Broker

& F Man Capital Inc., a Delaware limited liability company, serves as BDRY’s clearing broker , (the “Commodity Broker”).

In its capacity as clearing broker, the Commodity Broker executes and clear the Fund’s futures transactions and perform certain

administrative services for the Fund.

Fund pays 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.

Sponsor does not expect annual brokerage commissions and fees to exceed 0.40 % (excluding the impact on the Fund of creation and/or redemption

activity) for BDRY, of the net asset value of the Fund for execution and clearing services on behalf of the 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.

BDRY incurred $ 518,616 and $ 208,650 in brokerage

commissions and fees for the years ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,424 and $ 4,961 in brokerage commissions and fees for the years ended June 30, 2021 and 2020, respectively,

as disclosed in the Combined Statements of Operations.

the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for the Fund, Wilmington Trust

Company, the Trustee of the Fund (the “Trustee”) serves as the sole trustee of the Fund in the State of Delaware.

will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory

Under the Trust Agreement for the Fund, the Sponsor has the exclusive management and control of all aspects of the business

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.

BDRY incurred $ 3,122 and $ 2,500 , respectively, in trustee fees for years ended June 30, 2021 and 2020, which is included

in Other Expenses in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,878 and $ 2,500 in trustee fees, respectively, for years ended June 30, 2021 and 2020, which is included

in Other Expenses in the Combined Statements of Operations.

Routine Offering, Operational, Administrative and Other Ordinary Expenses

Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of a portion 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.

incurred $ 1,888,152 and $ 847,729 , respectively, during the years ended June 30, 2021 and 2020 in routine offering, operational, administrative

or other ordinary expenses.

CTA fee waiver for BDRY by Breakwave was $ 39,184 and $ 60,759 , respectively, for the years ended June 30, 2021 and 2020.

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 $- 0 - and $ 284,850 , respectively, for the years ended June 30, 2021 and 2020.

to its liquidation, RISE incurred $ 193,779 and $ 456,460 , respectively, in routine offering, operational, administrative or other ordinary

expenses for the years ended June 30, 2021 and 2020.

to its liquidation, the assumption of Fund expenses above the RISE Expense Cap by the Sponsor pursuant to the undertaking (as discussed

in Note 4a) amounted to $ 136,902 and $ 389,041 , respectively, for the years ended June 30, 2021 and 2020.

Organizational and Offering Costs

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.

all such expenses are not reflected in the Combined 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.

the year ended June 30, 2021 the Sponsor, in order to maintain the continuous offering of Shares undertook to register additional shares

of the Fund, the costs of which were borne by the Fund and aggregated $ 28,997 , of which $ 4,926 was amortized to expense at June 30, 2021.

The remaining $ 24,071 in prepaid expenses is included in the Statements of Assets and Liabilities at June 30, 2021.

year ended June 30, 2020 BDRY did not incur such expenses.

Extraordinary Fees and Expenses

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.

extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.

For the years ended June 30, 2021

and 2020, respectively, BDRY did not incur such expenses.

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 Fund’s average daily net assets, payable monthly.

Pursuant to the Marketing Agent Agreement

between the Sponsor, the Fund and the Distributor, the Distributor assists the Sponsor and the Fund with certain functions and duties

relating to distribution and marketing services to the Fund, including reviewing and approving marketing materials and certain regulatory

compliance matters.

The Distributor also assists with the processing of creation and redemption orders.

BDRY incurred $ 15,707 and $ 15,707 in distribution

and related administrative services for the years ended June 30, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE incurred $ 5,116

in distribution and related administrative services for the year ended June 30, 2021, as disclosed in the Combined Statements of Operations.

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.

Prior to its liquidation, RISE also paid the

Sponsor an annual fee for wholesale support services equal to 0.1 % of RISE’s average daily net assets, payable monthly.

BDRY incurred $ 112,393 and $ 78,874 in wholesale

support fees for the years ended June 30, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE incurred $ 1,522

in wholesale support fees for the year ended June 30, 2021, as disclosed in the Combined Statements of Operations.

(d) The Commodity Broker

ED&F Man Capital Markets Limited, registered in England, serves as BDRY’s clearing broker , (the “Commodity Broker”).

In its capacity as clearing broker,

the Commodity Broker executes and clear the Fund’s futures transactions and perform certain administrative services for the Fund.

The Fund pays 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 0.40 % (excluding the impact on the Fund of creation and/or redemption activity) for BDRY, of the net asset

value of the Fund for execution and clearing services on behalf of the 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.

BDRY incurred $ 665,810 and $ 518,616 in brokerage commissions and fees for the years ended

June 30, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE incurred $ 1,424

in brokerage commissions and fees for the year ended June 30, 2021, as disclosed in the Combined Statements of Operations.

