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Item 7. Management’s Discussion and Analysis

2023-09-27 compared with 2022-09-26 · 303 added, 221 removed, 186 unchanged (74% of the section changed)

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The following discussion should be read in conjunction

with the financial statements and the notes thereto of the Trust and the Fund included elsewhere in this annual report on Form 10-K.

with the financial statements and the notes thereto of the Trust and the Funds included elsewhere in this annual report on Form 10-K.

This information should be read in conjunction

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Words such as “anticipate,”

“expect,” “intend,” “plan,” “believe,” “seek,” “outlook” and

“estimate,” as well as similar words and phrases, signify forward-looking statements.

ETF Managers Group Commodity Trust

I’s forward-looking statements are not guarantees of future results and conditions, and important factors, risks and uncertainties

may cause our actual results to differ materially from those expressed in our forward-looking statements.

“expect,” “intend,” “plan,” “believe,” “seek,” “outlook” and “estimate,”

as well as similar words and phrases, signify forward-looking statements.

ETF Managers Group Commodity Trust I’s forward-looking

statements are not guarantees of future results and conditions, and important factors, risks and uncertainties may cause our actual results

to differ materially from those expressed in our forward-looking statements.

You should not place undue reliance on any

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on July 23, 2014.

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

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

Breakwave Dry Bulk Shipping ETF (“BDRY”)

or the “Fund”).

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

interests in the Fund.

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

Agreement (the “Trust Agreement”).

and Breakwave Tanker Shipping ETF (“BWET”).

All of the series of the Trust are collectively referred to as the “Funds”

and singularly as the “Fund.” Each Fund issues common units, called the “Shares,” representing fractional undivided

beneficial interests in the respective Fund.

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

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

The Sponsor has the power and authority to establish

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

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

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

terminated in accordance with the provisions of the Trust Agreement.

Separate and distinct records shall be maintained for each Fund

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

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

The Fund and each

Separate and distinct records shall be maintained for each Fund and

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

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

The Funds and each

future series will be separate from all such series in respect of the assets and liabilities allocated to a Fund and each separate series

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The Fund began trading on the New York Stock Exchange (“NYSE”) Arca on March 22, 2018.

The Fund is designed and managed to track the

On April 28, 2023, the form S-1 for BWET was declared

effective by the SEC.

On May 1, 2023, eight Creation Baskets were issued for the Fund, representing

200,000 shares and $3,000,000.

The Fund began trading on the NYSE Arca on May 3, 2023.

Each Fund is designed and managed to track the

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

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

The Fund seeks to track the daily return of the

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

BWET commenced investment operations on May 3,

2023 at $ 15.00 per Share.

The Shares have been trading on the NYSE Arca since May 3, 2023

under the symbol “BWET.”

Each Fund seeks to track the daily return of the

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

The following graphs illustrate changes in (i)

the price of the Fund’s Shares (reflected, as applicable, by the graphs “Comparison of Per Share BDRY NAV to BDRY Market

Value for the Three Months Ended June 30, 2022 and 2021” and “Comparison of Per Share BDRY NAV to BDRY Market Value for the

Year Ended June 30, 2022 and 2021 and (ii) the Fund’s NAV (as reflected by the graphs “Comparison of BDRY NAV to Benchmark

Index for the Three Months Ended June 30, 2022 and 2021” and “Comparison of BDRY NAV to Benchmark Index for the Year Ended

June 30, 2022 and 2021”).

The Benchmark Portfolio is frictionless, in that

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

The performance of the Fund involves friction,

in that fees and expenses impose a drag on performance.

the price of each Fund’s Shares (reflected, as applicable, by the graphs “Comparison of Per Share BDRY NAV to BDRY Market

Value for the Three Months Ended June 30, 2023 and 2022”, “Comparison of Per Share BDRY NAV to BDRY Market Value for the Year

Ended June 30, 2023 and 2022” and “Comparison of Per Share BWET NAV to BWET Market Value for the Period From May 3, 2023 (Commencement

of Operations) to June 30, 2023” and (ii) each Fund’s NAV (as reflected by the graphs “Comparison of BDRY NAV to Benchmark

Index for the Three Months Ended June 30, 2023 and 2022”, “Comparison of BDRY NAV to Benchmark Index for the Year Ended June

30, 2023 and 2022” and “Comparison of BWET NAV to Benchmark Index for the Period From May 3, 2023 (Commencement of Operations)

to June 30, 2023”).

BWET commenced operations on May 3, 2023, and as such, there is no prior period to compare to.

Each Benchmark Portfolio is frictionless, in that

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

The performance of the Funds involves

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

Breakwave Dry Bulk Shipping ETF

During the year ended June 30, 2023, dry bulk

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

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

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

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

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

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

In the autumn of 2021, Europe experienced a major

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

In early 2022, the Russian invasion of

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

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

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

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

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

Additionally, China’s

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

facing liquidity problems.

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

pandemic began to normalize.

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

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

spot rates eased versus the previous year, with the benchmark Baltic Dry Index declining steadily, reaching its lowest point in February

2023 at approximately the same levels as those of the early pandemic period before recovering a bit towards the end of the year.

main reasons for the relatively poor performance versus the previous year reflect relatively flat demand for bulk commodity goods from

China combined with better fleet supply as a result of the unwinding of port congestion and fleet inefficiencies resulting from the COVID-19

Year over year growth in bulk trading globally was strong, but such a performance reflected mainly base effects due to the very

low absolute levels of 2022.

During the year, freight rates returned back

to their historical ranges following two years of unexpectedly strong freight rates.

The pattern of weak rates during the summer months

followed by increasing demand for iron ore and coal transportation towards the end of the calendar year, was once again evident during

The first quarter of 2023 experienced seasonally weak rates, in line with expectations, but an initially expected strong recovery

in the spring months failed to materialize, leading to a repricing of the futures curve as market participants begun to realize that a

return to historical patterns was indeed materializing.

At the same time, the Chinese economy continued

to show significant weakness versus recent years, especially when it comes to the real estate market, which is the main source for iron

ore demand and thus dry bulk freight.

Some early signs of recovery during the first quarter of 2023 provided some hope, but such a recovery

was short lived with most real estate and construction indicators failing to provide sustainable signs of recovery as the first half of

the year progressed.

During the pandemic years, congestion in major

ports increased materially leading to a lower effective fleet supply.

In addition, fleet inefficiencies resulting from various port policies

as it relates to COVID-19 also added to such reduction in effective fleet supply.

Such congestion and inefficiencies have now been gradually

unwound, leading to an increase in effective fleet supply.

The combination of stable Chinese bulk commodity

demand and higher effective fleet supply put pressure on spot freight rates leading to the relative underperformance year-over-year.

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

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NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of BDRY with

the benchmark portfolio returns for the year ended June 30, 2022.

The difference in the NAV price and the benchmark value often results

in the appearance of a NAV discount to the benchmark.

The difference is related to the cumulative impact on NAV of the Fund’s expenses

during the period presented in the chart above.

The graph above compares the return of BDRY

with the benchmark portfolio returns for the year ended June 30, 2023.

The difference in the NAV price and the benchmark value often

results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV

of the Fund’s expenses during the period presented in the chart above.

NEITHER THE PAST PERFORMANCE OF THE FUND

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Fund Share Price Performance

During the year ended June 30, 2022, the NYSE

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

During the year ended June 30, 2023, the

NYSE Arca market value of each share decreased (-67.68%) from $17.17 per share, representing the closing price on June 30, 2022, to

$5.55 per share, representing the closing price on June 30, 2023.

The share price high and low for the year ended June 30, 2022 and related

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

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

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

The share price high and low for the year ended June 30, 2023 and

related change from the closing share price on June 30, 2022 was as follows:

shares traded from a high of $17.16 per share (-0.06%)

on July 1, 2022 to a low of $5.48 per share (-68.08%) on June 28, 2023.