(e) The Trustee

Under the Amended and Restated Declaration of

Trust and Trust Agreement (the “Trust Agreement”) for the Fund, Wilmington Trust Company, the Trustee of the Fund (the “Trustee”)

serves as the sole trustee of the Fund in the State of Delaware.

The Trustee will accept service of legal process on the Fund in the

State of Delaware and will make certain filings under the Delaware Statutory Trust Act.

Under the Trust Agreement for the 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.

BDRY incurred $ 5,000

and $ 3,122 , respectively, in trustee fees for years ended June 30, 2022 and 2021, which is included in Other Expenses in the Statements

of Operations.

Prior to its liquidation, RISE incurred $ 1,878

in trustee fees for the year ended June 30, 2021, which is included in Other Expenses in the Combined Statements of Operations.

(f) Routine Offering, Operational, Administrative and Other Ordinary

The Sponsor, in accordance with the BDRY Expense

Cap limitation paid, after the waiver of a portion 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 $ 3,280,229 and $ 1,888,152 , respectively, during the years ended June 30, 2022

and 2021 in routine offering, operational, administrative or other ordinary expenses.

The CTA fee waiver for BDRY by Breakwave was

$- 0 - and $ 39,184 , respectively, for the years ended June 30, 2022 and 2021.

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 $-0- and $-0-, respectively,

for the years ended June 30, 2022 and 2021.

Prior to its liquidation, RISE incurred $ 193,779

in routine offering, operational, administrative or other ordinary expenses for the year ended June 30, 2021.

Prior to its liquidation, the assumption of Fund

expenses above the RISE Expense Cap by the Sponsor pursuant to the undertaking (as discussed in Note 4a) amounted to $ 136,902 for the

year ended June 30, 2021.

(g) Organizational and Offering Costs

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

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.

During the year ended June 30, 2021 the Sponsor,

in order to maintain the continuous offering of Shares, undertook to register additional shares of the Fund, the costs of which were borne

by the Fund and aggregated $ 28,997 , of which $ 24,071 and $ 4,926 was amortized to expense during the years ended June 30, 2022 and June

30, 2021, respectively.

(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, 2022 and 2021, respectively, BDRY did not incur

such expenses.

(5) Creations and Redemptions

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 of the Fund.

The 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 of the Fund.

Baskets may be created or redeemed only by Authorized Participants.

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 the 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 Combined Financial Statements

– such as references to the Transaction Fee imposed on creations and redemptions – is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

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.

Transaction Fees are paid by the Authorized Participants and not by the Fund.

Share Transactions

DRY BULK SHIPPING ETF

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 the Fund.

Rather, most retail investors will purchase or sell shares in the secondary market with the assistance

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

$ 300 per order, which goes directly to the Custodian.

The AP Transaction Fees are paid by the Authorized Participants and not by the

(b) Share Transactions

BREAKWAVE DRY BULK SHIPPING ETF

of Share Transactions for the Year Ended June 30, 2022

Assets Increase

( 159,308,038

Increase (Decrease)

DRY BULK SHIPPING ETF

( 34,191,248 )

BREAKWAVE DRY BULK SHIPPING ETF

of Share Transactions for the Year Ended June 30, 2021

Assets Increase

RISING RATE ETF (PRIOR TO LIQUIDATION ON NOVEMBER 18, 2020

Increase (Decrease)

SIT RISING RATE ETF (PRIOR TO LIQUIDATION ON

NOVEMBER 18, 2020)

of Share Transactions for the Year Ended June 30, 2021

1 unchanged sentence

Redeemed (Including in Liquidation)

of Share Transactions for the Year Ended June 30, 2020

Assets Increase

(a) Investment Related Risk

23 unchanged sentences

and such losses are independent of the Freight Futures price level.

As of late February, the ongoing conflict between Russia in Ukraine has developed into a war, posing an increasing risk for global economic

Major economic sanctions against Russia are having a considerable impact on oil and gas prices, given the dependence of the EU

on oil and gas exports out of Russia combined with limited spare capacity of such commodities globally.

Energy prices have increased significantly,

leading to major inflationary pressures in the major developed countries that rely heavily on oil and gas exports out of Russia.

the combined Russia/Ukraine region account for approximately one quarter of global grain production, one of the main cargoes transported

by dry bulk vessels, while coal and iron ore exports out of the region have also been reduced.

The above factors can have a material negative

impact on demand for dry bulk transportation, while slower economic growth could also negatively affect demand for dry bulk commodities

in the rest of the world, leading to lower dry bulk freight rates.

The recent conflict between Russia and Ukraine is having a profound impact on global commodities prices including grain and coal, two

of the most important commodities for dry bulk shipping.

Given the importance of the region in export volumes for both grains and coal,

a prolong stoppage could lead to significantly lower freight rates and thus a decline in freight futures prices and a decline in the value

Although coal supplies could potentially be sourced from elsewhere partly mitigating the negative impact of the lost volumes,

global grain production capacity is limited, and thus the impact of the lost volumes could not be easily mitigated.