Fund Share Net Asset Value Performance

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resulted in the overall decrease in the NAV per share during the year ended June 30, 2023.

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

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

Net loss for the year ended June 30, 2023,

was $36,530,822, resulting from net realized losses on investments and futures contracts of $30,983,820, net unrealized losses on investments

and futures contracts of $4,404,570, and the net investment loss of $1,142,432.

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During the year ended June 30, 2022, the NYSE

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

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

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

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

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

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

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

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

Fund Share Net Asset Value Performance

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

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

Net gains in the futures contracts more than offset

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

Net income for the year ended June 30, 2021,

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

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

Net losses in the futures contracts and Fund expenses

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

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

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

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

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During the three months ended June 30, 2023,

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

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

the NYSE Arca market value of each Share decreased (-45.05%) from $10.10 per Share, representing the closing price on March 31, 2023, to

$5.55 per Share, representing the closing price on June 30, 2023.

The Share price high and low for the three months ended June 30, 2023

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Shares traded from a high of $10.35 per Share (+2.48%)

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

on April 4, 2023 to a low of $5.48 per Share (-45.73%) on June 28, 2023.

Fund Share Net Asset Performance

For the three months ended June 30, 2022,

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

For the three months ended June 30, 2023, the

net asset value of each Share decreased (-44.76%) from $10.01 per Share to $5.53 per Share.

For the three months ended June 30, 2023,

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

Share during the period.

losses in the investments and futures contracts and Fund expenses resulted in the overall decrease in the NAV per Share during the period.

Net loss for the three months ended June 30,

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Fund Share Price Performance

During the three months ended June 30, 2021,

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

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

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

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

Shares traded from a high of $30.20 per Share

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

During the three months ended June 30, 2022, the

NYSE Arca market value of each Share decreased (-28.99%) from $24.18 per Share, representing the closing price on March 31, 2022, to $17.17

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

The Share price high and low for the three months ended June 30, 2022 and

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

Shares traded from a high of $26.07 per Share (+7.82%) on

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

Fund Share Net Asset Performance

For the three months ended June 30, 2022, the

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

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

For the three months ended June 30, 2022,

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

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

during the period.

Net income for the three months ended June 30,

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

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

Net loss for the three months ended June 30, 2022,

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

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

Breakwave Tanker Shipping ETF

During the period starting on May 3, 2023 and

ending on June 30, 2023, crude tanker spot rates experienced high volatility, with spot rates for Very Large Crude Carriers (VLCC) increasing

sharply in early June, before correcting down to their previous level by the end of the month.

The main reason for such a volatile performance

was weather, with some unexpected vessel delays due to a typhoon that had developed in the Indian ocean causing charterers to seek alternative

vessels thus pushing VLCC freight rates higher in the process.

In addition, strong demand for VLCC in the Atlantic basin also contributed

to a tighter market and thus supported spot freight rates.

The softening of the Chinese economy remains

a major worry for the tanker market as the great majority of incremental crude oil is destined for Asia and mainly China.

So far in 2023,

the slowdown in growth in China has not had a major impact in oil demand as transportation fuels have seen significant growth in demand

versus last year as a result of the lifting of the Covid-19 restrictions late in 2022.

However, if the Chinese economy deteriorates further,

and consumption growth slows down further, then demand for oil should also be negatively affected and thus demand for oil tankers will

decline which could have a negative impact on spot freight rates for VLCCs.

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

are due primarily to the following factors:

Benchmark portfolio uses settlement prices of freight futures vs.

BWET closing share price for BWET.

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

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

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

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

Benchmark portfolio assumes no trading commissions vs.

BWET that pays $0.04 per ton in commissions per transaction.

Benchmark portfolio assumes no clearing fees vs BWET that pays approximately $7 per lot in clearing fees per transaction.

Benchmark portfolio assumes no management fees vs.

BWET fee structure.

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

NEITHER THE PAST PERFORMANCE OF THE FUND

NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

The per Share market value of BWET and its NAV

tracked closely for period from May 3, 2023 (commencement of operations) to June 30, 2023.