In addition, the recent

geopolitical turmoil has led to an increase in government protectionism when it comes to commodities, and if such a trend continues, it

could lead to lower bulk commodities trading globally over the long term.

The impact of such a scenario on dry bulk shipping will be negative,

leading to lower spot rates and as a result lower freight futures prices and a decline in the value of the Fund.

(b) Liquidity Risk

64 unchanged sentences

and expects the risk of such losses to be remote.

(9) Termination

The term of the Fund is perpetual unless terminated

earlier in certain circumstances as described in the Prospectus.

On October 16, 2020, the Sponsor announced that

it would close and liquidate the SIT RISING RATE ETF (“RISE”) because of current market conditions and the Fund’s asset

term of the Fund is perpetual unless terminated earlier in certain circumstances as described in the Prospectus.

October 16, 2020, the Sponsor announced that it would close and liquidate the SIT RISING RATE ETF (“RISE”) because of current

market conditions and the Fund’s asset size.

The last day the liquidated fund accepted creation orders was on October 30, 2020.

Trading in RISE was suspended after the close

of the NYSE Arca on October 30, 2020.

Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the “Distribution

From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca nor was there a secondary

market for the shares.

Any shareholders that remained in RISE on the Distribution Date automatically had their shares redeemed for cash

at the current net asset value on November 18, 2020.

Trading in RISE was suspended after the close of the NYSE Arca on October 30, 2020.

Proceeds of the liquidation were sent to shareholders

on November 18, 2020 (the “Distribution Date”).

From October 30, 2020 through the distribution date, shares of RISE did not

trade on the NYSE Arca nor was there a secondary market for the shares.

Any shareholders that remained in RISE on the Distribution Date

automatically had their shares redeemed for cash at the current net asset value on November 18, 2020.

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, 2021 and 2020, respectively.

The net investment income and total expense ratios are calculated using average net assets.

net asset value presentation is calculated by dividing each Fund’s net assets by the average daily number of Shares outstanding.

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, 2022 and 2021, 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.

BREAKWAVE DRY

BULK SHIPPING ETF

Ended June 30,

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.

BREAKWAVE DRY BULK

For the Year Ended June 30,

Net Asset Value

14 unchanged sentences

*** For Breakwave Dry Bulk Shipping ETF, Fund expenses have been capped at 3.50 % of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses, if any.

Prior to the liquidation of Sit Rising Rate ETF, Fund expenses had been capped at 1.00 % of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.

Report of Independent Registered Public Accounting

3 unchanged sentences

We have audited the following:

● accompanying

statements of assets and liabilities of Breakwave Dry Bulk Shipping ETF (“BDRY”) (a series of ETF Managers Group Commodity

Trust I (the “Trust”), including the schedules of investments, as of June 30, 2021 and 2020, the related statements of operations,

changes in net assets and cash flows of the Fund for the years then ended, and the related notes;

accompanying statement of assets and liabilities of SIT Rising Rate ETF (“RISE”, formerly a series of the Trust and collectively

with BDRY the “Funds”) as of June 30, 2020, including the schedule of investments, the related statement of operations, changes

in net assets and cash flows for the year then ended and for the period from July 1, 2020 to October 30, 2020 (date on which RISE terminated

operations) and the related notes;

combined statement of assets and liabilities of the Trust as of June 30, 2020, including the combined schedule of investments of the

Trust, the combined statements of operations, changes in net assets and cash flows of the Trust for the year then ended and for the period

from July 1, 2020 to October 30, 2020 (date on which RISE terminated operations), and the related notes

above are collectively referred to as the “financial statements”.

● accompanying statements of assets and liabilities

of Breakwave Dry Bulk Shipping ETF (“BDRY”) (a series of ETF Managers Group Commodity Trust I (the “Trust”), including

the schedules of investments, as of June 30, 2022 and 2021, the related statements of operations, changes in net assets and cash flows

of the Fund for the years then ended, and the related notes;

● the accompanying combined statement of operations

of SIT Rising Rate ETF (“RISE”, formerly a series of the Trust and collectively with BDRY the “Funds”), including

changes in net assets and cash flows for the year then ended and for the period from July 1, 2020 to October 30, 2020 (date on which SIT

terminated operations) and the related notes;

● The above are collective referred to as the “financial

In our opinion, the financial statements present

29 unchanged sentences

/s/WithumSmith+Brown, PC

We have served as the Trust’s and Funds’ auditor

We have served as the Trust's and Funds' auditor since 2014.

September 26, 2022

Changes in and

Disagreements with Accountants on Accounting and Financial Disclosure.

Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

Not applicable.

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 8. Financial Statements and Supplementary Data