NEITHER THE PAST PERFORMANCE OF THE FUND

NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of BWET

with the benchmark portfolio returns for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

The difference

in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark.

difference is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart

FOR THE THREE MONTHS ENDED JUNE 30, 2023

Fund Share Price Performance

During the period from May 3, 2023 (commencement of operations)

to June 30, 2023, the NYSE Arca market value of each Share increased (+45.51%) from $14.35 per Share, representing the initial trade

on May 3, 2023, to $20.88 per Share, representing the closing price on June 30, 2023.

The Share price high and low for the period from

May 3, 2023 (commencement of operations) to June 30, 2023 and related change from the opening Share price on May 3, 2023 was as follows:

Shares traded

from a high of $22.92 per Share (+59.72%) on June 15, 2023 to a low of $12.47 per Share (-13.10%) on May 8, 2023.

Fund Share Net Asset Performance

period from May 3, 2023 (commencement of operations) to June 30, 2023, the net asset value of each Share increased (+38.87%) from $15.00 per Share to $20.83

For the period from May 3, 2023 (commencement of operations) to June 30, 2023, gains in the investments and futures contracts more than offset

Fund expenses resulting in the overall increase in the NAV per Share during the period.

for the period from May 3, 2023 (commencement of operations) to June 30, 2023, was $1,167,252, resulting from net realized gains on investments and futures

contracts of $375,516, net unrealized gains on investments and futures contracts of $825,287, and the net investment loss of $33,551.

Critical Accounting Estimates

Preparation of the financial statements and related

disclosures in accordance with U.S.

generally accepted accounting principles requires the application of appropriate accounting rules

and guidance, as well as the use of estimates.

The Fund’s application of these policies involves judgments and the use of estimates.

Preparation of the combined financial

statements and related disclosures in accordance with U.S.

generally accepted accounting principles requires the application of

appropriate accounting rules and guidance, as well as the use of estimates.

Each Fund’s application of these policies involves

judgments and the use of estimates.

Actual results may differ from the estimates used and such differences could be material.

The Fund holds a significant portion of its

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

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

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

Funds hold a significant portion of their assets in futures contracts and money market funds, which are held at fair value.

There were no material estimates, which involve

a significant level of estimation uncertainty and had or are reasonably likely to have had a material impact on the Funds’ financial condition,

used in the preparation of these combined financial statements.

Liquidity and Capital Resources

The Fund does not anticipate making use of borrowings

or other lines of credit to meet its obligations.

The Fund meets its liquidity needs in the normal course of business from the proceeds

of the sale of its investments or from the cash, and cash equivalents that it holds.

The Fund’s liquidity needs include:

its shares, providing margin deposits for existing Benchmark Component Instruments, the purchase of additional Benchmark Component Instruments,

The Funds do not anticipate making use of borrowings

or other lines of credit to meet their obligations.

The Funds meet their liquidity needs in the normal course of business from the proceeds

of the sale of their investments or from the cash, and cash equivalents that they hold.

The Funds’ liquidity needs include:

their shares, providing margin deposits for existing Benchmark Component Instruments, the purchase of additional Benchmark Component Instruments,

and paying expenses.

The Fund generates cash primarily from (i) the

sale of Creation Baskets and (ii) interest earned on cash, and cash equivalents.

Generally, all of the net assets of the Fund are allocated

to trading in Benchmark Component Instruments.

Most of the assets of the Fund are held in Freight futures, cash and/or cash equivalents

that could or are used as margin or collateral for trading in Benchmark Component Instruments.

The percentage that such assets bear to

the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change.

Interest earned

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

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

The investments of the Fund in Benchmark

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

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

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

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

Once the price of a futures

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

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

Futures contract prices have occasionally

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

Such market conditions could prevent a Fund from

promptly liquidating its futures positions.

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

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

The Funds generate cash primarily from (i)

the sale of Creation Baskets and (ii) interest earned on cash, and cash equivalents.

Generally, all of the net assets of the Funds

are allocated to trading in Benchmark Component Instruments.

Most of the assets of the Funds are held in Freight Futures, cash

and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments.

percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark

Component Instruments change.

Interest earned on interest-bearing assets of the Funds is paid to the Funds.

During the years ended

June 30, 2023 and 2022, BDRY earned $1,255,773 and $33,040, respectively, in interest income.

BWET earned $4,478 in interest income

for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

The investments of the Funds in Benchmark Component

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

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

Commodity exchanges may limit

fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a

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

Once the price of a futures contract has increased or

decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders

are willing to effect trades at or within the limit.

Futures contract prices have occasionally moved to the daily limit for several consecutive

days with little or no trading.

Such market conditions could prevent the Funds from promptly liquidating their futures positions.

Because the Funds trade futures contracts,

their capital is at risk due to changes in the value of these contracts (market risk) or the inability of counter-parties to perform under

the terms of the contracts (credit risk).

Trading in Benchmark Component Instruments such

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

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

at a specified date in the future.

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

of the Fund as the Fund intends to close out any open positions prior to the contractual expiration date.

As a result, the Fund’s

of the Funds as the Funds intend to close out any open positions prior to the contractual expiration date.

As a result, the Funds’

market risk is the risk of loss arising from the decline in value of the contracts, not from the need to make delivery under the contracts.

The Funds consider the “fair value” of derivative instruments to be the unrealized gain or loss on the contracts.

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

The exposure of the Fund to market risk will

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

The exposure of the Funds to market risk will

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

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

When the Fund enters into Benchmark Component

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

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

When the Funds enters into Benchmark Component

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

For purposes of credit

4 unchanged sentences

There can be no assurance that any counterparty,

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

The Sponsor will attempt to minimize certain

of these market and credit risks by normally:

executing and clearing

trades with creditworthy counterparties, as determined by the Sponsor;

limiting the outstanding

amounts due from counterparties of the Fund;

not posting margin directly

with a counterparty;

limiting the amount of

margin or premium posted at the FCM.

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

The Sponsor will attempt to minimize certain of

these market and credit risks by normally:

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

limiting the outstanding amounts due from counterparties of the Funds;

not posting margin directly with a counterparty;

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

The Commodity Exchange Act (“CEA”)

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

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

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

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

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

The CEA authorizes

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

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

from alleged violations of the CEA.

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

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

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

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

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

The CEA authorizes the

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

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

alleged violations of the CEA.

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

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The rules are intended to afford greater assurances to

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

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

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

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

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

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

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

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

Off Balance Sheet Financing

As of June 30, 2023, neither the Trust nor the

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

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

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

While the exposure of the Fund under these indemnification provisions

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

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

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

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

While the exposure of the Funds under these indemnification provisions

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

Redemption Basket Obligation

Other than as necessary to meet the investment

objective of the Fund and pay the contractual obligations described below, the Fund will require liquidity to redeem Redemption Baskets.

The Fund intends to satisfy this obligation through the transfer of cash of the Fund (generated, if necessary, through the sale of Freight

objective of the Funds and pay the contractual obligations described below, the Funds will require liquidity to redeem Redemption Baskets.

The Funds intend to satisfy this obligation through the transfer of cash of the Funds (generated, if necessary, through the sale of Freight

Futures) in an amount proportionate to the number of Shares being redeemed.

Contractual Obligations

The primary contractual obligations of the Fund

The primary contractual obligations of the Funds

will be with the Sponsor and certain other service providers.

The original registration statement on Form S-1

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

While the Sponsor agreed to pay registration fees

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

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

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

future offer and sale of Shares of the Fund.

During March 2021, the Sponsor undertook to register

an additional 5,000,000 Shares of BDRY.

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

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

Any general expenses of the Trust will be allocated

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

The Trust is also

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

related thereto.

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

The parties cannot anticipate the amount of payments

that will be required under these arrangements for future periods as the NAV and trading levels to meet investment objectives for the

Fund will not be known until a future date.

These agreements are effective for a specific term agreed upon by the parties with an option

to renew, or, in some cases, are in effect for the duration of the Fund’s existence.

The parties may terminate these agreements

earlier for certain reasons listed in the agreements.

Breakwave Dry Bulk Shipping ETF

BDRY pays a Sponsor Fee, monthly in arrears,

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

BDRY pays a Sponsor Fee, monthly in arrears, in

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

or (ii) $125,000.

The Sponsor Fee

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

The Sponsor Fee is

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

BDRY also pays Breakwave a license and service fee (the

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Fund’s average daily net assets.

Breakwave Tanker Shipping ETF

BWET pays a Sponsor Fee, monthly in arrears, in

an amount equal to the greater of (i) 0.30% per year of the Fund’s average daily net assets;

or (ii) $50,000.

The Sponsor Fee is

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

BWET also pays Breakwave a license and service fee (the

“CTA Fee”) monthly in arrears, for the use of BWET’s Benchmark Portfolio in an amount equal to 1.45% per annum of the

Fund’s average daily net assets.

Breakwave has agreed to waive its license and

services fee and the Sponsor has agreed to correspondingly assume the remaining expenses of the Fund so that Fund expenses do not exceed

an annual rate of 3.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of the Fund’s

average daily net assets (the “Expense Cap”).

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

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

If after that date, the Sponsor and/or Breakwave

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

its investment objective.

The Fund currently accrues its daily expenses

services fee and the Sponsor has agreed to correspondingly assume the remaining expenses of the Funds so that each Fund’s expenses

do not exceed an annual rate of 3.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of

the Funds’ average daily net assets (the “Expense Cap”).

The assumption of expenses and waiver of the license and services

fee are contractual on the part of the Sponsor and Breakwave, respectively, through March 31, 2025.

If after that date, the Sponsor and/or

Breakwave no longer assumed expenses or waived the CTA Fee, respectively, the Funds could be adversely impacted, including in their ability

to achieve their investment objectives.

The Funds currently accrue their daily expenses

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

1 unchanged sentence

accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the payment of, the routine operational,

administrative and other ordinary expenses of the Fund which aggregated $783,914 and $800,710, of which $-0- and $-0- was waived by Breakwave

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

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

months ended June 30, 2022 and 2021.

The Fund’s ongoing fees, costs and expenses

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

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

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

administrative and other ordinary expenses of the Funds.

BDRY aggregated $734,699 and $783,914, of which $ -0-

and $-0- was waived by Breakwave for the three months ended June 30, 2023 and 2022, respectively.

BWET aggregated $123,053, of

which $7,574 was waived by Breakwave for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

In addition, expenses

assumed by the Sponsor for BDRY aggregated $-0- and $-0- for the three months ended June 30, 2023 and 2022, respectively.

BWET, the Sponsor assumed $77,450 of expenses for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

Each Funds’ ongoing fees, costs and expenses

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

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

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

Expenses subject to the Expense Cap include

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

(ii) the routine expenses

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

applicable U.S.

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

(ii) the routine

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

by applicable U.S.

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

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

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

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

While the Sponsor has agreed to pay registration

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

prospectus, the legal, printing, accounting and other expenses associated with such registration, and the initial fee of $7,500 for listing

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

any future offer and sale of Shares of the Funds in excess of those offered through its prospectus.

Any general expenses of the Trust will be allocated

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

The Trust is also

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

related thereto.

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

The parties cannot anticipate the amount of payments

that will be required under these arrangements for future periods as the NAV and trading levels to meet investment objectives for the

Funds will not be known until a future date.

These agreements are effective for a specific term agreed upon by the parties with an option

to renew, or, in some cases, are in effect for the duration of a Fund’s existence.

The parties may terminate these agreements earlier

for certain reasons listed in the agreements.

Quantitative and Qualitative Disclosures

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

What changed 10-K

Item 7. Management’s Discussion and Analysis